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ALM_balance_sheet
This worksheet captures the projected consolidated group balance sheet with product balances, interest rates and interest income and expense shown at a product level.
Net interest income (NII) is evaluated by examining evolution of balance sheets, customer rates (total and new business) including the impacts from derivatives used to hedge NII. All on- and off- balance sheet items contributing to NII should be included. Interest income or expense should be consistent with the average balance and total interest rate.
GBP, USD, EUR, HKD, SGD and CNY currency items should be reported separately. Non material currency balances may be aggregated into the other (OTH) category. Balance sheets should evolve on a consistent basis reflecting the maturing business and new volumes. Firms should provide additional information to explain discrepancies where currency translation impacts reporting currency balance sheets or NII. The accounting balance sheet information reported in this worksheet should reflect the year-end book or accounting values. Firms should ensure the information in this worksheet meets PRA reconciliation requirements including balance sheet and interest income and expense. The mortgage LTV band requirements should be populated using the up-to-date indexed LTV information for current portfolios and should be held constant over the scenario. If firms expect material LTV changes as a result of changing economic conditions under the scenario this should be reported in additional information. Derivative reporting should capture the NII associated with derivatives used to hedge banking book positions and show the notional values of the fixed and floating legs separately and by material currency. Derivatives can be reported at an aggregate level providing this accurately represents their NII impact. The fair value of derivatives should be reported on-balance sheet as a non-interest bearing item. Interest income or expense for accounting purposes may include items other than interest calculated based on the interest rate or coupon of the underlying instrument. These items may include fees, premiums, discounts, or other cash flows considered part of the effective interest rate. Firms should ensure no double counting of income between STDF data feeds reporting NII and fees or other income.
Order |
Field Name |
Enumeration |
Definition |
1 |
Organisational unit level 1 |
|
Please enter the highest logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies). |
2 |
Organisational unit level 2 |
|
Please enter the second logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies). |
3 |
Organisational unit level 3 |
|
Please enter the third (if applicable) logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies). |
4 |
Balance sheet currency |
Balancesheetcurrency |
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. |
5 |
BalanceSheetHeader_ALM |
A high-level category for capturing aggregated information on balance sheet, off-balance sheet and other items. |
6 |
ALMassetliabilityclassheader |
A mid-level category for capturing aggregated information on balance sheet, off-balance sheet and other items. |
7 |
ALM asset liability class |
ALMassetliabilityclass |
A low-level category for capturing aggregated information on balance sheet, off-balance sheet and other items. |
8 |
ALM product type |
ALMproducttype |
A classification of products used for ALM balance sheet purposes. |
9 |
Reference rate type |
ReferenceRateTypes_ALMBS_EVS |
A category of reference rate used to price balance sheet and off-balance sheet items. |
10 |
ALM reference rate |
ALMreferencerate |
A sub-category of reference rate type which specifies the reference rate used to price balance sheet and off-balance sheet items. |
11 |
ALM LTV band |
ALMLTVband |
A loan-to-value band. The value reported should be based on the indexed loan-to-value at the reporting date. New business should be based on LTV at origination. As a simplifying assumption the LTV band for legacy products should then be assumed to remain constant until maturity. |
12 |
ALM interest rate offer period |
ALMinterestrateofferperiod |
The period for which the interest rate of the product was contractually fixed at origination. |
13 |
ALM interest rate sensitivity |
ALMinterestratesensitivity |
The sensitivity of the pricing of deposits to changes in external interest rates. |
14 |
Scenario |
Scenario |
Identifies the scenario. |
15 |
Projection period |
Projectionperiod |
The period to which the associated projections relate. |
16 |
Accounting balance |
|
The amount of a balance sheet item as defined by statutory accounting standards as of end of the period under consideration. e.g. the carrying amount of an asset as per IAS 36 or fair value of revenue as per IAS 18. |
17 |
Gross new volume |
|
Gross volume of new business written between period ends. Rolling and switching balances should be reported gross. |
18 |
New customer rate |
|
Balance weighted average rate on gross new volumes. |
19 |
Total customer rate |
|
The average rate paid/received over the reporting period. It can be derived by calculating the total interest generated over the period divided by the average balance. For simplicity it is assumed that the year 0 average balance equals the year 0 closing balance. |
20 |
Average balance |
|
The average volume of the item over the time interval of interest calculation. |
21 |
Interest income |
|
As per FINREP tab 2.0 row ID 010. |
22 |
Interest expense |
|
As per FINREP tab 2.0 row ID 90. |