Stress Test Data Framework Dictionary 2017: Version 02

Structuredfinancepositiontype

Enumeration Definition
Cash long A purchased bond/funded position in line with Chapter 5, Article 242 (10) of the CRR.
Cash short A short sale bond position in line with Chapter 5, Article 242 (10) of the CRR.
Liquidity facility Liquidity facility means the securitisation position arising from a contractual agreement to provide funding to ensure timeliness of cash flows to investors as per Chapter 5, Article 242 (3) of the CRR.
Synthetic long A sale of synthetic protection via Credit Default Swap, Total Return Swap or similar in line with Chapter 5, Article 242 (11) of the CRR.
Synthetic short A purchase of synthetic protection via Credit Default Swap, Total Return Swap or similar in line with Chapter 5, Article 242 (11) of the CRR.