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 |
Historical period month |
Historicalperiodmonth |
A time series of dates/months for which a historical set of data is to be provided. |
8 |
Historical period year |
Historicalperiodyear |
A time series of dates/years for which a historical set of data is to be provided. |
9 |
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}). |
10 |
Undrawn balance |
|
The difference between the committed limit on a loan and the drawn balance. |
11 |
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. |
12 |
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. |
13 |
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. |
14 |
Balance charged off |
|
Total amount of loan charged off during the specified month, where relevant, e.g. early recognition of future expected losses through the partial write-down of mortgage exposures. |
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 |
Balance weighted average indexed LTV |
|
The average LTV for a given set of loans, weighted by each loan’s drawn balance. |
21 |
Provision on balances in possession |
|
The total provision for properties in possession. |
22 |
Number of repossessions in period |
|
A count of the number of retail mortgage exposures that have been repossessed during a particular period |
23 |
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. |