EBA欧洲银行-Annex-4-28Credit-risk-reporting-instructions29_20页_372kb

报告摘要

Summary of ANNEX IV: Results Supervisory Benchmarking Portfolios

Core Content

Annex IV outlines the requirements for submitting detailed information on exposures in Low Default Portfolios (LDPs) and High Default Portfolios (HDPs), including definitions, classifications, and calculation methods for risk parameters such as Probability of Default (PD), Loss Given Default (LGD), Exposure at Default (EAD), and Risk-Weighted Assets (RWA). It also includes instructions for reporting RWA-, RWA+, RWA--, and RWA++ for specific portfolios, based on hypothetical PD values derived from statistical models.

Main Viewpoints

Reporting Scope: Information is only required for counterparties with actual exposure or a valid rating, and for exposures and portfolios where an internal model has been approved for RWA calculation. Exposures using the Standardised Approach are excluded if permanent partial use is permitted.
Portfolio Classification: Portfolios must be classified under specific exposure classes such as "Central banks and central governments", "Institutions", "Corporate-SME", etc.
Risk Parameters: PD, LGD, EAD, and Maturity are key risk parameters that must be reported, with specific instructions on how they are calculated and applied.
Exposure Adjustments: Exposures must be reported pre-conversion factors and after applying credit risk mitigation (CRM) substitution effects.
Collateral and Provisions: Collateral value and provisions for non-performing or defaulted exposures are also required for certain portfolios.
RWA Calculations: RWA is calculated using the SME supporting factor, and different RWA types (RWA-, RWA+, RWA--, RWA++) are defined for specific portfolios, using hypothetical PD values based on statistical formulas.

Key Information

General Instructions

Submission Criteria:
- Only submit information for counterparties with actual exposure or a valid rating.
- Exclude exposures using the Standardised Approach if permanent partial use is permitted.
- Do not submit irrelevant or non-applicable information. Zero values should be reported where applicable.
Rating and Exposure Classes:
- PD must be reported for all rating grades in the rating scale, even if no IRB exposure exists for a given grade.
- For portfolios not defined by specific rating grades, no submission is required if no IRB exposure or valid rating exists.
Monetary Amounts:
- All monetary amounts must be reported as used in the calculation of own funds requirements for a specific reference date.

C 101 – Low Default Portfolios by Counterparty

Column 010: Counterparty code assigned by the EBA, unique for each row.
Column 020: Exposure class (e.g., Central banks, Institutions, Corporate-SME, Retail-Secured by real estate, etc.).
Column 040: Internal rating grade rank, from lowest to highest risk (excluding defaults with PD = 100%).
Column 050: Date of the most recent rating.
Column 060: PD, calculated using Article 180 of Regulation (EU) No 575/2013, excluding Article 458 adjustments.
Column 080: Original exposure before conversion factors or CRM adjustments.
Column 090: Exposure after CRM substitution effects.
Column 100: CCF (Credit Conversion Factor), reported as a weighted average based on EAD.
Column 110: EAD, reported for each counterparty.
Column 120: Collateral value, reported as market value.
Column 130: Hypothetical LGD for senior unsecured and secured exposures.
Column 140: Maturity, reported in days if relevant to RWA calculation.
Column 150: Expected loss, calculated based on PD and LGD.
Column 160: Provisions for non-performing exposures, based on Article 110 of Regulation (EU) No 575/2013.
Column 170: RWA after applying SME supporting factor.

C 102 – Low Default Portfolios

Column 010: Portfolio ID assigned by EBA.
Column 040: Number of obligors in the portfolio.
Column 060: PD, same as in C 101, derived from internal rating system.
Column 080: Original exposure pre-conversion factors.
Column 090: Exposure after CRM substitution effects.
Column 100: CCF, same as in C 101.
Column 110: EAD, same as in C 101.
Column 120: Collateral value, same as in C 101.
Column 130: LGD, same as in C 101.
Column 140: Maturity, same as in C 101.
Column 150: Expected loss, same as in C 101.
Column 160: Provisions for defaulted exposures, same as in C 101.
Column 170: RWA after applying SME supporting factor.
Column 180: RWA calculated using the Standardised Approach.

C 103 – High Default Portfolios

Column 010: Portfolio ID assigned by EBA.
Column 040: Number of obligors.
Column 060: PD, same as in C 101 and C 102, derived from internal rating system.
Column 080: Original exposure pre-conversion factors.
Column 090: Exposure after CRM substitution effects.
Column 100: CCF, same as in C 101 and C 102.
Column 110: EAD, same as in C 101 and C 102.
Column 120: Collateral value, same as in C 101 and C 102.
Column 130: LGD, same as in C 101 and C 102.
Column 140: Maturity, same as in C 101 and C 102.
Column 150: Expected loss, same as in C 101 and C 102.
Column 160: Provisions for defaulted exposures, same as in C 101 and C 102.
Column 170: RWA after applying SME supporting factor.
Column 180: RWA calculated using the Standardised Approach.
Column 190: Default rate for the latest year, calculated as the ratio of defaulted obligors to non-defaulted obligors.
Column 200: Default rate over the past 5 years, calculated using weighted average.
Column 210: Loss rate for the latest year, based on write-offs and credit risk adjustments.
Column 220: Loss rate over the past 5 years, EAD-weighted average.

RWA Calculations

RWA-: Hypothetical RWA using PD- values (smallest positive value satisfying the formula).
RWA+: Hypothetical RWA using PD+ values (largest positive value satisfying the formula).
RWA--: Hypothetical RWA using PD-- values (smallest positive value satisfying the 5-year formula).
RWA++: Hypothetical RWA using PD++ values (not detailed in the provided text).

Legal References

PD is based on Article 180 of Regulation (EU) No 575/2013.
CCF is based on Article 166(8) of Regulation (EU) No 575/2013.
LGD is based on columns 230 and 240 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014.
Maturity is based on column 250 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014.
RWA is based on column 260 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014.

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