Stress Test Data Framework Dictionary 2017: Version 02

Counterpartycreditrisktype

Enumeration Definition
Bilateral securities financing transaction For the avoidance of doubt, securities financing transactions are considered to be: repurchase transactions, securities or commodities lending or borrowing transactions; margin lending transactions.
CCP default fund contribution Include if CCP default funds are included in CCR capital requirements.
CCP facing derivative Include initial margin posted.
CCP facing securities financing transaction
Collateralised bilateral derivative
Contractual cross product netting agreement Contractual cross product netting agreement means a bilateral contractual agreement between an institution and a counterparty which creates a single legal obligation (based on netting of covered transactions) covering all bilateral master agreements and transactions belonging to different product categories that are included within the agreement; include collateralised products across exposure types.
Long settlement transactions Long settlement transactions means transactions where a counterparty undertakes to deliver a security, a commodity, or a foreign exchange amount against cash, other financial instruments, or commodities, or vice versa, at a settlement or delivery date specified by contract that is later than the market standard for this particular type of transaction or five business days after the date on which the institution enters into the transaction, whichever is earlier.
Uncollateralised bilateral derivative Include collateralised derivatives with legally unenforceable collateral agreements.