EBA欧洲银行-CRD4-DPM-Domains-and-Dimensions_4页_126kb

报告摘要

CRD IV Data Point Model Summary

Core Content

The CRD IV Data Point Model outlines the various dimensions and data points that must be considered for the purpose of calculating risk exposures and capital requirements under the Capital Requirements Directive IV (CRD IV). These dimensions are categorized into different groups such as Amount type, Approach, Counterparty, Credit Quality steps, and Type of risk, among others. Each dimension is associated with specific members or attributes that define the scope and nature of the data points required.

Main Dimensions and Their Members

1. Amount Type

Amount type: 286 members
Type of allowance: 8 members

2. Approach

Approach: 33 members
Methods to determine risk weights: 26 members

3. Base

Base: 11 members

4. Boolean Total

Controlling and non-controlling owners: 2 members
Hybrid instruments: 1 member
Subject to operating lease (reporting entity lessor): 1 member
Subordinated: 1 member
To be reclassified to profit or loss: 2 members

5. Callability of the Instruments

Callability of the instruments: 5 members

6. Collateral/Guarantees

Condition of the pledge of collateral given: 9 members
Condition of the pledge of collateral received: 5 members

7. Computability in Own Funds

Deducted from own funds: 1 member
Eligibility for own funds of the main category: 11 members
Transitional Eligibility in Own Funds: 5 members

8. Counterparty

Counterparty: 23 members
Counterparty (large regulated financial entities): 1 member

9. Credit Protection

CRM Effects/Collateral: 22 members
Type of credit protection: 3 members

10. Credit Quality Steps

Exposures by Credit Quality steps at inception: 17 members
Exposures by Credit Quality steps at reporting date: 17 members

11. Currency

Currency of the exposure: 4 members

12. Event Type

Event Type: 7 members

13. Exposure Classes

Exposure class: 29 members
Items associated with a particular high risk: 1 member

14. External Ratings

Use of external ratings: 7 members

15. Geographical Area

Country of the market: 1 member
Country where the exposure is generated: 2 members
Country where the requirement is applicable: 18 members
Location of the activities: 2 members
Residence of counterparty: 6 members

16. Impairment Status

Impairment status: 8 members

17. Main Category

Collateral/Guarantee received: 16 members
Derivatives Purchased/Sold: 1 member
Main category: 477 members
Main category of the Defined benefit plan assets: 4 members
Main Category of the transferred financial asset to which the liability is associated to: 5 members
Main Category provided of Investee: 3 members
Main category that generates income or expenses: 42 members
Main category that generates the deferred tax liability: 3 members
Main Category underlying: 3 members
Type of obligation with collateral given: 2 members
Type of securitisation: 7 members

18. NACE Code

NACE code counterparty: 20 members

19. Percentages

Conversion factors for off-balance sheet items: 7 members
Loan to Value: 1 member
Risk weights: 57 members

20. Percentages (Typed)

PD assigned to the obligor grade or pool: 2 members

21. Period

Attribute: Reference date: 6 members

22. Portfolio

Accounting portfolio: 67 members
Accounting portfolio of the transferred financial asset to which the liability is associated to: 11 members
Prudential portfolio: 3 members

23. Positions in the Instrument

Positions in the instrument: 35 members

24. Purpose

Purpose: 2 members
Related parties/Relationships: 21 members
Risk transfer treatment: 2 members
Role in the securitisation process: 5 members
Securitisation structure: 3 members
Size of the counterparty: 1 member
Residual maturity: 9 members
Time from the due time for settlement: 5 members
Time past due: 6 members
Time past from due second contractual payment or delivery leg (free deliveries): 1 member
Type of activity: 27 members
Business line: 9 members
Type of market: 4 members
Fair value hierarchy: 3 members
Type of risk: 33 members
Code of the securitisation: 2 members
Entity code: 2 members
Name of Holding entity: 1 member
Name of Investee: 2 members
Security code: 1 member
Underlying exposures in securitisations: 13 members
Use of allocation mechanism: 1 member

Key Information

The model is designed to ensure comprehensive and standardized reporting of financial exposures for regulatory capital purposes.
It includes a wide range of attributes to reflect the complexity of financial instruments and risk factors.
The Main category has the highest number of members (477), indicating its critical role in categorizing financial assets.
Credit Quality steps and Exposure classes are essential for assessing credit risk and exposure types.
Type of risk is a significant dimension with 33 members, highlighting the need for detailed risk classification.
The NACE code and Geographical area dimensions are used to classify and locate exposures in the market.
Percentages such as Risk weights and Loan to Value are key in determining capital requirements.
Securitisation-related dimensions like Securitisation structure, Securitization tranches, and Role in the securitisation process are crucial for understanding the risk transfer and structure of securitised assets.

This model provides a structured and detailed framework for financial institutions to report and manage their exposures in accordance with CRD IV regulations.

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