Reporting on own funds and own funds requirements


Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR



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Clarifications on the scope of some specific exposure classes referred to in Article 112 of CRR

  1. Exposure Class “Institutions”


69.Reporting of intra-group exposures according to Article 113 (6) to (7) of CRR shall be done as follows:

70.Exposures which fulfil the requirements of Article 113 (7) of CRR shall be reported in the respective exposure classes where they would be reported if they were no intra-group exposures.

71.According Article 113 (6) and (7) of CRR “an institution may, subject to the prior approval of the competent authorities, decide not to apply the requirements of paragraph 1 of this Article to the exposures of that institution to a counterparty which is its parent undertaking, its subsidiary, a subsidiary of its parent undertaking or an undertaking linked by a relationship within the meaning of Article 12(1) of Directive 83/349/EEC.” This means that intra-group counterparties are not necessarily institutions but also undertakings which are assigned to other exposure classes, e.g. ancillary services undertakings or undertakings within the meaning of Article 12 (1) of Directive 83/349/EEC. Therefore intra-group exposures shall be reported in the corresponding exposure class.

        1. Exposure Class “Covered Bonds”


72.The assignment of SA exposures to the exposure class “covered bonds” shall be done as follows:

73.Bonds as defined in Article 52 (4) of Directive 2009/65/EC shall fulfil the requirements of Article 129 (1) to (2) of CRR to be classified in the exposure class “Covered Bonds”. The fulfilment of those requirements has to be checked in each case. Nevertheless, bonds according to Article 52 (4) of Directive 2009/65/EC and issued before 31 December 2007, are also assigned to the exposure class “Covered Bonds” because of Article 129 (6) of CRR.


        1. Exposure class “Collective Investment Undertakings”


74.Where the possibility according to Article 132 (5) of CRR is used, exposures in the form of CIUs shall be reported as on balance sheet items according to Article 111 (1) sentence 1 of CRR.

      1. Instructions concerning specific positions


Columns

010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques with the following qualifications stemming from Article 111 (2) of CRR:

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR or subject to Article 92 (3) point (f) of CRR, the original exposure shall correspond to the Exposure Value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 of CRR.

Exposure values for leases are subject to Article 134 (7) of CRR.


In case of on-balance sheet netting laid down in Article 219 of CRR the exposure values shall be reported according to the received cash collateral.
In the case of master netting agreements covering repurchase transactions and / or securities or commodities lending or borrowing transactions and/ or other capital market driven transactions subject to part 3 title II chapter 6 of CRR, the effect of Funded Credit Protection in the form of master netting agreements as under Article 220 (4) of CRR shall be included in column 010. Therefore, in the case of master netting agreements covering repurchase transactions subject to the provisions in part 3 title II chapter 6 of CRR, E* as calculated under Articles 220 and 221 of CRR shall be reported in column 010 of the CR SA template.

020

OF WHICH: ARISING FROM DEFAULT FUND CONTRIBUTIONS

Article 307 and 310 of CRR



030

(-) Value adjustments and provision associated with the original exposure

Article 24 and 110 of CRR


Value adjustments and provisions for credit losses made in accordance with the accounting framework to which the reporting entity is subject. to Article 24 and 110 of CRR.

040

Exposure net of value adjustments and provisions

Sum of columns 010 and 030.



050 - 100

CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE

Credit risk mitigation techniques as defined in Article 4 (57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in Substitution of the exposure due to CRM.

If collateral has an effect on the exposure value (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value.
Items to be reported here:


  • collateral, incorporated according to Financial Collateral Simple Method;

  • eligible unfunded credit protection.

Please also see instructions of point 4.1.1.



050 - 060

Unfunded credit protection: adjusted values (Ga)

Article 235 of CRR

Article 239 (3) of CRR defines the adjusted value Ga of an unfunded credit protection.


050

Guarantees

  • Article 203 of CRR

  • Unfunded Credit Protection as defined in Article 4 (59) of CRR different from Credit Derivatives.

060

Credit derivatives

Article 204 of CRR.



070 – 080


Funded credit protection

These columns refer to funded credit protection according to Article 4 (58) of CRR and Articles 196, 197 and 200 of CRR. The amounts shall not include master netting agreements (already included in Original Exposure pre conversion factors).


Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR shall be treated as cash collateral.

070

Financial collateral: simple method

Article 222 (1) to (2) of CRR.




