This chapter describes disclosure requirements for credit risk.

Effective as of: 15 Dec 2019 | Last update: 15 Dec 2019
Status: Current (View changes)
A new version will be effective as of 31 Dec 2020 | View future version

Introduction

40.1

The scope of DIS40 includes items subject to risk-weighted assets (RWA) for credit risk as defined in RBC20.6(1), ie excluding:

(1)

all positions subject to the securitisation regulatory framework, including those that are included in the banking book for regulatory purposes, which are reported in DIS43.

(2)

capital requirements relating to counterparty credit risk, which are reported in DIS42.

40.2

The disclosure requirements under this section are:

General information about credit risk:

(1)

Table CRA - General qualitative information about credit risk

(2)

Template CR1 - Credit quality of assets

(3)

Template CR2 - Changes in stock of defaulted loans and debt securities

(4)

Table CRB - Additional disclosure related to the credit quality of assets

Credit risk mitigation:

(5)

Table CRC - Qualitative disclosure related to credit risk mitigation techniques

(6)

Template CR3 - Credit risk mitigation techniques - overview

Credit risk under standardised approach:

(7)

Table CRD - Qualitative disclosure on banks' use of external credit ratings under the standardised approach for credit risk

(8)

Template CR4 - Standardised approach - Credit risk exposure and credit risk mitigation effects

(9)

Template CR5 - Standardised approach - Exposures by asset classes and risk weights

Credit risk under internal risk-based approaches:

(10)

Table CRE - Qualitative disclosure related to internal ratings-based (IRB) models

(11)

Template CR6 - IRB - Credit risk exposures by portfolio and probability of default (PD) range

(12)

Template CR7 - IRB - Effect on RWA of credit derivatives used as credit risk mitigation (CRM) techniques

(13)

Template CR8 - RWA flow statements of credit risk exposures under IRB

(14)

Template CR9 - IRB - Backtesting of PD per portfolio

(15)

Template CR10 - IRB (specialised lending and equities under the simple risk weight method)

7 FAQs

Table CRA: General qualitative information about credit risk

Purpose: Describe the main characteristics and elements of credit risk management (business model and credit risk profile, organisation and functions involved in credit risk management, risk management reporting).

Scope of application: The table is mandatory for all banks.

Content: Qualitative information.

Frequency: Annual.

Format: Flexible.

Banks must describe their risk management objectives and policies for credit risk, focusing in particular on:

(a)

How the business model translates into the components of the bank's credit risk profile

(b)

Criteria and approach used for defining credit risk management policy and for setting credit risk limits

(c)

Structure and organisation of the credit risk management and control function

(d)

Relationships between the credit risk management, risk control, compliance and internal audit functions

(e)

Scope and main content of the reporting on credit risk exposure and on the credit risk management function to the executive management and to the board of directors

Template CR1: Credit quality of assets

Purpose: Provide a comprehensive picture of the credit quality of a bank's (on- and off-balance sheet) assets.

Scope of application: The template is mandatory for all banks. Columns d, e and f are only applicable for banks that have adopted an expected credit loss (ECL) accounting model.

Content: Carrying values (corresponding to the accounting values reported in financial statements but according to the scope of regulatory consolidation).

Frequency: Semiannual.

Format: Fixed. (Jurisdictions may require a more granular breakdown of asset classes, but rows 1 to 4 as defined below are mandatory for all banks).

Accompanying narrative: Banks must include their definition of default in an accompanying narrative.

