EBA欧洲银行-Guidelines-on-Large-Exposures-reporting_20页_337kb

Summary of Guidelines on Reporting Requirements for the Revised Large Exposures Regime

Core Content

These guidelines outline the reporting requirements for the revised large exposures regime under the amended Capital Requirements Directive (CRD). The goal is to establish a uniform and standardized reporting system for credit institutions, ensuring consistency in data collection, analysis, and supervision across the European Union.

Main Reporting Requirements

• Reporting Frequency: Credit institutions must report large exposures at least twice a year, as per Article 110(2) of Directive 2006/48/EC. Once integrated into the COREP framework, reporting will follow the agreed-upon frequency and dates.
• Scope of Reporting: All large exposures, including those exempted from the application of Article 111(1), must be reported. Exemptions include intra-group exposures and exposures to sovereigns.
• Content of Reporting: Institutions must report the following for each large exposure:
  • Identification of the client or group of connected clients
  • Exposure value before credit risk mitigation (CRM)
  • Type of credit protection (if applicable)
  • Exposure value after CRM

Reporting Templates

Two main templates are used for reporting large exposures:

Template 1: Main Reporting Table

• Structure: Based on four blocks of information:

  • Identification of client or group of connected clients
  • Exposure value before CRM
  • Type of credit protection
  • Exposure value after CRM

• Key Columns:

  • LE 1.1: Identification code of the client or group (unique and consistent)
  • LE 1.2: Type of institution (credit institution or non-credit institution)
  • LE 1.3: Name of the client or group
  • LE 1.4: Total exposure before risk provisioning (sum of LE 1.5 to LE 1.8)
  • LE 1.5 to LE 1.8: Breakdown of exposure into four categories:
    • Assets
    • Derivatives
    • Off-balance sheet
    • Indirect exposures
  • LE 1.9: Value adjustments and provisions (deduction)
  • LE 1.10 and LE 1.11: Total exposure before CRM and its share in the banking book
  • LE 1.12 and LE 1.13: Percentage of own funds before CRM (total and banking book)

• Credit Protection:

  • LE 1.14: Unfunded credit protection (deduction)
  • LE 1.15: Funded credit protection (deduction)
  • LE 1.16: Real estate (deduction of 50% of market or mortgage lending value)

• Exposure After CRM:

  • LE 1.17: Exposure value after CRM (sum of LE 1.10, LE 1.14, LE 1.15, and LE 1.16)
  • LE 1.18: Exemptions under Article 113(3) and (4)
  • LE 1.19 and LE 1.20: Total exposure after CRM and its share in the banking book
  • LE 1.21 and LE 1.22: Percentage of own funds after CRM (total and banking book)

Template 2: Composition of Groups of Connected Clients

• Purpose: To report the composition of a group of connected clients that is considered a single large exposure.
• Key Columns:
  • LE 2.1: Identification code of the group
  • LE 2.2: Identification code of the individual client
  • LE 2.3: Type of institution (credit or non-credit)
  • LE 2.4: Name of the individual client
  • LE 2.5: Total exposure before CRM
  • LE 2.6: Total exposure after CRM and exemptions

Special Reporting Requirements

• 20 Largest Exposures for IRB Banks: IRB banks (those using the internal ratings-based approach) must report their 20 largest exposures on a consolidated basis. This includes:

  • Reporting all exposures if there are fewer than 20
  • Reporting the top 20 if there are more than 20
  • Exempted exposures (e.g., intra-group, sovereign) are not included in the 20 largest exposures
  • The reporting is based on the exposure value before CRM (LE 1.10)

• IRB Banks with No Large Exposures: Must still report their 20 largest exposures, even if they do not exceed the 10% limit.

• Exemptions: Institutions in Member States where data is already available through other channels (e.g., credit registers) may not be required to report the 20 largest exposures again.

Key Considerations

• Coding Systems: CEBS recommends using the currently available national coding systems for identification. A unified coding system would be ideal for cross-border and systemic identification but is not feasible in the short term.
• Uniform Reporting: The COREP framework will ensure that all institutions report using the same standards, formats, and terminology.
• Implementation Timeline:
  • The revised large exposures regime applies from 31 December 2010
  • Uniform and binding reporting under COREP will be in place by 31 December 2012
• Supervisory Focus: The reporting aims to allow competent authorities to analyze exposures on a horizontal basis and identify concentration risks.

Conclusion

The guidelines provide a comprehensive framework for reporting large exposures, ensuring consistency, transparency, and supervisory oversight. The use of two templates allows for both aggregated and detailed reporting, while the emphasis on unique identification codes and uniform formats aims to facilitate efficient data processing and analysis. The development of the reporting templates is based on the principles of the COREP framework and is expected to be included in the revised COREP guidelines in 2010.