EBA欧洲银行-Annex-II-Supervisory-Benchmarking-Portfolios-Instructions-for-EBA-CP-2014-07_11页_245kb

Summary of Supervisory Benchmarking Portfolios (Annex II)

Core Content

This document outlines the Supervisory Benchmarking Portfolios defined by the European Banking Authority (EBA), including Low Default Portfolios (LDP) and High Default Portfolios (HDP). It provides detailed definitions, classifications, and instructions for identifying and categorizing counterparties and transactions for benchmarking purposes. These portfolios are used to standardize risk assessment and reporting across financial institutions.

Main Viewpoints

1. Low Default Portfolios (LDP)

• Purpose: LDPs are used to represent exposures with a low probability of default, allowing for consistent risk modeling and regulatory reporting.

• Types of LDPs:

  • Sovereign sample
  • Institutions sample
  • Large corporate sample

• Current Sample Sizes:

  • Central government sample: 61 counterparties
  • Credit institution sample: 102 counterparties
  • Large corporate sample: 646 counterparties

• Classification Criteria:

  • Rating Grades: LDPs are based on internal rating grades with PD (Probability of Default) less than 100%.
  • Exposure Types: Includes on-balance sheet and off-balance sheet items.
  • Collateralisation Status:
    • Secured exposures (with funded credit risk mitigation instruments)
    • Unsecured exposures (without funded credit risk mitigation instruments)
    • Unsecured and guaranteed exposures (non-funded CRM instruments not used for substitution)
  • Collateral Types:
    • Eligible financial collateral
    • Other eligible collateral (Receivables, Real estate, Physical collateral)
    • Other funded credit protection (Credit derivatives, Guarantees)
  • Sector Classification:
    • General Governments
    • Credit institutions
    • Other financial corporations
    • Non-financial corporations
  • Counterparty Size:
    • Based on annual turnover

    • EUR 200 million or Not applicable

• Hypothetical Transactions:

  • The EBA defines 529 hypothetical transactions by combining up to 30 rating grades, 10 collateral types, 20 countries for real estate collateral, and 12 transaction types (on and off balance sheet).
  • Each transaction is assigned a unique ID and name.

Key Information

1. Columns and Definitions

2. High Default Portfolios (HDP)

• Purpose: HDPs are used to represent exposures with a higher probability of default, aiding in stress testing and risk assessment.

• Current Clusters:

  • Residential mortgages: 10 clusters
  • SME corporate portfolio: 8 clusters
  • Corporate portfolio: 8 clusters
  • SME retail portfolios in 24 EU countries: 8 clusters

• Classification Criteria:

  • Default Status: Defaulted (PD = 100%) or Non-defaulted (PD < 100%)
  • Exposure Class:
    • Corporate - SME
    • Corporate - Specialised lending
    • Corporate - Other
    • Retail - Secured by real estate SME
    • Retail - Secured by real estate non-SME
    • Retail - Qualifying revolving
    • Retail - Other SME
    • Retail - Other non-SME
  • Collateralisation Status:
    • Secured exposures
    • Unsecured exposures
    • Unsecured and guaranteed exposures
  • Collateral Type:
    • Eligible financial collateral
    • Receivables
    • Real estate
    • Physical collateral
    • Credit derivatives
    • Guarantees
  • Size of Counterparty:
    • <= EUR 50 mln

    • EUR 50 mln and <= EUR 200 mln

  • Indexed Loan-to-Value (LTV) Ranges:
    • <= 25%

    • 25% and <= 50%

    • 50% and <= 75%

    • 75% and <= 100%

    • 100% and <= 125%

    • 125%

    • Not applicable

Conclusion

The document provides a comprehensive framework for defining and categorizing Supervisory Benchmarking Portfolios, including both Low Default Portfolios (LDP) and High Default Portfolios (HDP). It emphasizes the use of standardized codes and classifications to ensure consistency in risk assessment, reporting, and regulatory compliance. The EBA plays a central role in assigning unique IDs, names, and categories to these portfolios and hypothetical transactions, facilitating a uniform approach across financial institutions.