Stress Test Data Framework Dictionary 2021: Version 02

Unearned_credit_spreads

The Unearned Credit Spreads tab captures information related to the deduction from capital resources arising from the Unearned Credit Spreads AVA in each of the five years, split between Trading book and Banking book classification and further split by counterparty sectors and credit ratings. It also captures the risk sensitivities and credit spreads used in the AVA calculation. Related Fair Value Adjustment amounts should also be reported on this tab. The Unearned Credit Spreads AVA should be split into amounts related to market price uncertainty, close-out cost uncertainty and model risk and reported only on this tab. We request that you report zeros instead of blanks for all non mandatory fields.

202101 Stressed_PVA_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Book type String (255 long) BookType BookType Yes Yes
2 Scenario String (255 long) ScenarioACS Scenario Yes Yes
3 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
4 Methodology type String (255 long) Methodologytype Methodologytype Yes Yes
5 CVA methodology String (255 long) CVAmethodology CVAmethodology Yes Yes
6 Counterparty credit risk sector String (255 long) CounterpartycreditrisksectorPVA Counterpartycreditrisksector Yes Yes
7 External credit rating String (255 long) Externalcreditrating Externalcreditrating Yes Yes
8 Market price uncertainty AVA Float MarketpriceuncertaintyAVA - -
9 Close-out cost uncertainty AVA Float CloseoutcostuncertaintyAVA - -
10 Model risk AVA Float ModelriskAVA - -
11 Diversifications and offsets (related to unearned credit spreads AVA) Float DiversificationsandoffsetsrelatedtounearnedcreditspreadsAVA - -
12 Related fair value adjustment - CVA Float RelatedfairvalueadjustmentCVA - -
13 Related fair value adjustment - Other Float RelatedfairvalueadjustmentOther - -
14 Credit risk sensitivity 0-1Y Float Creditrisksensitivity01Y - -
15 Credit risk sensitivity 1-5Y Float Creditrisksensitivity15Y - -
16 Credit risk sensitivity 5-10Y Float Creditrisksensitivity510Y - -
17 Credit risk sensitivity 10-30Y Float Creditrisksensitivity1030Y - -
18 Credit risk sensitivity >30Y Float Creditrisksensitivity30Y - -
19 Credit spreads used in CVA 0-1Y Float CreditspreadsusedinCVA01Y - -
20 Credit spreads used in CVA 1-5Y Float CreditspreadsusedinCVA15Y - -
21 Credit spreads used in CVA 5-10Y Float CreditspreadsusedinCVA510Y - -
22 Credit spreads used in CVA 10-30Y Float CreditspreadsusedinCVA1030Y - -
23 Credit spreads used in CVA >30Y Float CreditspreadsusedinCVA30Y - -
24 Credit spreads used in AVA 0-1Y Float CreditspreadsusedinAVA01Y - -
25 Credit spreads used in AVA 1-5Y Float CreditspreadsusedinAVA15Y - -
26 Credit spreads used in AVA 5-10Y Float CreditspreadsusedinAVA510Y - -
27 Credit spreads used in AVA 10-30Y Float CreditspreadsusedinAVA1030Y - -
28 Credit spreads used in AVA >30Y Float CreditspreadsusedinAVA30Y - -