Stress Test Data Framework Dictionary 2021: Version 02

202101 FinancialSectorExposures

The Financial Sector Exposures template is designed to capture the firm’s exposures to other financial entities to analyse contagion in event of a stress. This request seeks comprehensive coverage of financial institutions, so firms should aim to report all exposures to companies that fall under SIC section K, including pension funds, insurance companies and asset managers, excluding the following: Central counterparties, Government guaranteed exposures, Sovereigns or development banks, entities outside the financial sector. Legal Entity Identifiers (LEIs) should be supplied for each counterparty where available. Exposures should not 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, such as through derivatives, securities financing transactions and repo, claims on, or deposits held at central counterparties, government guaranteed exposures, exposures to sovereigns or development banks. All values should be reported in local currency. Please use exposures as at the trading book stress date for all trading book exposures, and the banking book stress date for all banking book exposures when completing this template.

202101 FinancialSectorExposures [Actuals]

Order TableName Header Offset First Line Of Data
01 Comments 3 4
02 Term_exposures 3 4
03 Demand_exposures 3 4