Stress Test Data Framework Dictionary 2017: Version 02

ALM_metrics

This worksheet captures projected financial ratios and metrics (see ALM Metrics) which reflect the financial performance of the firm over each scenario. The worksheet also captures the FX rates used in translating currency balance sheets into reporting currency. The information, ratios and metrics should be materially consistent with the information provided in the ALM Balance Sheet worksheet. For example the FX rates, liquidity metrics and CDS spreads should be consistent with the projected balance sheet values and funding costs reported in the ALM Balance Sheet worksheet. Firms should include additional information where appropriate to demonstrate consistency.

201702 BalanceSheetProjections

Order Field Name Enumeration Definition
1 Metric Metric A liquidity, structural / funding or other metric used for asset liability management or liquidity purposes.
2 Currency Currency_SF The currency in which the balances are held. The scope of currencies to be reported is firm specific and needs to be agreed as part of the scoping discussions.
3 Scenario Scenario Identifies the scenario.
4 Projection period Projectionperiod The period to which the associated projections relate.
5 Metric value The value of a specified ALM metric for a specified currency.