Stress Test Data Framework Dictionary 2021: Version 02

Maturity_profile

To capture the profile and return for structural hedging programmes and the profile of balance sheet items which are eligble for inclusion in these programmes at Year 0. This should be consistent with approach and behaviouralisation set out in the relevant policies relating to the structural hedging programme provided separately. Columns Maturity period, Balance sheet currency and Accounting balance should only be reported when Hedged balance is greater than zero. Please report values in columns Maturity period, Balance sheet currency, Accounting balance and Maturity Yield when Balance sheet header equals 'Assets and/or Receive Fixed IRS £bn' or 'Liabilities and/or Pay Fixed IRS £bn'.

202101 StructuralHedge

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Balance sheet header String (255 long) SHBalanceSheetHeader SHBalanceSheetHeader Yes Yes
2 Asset liability class header String (255 long) SHassetliabilityclassheader SHassetliabilityclassheader - Yes
3 Product type String (255 long) SHproducttype SHproducttype - Yes
4 Reference rate type String (255 long) SHReferenceRateTypes SHReferenceRateTypes - Yes
5 Maturity period String (255 long) MaturityPeriod MaturityPeriod Yes Yes
6 Balance sheet currency String (255 long) Balancesheetcurrency BalanceSheetCurrency Yes Yes
7 Accounting balance Float AccountingBalance - -
8 Hedged balance Float Hedgedbalance - -
9 Maturity yield Float Maturityyield - -