Stress Test Data Framework Dictionary 2021: Version 02

Net_drivers

The risk driver will be the level below that given on the XVA tab; usually this will be specific to a currency (e.g. GBP Inflation) although this is left to the discretion of each firm. The coverage required should include all Risk-Driver items with Net Capital Impact values of mathematical modulus greater than 5% of the Impact On Regulatory Capital (within the Impact on income tab); and a minimum of ten risk drivers regardless of net capital impact value. All values should be included such that there is 80% coverage.

202101 Stressed_XVA_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Risk factor String (255 long) Riskfactor Yes Yes
2 Net capital driver impact Float Netcapitaldriverimpact Yes -
3 CVA gross impact Float CVAgrossimpact Yes -
4 FVA gross impact Float FVAgrossimpact Yes -
5 Hedge impact Float Hedgeimpact Yes -