Stress Test Data Framework Dictionary 2021: Version 02

Closeout_cost_uncertainty

The Closeout Cost Uncertainty tab captures information related to the deduction from capital resources arising from the Closeout Cost Uncertainty AVA in each of the five years, split between Trading book and Banking book classification and further split by product portfolio. There are separate tabs for Investing and Funding AVA and Unearned Credit Spreads AVA, so amounts related to those AVAs should be stripped out and reported separately on the relevant tabs. 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 Portfolio String (255 long) PVAportfolio PVAportfolio Yes Yes
3 Scenario String (255 long) ScenarioACS Scenario Yes Yes
4 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
5 Methodology type String (255 long) Methodologytype Methodologytype Yes Yes
6 Exposure type String (255 long) Exposuretype Exposuretype Yes Yes
7 Exposure unit String (255 long) Exposureunit Yes -
8 Exposure amount Float Exposureamount - -
9 Close-out cost uncertainty AVA Float CloseoutcostuncertaintyAVA - -
10 Diversifications and offsets (related to close out cost uncertainty AVA) Float DiversificationsandoffsetsrelatedtocloseoutcostuncertaintyAVA - -
11 Related fair value adjustment - Bid offer Float RelatedfairvalueadjustmentBidoffer - -
12 Related fair value adjustment - Other Float RelatedfairvalueadjustmentOther - -
13 Fair value assets Float Fairvalueassets - -
14 Fair value liabilities Float Fairvalueliabilities - -
15 Gross notional Float Grossnotional - -