080

Other funded credit protection

Article 232 of CRR.




090 - 100

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

Articles 222 (3), Article 235 (1) to (2) and Article 236 of CRR.


Outflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and subsequently assigned to the protection provider's exposure class. This amount shall be considered as an Inflow into the protection provider's exposure class.

Inflows and outflows within the same exposure classes shall also be reported.

Exposures stemming from possible in- and outflows from and to other templates shall be taken into account.


110

NET EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Amount of the exposure net of value adjustments after taking into account outflows and inflows due to CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE



120 - 140

CREDIT RISK MITIGATION TECHNIQUES AFFECTING THE EXPOSURE AMOUNT. FUNDED CREDIT PROTECTION, FINANCIAL COLLATERAL COMPREHENSIVE METHOD

Articles 223, 224, 225, 226, 227 and 228 of CRR. It also includes credit linked notes (Article 218 of CRR)


Credit Linked Notes and on-balance sheet netting positions resulting from eligible on-balance sheet netting agreements according to Articles 218 and 219 of CRR are treated as cash collateral.
The effect of the collateralization of the Financial Collateral Comprehensive Method applied to an exposure, which is secured by eligible financial collateral, is calculated according to Articles 223, 224, 225, 226, 227 and 228 of CRR.

120

Volatility adjustment to the exposure

Article 223 (2) to (3) of CRR.

The amount to be reported is given by the impact of the volatility adjustment to the exposure (Eva-E) = E*He


130

(-) Financial collateral adjusted value (Cvam)

Article 239 (2) of CRR.


For trading book operations includes financial collateral and commodities eligible for trading book exposures according to Article 299 (2) points (c) to (f) of CCR.

The amount to be reported corresponds to Cvam= C*(1-Hc-Hfx)*(t-t*)/(T-t*). For a definition of C, Hc, Hfx, t, T and t* see part 3 title II chapter 4 section 4 and 5 of CRR.



140

Of which: Volatility and maturity adjustments

Article 223 (1) of CRR and Article 239 (2) of CRR.

The amount to be reported is the joint impact of volatility and maturity adjustments (Cvam-C) = C*[(1-Hc-Hfx)*(t-t*)/(T-t*)-1], where the impact of volatility adjustment is (Cva-C) = C*[(1-Hc-Hfx)-1] and the impact of maturity adjustments is (Cvam-Cva)= C*(1-Hc-Hfx)*[(t-t*)/(T-t*)-1]


150

Fully adjusted exposure value (E*)

Article 220 (4), Article 223 (2) to (5) and Article 228 (1) of CRR.



160 - 190

Breakdown of the fully adjusted exposure of off-balance sheet items by conversion factors

Article 111 (1) and Article 4 (56) of CRR. See also Article 222 (3) and Article 228 (1) of CRR.



200

Exposure value

Part 3 title II chapter 4 section 4 of CRR.

Exposure value after taking into account value adjustments, all credit risk mitigants and credit conversion factors that is to be assigned to risk weights according to Article 113 and part 3 title II chapter 2 section 2 of CRR.


210

Of which: Arising from Counterparty Credit Risk

For Derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to part 3 title II chapter 6 of CRR, the exposure value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 2, 3, 4, 5 of CRR.



215

Risk weighted exposure amount pre SME-supporting factor

Article 113 (1) to (5) of CRR without taking into account the SME-supporting factor according to Article 500 of CRR.



220

Risk weighted exposure amount after SME-supporting factor

Article 113 (1) to (5) of CRR taking into account the SME-supporting factor according to Article 500 of CRR.



230

Of which: with a credit assessment by a nominated ECAI

240

Of which: with a credit assessment derived from central government





rows

Instructions

010

Total exposures

020

of which: SME

Row 011 only has to be reported for the Total and the exposure classes retail, corporate and secured by mortgages on immovable property

All exposures to SME shall be reported here.


030

of which: SME subject to the SME-supporting factor

Row 012 only has to be reported for the Total and the exposure classes retail, corporate and secured by mortgages on immovable property.

Only exposures to SME which meet the requirements of Article 500 CRR shall be reported here.


040

of which: Secured by mortgages on immovable property - Residential property

Article 125 of CRR.

Only reported in exposure class 'Secured by mortgages on immovable property'


050

of which: Exposures under the permanent partial use of the standardised approach

Exposures treated under Article 150(1) of the CRR



060

of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation

Exposures treated under Article 148(1) of the CRR



–070 - 130

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES

Reporting institution´s “banking book” positions shall be broken-down, following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.

