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Totals
This worksheet shows the scenario loss or gain for market risk split by asset class (Rates, FX, Credit, Equity and Commodity) and liquidity type (Liquids, Structural liquids and Illiquids) together with totals across all asset classes, all liquidity types, all asset classes and liquidity types combined, and finally a total trading book loss or gain including bid offer and issuer default. Each asset class is split into 3 categories: liquids, structural liquids and illiquids. These categories are defined in the Traded Risk scenario methodology document. For the purposes of populating this template (please refer to methodology for precise details), structural liquids and illiquids will be incremental stresses over and above the liquids stresses, i.e. all positions will contribute a liquid stress result which will be recorded in the “Liquids” field. Those positions classified as “Structural Liquids” will be subject to an additional stress the result of which will be recorded in the “Structural Liquids” fields. Similarly those positions classified as “Illiquids” will be subject to an additional stress (additional to the Liquids stress) the result of which will be recorded in the “Illiquids” fields.