   

a

b

c

d

e

f

g

   

Gross carrying values of

Allowances/

impairments

Of which ECL accounting provisions for credit losses

on standardised approach exposures

Of which ECL accounting provisions for credit losses

on IRB exposures

Net

values

(a+b-c)

   

Defaulted exposures

Non-defaulted exposures

Allocated in regulatory category of Specific

Allocated in regulatory category of General

1

Loans

             

2

Debt

Securities

             

3

Off-balance sheet exposures

             

4

Total

             

Definitions

Gross carrying values: on- and off-balance sheet items that give rise to a credit risk exposure according to the Basel framework. On-balance sheet items include loans and debt securities. Off-balance sheet items must be measured according to the following criteria: (a) guarantees given - the maximum amount that the bank would have to pay if the guarantee were called. The amount must be gross of any credit conversion factor (CCF) or credit risk mitigation (CRM) techniques. (b) Irrevocable loan commitments - total amount that the bank has committed to lend. The amount must be gross of any CCF or CRM techniques. Revocable loan commitments must not be included. The gross value is the accounting value before any allowance/impairments but after considering write-offs. Banks must not take into account any credit risk mitigation technique.

Write-offs for the purpose of this template are related to a direct reduction of the carrying amount when the entity has no reasonable expectations of recovery.

Defaulted exposures: banks should use the definition of default that they also use for regulatory purposes. Banks must provide this definition of default in the accompanying narrative. For a bank using the standardised approach for credit risk, the default exposures in Templates CR1 and CR2 should correspond to the secured and unsecured portions of claims "past due for more than 90 days", as stated in CRE20.26.

Non-defaulted exposures: any exposure not meeting the above definition of default.

Accounting provisions for credit losses: total amount of provisions, made via an allowance against impaired and not impaired exposures (may correspond to general reserves in certain jurisdictions or may be made via allowance account or direct reduction - direct write-down in some jurisdictions) according to the applicable accounting framework. For example, when the accounting framework is IFRS 9, "impaired exposures" are those that are considered "credit-impaired" in the meaning of IFRS 9 Appendix A. When the accounting framework is US GAAP, "impaired exposures" are those exposures for which credit losses are measured under ASC Topic 326 and for which the bank has recorded a partial write-off/write-down.

Banks must fill in column d to f in accordance with the categorisation of accounting provisions distinguishing those meeting the conditions to be categorised in general provisions, as defined in CAP10.18 in their jurisdiction, and those that are categorised as specific provisions. This categorisation must be consistent with information provided in Table CRB.

Net values: Total gross value less allowances/impairments.

Debt securities: Debt securities exclude equity investments subject to the credit risk framework. However, banks may add a row between rows 2 and 3 for "other investment" (if needed) and explain in the accompanying narrative.

Linkages across templates

Amount in [CR1:1/g] is equal to the sum [CR3:1/a] + [CR3:1/b].

Amount in [CR1:2/g] is equal to the sum [CR3:2/a] + [CR3:2/b].

Amount in [CR1:4/a] is equal to [CR2:6/a], only when (i) there is zero defaulted off-balance sheet exposure or national supervisor has exercised discretion to include off-balance sheet exposures in Template CR2.

 
                   

Template CR2: Changes in stock of defaulted loans and debt securities

Purpose: Identify the changes in a bank's stock of defaulted exposures, the flows between non-defaulted and defaulted exposure categories and reductions in the stock of defaulted exposures due to write-offs.

Scope of application: The template is mandatory for all banks.

Content: Carrying values.

National supervisors have discretion to decide whether off-balance sheet exposures should be included.

Frequency: Semiannual.

Format: Fixed. (Jurisdictions may require additional columns to provide a further breakdown of exposures by counterparty type).

Accompanying narrative: Banks should explain the drivers of any significant changes in the amounts of defaulted exposures from the previous reporting period and any significant movement between defaulted and non-defaulted loans.

Banks should disclose in their accompanying narrative whether defaulted exposures include off-balance sheet items.

     
   

a

1

Defaulted loans and debt securities at end of the previous reporting period

 

2

Loans and debt securities that have defaulted since the last reporting period

 

3

Returned to non-defaulted status

 

4

Amounts written off

 

5

Other changes

 

6

Defaulted loans and debt securities at end of the reporting period

(1+2-3-4+5)

 

Definitions

Defaulted exposure: such exposures must be reported net of write-offs and gross of (ie ignoring) allowances/impairments. For a bank using the standardised approach for credit risk, the default exposures in Templates CR1 and CR2 should correspond to the secured and unsecured portions of claims "past due for more than 90 days", as stated in CRE20.26.

