Stress Test Data Framework Dictionary 2021: Version 02

XVA

Breakdown of aggregate XVA and XVA hedge gains and losses in Year 1 caused by the scenario and attribution through two approaches.

202101 Stressed_XVA_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 XVA level 1 String (255 long) XVAlevel1 XVAlevel1 Yes Yes
2 Year 0 (stock) Float Year0stock Yes -
3 Year 1 (stock) Float Year1stock Yes -
4 Year 1 (change) Float Year1change Yes -
5 Year 1 explain (approach 1) Rates exc inflation Float Year1explainapproach1Ratesexcinflation Yes -
6 Year 1 explain (approach 1) Inflation Float Year1explainapproach1Inflation Yes -
7 Year 1 explain (approach 1) Own credit/funding spread Float Year1explainapproach1Owncreditfundingspread Yes -
8 Year 1 explain (approach 1) Other credit spread Float Year1explainapproach1Othercreditspread Yes -
9 Year 1 explain (approach 1) FX Float Year1explainapproach1FX Yes -
10 Year 1 explain (approach 1) Equities Float Year1explainapproach1Equities Yes -
11 Year 1 explain (approach 1) Commodities Float Year1explainapproach1Commodities Yes -
12 Year 1 explain (approach 1) Other Float Year1explainapproach1Other Yes -
13 Year 1 explain (approach 2) Rates exc inflation Float Year1explainapproach2Ratesexcinflation Yes -
14 Year 1 explain (approach 2) Inflation Float Year1explainapproach2Inflation Yes -
15 Year 1 explain (approach 2) FX Float Year1explainapproach2FX Yes -
16 Year 1 explain (approach 2) Equities Float Year1explainapproach2Equities Yes -
17 Year 1 explain (approach 2) Commodities Float Year1explainapproach2Commodities Yes -
18 Year 1 explain (approach 2) Other Float Year1explainapproach2Other Yes -