Asset terms

  1. Contractual terms – from borrower type, rate, term and fees to LTV.
  2. Prepayment assumptions together with proposed Early Redemption Charge (ERC) structure.
  3. Default expectations – whether on the Standardised or IRB approach.
  4. Pipeline details to capture the “hidden” capital and liquidity costs of committed mortgage offers.

Funding structure

  1. Debt funding – sources, stickiness and rates.
  2. Equity funding – Target Tier 1 capital ratio, Return on Capital (RoC) and Pillar 2 add-on. These values are used to calculate the capital needed to support both the mortgage asset and the liquidity portfolio.

Liquidity portfolio

  1. Asset allocation and yields within the liquidity pool.

Target LCR

  1. Target LCR – whether an absolute percentage or as a margin over the regulatory minimum.