Stress Test Data Framework Dictionary 2021: Version 02

Liquidity_ratios

Populate baseline data for years 1 to 5 as well as for the date within the scenario horizon that is the LCR low-point by selecting baseline from the scenario drop-down menu. Populate stress data for years 1 to 5, and for one day, two weeks and one month post traded book shock within the stress scenario and also for the date within the stress scenario that is the LCR low-point by selecting Annual cyclical scenario and selecting pre- (in the column that asks for pre-/ post management actions). For this data line management action number and management action description need not be populated. Data item numbers 20-27 (change in collateral flows…change in HQLA due to any other factors) should only be populated for the shorter term traded risk shock i.e. Day 1, 2 Weeks, low point and 1 month points. Change in collateral flows (data item number 20) equals change in collateral flows due to variation margin (data item number 21) + change in collateral flows due to initial margin (data item number 22) + change in collateral due to payments and settlements (data item number 23) +change in collateral due to any other factors (data item number 24). Where strategic management actions (SMA) have been identified in the SMA core dataset, irrespective of whether these are for capital or liquidity purposes, select Annual cyclical scenario and select post (in the column that asks for pre-/ post management actions). Populate the management action number and management action description that corresponds to these data items in the SMA core dataset (stress_case_management_actions tab in the 001 STDF_Capital_and_Other_Projections) and populate the liquidity position related data as a result of that management action in the liquidity template. Management actions should be listed in order and there could be more than one SMA in a year. Provide the incremental liquidity impact for each management action (compared to the pre-SMA liquidity position) for all LCR ratio components (liquid assets, inflows, outflows), central bank facility data items (amounts and cost) and, if applicable, all traded risk shock related components. For example incremental impact on the cash or Liquid assets and incremental impact on any inflows or outflows. Also provide the LCR ratio individually for each management action by time period (for each time period the ratio should be calculated based on the pre management action components adjusted for the individual impact of the management action summed across the current and any prior time periods). Most Liquidity data items are as defined in the COREP regulatory returns DA LCR (COR 11) - see specific definitions in definition tab. For this template the LIQUIDITY COVERAGE RATIO (%) (where pre- has been selected in the column that asks for pre-/ post management actions) should equal the sum of [L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted + L1 EHQCB value according to Article 9: unadjusted + L2A according to Article 9: unadjusted + L2B according to Article 9: unadjusted] divided by (Total outflows minus Inflows Subject to 75% Cap). Also the LIQUIDITY COVERAGE RATIO (%) (where post has been selected in the column that asks for pre-/ post management actions) should equal the sum of [L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted + L1 EHQCB value according to Article 9: unadjusted + L2A according to Article 9: unadjusted + L2B according to Article 9: unadjusted) pre-management action Plus changes to above items as per each management action (to be added cumulatively across the current and any prior time periods)] divided by [Total outflows (pre-management action) minus Inflows Subject to 75% Cap (pre management action) plus change to inflows and outflows as per each management action (to be added cumulatively across the current and any prior time periods)].

202101 Liquidity

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Scenario String (255 long) ScenarioACS Scenario Yes Yes
2 Projection period String (255 long) ProjectionperiodstressALM ProjectionperiodstressALM Yes Yes
3 Date Date (YYYYMMDD) Date - Yes
4 LIQUIDITY COVERAGE RATIO (%) Float LIQUIDITYCOVERAGERATIOPCT 0.0000 Inclusive Yes -
5 PILLAR 2 REQUIREMENT as set out in Article 105 CRD Float PILLAR2REQUIREMENTassetoutinArticle105CRD 0.0000 Inclusive Yes -
6 Withdrawable central bank reserves and Coins and banknotes Float WithdrawablecentralbankreservesandCoinsandbanknotes 0.0000 Inclusive Yes -
7 L1 excl. EHQCB liquidity buffer (value according to Article 9): unadjusted Float L1exclEHQCBliquiditybuffervalueaccordingtoArticle9unadjusted 0.0000 Inclusive Yes -
8 L1 EHQCB value according to Article 9: unadjusted Float L1EHQCBvalueaccordingtoArticle9unadjusted 0.0000 Inclusive - -
9 L2A according to Article 9: unadjusted Float L2AaccordingtoArticle9unadjusted 0.0000 Inclusive - -
10 L2B according to Article 9: unadjusted Float L2BaccordingtoArticle9unadjusted 0.0000 Inclusive - -
11 Total Outflows Float TotalOutflows 0.0000 Inclusive Yes -
12 impact of an adverse market scenario on derivatives, financing transactions and other contracts Float impactofanadversemarketscenarioonderivativesfinancingtransactionsandothercontracts 0.0000 Inclusive - -
13 Inflows Subject to 75% Cap Float InflowsSubjectto75Cap 0.0000 Inclusive Yes -
14 Central bank facility amount of drawings outstanding Float Centralbankfacilityamountofdrawingsoutstanding 0.0000 Inclusive - -
15 Central bank facilities Identity of drawn String (255 long) CentralbankfacilitiesIdentityofdrawn - -
16 Central bank facilities cost of drawn (bp) Float Centralbankfacilitiescostofdrawnbp 0.0000 Inclusive - -
17 Pre or post management action String (255 long) Preorpostmanagementaction Preorpostmanagementaction - Yes
18 Management action number Int Managementactionnumber - Yes
19 Management action description String (255 long) Managementactiondescription - Yes
20 Change in collateral flows Float Changeincollateralflows Yes -
21 Change in collateral due to variation margin Float Changeincollateralduetovariationmargin Yes -
22 Change in collateral due to initial margin Float Changeincollateralduetoinitialmargin Yes -
23 Change in collateral due to payments and settlements Float Changeincollateralduetopaymentsandsettlements Yes -
24 Change in collateral due to any other factors Float Changeincollateralduetoanyotherfactors Yes -
25 Change in HQLA due to collateral flows Float ChangeinHQLAduetocollateralflows Yes -
26 Change in HQLA due to mark to market movements Float ChangeinHQLAduetomarktomarketmovements Yes -
27 Change in HQLA due to any other factors Float ChangeinHQLAduetoanyotherfactors Yes -