Stress Test Data Framework Dictionary 2021: Version 02

Investing_and_funding

The Investing and Funding tab captures information related to the deduction from capital resources arising from the Investing and Funding AVA in each of the five years, split between Trading book and Banking book classification, and further split by currency, counterparty sectors and the type of CSA (if any) in place. It also captures the risk sensitivities and funding spreads used in the AVA calculation. Related Fair Value Adjustment amounts should also be reported on this tab. The Investing and Funding AVA should be split into amounts related to market price uncertainty, close-out cost uncertainty and model risk and reported only on this tab. We request that you report zeros instead of blanks for all non mandatory fields.

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 -