Stress Test Data Framework Dictionary 2017: Version 02

Vintage_analysis

This worksheet captures the pattern of total and drawn balances in arrears for each vintage of different mortgage product types. Thus, for each total drawn balance (i.e. ‘Total’ selected in the ‘Arrears band mixed’ column) of a portfolio entry with a specific product type and vintage, there should be a corresponding row for each of the other arrears bands specified in the Arrears Band Mixed column - i.e. the other arrears bands are not optional unless the corresponding drawn balance is zero. The Mixed Arrears Bands are not intended to be mutually exclusive. The sub product type dimension is optional for this data.

201702 RetailMortgageCredit

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 asset class RetailSecuredAssetClass A defined grouping of retail secured assets typically of similar characteristics. An asset is any property, right, entitlement or interest.
6 Retail secured product type Retailsecuredproducttype A classification scheme for retail mortgage products. Products falling within each product type will have similar risk characteristics.
7 Sub product type Subproducttype A sub classification of retail mortgage product risk characteristics.
8 Vintage Vintage The year in which a loan was first originated. For overdrafts, this would be when the overdraft facility was granted or if data is not available when the associated current account was opened.
9 Arrears band mixed Arrearsbandmixed A grouping of retail mortgage accounts that represent all accounts in arrears, or only those accounts that exceed a lower bound for months in arrears or percentage in arrears.
10 Drawn balance Amount of a loan drawn by a borrower on a specified date. Balances should be reconcilable to the statutory accounts and regulatory returns. Loan balances should be entered net of write-offs and gross of Provisions. Balances should be gross of any off-set balances, i.e. the actual outstanding principal amount owed. This measure has to be consistent with the amount that can be calculated from the COREP templates CR IRB 1 and CR SA. In particular: a) For IRB Exposures: the amount should be reconcilable with the difference between EXPOSURE VALUE and EXPOSURE VALUE - OF WHICH: OFF BALANCE SHEET ITEMS ({c110} - {c120}).b) For standardised exposures, this amount should be reconcilable with the difference between FULLY ADJUSTED EXPOSURE VALUE (E*) and OFF BALANCE SHEET ITEMS ({c150} - {c160} - {c170} - {c180} - {c190}).