Stress Test Data Framework Dictionary 2021: Version 02

202101 Market_Risk_Stressed_ProfitorLoss_Projections

The purpose of this template is to record firms’ stress losses arising from market risk. There are a number of scope exceptions as detailed in the Traded Risk scenario methodology document and repeated here for clarity. Securitisation positions (those capitalised under Chapter 5 of CRR) should be excluded. Hedges for AFS and FVO positions which are in the Trading Book should be stripped out and included in the Other Fair Valued Items template (formerly called the AFS and FVO template). Underwriting pipeline commitments or stick positions and hedges to these should be stripped out and included in the dedicated Underwriting tab of the Other Fair Valued Items template. CVA hedges, FVA and FVA hedges should be stripped out and reported in the Stressed XVA template. Market liquidity stress results (bid-offer reserve) should be reported in the Stressed PVA template. Issuer defaults have a specific sheet (“Issuer default”) in the template which requires completion. Stress losses or gains are categorised as liquid, structural liquid or illiquid. Please note that the use of the term “structural” is purely for the purposes of this stress test and is not related to, for example, Structural FX risk in the Banking Book. All stress results should be expressed in firms’ reporting currency. Please include all fair value through profit and loss changes that relate to Market risk.

202101 Market_Risk_Stressed_ProfitorLoss_Projections [Projection]

Order TableName Header Offset First Line Of Data
01 Comments 3 4
02 Totals 3 4
03 Shocks 3 4
04 Issuer_default 3 4
05 Liquids 3 4
06 Structural_liquids 3 4
07 Illiquids 3 4