Loans and debt securities that have defaulted since the last reporting period: refers to any loan or debt securities that became marked as defaulted during the reporting period.

Return to non-defaulted status: refers to loans or debt securities that returned to non-default status during the reporting period.

Amounts written off: both total and partial write-offs.

Other changes: balancing items that are necessary to enable total to reconcile.

     

Table CRB: Additional disclosure related to the credit quality of assets

Purpose: Supplement the quantitative templates with information on the credit quality of a bank's assets.

 

Scope of application: The table is mandatory for all banks.

 

Content: Additional qualitative and quantitative information (carrying values).

 

Frequency: Annual.

 

Format: Flexible.

 

Banks must provide the following disclosures:

Qualitative disclosures

(a)

The scope and definitions of "past due" and "impaired" exposures used for accounting purposes and the differences, if any, between the definition of past due and default for accounting and regulatory purposes. When the accounting framework is IFRS 9, "impaired exposures" are those that are considered "credit-impaired" in the meaning of IFRS 9 Appendix A. When the accounting framework is US GAAP, "impaired exposures" are those exposures for which credit losses are measured under Accounting Standards Codification Topic 326 and for which the bank has recorded a partial write-off/writedown.

(b)

The extent of past-due exposures (more than 90 days) that are not considered to be impaired and the reasons for this.

(c)

Description of methods used for determining accounting provisions for credit losses. In addition, banks that have adopted an ECL accounting model must provide information on the rationale for categorisation of ECL accounting provisions in general and specific categories for standardised approach exposures.

(d)

The bank's own definition of a restructured exposure. Banks should disclose the definition of restructured exposures they use (which may be a definition from the local accounting or regulatory framework).

Quantitative disclosures

(e)

Breakdown of exposures by geographical areas, industry and residual maturity.

(f)

Amounts of impaired exposures (according to the definition used by the bank for accounting purposes) and related accounting provisions, broken down by geographical areas and industry.

(g)

Ageing analysis of accounting past-due exposures.

(h)

Breakdown of restructured exposures between impaired and not impaired exposures.

     

Table CRC: Qualitative disclosure related to credit risk mitigation techniques

Purpose: Provide qualitative information on the mitigation of credit risk.

Scope of application: The table is mandatory for all banks.

Content: Qualitative information.

Frequency: Annual.

Format: Flexible

Banks must disclose:

(a)

Core features of policies and processes for, and an indication of the extent to which the bank makes use of, on- and off-balance sheet netting.

(b)

Core features of policies and processes for collateral evaluation and management.

(c)

Information about market or credit risk concentrations under the credit risk mitigation instruments used (ie by guarantor type, collateral and credit derivative providers).

Banks should disclose a meaningful breakdown of their credit derivative providers, and set the level of granularity of this breakdown in accordance with DIS10.12. For instance, banks are not required to identify their derivative counterparties nominally if the name of the counterparty is considered to be confidential information. Instead, the credit derivative exposure can be broken down by rating class or by type of counterparty (eg banks, other financial institutions, non-financial institutions).

   

Template CR3: Credit risk mitigation techniques - overview

Purpose: Disclose the extent of use of credit risk mitigation techniques.

Scope of application: The template is mandatory for all banks.

Content: Carrying values. Banks must include all CRM techniques used to reduce capital requirements and disclose all secured exposures, irrespective of whether the standardised or IRB approach is used for RWA calculation.

Please refer to DIS99.1 for an illustration on how the template should be completed.

Frequency: Semiannual.

Format: Fixed. (Jurisdictions may require additional sub-rows to provide a more detailed breakdown in rows but must retain the four rows listed below.) Where banks are unable to categorise exposures secured by collateral, financial guarantees or credit derivative into "loans" and "debt securities", they can either (i) merge two corresponding cells, or (ii) divide the amount by the pro-rata weight of gross carrying values; they must explain which method they have used.

