Stress Test Data Framework Dictionary 2021: Version 02

BookType

Enumeration Definition
Non trading As per the PRA handbook: positions, exposures, assets and liabilities that are not in the trading book.
Trading As per the PRA handbook: (1) (in UPRU) in relation to a firms business or exposures, means: (a) its proprietary positions in financial instruments: (i) which are held for resale and/or are taken on by the firm with the intention of benefiting in the short term from actual and/or expected differences between their buying and selling prices or from other price or interest-rate variations; (ii) arising from matched principal broking;(iii) taken in order to hedge other elements of the trading book; (b) exposures due to unsettled securities transactions, free deliveries, OTC derivative instruments, repurchase agreements and securities lending transactions based on securities included in (a)(i) to (iii) above, reverse repurchase agreements and securities borrowing transactions based on securities included in (a)(i) to (iii) above; and (c) fees, commission, interest and dividends, and margin on exchange-traded derivatives which are directly related to the items included in (a) and (b) above. (2) has the meaning in CRR Article 4(86) and Part III Title I Chapter 3 (Article 102) which is in summary, all that firms positions in CRD financial instruments and commodities held either with trading intent or in order to hedge other elements of the trading book, and which are either free of any restrictive covenants on their tradability or able to be hedged. (3) has the meaning in (2) with references to a firm replaced by ones to a person.