EBA欧洲银行-Annex-IV-Results-Supervisory-Benchmarking-Portfolios-Instructions-for-EBA-CP-2014-07_13页_267kb

Summary of Annex IV: Results Supervisory Benchmarking Portfolios

Core Content

Annex IV outlines the requirements for institutions to report detailed data on exposures and hypothetical transactions in Low Default (LDP) and High Default (HDP) portfolios. These templates are part of the supervisory benchmarking process, aimed at ensuring transparency and consistency in risk management practices across financial institutions. The reporting is based on internal models and regulatory frameworks, with specific instructions for each column in the templates.

Main Views

• Reporting Scope: Institutions must report data only for counterparties with actual exposure or valid ratings, and for exposures and hypothetical transactions where internal models are approved.
• Submission Deadline: The reference date for data is 31 December of each year. Institutions must submit data by the close of business on 11 March. For the first year of application (2015), the deadline was 11 June. If the deadline falls on a public holiday or weekend, the report must be submitted on the next working day.
• Corrections: Any corrections to the submitted reports must be made without undue delay.
• Rating Systems: Institutions are allowed to use their internal rating systems, but if they do not, different rating systems must be merged and ordered based on PD (Probability of Default) values. A supervisory master scale is not intended or desirable.
• Risk Parameters: All risk parameters reported must be derived from the internal rating system approved by the competent authority.

Key Information

Part I: General Instructions

• Data Submission Rules:

  • Submit data only for counterparties with actual exposure or valid ratings.
  • Submit data only for exposures and hypothetical transactions where internal models are approved.
  • Reference date for data is 31 December.
  • Submission deadline is 11 March (or 11 June for 2015).

• Submission Adjustments:

  • If the deadline is a public holiday or weekend, data must be submitted on the next working day.
  • Corrections should be submitted without undue delay.

Part II: Template Related Instructions

C 101 - Details on Exposures in LDP by Counterparty

• Columns and Instructions:
  • 010: Counterparty code assigned by the EBA.
  • 270: Type of exposure (on-balance sheet, off-balance sheet, or not applicable).
  • 280: Type of facility (drawn, undrawn committed revolving, undrawn committed term, NIF/RUF, undrawn uncommitted, etc.).
  • 020: Exposure class (Central banks, Institutions, Corporate-SME, Corporate-Specialised, etc.).
  • 030: Regulatory approach (Foundation IRB, Advanced IRB, Slotting criteria, Equity approaches, Securitisations methods, etc.).
  • 050: Number of obligors in the portfolio.
  • 060: Rating (from 1 to N, where N is up to 30).
  • 070: PD (Probability of Default) based on Article 180 of CRR. For aggregated figures, exposure-weighted average PD is used.
  • 080: Default status (Defaulted or Non-defaulted).
  • 090: Original exposure pre conversion factors.
  • 100: Exposure after CRM substitution effects pre conversion factors.
  • 110: CCF (Credit Conversion Factor) - EAD pre-CCF weighted average.
  • 120: EAD (Exposure at Default) - exposure value.
  • 140: Collateral value - market value of the collateral.
  • 150: LGD (Loss Given Default) - exposure-weighted own estimates or regulatory LGD.
  • 160: Maturity - exposures-weighted maturity.
  • 170: Expected loss.
  • 180: Provisions for non-performing exposures.
  • 190: RWA (Risk-Weighted Assets) - risk-weighted exposure after SME supporting factor.
  • 200: RWA Standardised - RWA computed under Standardised approach.
  • 210: Default rate latest year - calculated using new defaults and existing stock.
  • 220: Default rate past 5 years - exposure-weighted average of default rates.
  • 230: Loss rate latest year - calculated using loss amounts and existing stock.
  • 240: Loss rate past 5 years - exposure-weighted average of loss rates.
  • 250: RWA* - RWA computed using PD* (97.5% upper binomial confidence interval of the latest year's default rate).
  • 260: RWA** - RWA computed using PD** (97.5% upper binomial confidence interval of the 5-year average default rate).

