Stress Test Data Framework Dictionary 2021: Version 02

Otherfairvalueditemslevel2

Enumeration Definition
Agency debt securities including securitisation Debt securities issued by government sponsored entities or other related bodies.
All other assets Include all other assets with the scope of the template that are not included in any of the asset types.
Chapter 5 securitised positions and covered bonds Per definition of Chapter 5 of the CRR.
Financial institutions debt securities Debt securities issued by financial institutions such as Banks, Insurance companies or Asset managers etc.
Funds Exchange traded funds or fund of funds.
Non-financial corporate debt securities Debt securities issued by non-financial corporates such as telecom companies, commodity companies or utility companies etc.
Other debt securities (ex. structured finance) Include all other assets with the scope of the template that are not included in any of the sub groups in debt securities.
Other equity securities Include all other assets with the scope of the template that are not included in any of the sub groups in equity securities.
Other loans Loans that are not syndicated loans.
Private single name equity Single name equity security that is not publicly listed.
Public listed single name equity Single name equity security that is publicly listed.
Regional/local authority debt securities Debt securities issued by regional governments or local authorities.
Sovereign debt securities (denominated in issuer country's domestic currency) Debt securities issued by government in the same currency as the issuer’s domestic currency.
Sovereign debt securities (not denominated in issuer country's domestic currency) Debt securities issued by government but not in the same currency as the issuer’s domestic currency.
Supranational debt securities Debt securities issued by supranational organisations or unions.
Syndicated loans Loans offered by a group of lenders, referred to as a syndicate, that work together to provide funds for a single borrower.