Accompanying narrative: Banks are expected to supplement the template with a narrative commentary to explain any significant changes over the reporting period and the key drivers of such changes.

             
   

a

b

c

d

e

   

Exposures unsecured: carrying amount

Exposures to be secured

Exposures secured by

collateral

Exposures secured by

financial guarantees

Exposures secured by

credit derivatives

1

Loans

         

2

Debt securities

         

3

Total

         

4

Of which defaulted

         

Definitions

Exposures unsecured- carrying amount: carrying amount of exposures (net of allowances/impairments) that do not benefit from a credit risk mitigation technique.

Exposures to be secured: carrying amount of exposures which have at least one credit risk mitigation mechanism (collateral, financial guarantees, credit derivatives) associated with them. The allocation of the carrying amount of multi-secured exposures to their different credit risk mitigation mechanisms is made by order of priority, starting with the credit risk mitigation mechanism expected to be called first in the event of loss, and within the limits of the carrying amount of the secured exposures.

Exposures secured by collateral: carrying amount of exposures (net of allowances/impairments) partly or totally secured by collateral. In case an exposure is secured by collateral and other credit risk mitigation mechanism(s), the carrying amount of the exposures secured by collateral is the remaining share of the exposure secured by collateral after consideration of the shares of the exposure already secured by other mitigation mechanisms expected to be called beforehand in the event of a loss, without considering overcollateralisation.

Exposures secured by financial guarantees: carrying amount of exposures (net of allowances/impairments) partly or totally secured by financial guarantees. In case an exposure is secured by financial guarantees and other credit risk mitigation mechanism, the carrying amount of the exposure secured by financial guarantees is the remaining share of the exposure secured by financial guarantees after consideration of the shares of the exposure already secured by other mitigation mechanisms expected to be called beforehand in the event of a loss, without considering overcollateralisation.

Exposures secured by credit derivatives: carrying amount of exposures (net of allowances/impairments) partly or totally secured by credit derivatives. In case an exposure is secured by credit derivatives and other credit risk mitigation mechanism(s), the carrying amount of the exposure secured by credit derivatives is the remaining share of the exposure secured by credit derivatives after consideration of the shares of the exposure already secured by other mitigation mechanisms expected to be called beforehand in the event of a loss, without considering overcollateralisation.

             

Table CRD: Qualitative disclosure on banks' use of external credit ratings under the standardised approach for credit risk

Purpose: Supplement the information on a bank's use of the standardised approach with qualitative data on the use of external ratings.

Scope of application: The table is mandatory for all banks that: (a) use the credit risk standardised approach (or the simplified standardised approach); and (b) make use of external credit ratings for their RWA calculation.

In order to provide meaningful information to users, the bank may choose not to disclose the information requested in the table if the exposures and RWA amounts are negligible. It is however required to explain why it considers the information not to be meaningful to users, including a description of the portfolios concerned and the aggregate total RWA these portfolios represent.

Content: Qualitative information.

Frequency: Annual.

Format: Flexible.

A. For portfolios that are risk-weighted under the standardised approach for credit risk, banks must disclose the following information:

(a)

Names of the external credit assessment institutions (ECAIs) and export credit agencies (ECAs) used by the bank, and the reasons for any changes over the reporting period;

(b)

The asset classes for which each ECAI or ECA is used;

(c)

A description of the process used to transfer the issuer to issue credit ratings onto comparable assets in the banking book (see CRE21.9 to CRE21.11); and

(d)

The alignment of the alphanumerical scale of each agency used with risk buckets (except where the relevant supervisor publishes a standard mapping with which the bank has to comply).

   

Template CR4: Standardised approach - Credit risk exposure and credit risk mitigation effects

Purpose: Illustrate the effect of CRM (comprehensive and simple approach) on standardised approach capital requirements' calculations. RWA density provides a synthetic metric on riskiness of each portfolio.

