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Risk_measures
The measures are to be populated for each Credit rating defined within the context of a Basel approach. Firms should use internal credit ratings as long as it has been mapped to a PD range. For A-IRB, F-IRB and Retail IRB, EL, PD and LGD are mandatory, and for IRB Slotting, only EL is mandatory. For F-IRB, the LGD measure should be populated with the prescribed regulatory LGD. For the ‘Standardised’ Basel approach, EL, PD and LGD measures are not applicable. If an internal credit rating is available for exposures even when the Basel Standardised approach is used, the internal rating scale name and rating should be populated. If available, internal PD and LGD measures should also be populated when the Basel Standardised approach is used.
Credit Rating should be populated for all portfolios. The credit rating should be populated as ‘Default’ for all exposures regardless of Basel approach once an asset has defaulted instead of populating with an internal credit rating. For the ‘Standardised’ Basel approach, the credit rating should be populated as ‘Default’ or ‘Not in default’, when 'Standardised - No internal rating' credit rating scale name is selected.
LTV Band is only applicable for Wholesale asset classes ‘CRE investment’ and ‘CRE development’. It could be Indexed LTV or current LTV based on mark-to-market (valuation within last 3 years).
By collecting information on collateral and security, we wish to be able to treat differently the safest loans from the riskiest ones for LGD purposes. The percentage exposure should be calculated based on Exposure for RWA. If the Exposure for RWA split is not possible, then Drawn Balance can be used. Guaranteed exposures are not considered secured, unless they are collateralised. If no information is available regarding portfolio collateralisation, the firm should populate 1 in the Subordinated unsecured exposure column.
Order |
Field Name |
Enumeration |
Definition |
1 |
Organisational unit level 1 |
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Please enter the highest logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies). |
2 |
Organisational unit level 2 |
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Please enter the second logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies). |
3 |
Organisational unit level 3 |
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Please enter the third (if applicable) logical grouping used for reporting purposes. For example, it may contain one or more brand(s), business unit(s), region(s) and /or legal entity(ies). |
4 |
Country of exposure |
CountryofExposure |
The country of residence of the obligor on an ultimate risk basis. The definition should be consistent with that used for the purposes of the 'geographical breakdown of exposures by residence of the obligor' in COREP (C 09.01 and C 09.02). When the exposure is to an international corporate body and therefore cannot be attributed to a specific country, the SUPRA continental enumerations should be used. Continental totals provided should only be used in projections templates when no specific country can be identified, they should not be used in actuals templates. |
5 |
Wholesale asset class |
Wholesaleassetclass |
A defined grouping of wholesale assets typically of similar characteristics. An asset is any property, right, entitlement or interest. |
6 |
Industrial classification |
Industrialclassification |
A classification scheme for industry sector. The permitted values are the sector headings from the UK 2007 Standard Industrial Classification (SIC). |
7 |
Basel approach |
BaselApproach |
Refers to the methods of calculating the credit risk capital component as set out in CRR Part 3 Title II Chapters 2&3. |
8 |
Credit rating scale name |
Creditratingscalename |
A descriptive name given to a firm credit rating scheme. |
9 |
Internal credit rating |
Wholesaleinternalcreditrating |
A value selected from a defined credit rating scale in a given credit rating scheme. Examples of credit rating schemes may include: Moody’s ratings, FSA Grade ratings, firm's internal ratings, etc. Firms should provide credit ratings from regulatory approved models, where available. |
10 |
Default status |
DefaultStatus |
The status of assets with respect to default as defined in CRR Articles 127 and 178 (default) and assets which don’t fall under the definitions referred to in CRR Articles 127 and 178 (not in default). |
11 |
LTV band |
IndexedLTVband |
The indexed loan to value at the reporting date. New business should be classified by LTV at origination. As a simplifying assumption the LTV banding for legacy products should then be assumed to remain constant until maturity. This only applies to CRE exposures. |
12 |
Drawn balance |
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Amount of a loan drawn by a borrower on a specified date. Balances should be reconcilable to the statutory accounts and regulatory returns. Loan balances should be entered net of write-offs and gross of Provisions. Balances should be gross of any off-set balances, i.e. the actual outstanding principal amount owed. This measure has to be consistent with the amount that can be calculated from the COREP templates CR IRB 1 and CR SA. In particular: a) For IRB Exposures: the amount should be reconcilable with the difference between EXPOSURE VALUE and EXPOSURE VALUE - OF WHICH: OFF BALANCE SHEET ITEMS ({c110} - {c120}).b) For standardised exposures, this amount should be reconcilable with the difference between FULLY ADJUSTED EXPOSURE VALUE (E*) and OFF BALANCE SHEET ITEMS ({c150} - {c160} - {c170} - {c180} - {c190}). |
13 |
RWA |
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Risk Weighted Exposure Amount. For credit risk, see CRR Article 113 for the calculation of risk weighted exposure amounts under the standardised approach and Articles 153-157 for the calculation under the IRB approach. The RWA reported should correspond to COREP Item 220 (Template C 07.00) for Standardised and Item 260 (Template C 08.01) for IRB portfolios. For securitisation positions, risk weighted exposure amount is as per the capital calculation methodology. This has a minimum of zero and a maximum of 12.5 times the regulatory carry value. If a firm has deducted the asset from capital, this field should be entered as 12.5 times the capital deduction. In instances where trading book RWAs have been calculated in accordance with CRR Article 337(4), please provide the RWAs against each individual position as if the RWA had been calculated in accordance with Article 337(3.2) and state in the comments whether it is the long or short positions driving trading book RWAs. For structured finance data, if the asset is a hedge (short) on the trading book as described in CRR Article 346, the relevant reduction in risk weighted exposure should be applied and annotated accordingly in comments, clearly defining which of the three hedging treatments is being claimed. |
