Stress Test Data Framework Dictionary 2021: Version 02

PVAportfolio

Enumeration Definition
Commodities - exotic Commodity products not included in the "Commodities - vanilla" portfolio.
Commodities - vanilla Firms may use their judgement to determine what products to include as vanilla. Likely to include commodity futures and vanilla options.
Credit - exotic Credit products not included in the "Credit - vanilla" portfolio.
Credit - vanilla Firms may use their judgement to determine what products to include as vanilla. Likely to include liquid single name CDS and liquid indices.
Emerging markets Emerging market products not reported elsewhere.
Equities - exotic Equity products not included in the "Equities - vanilla" portfolio.
Equities - vanilla Firms may use their judgement to determine what products to include as vanilla. Likely to include cash equities, equity futures and vanilla equity options.
FX - exotic FX products not included in the "FX - vanilla" portfolio.
FX - vanilla Firms may use their judgement to determine what products to include as vanilla. Likely to include FX spot, swaps, forwards and vanilla options.
Hybrid instruments Products involving more than one asset class.
Non-trading book positions accounted at fair value Assets and liabilities outside of the trading book that are recognised at fair value.
Other portfolios Products not included in any other PVAportfolio enumeration.
Rates - exotic Rates products not included in the "Rates - vanilla" portfolio.
Rates - vanilla Firms may use their judgement to determine what products to include as vanilla. Likely to include linear rates products and vanilla swaptions.
Securitised products Securitised products.