Stress Test Data Framework Dictionary 2021: Version 02

Exposure_sensitivities

The overall purpose of this tab is for firms to provide key risk factor sensitivity data. This information is meant to explain the key risk factors that drive the exposures, and provide an estimate of their impact on the exposures. It will also help explain the sensitivity to the counterparty exposures from a change in underlying risk factors. Firms are required to provide sensitivity data for their top 50 counterparties in each region.

202101 Counterparty_Credit_Risk_Losses_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Counterparty legal entity name String (255 long) Counterpartylegalentityname Yes -
2 Counterparty legal entity identifier String (255 long) Counterpartylegalentityidentifier - -
3 Geographic region String (255 long) Counterpartycreditrisklossesgeographicregion Yes -
4 Counterparty risk asset class String (255 long) Counterpartyriskassetclass Counterpartyriskassetclass Yes -
5 Risk metric String (255 long) Riskmetric Yes -
6 Risk factor reference or FX pair String (255 long) RiskfactorreferenceorFXpair Yes -
7 Risk factor currency String (255 long) Currency Riskfactorcurrency Yes -
8 Sensitivity type String (255 long) Sensitivitytype Sensitivitytype Yes -
9 Sensitivity unit of measurement Float Sensitivityunitofmeasurement Yes -
10 Sensitivity value (gross of collateral) Float Sensitivityvaluegrossofcollateral Yes -
11 Shock type for uncollaterised netting sets String (255 long) Sensitivitytype Shocktypeforuncollaterisednettingsets Yes -
12 Shock unit for uncollaterised netting sets String (255 long) Shockunitfornettingsets Shockunitforuncollaterisednettingsets Yes -
13 Shock size for uncollaterised netting sets Float Shocksizeforuncollaterisednettingsets Yes -
14 Shock type for collaterised netting sets String (255 long) Sensitivitytype Shocktypeforcollaterisednettingsets Yes -
15 Shock unit for collaterised netting sets String (255 long) Shockunitfornettingsets Shockunitforcollaterisednettingsets Yes -
16 Shock size for collaterised netting sets Float Shocksizeforcollaterisednettingsets Yes -
17 Value of change in CCE attributed to risk factor under stress Float ValueofchangeinCCEattributedtoriskfactorunderstress Yes -