Stress Test Data Framework Dictionary 2021: Version 02

CVA_breakdown

A decomposition of the gross CVA loss reported in the XVA tab, decomposed according to the credit-spread or ratings methodologies that have been applied internally to expand the Traded Risk scenario into credit shocks applicable to the various parts of the firm’s portfolio.

202101 Stressed_XVA_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Methodology number String (255 long) Methodologynumber Yes Yes
2 Methodology name String (255 long) Methodologyname Yes Yes
3 Geographic region String (255 long) Geographicregion Yes -
4 Industrial sector String (255 long) Industrialsector Yes -
5 Credit rating String (255 long) Creditrating Yes -
6 Counterparty specifics String (255 long) Counterpartyspecifics Yes -
7 Gain or loss from credit spreads Float Gainorlossfromcreditspreads Yes -
8 Gain or loss total Float Gainorlosstotal Yes -