 

Scope of application: The template is mandatory for banks using the standardised or the simplified standardised approach.

For banks using other than the standardised approach for most of their credit exposures, exposures and RWA amounts under the standardised approach may be negligible. In such circumstances, and to provide only meaningful information to users, the bank may choose not to disclose the template for the exposures treated under the standardised approach. The bank must however explain why it considers the information not to be meaningful to users. The explanation must include a description of the exposures included in the respective portfolios and the aggregate total of RWA from such exposures.

 

Content: Regulatory exposure amounts.

 

Frequency: Semiannual.

 

Format: Fixed. (The columns cannot be altered. The rows reflect the asset classes as defined under the Basel framework. Jurisdictions may amend the rows to reflect any differences in their implementation of the standardised approach.)

 

Accompanying narrative: Banks are expected to supplement the template with a narrative commentary to explain any significant change over the reporting period and the key drivers of such changes.

 
     

a

b

c

d

e

f

 
     

Exposures before CCF and CRM

Exposures post-CCF and CRM

RWA and RWA density

 
   

Asset classes

On-balance sheet amount

Off-balance sheet amount

On-balance sheet amount

Off-balance sheet amount

RWA

RWA density

 
 

1

Sovereigns and their central banks

             
 

2

Non-central government public sector entities

             
 

3

Multilateral development banks

             
 

4

Banks

             
 

5

Securities firms

             
 

6

Corporates

             
 

7

Regulatory retail portfolios

             
 

8

Secured by residential property

             
 

9

Secured by commercial real estate

             
 

10

Equity

             
 

11

Past-due loans

             
 

12

Higher-risk categories

             
 

13

Other assets

             
 

14

Total

             
 

Definitions

Rows:

Higher-risk categories: Banks must include the exposures included in CRE20.30 and CRE20.31 that are not included in other regulatory portfolios (eg exposure weighted at 150% or higher risk weights reflecting the higher risks associated with these assets). Banks' equity investments in funds framework must not be reported in this template but only in Template OV1.

Other assets: refers to assets subject to specific risk weight as set out by CRE20.35 and to significant investments in commercial entities that receive a 1250% risk weight according to CRE20.33.

Columns:

Exposures before CCF and CRM - On-balance sheet amount: banks must disclose the regulatory exposure amount (net of allowances and write-offs) under the regulatory scope of consolidation gross of (ie before taking into account) the effect of credit risk mitigation techniques.

Exposures before CCF and CRM - Off-balance sheet amount: banks must disclose the exposure value, gross of conversion factors and the effect of credit risk mitigation techniques under the regulatory scope of consolidation.

Credit exposure post-CCF and post-CRM: This is the amount to which the capital requirements are applied. It is a net credit equivalent amount, after having applied CRM techniques and CCF.

RWA density: Total risk-weighted assets/exposures post-CCF and post-CRM. The result of the ratio must be expressed as a percentage.

Linkages across templates

The amount in [CR4:14/c+CR4:14/d] is equal to the amount in [CR5:14/j]

                   

Template CR5: Standardised approach - exposures by asset classes and risk weights

Purpose: Present the breakdown of credit risk exposures under the standardised approach by asset class and risk weight (corresponding to the riskiness attributed to the exposure according to standardised approach).

Scope of application: The template is mandatory for banks using the standardised or the simplified standardised approach.

For banks using other than the standardised approach for most of their credit exposures, exposures and RWA amounts under the standardised approach may be negligible. In such circumstances, and to provide only meaningful information to users, the bank may choose not to disclose the template for the exposures treated under the standardised approach. The bank must however explain why it considers the information not to be meaningful to users. The explanation must include a description of the exposures included in the respective portfolios and the aggregate total of RWA from such exposures.

Content: Regulatory exposure values.

Frequency: Semiannual.

Format: Fixed. (Jurisdictions may amend the rows and columns to reflect any difference applied in their implementation of the standardised approach. Columns may be adapted to fit the simplified standardised approach where it is applied.)

