Textual Amendments
F1 Substituted by Commission Implementing Regulation (EU) 2015/227 of 9 January 2015 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance).
| [F1Columns | Instructions |
|---|---|
| 010 | INTERNAL RATING SYSTEM/PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%)The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of CRR. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD. For each individual grade or pool the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale is used. Otherwise, the different rating systems shall be merged and ordered according to the following criteria: Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. Institutions shall contact their competent authority in advance, if they want to report a different number of grades in comparison with the internal number of grades. For the purposes of weighting the average PD the exposure value reported in column 110 is used. All exposures, including defaulted exposures are to be considered for the purpose of the calculation of the exposure weighted average PD (e.g. for ‘ total exposure ’ ). Defaulted exposures are those assigned to the last rating grade/s with a PD of 100 %. |
| 020 | ORIGINAL EXPOSURE PRE CONVERSION FACTORSInstitutions report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors. The original exposure value shall be reported in accordance with Article 24 of CRR and Article 166(1) and (2) and (4) to (7) of CRR. The effect resulting from Article 166(3) of CRR (effect of on balance sheet netting of loans and deposits) is reported separately as Funded Credit Protection and therefore shall not reduce the Original Exposure. |
| 030 | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESBreakdown of the original exposure pre conversion factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
| 040-080 | CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURECredit risk mitigation techniques as defined in Article 4(57) of CRR that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in ‘ SUBSTITUTION OF THE EXPOSURE DUE TO CRM ’ . |
| 040-050 | UNFUNDED CREDIT PROTECTIONUnfunded credit protection: Values as they are defined in Article 4(59) of CRR. If collateral has an effect on the exposure (e.g. if used for credit risk mitigation techniques with substitution effects on the exposure) it shall be capped at the exposure value. |
| 040 | GUARANTEES:If the CRM effect of the guarantee is calculated by recognition of the substitution effect, the Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided. Regarding exposures subject to the double default treatment, the value of unfunded credit protection is reported in Column 220. When own estimates of LGD are not used: The Adjusted Value (Ga) as defined in Article 236 of CRR shall be provided. When Own estimates of LGD are used: Article 183 of CRR, except paragraph 3. The nominal amount of the guarantees shall be reported. Guarantees shall be reported in column 040 when the adjustment is not made in the LGD. When the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 150. |
| 050 | CREDIT DERIVATIVES:When own estimates of LGD are not used, the Adjusted Value (Ga) as defined in Article 216 of CRR shall be provided. When the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 160 Regarding exposures subject to the double default treatment the value of unfunded credit protection is reported in Column 220. |
| 060 | OTHER FUNDED CREDIT PROTECTIONWhen own estimates of LGD are not used: Article 232 of CRR When own estimates of LGD are used: those credit risk mitigants that comply with the criteria in Article 212 of the CRR. To be reported in column 060 when the adjustment is not made in the LGD. When an adjustment is made in the LGD the amount shall be reported in column 170 |
| 070-080 | SUBSTITUTION OF THE EXPOSURE DUE TO CRMOutflows correspond to the covered part of the Original Exposure pre conversion factors, that is deducted from the obligor's exposure class and, when relevant, obligor grade or pool, and subsequently assigned to the protection provider's exposure class and, when relevant, obligor grade or pool. This amount shall be considered as an Inflow into the protection provider's exposure class and, when relevant, obligor grades or pools. Inflows and outflows within the same exposure classes and, when relevant, obligor grades or pools shall also be considered. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. |
| 090 | EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORSExposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure. |
| 100, 120 | Of which: Off Balance Sheet ItemsSee CR-SA instructions |
| 110 | EXPOSURE VALUEThe value in accordance with Article 166 of CRR and Article 230(1) sentence 2 of CRR are reported. For the instruments as defined in Annex I, the credit conversion factors (Article 166(8) to (10) of CRR) irrespective the approach chosen by the institution, are applied. For rows 040-060 (securities financing transactions, derivatives and long settlement transactions and exposures from contractual cross-product netting) subject to part 3 title II chapter 6 of CRR, the Exposure Value is the same as the value for Counterparty Credit Risk calculated according to the methods laid down in part 3 title II chapter 6 sections 3, 4, 5, 6 and 7 of CRR. These values are reported in this column and not column 130 ‘ Of which: arising from counterparty credit risk ’ . |
| 130 | Of which: Arising from counterparty Credit RiskSee CR SA instructions. |
| 140 | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESBreakdown of the exposure value for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
| 150-210 | CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENTCRM techniques that have an impact on LGDs as a result of the application of the substitution effect of CRM techniques shall not be included in these columns. Where own estimates of LGD are not used: Articles 228(2), 230 (1) and (2), 231 of the CRR Where own estimates of LGD are used:
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| 150 | GUARANTEESSee instructions to column 040. |
| 160 | CREDIT DERIVATIVESSee instructions to column 050. |
