Reporting on own funds and own funds requirements


C 08.02 - Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor grades or pools (CR IRB 2 template)



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C 08.02 - Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements (breakdown by obligor grades or pools (CR IRB 2 template)


Column

Instructions

010-300

Instructions for each of these columns are the same as for the corresponding numbered columns in table CR IRB 1.



Row

Instructions

010-001 – 010-NNN

Values reported in these rows must be in ordered from the lower to the higher according to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100%. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned according to the PD of the obligor and not reported in this template..


    1. Credit and counterparty credit risks and free deliveries: Information with geographical breakdown (CR GB)


80.Institutions fulfilling the threshold set in Article 5 (a) (4) shall submit information regarding the domestic country as well as any non-domestic country. The threshold is only applicable to Table 1 and Table 2.

81.The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques can change the allocation of an exposure to a country.

82.Data regarding ‘original exposure pre conversion factors’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure amounts’ shall be reported as of the country of residence of the ultimate obligor.

      1. C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)

        1. Instructions concerning specific positions


Columns

010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Same definition as for column 010 of CR SA template



020

Exposures in default

Original exposure pre conversion factors for those exposures which have been classified as “defaulted exposures”.

This ‘memorandum item’ provides additional information about the obligor structure of the exposure class 'in default'. Exposures shall be reported where
the obligors would have been reported if those exposures were not assigned to the exposure classes 'in default'.

This information is a ‘memorandum item’ – hence does not affect the calculation of risk weighted exposure amounts of exposure class “in default” according to Article 112 point (j) of CRR.



040

Observed new defaults for the period

The amount of original exposures which have moved into exposure class “Exposures in default” during the 3-month period since the last reporting reference date shall be reported against the exposure class to which the obligor originally belonged.



050

General credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.



055

Specific credit risk adjustments

Credit risk adjustments according to Article 110 of CRR.



060

Write-offs

Write-offs include both reductions of the carrying of impaired financial assets recognised directly in profit or loss [IFRS 7.B5.(d).(i)] and reductions in the amounts of the allowance accounts charged against the impaired financial assets [IFRS 7.B5.(d).(ii)].



070

Credit risk adjustments/write-offs for observed new defaults

Sum of credit risk adjustments and write-offs for those exposures which were classified as “defaulted exposures” during the 3-month period since the last data submission.



075

Exposure value

Same definition as for column 200 of CR SA template



080

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 215 of CR SA template



090

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 220 of CR SA template





Rows

010

Central governments or central banks

Article 112 point (a) of CRR.



020

Regional governments or local authorities

Article 112 point (b) of CRR.



030

Public sector entities

Article 112 point (c) of CRR.



040

Multilateral developments banks

Article 112 point (d) of CRR.



050

International organisations

Article 112 point (e) of CRR.



060

Institutions

Article 112 point (f) of CRR.



070

Corporates

Article 112 point (g) of CRR.



075

of which: SME

Same definition as for row 011of CR SA template

080

Retail

Article 112 point (h) of CRR.



085

of which: SME

Same definition as for row 011of CR SA template

090

Secured by mortgages on immovable property

Article 112 point (i) of CRR.



095

of which: SME

Same definition as for row 011of CR SA template

100

Exposures in default

Article 112 point (j) of CRR.



110

Items associated with particularly high risk

Article 112 point (k) of CRR.



120

Covered bonds

Article 112 point (l) of CRR.

130


Claims on institutions and corporate with a short-term credit assessment

Article 112 point (n) of CRR.



140

Claims in the form of CIU

Article 112 point (o) of CRR.



150

Equity exposures

Article 112 point (p) of CRR.



160

Other exposures

Article 112 point (q) of CRR.







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