Reporting on own funds and own funds requirements


C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)



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C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)

  1. Instructions concerning specific positions


Columns




010

ORIGINAL EXPOSURE PRE CONVERSION FACTORS

Same definition as for column 020 of CR IRB template



030

Of which defaulted

Original exposure value for those exposures which have been classified as “defaulted exposures” according to CRR article 178.



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 110of 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.



080

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

Same definition as for column 010 of CR IRB template



090

EXPOSURE WEIGHTED AVERAGE LGD (%)

Same definition as for column 230 of CR IRB template. Provisions laid down in Article 181 (1) point h) of CRR shall apply.

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


100

Of which: defaulted

Exposure weighted LGD for those exposures which have been classified as “defaulted exposures” according to Article 178 of CRR.



105

Exposure value

Same definition as for column 110 of CR IRB template.



110

RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTOR

Same definition as for column 255 of CR IRB template



120

Of which defaulted

Risk weighted exposure amount for those exposures which have been classified as “defaulted exposures” according to Article 178 of CRR.



125

RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR

Same definition as for column 260 of CR IRB template



130

EXPECTED LOSS AMOUNT

Same definition as for column 280 of CR IRB template





Rows




010

Central banks and central governments

(Article 147 (2) (a) CRR)



020

Institutions

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



030

Corporates

(All corporates according to article 147 (2) point (c).)



040

Of which: Specialized lending

(Article 147 (8) a CRR)

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


050

Of which: SME

(Article 147 (2) point (c) CRR)



060

Retail

All Retail exposures according to Article 147 (2) point (d)



070

Retail – Secured by real estate property

Exposures reflecting Article 147 (2) point (d) CRR which are secured by real estate.



080

SME

Retail exposures reflecting Article 147 (2) point (d) in conjunction with Article 153 (3) CRR which are secured by real estate.



090

non-SME

Retail exposures reflecting Article 147 (2) point (d) CRR which are secured by real estate.



100

Retail – Qualifying revolving

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



110

Other Retail

Other retail exposures according to Article 147 (2) point (d) not reported in rows 070 - 100.



120

SME

Other retail exposures reflecting Article 147 (2) point (d) in conjunction with Article 153 (3) CRR.



130

non-SME

Other retail exposures reflecting Article 147 (2) point (d) CRR.



140

Equity

Equity exposures reflecting Article 147 (2) point (e) CRR.







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