C 102 - Details on Exposures in LDP

• Columns and Instructions:
  • 011: Portfolio ID - unique identifier assigned by EBA.
  • 020: Exposure class (same as C 101, but excludes Retail - Qualifying revolving).
  • 030: Regulatory approach (same as C 101).
  • 050: Number of obligors in the portfolio.
  • 060: Rating (same as C 101).
  • 070: PD (same as C 101).
  • 080: Default status (same as C 101).
  • 090: Original exposure pre conversion factors (same as C 101).
  • 100: Exposure after CRM substitution effects pre conversion factors (same as C 101).
  • 110: CCF (same as C 101).
  • 120: EAD (same as C 101).
  • 140: Collateral value (same as C 101).
  • 150: LGD (same as C 101).
  • 160: Maturity (same as C 101).
  • 170: Expected loss (same as C 101).
  • 180: Provisions for non-performing exposures (same as C 101).
  • 190: RWA (same as C 101).
  • 200: RWA Standardised (same as C 101).
  • 210: Default rate latest year (same as C 101).
  • 220: Default rate past 5 years (same as C 101).
  • 230: Loss rate latest year (same as C 101).
  • 240: Loss rate past 5 years (same as C 101).
  • 250: RWA* (same as C 101).
  • 260: RWA** (same as C 101).

C 103 - Details on Exposures in HDP

• Columns and Instructions:
  • 011: Portfolio ID - unique identifier assigned by EBA.
  • 020: Exposure class (same as C 101, but excludes Retail - Secured by real estate SME and Retail - Qualifying revolving).
  • 030: Regulatory approach (same as C 101).
  • 050: Number of obligors in the portfolio.
  • 060: Rating (same as C 101).
  • 070: PD (same as C 101).
  • 080: Default status (same as C 101).
  • 090: Original exposure pre conversion factors (same as C 101).
  • 100: Exposure after CRM substitution effects pre conversion factors (same as C 101).
  • 110: CCF (same as C 101).
  • 120: EAD (same as C 101).
  • 140: Collateral value (same as C 101).
  • 150: LGD (same as C 101).
  • 160: Maturity (same as C 101).
  • 170: Expected loss (same as C 101).
  • 180: Provisions for non-performing exposures (same as C 101).
  • 190: RWA (same as C 101).
  • 200: RWA Standardised (same as C 101).
  • 210: Default rate latest year (same as C 101).
  • 220: Default rate past 5 years (same as C 101).
  • 230: Loss rate latest year (same as C 101).
  • 240: Loss rate past 5 years (same as C 101).
  • 250: RWA* (same as C 101).
  • 260: RWA** (same as C 101).

C 104 - Details for Hypothetical Transactions in LDP

• Columns and Instructions:
  • 012: Transaction ID - code assigned by EBA.
  • 060: Rating - internal rating grade assigned to the hypothetical transaction.
  • 070: PD - probability of default for the hypothetical transaction.
  • 090: Original exposure pre conversion factors - original exposure amount.
  • 110: CCF - credit conversion factor for the hypothetical transaction.
  • 320: Collateral value before haircut - market value of the collateral.
  • 330: Haircut - conservative adjustment to the market value of the collateral.
  • 340: Collateral value after haircuts - adjusted market value after haircut.
  • 120: EAD - exposure value.
  • 350: EAD Unsecured - hypothetical unsecured amount or portion of collateralised transaction.
  • 360: EAD Secured - full amount of collateralised transaction or fully secured portion.
  • 150: LGD - exposure-weighted own estimates or regulatory LGD for the hypothetical exposure.
  • 370: LGD Unsecured - LGD for unsecured or non-fully collateralised hypothetical transactions.
  • 380: LGD Secured - LGD for collateralised or fully collateralised hypothetical transactions.
  • 160: Maturity - maturity of the hypothetical transaction.
  • 190: RWA - risk-weighted amount for the hypothetical transaction.