Stress Test Data Framework Dictionary 2017: Version 02

Trended_collective_provisions

This worksheet captures how various measures have trended over a historical period at a portfolio level. Collective provisions measures have been split out from the remaining ‘trended other’ measures. This is to allow firms to populate collective provisions at a higher level of aggregation in comparison to the other measures. The portfolio sub element ‘security’ is an optional field that is used to identify any secured portfolios (excluding Mortgages) backed using collateral, e.g. asset finance. Refer to guidance on forbearance and impairment provisions when populating the data for restructured accounts. This guidance is relevant to retail excluding mortgage products as well - http://www.fsa.gov.uk/pages/Library/Policy/final_guides/2011/fg11_15.shtml. All measures should be populated as positive numbers where it exists. Any negative adjustments should be identified separately as a reconciling item in the reconciliations template.

201702 RetailExcludingMortgageCredit

Order Field Name Enumeration Definition
1 Organisational unit level 1 Please enter the highest logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies).
2 Organisational unit level 2 Please enter the second logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies).
3 Organisational unit level 3 Please enter the third (if applicable) logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies).
4 Country of exposure CountryofExposure The country of residence of the obligor on an ultimate risk basis. The definition should be consistent with that used for the purposes of the 'geographical breakdown of exposures by residence of the obligor' in COREP (C 09.01 and C 09.02). When the exposure is to an international corporate body and therefore cannot be attributed to a specific country, the SUPRA continental enumerations should be used. Continental totals provided should only be used in projections templates when no specific country can be identified, they should not be used in actuals templates.
5 Retail unsecured asset class Retailunsecuredassetclass A defined grouping of retail unsecured assets typically of similar characteristics. An asset is any property, right, entitlement or interest.
6 Retail unsecured product type Retailunsecuredproducttype A classification scheme for unsecured retail products. Products falling within each product type will have similar risk characteristics.
7 Security Security The collateral the loan is backed by, e.g. asset finance.
8 Historical period month Historicalperiodmonth A time series of dates/months for which a historical set of data is to be provided.
9 Historical period year Historicalperiodyear A time series of dates/years for which a historical set of data is to be provided.
10 Specific allowances for collectively assessed financial assets Applies to retail actuals templates only. This should be equal to FINREP (section 4.4) ‘Specific allowances for collectively assessed financial assets’ [IAS 39 AG 84-92; Annex V.Part 2.37].
11 Collective allowances for incurred but not reported losses Applies to retail actuals only. This should be equal to FINREP (section 4.4) ‘collective allowances for incurred but not reported losses’ [IAS 39 AG 84-92; Annex V.Part 2.38].