Stress Test Data Framework Dictionary 2021: Version 02

ALM_metrics

This worksheet captures projected financial ratios and metrics which reflect the financial performance of the firm over the two scenarios. 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.

202101 BalanceSheetProjections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Metric String (255 long) Metric Metric Yes Yes
2 Currency String (255 long) CurrencySF Currency - Yes
3 Scenario String (255 long) ScenarioACS Scenario Yes Yes
4 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
5 Metric value String (255 long) Metricvalue Yes -