Stress Test Data Framework Dictionary 2021: Version 02

202101 Counterparty_Credit_Risk_Losses_Projections

The Counterparty Credit Risk losses template is to be used by firms to provide data on their counterparty default loss under the Traded Risk scenario. This template also collects data on firms’ top stressed exposures. A new tab requires firms to provide data on the sensitivity to the counterparty exposures from a change in underlying market risk factors. Please include all fair value through profit and loss changes that relate to Counterparty credit risk.

202101 Counterparty_Credit_Risk_Losses_Projections [Projection]

Order TableName Header Offset First Line Of Data
01 Comments 3 4
02 Aggregate_data 3 4
03 Counterparty_exposure_data 3 4
04 Default_loss 3 4
05 Exposure_sensitivities 3 4