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This Stress Test Data Framework Dictionary sets out the relevant data templates and enumerations permitted in these templates, together with definitions for both. It also describes the data quality rules and patterns for completing data templates. This HTML document contains a number of embedded links to help users navigate between sections and templates. The breadcrumb links at the top left of each section can also be used for this purpose. There are 43 templates for Stress Testing in 2021, the STDF dictionary contains 41 templates (see page 3 for a list of the templates). This includes the AssetLiabilityManagement template which is submitted outside Stress Test timeframes. There are 3 Portfolio Quality Return templates for Stress Testing not included in the STDF dictionary. Of the 43 Stress Testing templates, the following 27 templates form the core data set for 2021:

BalanceSheetProjections
CapitalAndOtherProjections
CorporateSovereignFinInstCreditRisk
CounterpartycreditriskRWA
MarketriskandCVARWA
OperationalRisk
PensionsRisk
RetailExcludingMortgageCredit
RetailMortgageCredit
StructuredFinance
StructuralHedge
MaterialMisconductCostsProjections
MaterialMisconductCostsActuals
FVORWA
UKCorporateExposures
Stressed_XVA_Projections
Stressed_PVA_Projections
Other_Fair_Valued_Items_Projections
Market_Risk_Stressed_ProfitorLoss_Projections
Counterparty_Credit_Risk_Losses_Projections
RevenuesandCostsIBD
UK_Capital_Impact_Projections
OtherCapitalProjections
Liquidity
RetailProjections
Pensioncurrencyhedge
Modelriskmanagement

The term core data refers to the data that the Bank of England requires each time a concurrent stress test is run, although core data templates may be changed between stress tests. Data that are not currently labelled as ‘core’ (i.e. supplementary) are equally as important as core data. For the 2021 SST, within all projections templates only report data for the annual cyclical scenario, baseline data is not required. Contents