Stress Test Data Framework Dictionary 2021: 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 the Annual cyclical stress scenario. The retail mortgage portfolios should be consistent across the historical and projections submissions. Projections should be provided for the Annual cyclical stress scenario 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. 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).

202101 CapitalAndOtherProjections

Order Field Name Type Enumeration Definition Range Bottom Range Top Range Scope Mandatory Unique
1 Organisational unit level 1 String (255 long) Organisationalunitlevel1 - Yes
2 Organisational unit level 2 String (255 long) Organisationalunitlevel2 - Yes
3 Organisational unit level 3 String (255 long) Organisationalunitlevel3 - Yes
4 Country of exposure String (255 long) CountryofExposure CountryofExposure Yes Yes
5 Retail secured product type String (255 long) Retailsecuredproducttype Retailsecuredproducttype Yes Yes
6 Scenario String (255 long) ScenarioACS Scenario Yes Yes
7 Projection period String (255 long) Projectionperiod Projectionperiod Yes Yes
8 Total number of outstanding loans Int Totalnumberofoutstandingloans 0.0000 Inclusive Yes -
9 New lending including remortgages Int Newlendingincludingremortgages 0.0000 Inclusive Yes -
10 New lending excluding remortgages Int Newlendingexcludingremortgages 0.0000 Inclusive Yes -
11 Number of loans greater than 3 MIA Int NumberofLoansgreaterthan3MIA 0.0000 Inclusive Yes -
12 Number of delinquent loans greater than 6 MIA Int Numberofdelinquentloansgreaterthan6MIA 0.0000 Inclusive Yes -
13 Balance of delinquent loans greater than 6 MIA Float Balanceofdelinquentloansgreaterthan6MIA - -
14 Number of new delinquent loans that became greater than 6 MIA in period Int Numberofnewdelinquentloansthatbecamegreaterthan6MIAinperiod 0.0000 Inclusive Yes -
15 Balance of new delinquent loans that became greater than 6 MIA in period Float Balanceofnewdelinquentloansthatbecamegreaterthan6MIAinperiod - -
16 Number of properties in possession Int NumberofPropertiesinPossession 0.0000 Inclusive - -
17 Balance of properties in possession Float BalanceofPropertiesInPossession - -
18 Number of repossessions in period Int Numberofrepossessionsinperiod 0.0000 Inclusive Yes -
19 Balance of new repossessions in period Float Balanceofnewrepossessionsinperiod - -
20 Number of property sales in period Int Numberofpropertysalesinperiod 0.0000 Inclusive - -
21 Total realised sale value in period Float Totalrealisedsalevalueinperiod 0.0000 Inclusive - -
22 Average recovery rate, realised sale price as % of market valuation Float Averagerecoveryraterealisedsalepriceasofmarketvaluation - -