Stress Test Data Framework Dictionary 2021: Version 02

ALM_balance_sheet

This worksheet captures the projected group consolidated balance sheet and net interest income (NII) by product and customer rate. The data are used to analyse the NII transition (e.g. Year 0 to Year 1 NII transition in the stress scenario) based on the evolution of the balance sheet, customer rates (total and new business) including the impacts from derivatives. Year 0 balance sheet information is particularly important as it is used as an indexation or starting point to examine the transition of products pricing, balances and net interest income (e.g. Y0 product rate changed by 3% in Y1 of the stress scenario). Firms should ensure that Year 0 gross new volume and new customer rate information reflects the latest pricing for these products, e.g.: 2 Yr. fixed rate mortgage or savings deposit rate as at the year-end (Year 0). In addition firms should check the weighted average customer and new customer rates for all years, starting at Year 0, are sensible and correctly reflect product pricing, e.g. check weighted rates for 2 Year Fixed Rate Mortgages, Fixed Rate Mortgages, and Mortgages correctly reflect the expected rate path. Negative interest returns on assets should be reported as interest expense, and negative returns on liabilities as interest income.

202101 BalanceSheetProjections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Organisational unit level 1 String (255 long) Organisationalunitlevel1 - Yes
2 Organisational unit level 2 String (255 long) Organisationalunitlevel2 - 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) BalanceSheetHeaderALM BalanceSheetHeaderALM Yes Yes
6 ALM asset liability class header String (255 long) ALMassetliabilityclassheader ALMassetliabilityclassheader - Yes
7 ALM asset liability class String (255 long) ALMassetliabilityclass ALMassetliabilityclass - Yes
8 ALM product type String (255 long) ALMproducttype ALMproducttype - Yes
9 Reference rate type String (255 long) ReferenceRateTypesALMBSEVS ReferenceRateType - Yes
10 ALM reference rate String (255 long) ALMreferencerate ALMreferencerate - Yes
11 ALM LTV band String (255 long) ALMLTVband ALMLTVband - Yes
12 ALM interest rate offer period String (255 long) ALMinterestrateofferperiod ALMinterestrateofferperiod - Yes
13 ALM interest rate sensitivity String (255 long) ALMinterestratesensitivity ALMinterestratesensitivity - Yes
14 Scenario String (255 long) ScenarioACS Scenario Yes Yes
15 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
16 Accounting balance Float AccountingBalance - - - Yes -
17 Gross new volume Float GrossNewVolume - - - - -
18 New customer rate Float NewCustomerRate - -
19 Total customer rate Float TotalCustomerRate - -
20 Average balance Float AverageBalance - - - Yes -
21 Interest income Float InterestIncome - - - - -
22 Interest expense Float InterestExpense - - - - -