Stress Test Data Framework Dictionary 2017: Version 02

Trended_other

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 (except undrawn balance) 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 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}).
11 Undrawn balance The difference between the committed limit on a loan and the drawn balance.
12 Individual provisions fraud As per FINREP (section 4.4) ‘Specific allowances for individually assessed financial assets’ [IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36] that pertain to fraud.
13 Individual provisions non fraud As per FINREP (section 4.4) ‘Specific allowances for individually assessed financial assets’ [IAS 39 AG 84-92; IFRS 7.37(b); Annex V.Part 2.36] that do not pertain to fraud.
14 Impairment charge Amount of impairment taken in the time period specified. This should be the impairment charge recorded in the firms' P&L. In the 'Risk Measures by Portfolio' projections submission for retail/wholesale credit risk, this refers to the forecasted P&L impairment charge under Baseline and Annual cyclical scenario and / or Exploratory scenario (as relevant). Impairment charge is typically expressed as a positive number (i.e. a loss is represented by a positive figure). For year 0 in the Structured_finance projections tab, please report the stock position, in every other subsequent projection period please report the flow during that year.
15 Loss at write off Balance written off net of recoveries for the period. This is the amount written off mortgage / loan balances in the quarter (and off provisions charged to the income and expenditure account) and is to be on a basis consistent with amounts shown in the firm's published accounts as 'written off' within the analysis of changes in loss provision usually appearing as notes to the accounts.
16 Restructured accounts balance up to date The portion of drawn balance that is not in arrears, possession, or recoveries, for all restructured accounts. Restructured accounts include all forms of restructuring used in delinquency or to avoid delinquency, e.g. reduced/zero payment concessions, temporary transfer to interest-only, arrears capitalisations, etc.
17 Restructured accounts balance in arrears The portion of drawn balance that is in arrears, possession, or recoveries, for all restructured accounts. Restructured accounts include all forms of restructuring used in delinquency or to avoid delinquency, e.g. reduced/zero payment concessions, temporary transfer to interest-only, arrears capitalisations, etc.
18 Restructured accounts provision on balances up to date Provisions held against balances up to date for restructured accounts.
19 Restructured accounts provision on balances in arrears Provisions held against balances in arrears for restructured accounts.
20 Provision on balances in recovery The total provision for accounts in recoveries.
21 New business average PD regulatory Average probability of default for new business originated in a given period. This is the same as the application scoring PD. It should be IRB for IRB portfolios and whatever else that the firm uses for non-IRB. If there is no score or a PD for non-IRB then the measure can be left blank. For overdrafts, new business is when the overdraft facility is first granted or if data is not available when the associated current account is opened.