202101 Stressed_PVA_Projections
Order | Field Name | Type | Enumeration | Definition | Range Bottom | Range Top | Range Scope | Mandatory | Unique |
---|---|---|---|---|---|---|---|---|---|
1 | Book type | String (255 long) | BookType | BookType | Yes | Yes | |||
2 | Scenario | String (255 long) | ScenarioACS | Scenario | Yes | Yes | |||
3 | Projection period | String (255 long) | Projectionperiod | Projectionperiod | Yes | Yes | |||
4 | Methodology type | String (255 long) | Methodologytype | Methodologytype | Yes | Yes | |||
5 | Funding currency | String (255 long) | PVAfundingcurrency | PVAfundingcurrency | Yes | Yes | |||
6 | Counterparty credit risk sector | String (255 long) | CounterpartycreditrisksectorPVA | Counterpartycreditrisksector | Yes | Yes | |||
7 | Counterparty CSA | String (255 long) | CounterpartyCSA | CounterpartyCSA | - | Yes | |||
8 | Market price uncertainty AVA | Float | MarketpriceuncertaintyAVA | - | - | ||||
9 | Close-out cost uncertainty AVA | Float | CloseoutcostuncertaintyAVA | - | - | ||||
10 | Model risk AVA | Float | ModelriskAVA | - | - | ||||
11 | Diversifications and offsets (related to investing and funding cost AVA) | Float | DiversificationsandoffsetsrelatedtoinvestingandfundingcostAVA | - | - | ||||
12 | Related fair value adjustment - FFVA | Float | RelatedfairvalueadjustmentFFVA | - | - | ||||
13 | Related fair value adjustment - Other | Float | RelatedfairvalueadjustmentOther | - | - | ||||
14 | Funding risk sensitivity 0-1Y | Float | Fundingrisksensitivity01Y | Yes | - | ||||
15 | Funding risk sensitivity 1-5Y | Float | Fundingrisksensitivity15Y | Yes | - | ||||
16 | Funding risk sensitivity 5-10Y | Float | Fundingrisksensitivity510Y | Yes | - | ||||
17 | Funding risk sensitivity 10-30Y | Float | Fundingrisksensitivity1030Y | Yes | - | ||||
18 | Funding risk sensitivity >30Y | Float | Fundingrisksensitivity30Y | Yes | - | ||||
19 | Funding spreads used in FFVA 0-1Y | Float | FundingspreadsusedinFFVA01Y | Yes | - | ||||
20 | Funding spreads used in FFVA 1-5Y | Float | FundingspreadsusedinFFVA15Y | Yes | - | ||||
21 | Funding spreads used in FFVA 5-10Y | Float | FundingspreadsusedinFFVA510Y | Yes | - | ||||
22 | Funding spreads used in FFVA 10-30Y | Float | FundingspreadsusedinFFVA1030Y | Yes | - | ||||
23 | Funding spreads used in FFVA >30Y | Float | FundingspreadsusedinFFVA30Y | Yes | - | ||||
24 | Funding spreads used in AVA 0-1Y | Float | FundingspreadsusedinAVA01Y | Yes | - | ||||
25 | Funding spreads used in AVA 1-5Y | Float | FundingspreadsusedinAVA15Y | Yes | - | ||||
26 | Funding spreads used in AVA 5-10Y | Float | FundingspreadsusedinAVA510Y | Yes | - | ||||
27 | Funding spreads used in AVA 10-30Y | Float | FundingspreadsusedinAVA1030Y | Yes | - | ||||
28 | Funding spreads used in AVA >30Y | Float | FundingspreadsusedinAVA30Y | Yes | - | ||||
29 | Full own funding spreads as observed in market 0-1Y | Float | Fullownfundingspreadsasobservedinmarket01Y | Yes | - | ||||
30 | Full own funding spreads as observed in market 1-5Y | Float | Fullownfundingspreadsasobservedinmarket15Y | Yes | - | ||||
31 | Full own funding spreads as observed in market 5-10Y | Float | Fullownfundingspreadsasobservedinmarket510Y | Yes | - | ||||
32 | Full own funding spreads as observed in market 10-30Y | Float | Fullownfundingspreadsasobservedinmarket1030Y | Yes | - | ||||
33 | Full own funding spreads as observed in market >30Y | Float | Fullownfundingspreadsasobservedinmarket30Y | Yes | - |