EBA欧洲银行-Guidance-for-the-EU-wide-transparency-exercise_10页_167kb

报告摘要

EU-wide Transparency Exercise Guidelines Summary

Purpose of the Guidelines

The purpose of these guidelines is to provide banks with instructions on how to complete the EU-wide transparency exercise Excel templates. The guidelines aim to streamline data collection and ensure consistency across submissions. A Q&A process is available to clarify any uncertainties.

Main Structure of the Excel File

The Excel file consists of 8 sheets, each serving a specific purpose:

Cover – Basic bank information
Capital – Capital position under CRD3 rules
Credit Risk – Exposure classes and related risk data
Securitisation Summary – Securitisation-related exposures
Market Risk – Risk exposure amounts under SA and IM approaches
Sovereign Debt Exposures – Exposures to governments
RWA – Risk-weighted assets
Risk Parameters – Not for disclosure, contains internal risk metrics

Data Input Rules

No changes should be made to the sheets, including no insertion or deletion of columns or rows.
Additional calculations should be performed outside the tables.
Monetary data must be provided in millions of euros.
Percentage data should be entered as decimals.
Non-Euro currency amounts must be converted to Euros using the ECB exchange rates for the business day closest to the reference date.

Cover Sheet

The Cover sheet requires basic bank information, including the floor option (as defined in the RWA section).
This sheet is disclosed publicly.

Cell Categories

The templates use 4 categories of cells, each marked by a different color, to guide data entry. These categories help identify the type of data to be entered, such as totals, components, or specific calculations.

Drop List Windows

In the Credit Risk sheet, a drop list window is used to select the country of the counterparty.
Selecting a country displays a list of available options, and the selected value is used for data reporting.

Validation Rules

There are two types of validation rules:

Sign validation – Ensures correct sign of values (positive or negative), and displays an error message if incorrect.
Sum validation – Ensures that components sum to the total. If not, the cell remains red until corrected.

When entering figures with breakdowns, users are advised to enter the total first, followed by its components.

Definitions and Mappings

1) Capital Template

Values must be computed according to the Notes column and include appropriate signs.
IRB provisions shortfall and IRB equity expected losses should reflect the actual deduction from Tier 1 capital, not the full amount.
All items should be reported as estimated for the reference date, without transitional provisions.
No thresholds should be applied; items must be reported in full.
Credit Value Adjustment (CVA) is computed as a risk-weighted asset (RWA) amount.
The Memo items are for information only and do not imply full deduction of amounts.

2) Credit Risk Template

Credit Risk includes Counterparty Risk.
Exposure classes are based on COREP definitions from C 09.02 (IRB) and C 09.01 (SA).
The country of counterparty refers to the country of incorporation of the obligor.
Country coverage is based on the minimum of 90% of total EAD or the top 10 countries.
The cut-off date for determining top 10 countries is 20132Q.

3) Exposure Value

Exposure value should be computed according to COREP definitions.
For IRB exposures, use Column 110 of C 08.01.
For Standardised approach, use Column 200 of C 07.00.
The exposure value is gross of value adjustments and provisions.
Credit conversion factors apply to instruments in Annex I of the CRR.
Securities financing transactions, derivatives, and netting exposures follow the CRR part 3 title II chapter 6 rules.

Value Adjustments and Provisions

Should be computed according to the accounting framework and Article 34 and 110 of CRR.
Banks are expected to report defaulted assets and non-defaulted assets separately.

Securitisation Summary

For banking book exposures, the sum is calculated according to COREP C.13.00 (IRB) or C.12.00 (SA).
The exposure value is gross of value adjustments and provisions for IRB and net for SA.
Interrelation with Credit Risk template:
Banking book exposure value = sum of "Securitisation" row + sum of "Securitisation and re-securitisations" row.

Market Risk

Covers position, foreign exchange, and commodities risks under Standardised Approach (SA) and Internal Models (IM).
RWAs are calculated as own funds requirements × 12.5.
For Internal Models, the following elements are reported:
- General risk for Traded Debt Instruments, Equities, and Foreign Exchange
- Specific risk for Traded Debt Instruments and Equities
- VaR, SVaR, IRC, and All Price Risk (APR)

Sovereign Debt Exposures

Includes direct and indirect exposures to central, regional, and local governments.
Direct positions are exposures to sovereign counterparts, not to those with government guarantees.
Indirect positions include exposures to non-sovereign counterparts with sovereign credit risk (e.g., CDS, financial guarantees).
For trading book, exposures are reported after offsetting cash short positions with the same maturities.

RWA

RWA is calculated according to CRD III rules as reported to National Supervisory Authorities.
Includes both banking and trading book securitisations and re-securitisations.
Transitional floors are determined based on the floor option in the Cover sheet.

Risk Parameters

This sheet is not for disclosure on a bank-by-bank basis.
Contains default rates, loss rates, and credit risk parameters (PD and LGD).
Default rate = (Yearly default flow) / (Total non-defaulted assets at the start of the 12-month period).
Loss rate = (Yearly impairment and write-off flow) / (New defaulted assets).
PD and LGD are based on capital requirements and calculated only for non-defaulted assets.