Stress Test Data Framework Dictionary 2021: Version 02

Term_exposures

This is an historic actuals of the firm's exposures to other financial entities. Assets in scope are exposures that have a term of various forms and include traded bonds, including floating rate notes, medium term notes, senior unsecured bonds, secured bonds (such as covered bonds), subordinated debt, contingent convertible bonds, unsecured certificates of deposits and commercial paper, interbank money-market deposits and other non-tradable loans and deposits that have a fixed term. Assets out of scope include equity instruments, issuer risk on securities held as collateral, undrawn loans or credit facilities, letters of credit, financial guarantees, indirect issuer risk (such as via credit default swaps and credit linked notes), securitisations, and counterparty credit risk that is collateralised with variation margin (such as derivative exposures and repo). Notional value and Market value of exposure should be the value of the debt instruments, not an internal issuer risk calculation assuming any sensitivities or stresses. Short positions should be reported as negative notional values and negative market values. Instrument identifier and Instrument identifier type are required for all tradeable debt security exposure types. Within the counterparty LEI field please state these as Not available when this is the case.

202101 FinancialSectorExposures

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Booking legal entity String (255 long) Bookinglegalentity Yes Yes
2 Financial counterparty name String (255 long) Financialcounterpartyname Yes Yes
3 Counterparty LEI String (255 long) CounterpartyLEI - Yes
4 Counterparty type String (255 long) Counterpartytype Counterpartytype Yes Yes
5 Exposure type String (255 long) Exposuretypeterm Exposuretypeterm Yes Yes
6 ISIN String (255 long) ISIN Yes Yes
7 Currency of exposure String (255 long) Currency Currencyofexposure Yes Yes
8 Maturity date Date (YYYYMMDD) MaturityDate - Yes
9 Notional value of exposure Float Notionalvalueofexposure Yes -
10 Market value of exposure Float Marketvalueofexposure - -