Reporting institution´s “trading book” counterparty credit risk positions according to Article 92 (3) point (f) and Article 299 (2) of CRR are assigned to the exposures subject to counterparty credit risk. Institutions that apply Article 89 (1) of CRR also break down their “trading book” positions following the criteria provided below, into on-balance sheet exposures subject to credit risk, off-balance sheet exposures subject to credit risk and exposures subject to counterparty credit risk.


070

On balance sheet exposures subject to credit risk

Assets referred to in Article 24 of CRR not included in any other category.

Exposures, which are on-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040,060 and 080, therefore, not reported in this row.

Free deliveries according to Article 379 (1) of CRR (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.

Exposures arising from assets posted to a CCP according to Article 4 (90) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if not reported in row 030.


080

Off balance sheet exposures subject to credit risk

Off-balance sheet positions comprise those items listed in Annex I of CRR.

Exposures, which are off-balance sheet items and which are included as Securities Financing Transactions, Derivatives & Long Settlement Transactions or from Contractual Cross Product Netting shall be reported in rows 040, 060 and, therefore, not reported in this row.

Exposures arising from assets posted to a CCP according to Article 4 (90) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if they are considered as off-balance sheet items.



090

Securities Financing Transactions

Securities Financing Transactions (SFT), as defined in paragraph 17 of the Basle Committee document "The Application of Basel II to Trading Activities and the Treatment of Double Default Effects", includes: (i) Repurchase and reverse repurchase agreements defined in Article 4 (82) of CRR as well as securities or commodities lending and borrowing transactions a; (ii) margin lending transactions as defined in Article 272 (3) of CRR.



100

Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4 (88) in conjunction with Article 301 (2) of CRR.

Trade exposures to a CCP according to Article 4 (91) of CRR


110

Derivatives and Long Settlement Transactions

Derivatives comprise those contract listed in Annex II of CRR.

Long Settlement Transactions as defined in Article 272 (2) of CRR.

Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 080, shall not be reported in this row.



120

Of which: centrally cleared through a QCCP

Article 306 of CRR for qualifying CCPs according to Articles 4 (88) in conjunction with Article 301 (2) of CRR

Trade exposures to a CCP according to Article 4 (91) of CRR


130

From Contractual Cross Product Netting

Exposures that due to the existence of a contractual cross product netting (as defined in Article 272 (11) of CRR cannot be assigned to either Derivatives& Long Settlement Transactions or Securities Financing Transactions) shall be included in this row.



140-280

BREAKDOWN OF EXPOSURES BY RISK WEIGHTS


140

0 %


150

2%

Article 306 (1) of CRR



160

4%

Article 305 (3) of CRR



170

10 %


180

20 %


190

35 %


200

50 %


210

70%

Article 232 (3) point (c) of CRR.



220

75 %


230

100 %


240

150 %


250

250%

Article 133 (2) of CRR



260

370%

Article 471 of CRR



270

1250%

Article 133 (2) of CRR



280

Other risk weights

This row is not available for exposure classes Government, Corporates, Institutions and Retail.


For reporting those exposures not subject to the risk weights listed in the template.

Article 113 (1) to (5) of CRR.


Unrated nth to default credit derivatives under the Standardized Approach (Article 134 (6) of CRR) shall be reported in this row under the exposure class "Other items".

See also Article 124 (2) and Article 152 (2) point (b) of CRR.




–290-320

Memorandum Items
See also the explanation of the purpose of the memorandum items in the general section of the CR SA.

290


Exposures secured by mortgages on commercial immovable property

Article 112 point (i) of CRR

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by commercial immovable property according to Article 124 and 126 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by commercial real estate.


300

Exposures in default subject to a risk weight of 100%

Article 112 point (j) of CRR.

Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.


310

Exposures secured by mortgages on residential property

Article 112 point (i) of CRR.

This is a memorandum item only. Independent from the calculation of risk exposure amounts of exposures secured by mortgages on r property according to Article 124 and 125 of CRR the exposures shall be broken down and reported in this row based on the criteria whether the exposures are secured by real estate property.


320

Exposures in default subject to a risk weight of 150%

Article 112 point (j) of CRR.

Exposures included in the exposure class “exposures in default” which shall be included in this exposure class if they were not in default.






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