Stress Test Data Framework Dictionary 2021: Version 02

Net_interest_income

The 'Net Interest Income' tab captures the run-off profile for the balances designated as hedges in the structural hedging programme. The portfolio yield should also be shown as at reporting date and as it evolves over the forecast period. We would expect the portfolio yield to change as existing trades mature. These measures should allow the NII attributable to hedges in place as at reporting date to be recorded over the forecast period. The template should also separately capture the estimated balances, yields and NII from any replacement or additional hedges executed over the forecast horizon.

202101 StructuralHedge

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Scenario String (255 long) ScenarioACS Scenario Yes Yes
2 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
3 Book String (255 long) NIIBook NIIBook - Yes
4 Balance sheet header String (255 long) NIIBalancesheetheader NIIBalancesheetheader Yes Yes
5 Balance sheet currency String (255 long) Balancesheetcurrency BalanceSheetCurrency Yes Yes
6 Accounting balance Float AccountingBalance Yes -
7 Portfolio yield Float PortfolioYield - -
8 Interestincome Float InterestIncome - -
9 Interestexpense Float InterestExpense - -