EBA欧洲银行-Annex-II_14页_265kb

报告摘要

Summary of Supervisory Benchmarking Portfolios

Core Content

The document outlines the definitions and classifications for Supervisory Benchmarking Portfolios as part of the European Banking Authority (EBA) regulatory framework. These portfolios are used to benchmark credit risk exposures across different types of counterparties and are categorized into Low Default Portfolios (LDP), High Default Portfolios (HDP), and Hypothetical Transactions within the LDP context.

Main Points

1. Low Default Portfolio Counterparties (C 101)

Counterparty code: Unique identifier assigned by the EBA.
Legal entity identifier (LEI): A 20-digit alphanumeric code for global identification of entities.
Credit register code: Identifier from the National Credit register.
Commercial register code: Identifier from the public commercial register.
ISIN code: Used to identify securities issued by the counterparty.
Bloomberg ticker: Unique identifier in Bloomberg for the entity.
Name: Full legal name of the counterparty.
Geographical area: ISO Code for the country or macro region of residence.
- Macro regions: EU, Non-EU, Not applicable.
Portfolio name: Assigned to groups of counterparties.
- Portfolio names: Sovereign, Institutions, Large corporate.
Sector of counterparty: Based on FINREP economic sector classes.
- Sectors: General Governments, Credit institutions, Other financial corporations, Non-financial corporations, Not applicable.
Type of facility: Classifies the nature of the credit facility.
- Full risk (100%), Medium risk, Medium-low risk, Low risk, Drawn credit facility, Not applicable.

2. Low Default Portfolios (C 102)

Portfolio ID: Unique ID assigned by the EBA.
Portfolio name: One of the following:
- Sovereign, Institutions, Large corporate, Large corporate sample.
Geographical area: Same as above, using ISO codes.
Exposure class: Based on Annex 2 of Commission Implementing Regulation (EU) No 680/2014.
- Classes: Corporate - SME, Corporate - Specialised lending, Corporate - Other, Retail - Secured by real estate SME, Retail - Secured by real estate non-SME, Retail - Qualifying revolving, Retail - Other SME, Retail - Other non-SME, Not applicable.
Type of risk: Classifies the type of risk involved.
- Counterparty credit risk, Credit risk and free deliveries, Credit risk, Counterparty credit risk and free deliveries.
Default status: Indicates whether the counterparty has defaulted or not.
- Defaulted: Exposures with PD of 100%.
- Non-defaulted: Exposures with PD less than 100%.
Rating: Internal rating grade from lowest to highest risk (excluding defaults).
- Ratings: Rating 1 to Rating 30 or Not applicable.
Collateralisation status: Indicates the presence or absence of credit protection.
- Funded credit protection, Unfunded credit protection, No credit protection, Not applicable.
NACE code: Used for classifying economic activities.
- One-level detail for Non-financial corporations, two-level detail for Other financial corporations.
Sector of counterparty: Same as in C 101.
Size of counterparty: Based on annual sales.
- Categories: >EUR 200 million, Not applicable.
Collateral type: Specifies the type of eligible collateral.
- Eligible financial collateral, Receivables, Real estate, Physical collateral, etc.
Type of exposure: On-balance sheet or off-balance sheet.
Size of exposure: Expressed in terms of Exposure at Default (EAD).
- Categories: <= EUR 0.5 million, >EUR 0.5 million <= EUR 1 million, etc.

3. High Default Portfolios (C 103)

Portfolio ID: Unique ID assigned by the EBA.
Portfolio name: Detailed subcategories based on default status and collateral.
- Examples: CORP Defaulted, SMEC Defaulted, SMER Defaulted, Mortgages Defaulted, etc.
Geographical area: Same as in C 101 and C 102, using ISO codes.
Exposure class: Same as in C 102.
Type of risk: Same as in C 102.
Default status: Same as in C 102.
Rating: Same as in C 102.
Type of facility: Same as in C 101.
Collateralisation status: Same as in C 102.
NACE code: Same as in C 102.
Sector of counterparty: Expanded to include Households.
Size of counterparty: Based on annual sales.
- Categories: <= EUR 50 million, >EUR 50 million <= EUR 200 million, Not applicable.
Collateral type: Expanded to include Real estate collateral and other unfunded CRM.
Type of exposure: Same as in C 102.
Size of exposure: Same as in C 102.
Indexed loan-to-value (ILTV) range: Defines the ratio of the loan to the property's value.
- Categories: <=25%, >25% <=50%, >50% <=75%, >75% <=100%, >100% <=125%, >125%, Not applicable.
ILTV calculation: Requires prudent and conservative valuation of the property, using property price indices and appraisals.

4. Hypothetical Transactions in Low Default Portfolios (C 104)

Transaction ID: Unique ID assigned by the EBA.
Transaction name: Name assigned by the EBA.
Type of facility: Same as in C 101.
Facility: Synthetic description of the hypothetical transaction.
Geographical area: Same as in C 101 and C 102.
Portfolio name: Same as in C 102.
Portfolio ID: Same as in C 102.
Exposure class: Same as in C 102.
Type of exposure: Same as in C 102.
Rating: Same as in C 102.
Collateralisation status: Same as in C 102.
Collateral type: Same as in C 102.
Collateral: Description of the collateral.
Collateral value: Market value of the collateral.
Size of counterparty: Same as in C 102.

Key Information

The EBA assigns unique IDs and names to all portfolios and counterparties.
Counterparties are classified by sector, geographical area, and size.
Exposure types are divided into on-balance sheet and off-balance sheet.
Default status is based on PD (Probability of Default) values.
Collateralisation and ILTV are critical for assessing credit risk in high default portfolios.
NACE codes are used to classify economic activities for counterparties.
Rating systems are internal and range from Rating 1 to Rating 30.
Hypothetical transactions are used to simulate risk scenarios within LDPs.
All data must be reported in accordance with Commission Implementing Regulation (EU) No 680/2014.