EBA欧洲银行-Annex-II-28Final-Draft-RTS-and-ITS-on-Benchmarking-Exercise29_14页_406kb

Summary of Supervisory Benchmarking Portfolios

Core Content

The document outlines the definitions and classifications of Supervisory Benchmarking Portfolios (SBP) under the European Banking Authority (EBA) guidelines. It includes four sections: C 101 (Low Default Portfolio Counterparties), C 102 (Low Default Portfolios), C 103 (High Default Portfolios), and C 104 (Hypothetical Transactions in Low Default Portfolios). These sections provide detailed instructions and classifications for identifying and categorizing counterparties and exposures in the context of regulatory benchmarking.

Main Points

1. C 101 - Definition of Low Default Portfolio Counterparties

• Purpose: Defines legal entities included in the Low Default Portfolio (LDP) sample.
• Key Data Elements:
  • Counterparty code: Unique code assigned by the EBA for each legal entity.
  • LEI (Legal Entity Identifier): A 20-digit alphanumeric code for unique identification.
  • Credit register code: Identifier from the National Credit register.
  • Commercial register code: Identifier from the public commercial register.
  • ISIN code: International Securities Identification Number for securities.
  • Bloomberg ticker: Unique identifier for entities in Bloomberg.
  • Name: Name of the legal entity.
  • Geographical area: ISO Code of the country or macro region of residence.
  • Portfolio name: Assigned by the EBA (e.g., Sovereign, Institutions, Large corporate).
  • Sector of the counterparty: Economic sector classification (e.g., General Governments, Credit institutions, Non-financial corporations).
  • Size of counterparty: Based on total annual sales (e.g., >EUR 200 mln, Not applicable).

2. C 102 - Definition of Low Default Portfolios

• Purpose: Defines portfolios composed of exposures from Low Default Portfolio counterparties.
• Key Data Elements:
  • Portfolio ID: Unique identifier for each portfolio.
  • Portfolio name: Assigned by the EBA (e.g., Sovereign, Institutions, Large corporate).
  • Geographical area: ISO Code or macro region of residence.
  • Exposure class: Classification based on the type of counterparty (e.g., Central banks, Institutions, Corporate – Other).
  • Default status: Indicates whether the exposure is defaulted or non-defaulted.
  • Rating: Internal rating grade (from Rating 1 to Rating 30).
  • Type of facility: Categorizes the nature of the credit facility (e.g., Drawn, Undrawn committed revolving, etc.).
  • Collateralisation status: Indicates whether the exposure is secured or unsecured, with further subcategories.
  • NACE code: Classification of economic activities for corporations.
  • Sector of counterparty: Based on FINREP economic sector classes.
  • Size of counterparty: Based on total annual sales (e.g., >EUR 200 mln, Not applicable).

3. C 103 - Definition of High Default Portfolios

• Purpose: Defines portfolios composed of exposures from High Default Portfolio counterparties.
• Key Data Elements:
  • Portfolio ID: Unique identifier for each portfolio.
  • Portfolio name: Assigned by the EBA (e.g., CORP Defaulted, SMEC Defaulted, SMER Defaulted, Mortgages Defaulted).
  • Geographical area: ISO Code or macro region of residence.
  • Exposure class: Classification of counterparties (e.g., Corporate – SME, Retail – Secured by real estate SME).
  • Default status: Indicates whether the exposure is defaulted or non-defaulted.
  • Rating: Internal rating grade (from Rating 1 to Rating 30).
  • Type of facility: Categorizes the nature of the credit facility (e.g., Drawn, Undrawn committed revolving, etc.).
  • Collateralisation status: Indicates whether the exposure is secured or unsecured, with further subcategories.
  • NACE code: Classification of economic activities for corporations.
  • Sector of counterparty: Based on FINREP economic sector classes.
  • Size of counterparty: Based on total annual sales (e.g., <=EUR 50 mln, >EUR 50 mln and <=EUR 200 mln, Not applicable).
  • Indexed Loan to Value (ILTV): Defines the range of ILTV ratios (e.g., <=25%, >25% and <=50%, etc.).

4. C 104 - Definition of Hypothetical Transactions in Low Default Portfolios

• Purpose: Defines hypothetical transactions for benchmarking purposes within Low Default Portfolios.
• Key Data Elements:
  • Transaction ID: Unique identifier for each transaction.
  • Transaction name: Assigned by the EBA.
  • Type of facility: Categorizes the nature of the credit facility (e.g., Drawn, Undrawn committed revolving, etc.).
  • Facility: Synthetic description of the hypothetical transaction.
  • Geographical area: ISO Code or macro region of residence.
  • Portfolio name: Assigned by the EBA (e.g., Sovereign, Institutions, Large corporate).
  • Portfolio ID: Unique identifier for each portfolio.
  • Exposure class: Classification based on the type of counterparty.
  • Type of exposures: On-balance sheet or off-balance sheet items subject to credit risk.
  • Rating: Internal rating grade (from Rating 1 to Rating 30).
  • Collateralisation status: Indicates whether the exposure is secured or unsecured, with further subcategories.
  • Collateral type: Classification of eligible collateral (e.g., financial collateral, real estate, etc.).

Key Information

• Counterparty Classification: Counterparties are categorized by type (e.g., Central banks, Institutions, Non-financial corporations) and size (based on annual sales).
• Exposure Classification: Exposures are classified as on-balance sheet or off-balance sheet items subject to credit risk.
• Default Status: Exposures are categorized as defaulted (PD = 100%) or non-defaulted (PD < 100%).
• Collateralisation Status: Exposures are categorized as secured (with or without funded credit protection), unsecured, or not applicable.
• ILTV (Indexed Loan to Value): Defined for mortgage-related exposures, with specific ranges and calculation requirements.
• NACE Code: Used to classify economic activities of corporations.
• Portfolio IDs and Names: Unique identifiers and names are assigned to portfolios by the EBA for clarity and consistency in reporting.