Stress Test Data Framework Dictionary 2021: Version 02

Tradeable_securities

The purpose for this template is to collect granular, instrument level, breakdown of securities held under the following categories. This should include holdings of all tradable debt and equity securities held under the following FinRep categorisations: Financial assets held for trading [050] • Equity instruments [070] • Debt securities [080]; Financial assets designated at fair value through profit or loss [100] • Debt securities [120]; Non-trading financial assets mandatorily at fair value through profit or loss [096] • Equity instruments [097] • Debt securities [098]; Financial assets at fair value through other comprehensive income [141] • Equity instruments [142] • Debt securities [143]; Financial assets at amortised cost [181] • Debt securities [182]. Derivatives and loans and advances held under those FinRep categories (050, 100, 096, 141, 181) should be excluded. Values should be net positions of each security. Securities already reported in the FinancialSectorExposures template may optionally be excluded from this template. Where the same securities are reported in this template and the Financial Sector Exposures template, the Booking legal entity field should be reported consistently. The total value reported is expected to be less than or equal to the aggregate stated in the FinRep submission for the above categories for the same reporting period, as those categories include items that are not tradable. It is optional to report only holdings greater than £50 million if you wish to do so. The £50 million threshold applies to the net holding of each security. It is of course acceptable to report all securities under this threshold. Do not include securities held as collateral. Amounts should all be reported in base units. Please report both the notional value of the exposure and the market value. Short positions should be reported as negative notional and market values. 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 TradeableSecurities

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Booking legal entity String (255 long) Bookinglegalentity Yes Yes
2 FinRep classification String (255 long) FinRepclassification FinRepclassification - Yes
3 ISIN String (255 long) ISIN Yes Yes
4 Issuer name String (255 long) Issuername Yes Yes
5 Issuer SIC String (255 long) IssuerSIC Yes Yes
6 Currency of security String (255 long) Currency Currencyofsecurity Yes Yes
7 Maturity date Date (YYYYMMDD) MaturityDate Yes Yes
8 Notional value of holding Float Notionalvalueofholding Yes -
9 Market value of holding Float Marketvalueofholding Yes -