Stress Test Data Framework Dictionary 2021: Version 02

OFVI_projections

This worksheet reviews the calculation of valuation losses (both excluding and including HI) by accounting categorisation (FVOCI, FVTPL and Non-trading FVTPL), product types and by geographical regions/countries. We require additional data including notional amounts and fair values as at the effective date, as well as the main risk sensitivities such as PV01 that can be used to approximate the first order valuation losses. The valuation losses should be attributed to the main risk factors (interest rate, inflation, credit spread and FX) accordingly. When calculating the valuation losses due to FX, firms should take into account the funding for the Fair value through other comprehensive income positions. Note that this tab should be exhaustive and cover fair valued underwriting commitments. If a firm holds a fair valued asset for which some columns are not relevant or applicable but the asset is otherwise within the scope of this template, then it should include that asset but with those columns left blank. However the valuation gain or loss is mandatory. Firms should provide projections data both pre and post Population of the Business as usual management action, completion of this column is mandatory for when the Scenario equals Annual cyclical scenario but should be left blank when Scenario equals Baseline.

202101 Other_Fair_Valued_Items_Projections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Other fair valued items accounting designation String (255 long) Otherfairvalueditemsaccountingdesignation Otherfairvalueditemsaccountingdesignation Yes Yes
2 Other fair valued items level 1 String (255 long) Otherfairvalueditemslevel1 Otherfairvalueditemslevel1 Yes Yes
3 Other fair valued items level 2 String (255 long) Otherfairvalueditemslevel2 Otherfairvalueditemslevel2 Yes Yes
4 Region of security issuers String (255 long) Regionofsecurityissuers Regionofsecurityissuers Yes Yes
5 Country of security issuers String (255 long) Countryofsecurityissuers Countryofsecurityissuers - Yes
6 Scenario String (255 long) ScenarioACS Scenario Yes Yes
7 Projection period String (255 long) ProjectionperiodOFVI Projectionperiod Yes Yes
8 Business as usual management action String (255 long) BAUmanagementaction BAUmanagementaction - Yes
9 Notional amount Float Notionalamount Yes -
10 Notional amount of which HQLA eligible Float NotionalamountofwhichHQLAeligible Yes -
11 Fair value Float Fairvalue Yes -
12 Fair value of which HQLA eligible Float FairvalueofwhichHQLAeligible Yes -
13 Interest rate risk sensitivity assets 0-1Y Float Interestraterisksensitivityassets01Y Yes -
14 Interest rate risk sensitivity assets 1-5Y Float Interestraterisksensitivityassets15Y Yes -
15 Interest rate risk sensitivity assets 5-10Y Float Interestraterisksensitivityassets510Y Yes -
16 Interest rate risk sensitivity assets >10Y Float Interestraterisksensitivityassets10Y Yes -
17 Interest rate risk sensitivity assets total Float Interestraterisksensitivityassetstotal Yes -
18 Interest rate risk sensitivity hedging instruments 0-1Y Float Interestraterisksensitivityhedginginstruments01Y Yes -
19 Interest rate risk sensitivity hedging instruments 1-5Y Float Interestraterisksensitivityhedginginstruments15Y Yes -
20 Interest rate risk sensitivity hedging instruments 5-10Y Float Interestraterisksensitivityhedginginstruments510Y Yes -
21 Interest rate risk sensitivity hedging instruments >10Y Float Interestraterisksensitivityhedginginstruments10Y Yes -
22 Interest rate risk sensitivity hedging instruments total Float Interestraterisksensitivityhedginginstrumentstotal Yes -
23 Credit spread risk sensitivity assets 0-1Y Float Creditspreadrisksensitivityassets01Y Yes -
24 Credit spread risk sensitivity assets 1-5Y Float Creditspreadrisksensitivityassets15Y Yes -
25 Credit spread risk sensitivity assets 5-10Y Float Creditspreadrisksensitivityassets510Y Yes -
26 Credit spread risk sensitivity assets >10Y Float Creditspreadrisksensitivityassets10Y Yes -
27 Credit spread risk sensitivity assets total Float Creditspreadrisksensitivityassetstotal Yes -
28 Inflation risk sensitivity assets 0-1Y Float Inflationrisksensitivityassets01Y Yes -
29 Inflation risk sensitivity assets 1-5Y Float Inflationrisksensitivityassets15Y Yes -
30 Inflation risk sensitivity assets 5-10Y Float Inflationrisksensitivityassets510Y Yes -
31 Inflation risk sensitivity assets >10Y Float Inflationrisksensitivityassets10Y Yes -
32 Inflation risk sensitivity assets total Float Inflationrisksensitivityassetstotal Yes -
33 Valuation gain or loss exc hedging instruments total Float Valuationgainorlossexchedginginstrumentstotal Yes -
34 Valuation gain or loss exc hedging instruments of which stressed IR Float ValuationgainorlossexchedginginstrumentsofwhichstressedIR Yes -
35 Valuation gain or loss exc hedging instruments of which stressed CS Float ValuationgainorlossexchedginginstrumentsofwhichstressedCS Yes -
36 Valuation gain or loss exc hedging instruments of which stressed IN Float ValuationgainorlossexchedginginstrumentsofwhichstressedIN Yes -
37 Valuation gain or loss exc hedging instruments of which stressed FX Float ValuationgainorlossexchedginginstrumentsofwhichstressedFX Yes -
38 Valuation gain or loss inc hedging instruments total Float Valuationgainorlossinchedginginstrumentstotal Yes -
39 Valuation gain or loss inc hedging instruments of which stressed IR Float ValuationgainorlossinchedginginstrumentsofwhichstressedIR Yes -
40 Valuation gain or loss inc hedging instruments of which stressed CS Float ValuationgainorlossinchedginginstrumentsofwhichstressedCS Yes -
41 Valuation gain or loss inc hedging instruments of which stressed IN Float ValuationgainorlossinchedginginstrumentsofwhichstressedIN Yes -
42 Valuation gain or loss inc hedging instruments of which stressed FX Float ValuationgainorlossinchedginginstrumentsofwhichstressedFX Yes -
43 Additional information Comment (2000 long) Additionalinformation - -