Stress Test Data Framework Dictionary 2021: Version 02

BalanceSheetHeaderNTMR

Enumeration Definition
Cash, cash balances at central banks and other demand deposits FINREP F1.1 row 010
Derivative notionals - pay This refers to the notional value of derivatives (e.g. interest rate swaps and futures) in the banking book on which the institution is obliged to pay.
Derivative notionals - receive This refers to the notional value of derivatives (e.g. interest rate swaps and futures) in the banking book on which the institution receives payment.
Derivatives assets - Hedge accounting FINREP F1.1 row 240
Derivatives assets - Non qualifying hedges Derivatives not qualifying for hedge accounting fall into the non-hedge accounting category.
Derivatives liabilities - Hedge accounting FINREP F1.2 row 150
Derivatives liabilities - Non qualifying hedges Derivatives not qualifying for hedge accounting fall into the non-hedge accounting category.
Fair value changes of the hedged items in portfolio hedge of interest rate risk - assets FINREP F1.1 row 250
Fair value changes of the hedged items in portfolio hedge of interest rate risk- liabilities FINREP F1.2 row 160
Financial assets at amortised cost FINREP F1.1 row 181
Financial assets at fair value through other comprehensive income FINREP F1.1 row 141
Financial assets designated at fair value through profit or loss FINREP F1.1 row 100
Financial assets held for trading FINREP F1.1 row 050
Financial liabilities designated at fair value through profit or loss FINREP F1.2 row 070
Financial liabilities held for trading FINREP F1.2 row 010
Financial liabilities measured at amortised cost FINREP F1.2 row 110
Non-trading financial assets mandatorily at fair value through profit or loss FINREP F1.1 row 096
Other assets All other assets captured on the FINREP balance sheet (Template Code F 01.1) that are captured in ID 260 to 370 (e.g. Property, Plant and Equipment, goodwill, tax assets, etc.). This also includes gross intra-group assets.
Other liabilities All other liabilities captured on the FINREP balance sheet (Template Code F 01.2) that are captured in ID 170-290 (e.g. Provisions, Tax liabilities, etc.). This also includes gross intra-group liabilities
TOTAL EQUITY FINREP F1.3 row 300