Stress Test Data Framework Dictionary 2021: Version 02

Counterparty_exposure_data

Firms are required to populate the “Counterparty Exposure Data” tab with the top 50 counterparties in each region defined in the Traded Risk scenario methodology document. Data is to be provided for the top 50 individual counterparties (at a counterparty group level) ranked by stressed collateralised current exposures.

202101 Counterparty_Credit_Risk_Losses_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Counterparty legal entity name String (255 long) Counterpartylegalentityname - Yes
2 Counterparty legal entity identifier String (255 long) Counterpartylegalentityidentifier - Yes
3 Geographic region String (255 long) Counterpartycreditrisklossesgeographicregion - -
4 Country of legal entity String (255 long) CountryofExposure Countryoflegalentity - -
5 Counterparty credit risk sector String (255 long) Counterpartycreditrisksector Counterpartycreditrisksector - -
6 Traded risk data classification String (255 long) Tradedriskdataclassification Tradedriskdataclassification Yes Yes
7 External credit rating Standard and Poor's String (255 long) ExternalcreditratingStandardandPoors - -
8 External credit rating Fitch String (255 long) ExternalcreditratingFitch - -
9 External credit rating Moody's String (255 long) ExternalcreditratingMoodys - -
10 External credit rating DBRS String (255 long) ExternalcreditratingDBRS - -
11 PD Float PD 0.0000 1.0000 Inclusive - -
12 LGD Float LGD 0.0000 1.0000 Inclusive - -
13 UCE for collateralised derivative netting sets Float UCEforcollateralisedderivativenettingsets 0.0000 Inclusive - -
14 UCE for uncollateralised derivative netting sets Float UCEforuncollateralisedderivativenettingsets 0.0000 Inclusive - -
15 Total UCE for derivative netting sets Float TotalUCEforderivativenettingsets 0.0000 Inclusive - -
16 CCE for SFT netting sets Float CCEforSFTnettingsets 0.0000 Inclusive - -
17 CCE for collateralised derivative netting sets Float CCEforcollateralisedderivativenettingsets 0.0000 Inclusive - -
18 CCE for uncollateralised derivative netting sets Float CCEforuncollateralisedderivativenettingsets 0.0000 Inclusive - -
19 Total CCE Float TotalCCE 0.0000 Inclusive - -
20 Classification of counterparty under stress scenario String (255 long) Classificationofcounterpartyunderstressscenario Classificationofcounterpartyunderstressscenario - -
21 Accounting CVA (pre-hedge) Float AccountingCVAprehedge 0.0000 Inclusive - -
22 Accounting CVA (post-hedge) Float AccountingCVAposthedge 0.0000 Inclusive - -
23 CCP default fund contribution Float CCPdefaultfundcontribution 0.0000 Inclusive - -
24 Peak PFE Float PeakPFE 0.0000 Inclusive - -
25 Peak PFE tenor point Float PeakPFEtenorpoint 0.0000 Inclusive - -
26 Default loss under stress Float Defaultlossunderstress 0.0000 Inclusive - -
27 Net default loss Float Netdefaultloss - -
28 Collateral data level 1 String (255 long) Collateraldatalevel1 Collateraldatalevel1 Yes Yes
29 SFT assets posted Float SFTassetsposted 0.0000 Inclusive - -
30 Derivative collateral posted Float Derivativecollateralposted 0.0000 Inclusive - -
31 Total collateral/assets posted Float Totalcollateralassetsposted 0.0000 Inclusive - -
32 SFT assets received Float SFTassetsreceived 0.0000 Inclusive - -
33 Derivative collateral received Float Derivativecollateralreceived 0.0000 Inclusive - -
34 Total collateral/assets received Float Totalcollateralassetsreceived 0.0000 Inclusive - -
35 Initial margin requirement posted Float Initialmarginrequirementposted 0.0000 Inclusive - -
36 Initial margin requirement received Float Initialmarginrequirementreceived 0.0000 Inclusive - -