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    Commission Implementing Regulation (EU) 2021/637 of 15 March 2021 laying down imp... (32021R0637)
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    EU - Rechtsakte: 06 Right of establishment and freedom to provide services

    Template EU CCR4 - IRB approach – CCR exposures by exposure class and PD scale:

    Fixed format

    11.
    Institutions shall disclose the information referred to in point (g) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CCR4 which is presented in Annex XXV to this Implementing Regulation.
    12.
    Institutions using either the advanced or the foundation IRB approach to compute risk weighted exposure amounts (excluding those derived from own funds requirements for CVA risk and for exposures cleared through a CCP) for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure value in accordance with Chapters 4 and 6 of Title II of Part Three CRR shall disclose the following information.

    Legal references and instructions

    Row number

    Explanation

    1 to 8

    PD scale

    CCR exposures shall be allocated to the appropriate bucket of the fixed PD scale based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution due to existence of guarantee or credit derivative). Institutions shall map exposure by exposure to the PD scale provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

    1 to x

    Exposure class X

    This refers to the different exposure classes listed in Article 147 of Chapter 3 of Title II of Part Three CRR.

    x and y

    Sub-total (Exposure class X) / Total (all CCR relevant exposure classes)

    The (sub-) total of exposure values, risk weighted exposure amounts and number of obligors shall just be the sum of the respective columns. Concerning the different parameters Average PD, Average LGD, Average Maturity and RWEA density the below definitions apply with respect to the sample of exposure class X or all CCR relevant exposure classes.

    Column letter

    Explanation

    a

    Exposure value

    Exposure value (see definition provided in column g of template EU CCR1), broken down by exposure classes and the given PD scale as set out in Chapter 3 of Title II of Part Three CRR

    b

    Exposure weighted average PD (%)

    Average of individual obligor grade PDs weighted by their corresponding exposure value in column a of this template

    c

    Number of obligors

    The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which were separately rated, regardless of the number of different loans or exposures granted

    Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR.

    d

    Exposure weighted average LGD (%)

    Average of obligor grade LGDs weighted by their corresponding exposure value

    The disclosed LGD shall correspond to the final LGD estimate used in the calculation of own funds requirements obtained after considering any CRM effects and downturn conditions where relevant.

    In the case of exposures subject to the double default treatment the LGD to be disclosed shall correspond to the one selected in accordance with Article 161 (4) CRR.

    For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The disclosed LGD shall correspond to the estimate of LGD in-default.

    e

    Exposure weighted average maturity (years)

    Average of obligor maturities in years weighted by their corresponding exposure value in column a of this template.

    The disclosed value of maturity shall be determined in accordance with Article 162 CRR.

    f

    RWEA

    Risk weighted exposure amounts calculated in accordance with the requirements laid down in Chapter 3 of Title II of Part Three CRR; for exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with Article 153(1) to (4) CRR; the SME and infrastructure supporting factor determined in accordance with Article 501 CRR and Article 501a CRR shall be taken into account; for equity exposures under the PD/LGD approach, the risk weighted exposure amount calculated in accordance with Article 155(3) CRR

    g

    Density of risk weighted exposure amounts

    Ratio of the total risk weighted exposure amounts (in column f of this template) to the exposure value (in column a of this template)

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