Stress Test Data Framework Dictionary 2021: Version 02

Marginal_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. Thus the Marginal CVA Impact and Marginal FVA Impact fields are a sub-set of Approach 1 within the XVA tab. The CVA Gross Impact and FVA Gross Impact fields will include Credit/Risk-Driver or Funding-Spread/Risk-Driver cross-gamma terms in addition to marginal terms. We expect a minimum of ten positive or negative risk-drivers and all factors such that there is 80% coverage of any reported net profit or loss; these should be the most material as judged by the mathematical modulus of the Marginal CVA Impact or Marginal FVA Impact.

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 Marginal CVA impact Float MarginalCVAimpact Yes -
3 Marginal FVA impact Float MarginalFVAimpact Yes -
4 CVA gross impact Float CVAgrossimpact Yes -
5 FVA gross impact Float FVAgrossimpact Yes -
6 Hedge impact Float Hedgeimpact Yes -