Stress Test Data Framework Dictionary 2021: Version 02

Concentrated_position

The Concentrated Position tab captures information related to the deduction from capital resources arising from the Concentrated Positions AVA in each of the five years, split between Trading book and Banking book classification and further split by product portfolio. Related Fair Value Adjustment amounts should also be reported 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 Portfolio String (255 long) PVAportfolio PVAportfolio Yes Yes
3 Scenario String (255 long) ScenarioACS Scenario Yes Yes
4 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
5 Methodology type String (255 long) Methodologytype Methodologytype Yes Yes
6 Product name String (255 long) Productname - Yes
7 Underlying reference String (255 long) Underlyingreference - Yes
8 Concentrated positions AVA Float ConcentratedpositionsAVA - -
9 Relevant exposure measure String (255 long) Relevantexposuremeasure Yes -
10 Exposure amount Float Exposureamount - -
11 Estimated daily trading volume/risk amount Float Estimateddailytradingvolumeriskamount - -
12 Estimated exit horizon Float Estimatedexithorizon - -
13 Related fair value adjustment - Liquidity Float RelatedfairvalueadjustmentLiquidity - -
14 Related fair value adjustment - Other Float RelatedfairvalueadjustmentOther - -
15 Fair value assets Float Fairvalueassets - -
16 Fair value liabilities Float Fairvalueliabilities - -
17 Gross notional Float Grossnotional - -