Stress Test Data Framework Dictionary 2017: Version 02

ALM_interest_rates

This worksheet captures the projected yield curves across each scenario for the material currencies used in constructing the forecast NII shown in the ALM Balance Sheet worksheet (above). These yield curves will have been derived by firms from a variety of sources including the scenario specifications provided by the PRA. Yield curve projections are required for the term of each scenario and for all material currencies. The product pricing in the ALM Balance Sheet worksheet should be consistent with the yield curves provided. Firms should include additional information where appropriate to demonstrate consistency.

201702 BalanceSheetProjections

Order Field Name Enumeration Definition
1 LIBOR swap curve LIBORswapcurve The LIBOR-based currency swap curve for which the interest rate projections are provided.
2 Scenario Scenario Identifies the scenario.
3 Projection period Projectionperiod The period to which the associated projections relate.
4 Term Term Term/tenor of the interest rate on the yield curve. Note that terms 2m, 4m, 5m, 7m, 8m, 10m and 11m are optional, the rest of the yield curve is mandatory.
5 Swap rate Fixed rate on the swap paying a 3M floating rate (specified in the 'LIBOR swap curve' data item).