| 170 | OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTIONThe relevant value used in the internal modelling of the institution. Those credit risk mitigants that comply with the criteria in Article 212 of the CRR. |
| 180 | ELIGIBLE FINANCIAL COLLATERALFor trading book operations includes financial instruments and commodities eligible for trading book exposures according to Article 299 paragaph 2 point. (c) to (f) of CRR Credit linked Notes and on -balance sheet netting according to Part 3 Title II Chapter 4 Section 4 of CRR are treated as cash collateral. When own estimates of LGD are not used: values in accordance with Article 193(1) to (4) and Article 194(1) of CRR. The adjusted value (Cvam) as set out in Article 223(2) of CRR is reported. When own estimates of LGD are used: financial collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. The amount to be reported shall be the estimated market value of the collateral. |
| 190-210 | OTHER ELIGIBLE COLLATERALWhere own estimates of LGD are not used: Article 199(1) to (8) of CRR and Article 229 of CRR. Where own estimates of LGD are used: other collateral taken into account in the LGD estimates according to Article 181(1) points (e) and (f) of CRR. |
| 190 | REAL ESTATEWhere own estimates of LGD are not used, values in accordance with Article 199(2) to (4) of CRR shall be reported. Leasing of real estate property is also included (see Article 199(7) of CRR). See also Article 229 of CRR. When own estimates of LGD are used the amount to be reported shall be the estimated market value. |
| 200 | OTHER PHYSICAL COLLATERALWhere own estimates of LGD are not used, values in accordance with Article 199(6) and (8) of CRR shall be reported. Leasing of property different from real estate is also included (see Article 199(7) of CRR). See also Article 229(3) of CRR. Where own estimates of LGD are used the amount to be reported shall be the estimated market value of collateral. |
| 210 | RECEIVABLESWhen own estimates of LGD are not used, values in accordance with Articles 199(5), 229 (2) of CRR are reported. When own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral. |
| 220 | SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTIONGuarantees and credit derivatives covering exposures subject to the double default treatment reflecting Articles 202 and 217 (1) of CRR. See also columns 040 ‘ Guarantees ’ and 050 ‘ Credit derivatives ’ . |
| 230 | EXPOSURE WEIGHTED AVERAGE LGD (%)All the impact of CRM techniques on LGD values as specified in Part 3 Title II Chapters 3 and 4 of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR. For defaulted exposures, provisions laid down in Article 181(1) point (h) of CRR shall be considered. The definition of exposure value as in Column 110 shall be used for the calculation of the exposure-weighted averages. All effects shall be considered (so the floor applicable to mortgages shall be included in the reporting). For institutions applying the IRB approach but not using their own estimates of LGD the risk mitigation effects of financial collateral are reflected in E*, the fully adjusted value of the exposure, and then reflected in LGD* according to Article 228(2) CRR. The exposure weighted average LGD associated to each PD ‘ obligor grade or pool ’ shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of Column 110. If own estimates of LGD are applied Article 175 and Article 181(1) and (2) of CRR shall be considered. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected according to Article 161(4) of CRR. The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating system approved by the respective competent authority. Data shall not be reported for specialized lending exposures referred to in Article 153(5). Exposure and the respective LGD’s for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 230, they shall only be included in the calculation of column 240. |
| 240 | EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESExposure weighted average LGD (%) for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
| 250 | EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS)The value reported reflects Article 162 of CRR. The exposure value (Column 110) shall be used for the calculation of the exposure-weighted averages. The average maturity is reported in days. This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this column shall not be filled in for the exposure class ‘ retail ’ . |
| 255 | RISK WEIGHTED EXPOSURE AMOUNT PRE SME-SUPPORTING FACTORFor Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR. The SME-supporting factor according to Article 501 of CRR shall not be taken into account. |
| 260 | RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTORFor Central governments and Central Banks, Corporate and Institutions see Article 153(1) and (3) of CRR. For Retail see Article 154(1) of CRR. The SME-supporting factor according to Article 501 of CRR shall be taken into account. |
| 270 | OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIESBreakdown of the risk weighted exposure amount after SME supporting factor for all exposures defined according to Article 142(4) and (5) CRR subject to the higher correlation according to Article 153(2) CRR. |
| 280 | EXPECTED LOSS AMOUNTFor the definition of Expected Loss see Article 5(3) of CRR and, for calculation see Article 158 of CRR. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating system approved by the respective competent authority. |
| 290 | (-) VALUE ADJUSTMENTS AND PROVISIONSValue Adjustments as well as specific and general provisions under Article 159 CRR are reported. General provisions shall be reported by assigning the amount pro rata — according to the expected loss of the different obligor grades. |
| 300 | NUMBER OF OBLIGORSArticles 172(1) and (2) of CRR. For all exposure classes except retail, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted. Within the exposure class retail the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) of CRR applies, an obligor may be considered in more than one grade. As this column deals with an element of the structure of the rating systems, it relates to the original exposures pre conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).] |