14 |
Exposure for RWA |
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The exposure amount that forms the basis for the calculation of RWA. For assets under the standardised approach this is as defined in CRR Article 111. For assets under the IRB approach this is as defined in CRR Part 3 Title II Chapter 3 Section 5. This corresponds to the amount included in COREP templates: a) for standardised exposures, in template "CR SA" at column 200. Defaulted assets must be reallocated to the original asset class and reported in the respective asset class breakdown where credit rating = 'in default'. b) for IRB exposures, in template "CR IRB 1" at column 110. |
15 |
Exposure for impairments |
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The non-defaulted exposure after substitution effects and post credit conversion factor (CCF). This exposure measure is the starting point for the impairment calculation. Defaulted assets are reported separately:- For IRB portfolios, banks should use the definition of column 110 (‘exposure value’) as per COREP table CR IRB 1. For STA portfolios, banks need to calculate a post CCF equivalent of column 110 (net exposure after CRM substitution effects pre-conversion factors) as per COREP table CR SA. Since provisions have already been deducted (column 30 in CR SA), they need to be added to the exposure. Defaulted assets must be reallocated to the original asset class and reported in the respective asset class breakdown where credit rating = 'in default'. |
16 |
PD regulatory |
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Average PD for a set of assets weighted by the EAD of each. This is the regulatory PD used to calculate capital requirements. As per PRA Handbook Glossary, the PD is (in accordance with Article 4(25) of the Banking Consolidation Directive (definitions)) the probability of default of counterparty over a one year period. For the purposes of the IRB approach, this could be TTC or some form of hybrid PD. Firms should clarify the nature of PD provided as part of the unstructured data submission. Valid values for this measure are >=0 and <=1. The PD to be reported is the exposure-weighted average (the exposure to use is the same amount collected under the measure 'exposure' in this template). |
17 |
LGD regulatory |
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Average LGD (as specified in CRR Articles 161 and 164) for a set of assets weighted by the EAD of each. Valid values for this measure are >=0. For default exposures expected loss best estimate LGD should be reported, as specified in CRR Article 153(1)(ii)The LGD to be reported is a weighted average, where the weight is given by the product Exposure * PD with both of these being the measures reported in the corresponding columns of this template (see also par. 65, first bullet point, p.23 of EBA's "2016 EU wide stress test-methodological note" http://www.eba.europa.eu/documents/10180/1259315/2016+EU-wide+stress+test-Methodological+note.pdf). |
18 |
Expected loss regulatory |
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Expected Loss (credit risk) is the Basel regulatory expected loss, as estimated for exposure where capital requirements are calculated under the IRB approach, as per CRR Article 158. For standardised exposures, expected loss should not be reported. For securitisation positions and covered bonds, this is the expected loss of the instrument, net of any impairments that have already been taken through P&L. For the projections template this should be the expected loss over the entire economic life of the asset as measured at the end of the projection year, not the change in expected loss during that year. Losses should be recorded as a positive number in the structured finance data submissions. |
19 |
Secured exposure |
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The part of the exposure which is secured by collateral (or funded credit protection). On IRB exposures this corresponds to the amount in template CR IRB 1 which results from the sum of columns 170, 180, 190, 200, and 210 (row 010). Standardised exposures are to be reported net of funded credit protection so, for them, this amount is expected to be zero. |
20 |
Senior unsecured exposure |
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The part of the exposure which is not secured by collateral (or funded credit protection) but has priority over other tranches of the debt. On IRB exposures this corresponds to a fraction of the amount in template CR IRB 1 which results from the sum of columns 150, 160, and 120. NOTE: the sum of this and of the amount of 'Subordinated Unsecured Exposure' has to be equal to the result of the sum of the columns 150, 160, and 120 from COREP template CR IRB 1. On standardised this corresponds to a fraction of the amount in template CR SA which results from the sum of EXPOSURE VALUE + VALUE ADJUSTMENTS ({c200} - {c30}) NOTE: the sum of this and of the amount of 'subordinated unsecured exposure' has to be equal to the result of the sum of the columns 200 and the negative of column 30 from COREP template CR SA. |
21 |
Subordinated unsecured exposure |
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The residual part of the exposure, which is neither secured nor senior unsecured. On IRB exposures this corresponds to a fraction of the amount in template CR IRB 1 which results from the sum of columns 150, 160, and 120. NOTE: the sum of this and of the amount of 'subordinated unsecured exposure' has to be equal to the result of the sum of the columns 150, 160, and 120 from COREP template CR IRB 1. On standardised, this corresponds to a fraction of the amount in template CR SA which results from the sum of EXPOSURE VALUE + VALUE ADJUSTMENTS ({c200} - {c30}) NOTE: the sum of this and of the amount of 'subordinated unsecured exposure' has to be equal to the result of the sum of the columns 200 and the negative of column 30 from COREP template CR SA. |
22 |
Number of obligors |
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The number of obligors associated with a given group of exposures. |