Stress Test Data Framework Dictionary 2017: Version 02

Mortgage_arrears_repo_and_sales

This worksheet captures the volume of outstanding loans, new lending, arrears (Loans greater than 3MIA, 6MIA), repossessions and sales over time for all scenarios. The retail mortgage portfolios should be consistent across the historical and projections submissions. Projections should be provided for all scenarios and years for either the number or the balance (whichever is projected by the firm). The data collected is intended to enhance understanding of the retail impairment charge forecasted by the firm in the Risk measures by portfolio tab under all scenarios. The ‘in-period’ used for some of the data items in this tab refers to the time window (yearly) within which the firm is producing the projections. Please aggregate to match the current yearly dimension in case the forecast data is available at a more granular level (e.g. quarterly).

201702 CapitalAndOtherProjections

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 secured product type Retailsecuredproducttype A classification scheme for retail mortgage products. Products falling within each product type will have similar risk characteristics.
6 Scenario Scenario Identifies the scenario.
7 Projection period Projectionperiod The period to which the associated projections relate.
8 Total number of outstanding loans The total number of retail mortgage loans with an amount to be repaid.
9 New lending including remortgages Number of mortgages advanced during the period (i.e. gross approvals) including re-mortgaging.
10 New lending excluding remortgages Number of mortgages advanced during the period (i.e. gross approvals) excluding re-mortgaging.
11 Number of loans greater than 3 MIA Total number of loans greater than 3 months in arrears.
12 Number of delinquent loans greater than 6 MIA The total number of loans greater than six months in arrears.
13 Balance of delinquent loans greater than 6 MIA The balance of loans greater than 6 months in arrears.
14 Number of new delinquent loans that became greater than 6 MIA in period The number of loans that became greater than six months in arrears in the stated period.
15 Balance of new delinquent loans that became greater than 6 MIA in period Irrespective of how loans are classified as ‘delinquent’ by individual firms, this number is intended to capture the balance of loans that became greater than 6 months in arrears in the stated period.
16 Number of properties in possession A count of the number of properties that are in possession as of the end of the period under consideration (stock).
17 Balance of properties in possession The balance of the properties that are in possession as of the end of the period under consideration (stock).
18 Number of repossessions in period A count of the number of retail mortgage exposures that have been repossessed during a particular period
19 Balance of new repossessions in period The value of the flow of new repossessions in the period.
20 Number of property sales in period A count of the number of properties sold in the period under consideration.
21 Total realised sale value in period Actual sale price of the property gross of costs i.e. what was paid by the purchaser within period.
22 Average recovery rate, realised sale price as % of market valuation The average recovery rate calculated as the realised the total sale price as a percentage of market valuation of the properties sold during the period.