Reporting on own funds and own funds requirements


Credit and counterparty credit risks and free deliveries: IRB Approach to Own funds Requirements (CR IRB)



Download 1.36 Mb.
Page12/29
Date31.05.2016
Size1.36 Mb.
1   ...   8   9   10   11   12   13   14   15   ...   29

Credit and counterparty credit risks and free deliveries: IRB Approach to Own funds Requirements (CR IRB)

  1. Scope of the CR IRB template


75.The scope of the CR IRB template covers own funds requirements for:

  1. Credit risk in the banking book, among which:

    • Counterparty credit risk in the banking book;

    • Dilution risk for purchased receivables;

  1. Counterparty credit risk in the trading book;

  2. Free deliveries resulting from all business activities..

76.The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated according to Articles 151 to 157 Part Three Title II Chapter 3 CRR (IRB approach).

77.The CR IRB template does not cover the following data:



  1. Equity exposures, which are reported in the CR EQU IRB template;

  2. Securitisation positions, which are reported in the CR SEC SA, CR SEC IRB and/or CR SEC Details templates;

  3. “Other non-obligation assets”, according to Article 147 (2) point (g) CRR. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, according to Article 156 CRR. The risk weighted exposure amounts for this exposure class are reported directly in the CA-Template;

  4. Credit valuation adjustment risk, which is reported on the CVA Risk template;

The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown is reported in the template CR GB.

78.In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors the following information shall be provided for each reported exposure class:

"NO" = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

"YES" = in case own estimates of LGD and credit conversion factors are used (Advanced IRB)

In any case, for the reporting of the retail portfolios "YES" has to be reported.

In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as uses supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.


      1. Breakdown of the CR IRB template


79.The CR IRB consists of two templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate total risk exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools. The templates CR IRB 1 and CR IRB 2 shall be reported separately for the following exposure and sub-exposure classes:

1) Total


(The Total template must be reported for the Foundation IRB and, separately for the Advanced IRB approach.)

2) Central banks and central governments

(Article 147 (2) (a) CRR)

3) Institutions

(Article 147 (2) point (b) CRR)

4.1) Corporate – SME

(Article 147 (2) point (c) CRR

4.1)* Corporate - SME subject to SME-supporting factor

(Article 147 (2) point (c) CRR in conjunction with Article 501 (2))

4.2) Corporate – Specialised lending

(Article 147 (8) CRR)

4.3) Corporate – Other

(All corporates according to article 147 (2) point (c), not reported under 4.1 and 4.2).

5.1) Retail – Secured by immovable property SME

(Exposures reflecting Article 147 (2) point (d) in conjunction with Article 154 (3) CRR which are secured byimmovable property).

5.1)* Retail - Secured by immovable property SME subject to SME-supporting factor

(Exposures reflecting Article 147 (2) point (d) in conjunction with Article 154 (3) CRR which are secured by immovable property).

5.2) Retail – Secured by immovable property non-SME

(Exposures reflecting Article 147 (2) point (d) CRR which are secured by immovable property and not reported under 5.1).

5.3) Retail – Qualifying revolving

(Article 147 (2) point (d) in conjunction with Article 154 (4) CRR).

5.4) Retail – Other SME

(Article 147 (2) point (d) not reported under 5.1 and 5.3).

5.4)* Retail – Other SME subject to SME supporting factor

(Article 147 (2) point (d) in conjunction with Article 501 (2) CRR not reported under 5.1 and 5.3).


    1. Retail – Other non – SME

(Article 147 (2) point (d) CRR which were not reported under 5.2 and 5.3).
For the sub-exposure classes 4.1)*, 5.1)* and 5.4)* only row 010 (Total exposures) shall be reported. They represent “of which” positions of the relevant exposure classes with the effect that data relating to these sub-exposure classes shall also be included in the exposure classes 4.1, 5.1 and 5.4.
      1. C 08.01 - Credit and counterparty credit risks and free deliveries: IRB Approach to Own funds Requirements (CR IRB 1)

        1. Instructions concerning specific positions


Columns

Instructions

010

INTERNAL RATING SYSTEM/ PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)

The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD.

For each individual grade or pool the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale is used.

Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

Institutions shall contact their competent authority in advance, if they want to report a different number of grades in comparison with the internal number of grades.

For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for “total exposure”). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %.


020

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Institutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors.

The original exposure value shall be reported in accordance with Article 24 of CRR and Article 166 (1) and (2) and (4) to (7) of CRR.

The effect resulting from Article 166 (3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure.




030

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the original exposure pre conversion factor for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.



040 – 080

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”.




040 – 050

UNFUNDED CREDIT PROTECTION

Unfunded credit protection: Values as they are defined in Article 4 (59) of CRR.

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


040

GUARANTEES:

If the CRM effect of the guarantee is calculated by recognition of the substitution effect, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.

Regarding exposures subject to the double default treatment, the value of unfunded credit protection is reported in Column 220.

When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided.

When Own estimates of LGD are used: Article 183 of CRR, except paragraph 3. The nominal amount of the guarantees shall be reported.

Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150.




050

CREDIT DERIVATIVES:

When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided.

When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160

Regarding exposures subject to the double default treatment the value of unfunded credit protection is reported in Column 220.



060

OTHER FUNDED CREDIT PROTECTION

When own estimates of LGD are not used: Article 232 of CRR

When own estimates of LGD are used: those credit risk mitigants that comply with the criteria in Article 212 of the CRR.

To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170



070-080

SUBSTITUTION OF THE EXPOSURE DUE TO CRM

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

Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered.

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



090

EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS

Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.



100, 120

Of which: Off Balance Sheet Items

See CR-SA instructions



110

EXPOSURE VALUE

The value in accordance with Article 166 of CRR and Article 230 (1) sentence 2 of CRR are reported.

For the instruments as defined in Annex I, the credit conversion factors (Article 166 (8) to (10) of CRR) irrespective the approach chosen by the institution, are applied.

For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 ‘Of which: arising from counterparty credit risk’.



130

Of which: Arising from counterparty Credit Risk

See CR SA instructions.



140

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the exposure value for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.



150-210

CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT

CRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns.

Where own estimates of LGD are not used: Articles 228 (2), 230 (1) and (2), 231 of the CRR

Where own estimates of LGD are used:

- Regarding unfunded credit protection, for exposures to central government and central banks, institutions and corporates: Article 161 paragraph 3 of the CRR. For retail exposures Article 164 paragraph 2 of the CRR.

- Regarding funded credit protection collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of the CRR.



150

GUARANTEES

See instructions to column 040.



160

CREDIT DERIVATIVES

See instructions to column 050.



170

OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION

The relevant value used in the internal modelling of the institution.

Those credit risk mitigants that comply with the criteria in Article 212 of the CRR.


180

ELIGIBLE FINANCIAL COLLATERAL

For trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragaph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral.

When own estimates of LGD are not used: values in accordance with Article 193 (1) to (4) and Article 194 (1) of CRR. The adjusted value (Cvam) as set out in Article 223 (2) of CRR is reported.

When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral.




190-210

OTHER ELIGIBLE COLLATERAL

Where own estimates of LGD are not used: Article 199 (1) to (8) of CRR and Article 229 of CRR .

Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181 (1) points (e) and (f) of CRR.


190

REAL ESTATE

Where own estimates of LGD are not used, values in accordance with Article 199 (2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199 (7) of CRR). See also Article 229 of CRR.

When own estimates of LGD are used the amount to be reported shall be the estimated market value.


200

OTHER PHYSICAL COLLATERAL

Where own estimates of LGD are not used, values in accordance with Article 199 (6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199 (7) of CRR). See also Article 229 (3) of CRR.

Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral.


210

RECEIVABLES

When own estimates of LGD are not used, values in accordance with Articles 199 (5), 229 (2) of CRR are reported.

When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.


220

SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION

Guarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 ‘Guarantees’ and 050 ‘Credit derivatives’.




230

EXPOSURE WEIGHTED AVERAGE LGD (%)

All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161 (4) of CRR.

For defaulted exposures, provisions laid down in Article 181 (1) point (h) of CRR shall be considered.

The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages.

All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting).

For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* according to Article 228 (2) CRR.

The exposure weighted average LGD associated to each PD “obligor grade or pool” shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110.

