Stress Test Data Framework Dictionary 2021: Version 02

Non_traded_market_risk

This worksheet captures actual information on the firm’s duration, basis and currency risks in a behavioural re-pricing profile for all on- and off-balance sheet banking book exposures. On-balance sheet assets and liabilities should be recorded as per accounting balance definition  and shown in the appropriate time bucket according to their “behavioural” re-pricing date. The re-pricing period is the time to the next re-pricing point. For example a 5 year fixed rate product which is 3 years old as at the reporting date should be reported re-pricing at 2 years, or less allowing for amortisation and / or prepayment optionality. The re-pricing profile for non-maturity items such as Total Equity (term replaced in template) or non-interest bearing current accounts should be shown according to the board approved behavioural convention for these products. The worksheet should also capture derivatives used to hedge banking book positions. Derivatives are recorded in the off balance sheet section at their notional value and shown in the time bucket according to their contractual maturity. Separate rows have been provided to enable reporting of the fixed and floating legs of the derivatives. Derivatives can be reported at an aggregate level providing this accurately represents the re-pricing profile. Firms should ensure the information in this worksheet meets PRA reconciliation requirements including reconciliation to relevant group accounts (annual, interim or quarterly reporting) and is consistent with other PRA reporting.

202101 AssetLiabilityManagement

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Organisational unit level 1 String (255 long) Organisationalunitlevel1 Yes Yes
2 Organisational unit level 2 String (255 long) Organisationalunitlevel2 Yes Yes
3 Organisational unit level 3 String (255 long) Organisationalunitlevel3 - Yes
4 Balance sheet currency String (255 long) Balancesheetcurrency BalanceSheetCurrency Yes Yes
5 Balance sheet header String (255 long) BalanceSheetHeaderNTMR BalanceSheetHeaderALM Yes Yes
6 Reference rate type String (255 long) ReferenceRateTypesNTMR ReferenceRateType - Yes
7 ALM reference rate String (255 long) ReferenceRatesNTMR Referencerate - Yes
8 Balance sheet item String (255 long) BalanceSheetItemNTMR BalanceSheetItemNTMR - Yes
9 ALM interest rate sensitivity String (255 long) ALMinterestratesensitivity ALMinterestratesensitivity - Yes
10 Repricing period String (255 long) RePricingPeriod RepricingPeriod Yes Yes
11 Behaviouralised balance Float BehaviouralisedBalance - - - Yes -