Stress Test Data Framework Dictionary 2021: Version 02

Aggregate_data

This tab collects Counterparty Credit Risk exposure data at a firm’s overall portfolio level and also broken down by “Bucket” as defined in the Template Guidance.

202101 Counterparty_Credit_Risk_Losses_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Aggregation bucket String (255 long) Aggregationbucket Aggregationbucket Yes Yes
2 Traded risk data classification String (255 long) Tradedriskdataclassification Tradedriskdataclassification Yes Yes
3 UCE for collateralised derivative netting sets Float UCEforcollateralisedderivativenettingsets 0.0000 Inclusive - -
4 UCE for uncollateralised derivative netting sets Float UCEforuncollateralisedderivativenettingsets 0.0000 Inclusive - -
5 Total UCE for derivative netting sets Float TotalUCEforderivativenettingsets 0.0000 Inclusive - -
6 CCE for SFT netting sets Float CCEforSFTnettingsets 0.0000 Inclusive - -
7 CCE for collateralised derivative netting sets Float CCEforcollateralisedderivativenettingsets 0.0000 Inclusive - -
8 CCE for uncollateralised derivative netting sets Float CCEforuncollateralisedderivativenettingsets 0.0000 Inclusive - -
9 Total CCE Float TotalCCE 0.0000 Inclusive - -
10 Accounting CVA (pre-hedge) Float AccountingCVAprehedge 0.0000 Inclusive - -
11 Accounting CVA (post-hedge) Float AccountingCVAposthedge 0.0000 Inclusive - -
12 CCP default fund contribution Float CCPdefaultfundcontribution 0.0000 Inclusive - -
13 Collateral data level 1 String (255 long) Collateraldatalevel1 Collateraldatalevel1 Yes Yes
14 SFT assets posted Float SFTassetsposted 0.0000 Inclusive - -
15 Derivative collateral posted Float Derivativecollateralposted 0.0000 Inclusive - -
16 SFT assets received Float SFTassetsreceived 0.0000 Inclusive - -
17 Derivative collateral received Float Derivativecollateralreceived 0.0000 Inclusive - -
18 Initial margin requirement posted Float Initialmarginrequirementposted 0.0000 Inclusive - -
19 Initial margin requirement received Float Initialmarginrequirementreceived 0.0000 Inclusive - -