Stress Test Data Framework Dictionary 2021: Version 02

ALM_interest_rates

This worksheet captures the projected yield curves across the two scenarios for the material currencies used in constructing the forecast NII shown in the ALM Balance Sheet worksheet (above). These yield curves will have been derived by firms from a variety of sources including the scenario specifications provided by the PRA. Yield curve projections are required for the term of the two scenarios and for all material currencies. The product pricing in the ALM Balance Sheet worksheet should be consistent with the yield curves provided.

202101 BalanceSheetProjections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 LIBOR swap curve String (255 long) LIBORswapcurve LIBORSwapCurve Yes Yes
2 Scenario String (255 long) ScenarioACS Scenario Yes Yes
3 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
4 Term String (255 long) Term Term Yes Yes
5 Swap rate Float SwapRate Yes -