If own estimates of LGD are applied Article 175 and Article 181 (1) and (2) of CRR shall be considered.

In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161 (4) of CRR.

The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority.

Data shall not be reported for specialized lending exposures referred to in article 153 (5).

Exposure and the respective LGD´s for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240.



240

EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Exposure weighted average LGD (%) for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.



250

EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)

The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is reported in days.

This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this column shall not be filled in for the exposure class “retail”.


255

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153 (1) and (3) of CRR. For Retail see Article 154 (1) of CRR.

The SME-supporting factor according to Article 501 of CRR shall not be taken into account.


260

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

For Central governments and Central Banks, Corporate and Institutions see Article 153 (1) and (3) of CRR. For Retail see Article 154 (1) of CRR.

The SME-supporting factor according to Article 501 of CRR shall be taken into account.


270

OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES

Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142 (4) and (5) CRR subject to the higher correlation according to Article 153 (2) CRR.



280

EXPECTED LOSS AMOUNT

For the definition of Expected Loss see Article 5 (3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority.



290

(-) VALUE ADJUSTMENTS AND PROVISIONS

Value Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata - according to the expected loss of the different obligor grades.



300

NUMBER OF OBLIGORS

Articles 172 (1) and (2) of CRR.

For all exposure classes except retail, the institution shall report the number of legal entities /obligors which were separately rated, regardless of the number of different loans or exposures granted.

Within the exposure class retail the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172 (2) of CRR applies, an obligor may be considered in more than one grade.

As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).

The number of obligors shall be calculated based on groups of connected clients according to Article 4 (39) CRR.





Rows

Instructions

010

TOTAL EXPOSURES

020-060

BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:

020

On balance sheet items 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, 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 (91) of CRR and default fund exposures according to Article 4 (89) of CRR shall be included if not reported in row 030.


030

Off balance sheet items 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 (91) 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.



040-060

Exposures / Transactions subject to counterparty credit risk

040

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 and (ii) margin lending transactions as defined in Article 272 (3) of CRR.

Securities Financing Transactions, which are included in a Cross Product Netting and therefore reported in row 060, shall not be reported in this row.


050

Derivatives and Long Settlement Transactions

Derivatives comprise those contracts listed in Annex II of CRR. Derivatives and Long Settlement Transactions which are included in a Cross Product Netting and therefore reported in row 060 shall not be reported in this row.



060

From Contractual Cross Product Netting

See CR SA instructions



070

EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL

For exposures to corporates, institutions and Central governments and Central Banks see Article 142 (1) point (6) and Article 170 (1) point c) of CRR.

For retail exposures see Article 170 (3) point b) of CRR. For Exposures arising from purchased receivables see Article 166 (6) of CRR.

Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 180.

Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

A master scale is not used. Instead, institutions shall determine the scale to be used themselves.



080

SPECIALIZED LENDING SLOTTING CRITERIA: TOTAL

Article 153 (5) of CRR. This only applies to the corporates, institutions and central governments and central banks exposure classes.



090 - 150

BREAKDOWN BY RISK WEIGHTS OF TOTAL EXPOSURES UNDER SPECIALIZED LENDING SLOTTING CRITERIA:

120

Of which: In category 1

Article 153 (5) table 1 of CRR.



160

ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE

Articles 193 (1) and (2), 194 (1) to (7) and 230 (3) of CRR.



170

EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100% AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS

Exposures arising from free deliveries for which the alternative treatment referred to in Article 379 (2) first subparagraph, last sentence of CRR is used or for which a 100% risk weight is applied according to a Article 379 (2) last subparagraph of CRR. Unrated nth to default credit derivatives under Article 153 (8) of CRR and any other exposure subject to risk weights not included in any other row shall be reported in this row.



180

DILUTION RISK: TOTAL PURCHASED RECEIVABLES

See Article 4 (53) of CRR for a definition of dilution risk. For calculation of risk weight for dilution risk see Article 157 (1) of CRR.

According to Article 166 (6) of CRR the exposure value of purchased receivables shall be the outstanding amount minus the risk weighted exposure amounts for dilution risk prior to credit risk mitigation.







      1. Share with your friends:
1   ...   8   9   10   11   12   13   14   15   ...   29




The database is protected by copyright ©essaydocs.org 2020
send message

    Main page