Accompanying narrative: Banks are expected to supplement the template with a narrative commentary to explain any significant changes over the reporting period and the key drivers of such changes.

   

a

b

c

d

e

f

g

h

i

j

 
 

Risk weight*→

Asset classes↓

0%

10%

20%

35%

50%

75%

100%

150%

Others

Total
credit exposures amount (post CCF and post-CRM)

 

1

Sovereigns and their central banks

                     

2

Non-central government public sector entities

                     

3

Multilateral development banks

                     

4

Banks

                     

5

Securities firms

                     

6

Corporates

                     

7

Regulatory retail portfolios

                     

8

Secured by residential property

                     

9

Secured by commercial real estate

                     

10

Equity

                     

11

Past-due loans

                     

12

Higher-risk categories

                     

13

Other assets

 

 

 

     

 

 

 

 

 

14

Total

 

 

 

     

 

 

 

 

 

*Banks subject to the simplified standardised approach should indicate risk weights determined by the supervisory authority in the columns.

Definitions

Total credit exposure amount (post-CCF and CRM): the amount used for the capital requirements calculation (both for on- and off-balance sheet amounts), therefore net of allowances and write-offs and after having applied CRM techniques and CCF but before the application of the relevant risk weights.

Past-due loans: past-due loans correspond to the unsecured portion of any loan past due for more than 90 days, as defined in CRE20.26.

Higher-risk categories: Banks must include in this row the exposures included in CRE20.30 and CRE20.31 that are not included in other regulatory portfolios (eg exposure weighted at 150% or higher risk weight reflecting the higher risks associated with these assets). Exposures reported in this row should not be reported in the rows above. Banks' equity investments in funds framework must not be reported in this template but only in Template OV1.

Other assets: refers to assets subject to specific risk weight set out by CRE20.35 and to significant investment in commercial entities that receive a 1250% risk-weight according to CRE20.33.

 

Table CRE: Qualitative disclosure related to IRB models

Purpose: Provide additional information on IRB models used to compute RWA.

Scope of application: The table is mandatory for banks using A-IRB or F-IRB approaches for some or all of their exposures.

To provide meaningful information to users, the bank must describe the main characteristics of the models used at the group-wide level (according to the scope of regulatory consolidation) and explain how the scope of models described was determined. The commentary must include the percentage of RWA covered by the models for each of the bank's regulatory portfolios.

Content: Qualitative information.

Frequency: Annual.

Format: Flexible.

Banks must provide the following information on their use of IRB models:

(a)

Internal model development, controls and changes: role of the functions involved in the development, approval and subsequent changes of the credit risk models.

(b)

Relationships between risk management function and internal audit function and procedure to ensure the independence of the function in charge of the review of the models from the functions responsible for the development of the models.

(c)

Scope and main content of the reporting related to credit risk models.

(d)

Scope of the supervisor's acceptance of approach.

The "scope of the supervisor's acceptance of approach" refers to the scope of internal models approved by the supervisors in terms of entities within the group (if applicable), portfolios and exposure classes, with a breakdown between foundation IRB (F-IRB) and advanced IRB (A-IRB), if applicable.

(e)

For each of the portfolios, the bank must indicate the part of exposure at default (EAD) within the group (in percentage of total EAD) covered by standardised, F-IRB and A-IRB approach and the part of portfolios that are involved in a roll-out plan.

(f)

The number of key models used with respect to each portfolio, with a brief discussion of the main differences among the models within the same portfolios.

(g)

Description of the main characteristics of the approved models:

(i) definitions, methods and data for estimation and validation of PD (eg how PDs are estimated for low default portfolios; if there are regulatory floors; the drivers for differences observed between PD and actual default rates at least for the last three periods);

and where applicable:

(ii) loss-given-default (LGD) (eg methods to calculate downturn LGD; how LGDs are estimated for low default portfolio; the time lapse between the default event and the closure of the exposure);

(iii) CCFs, including assumptions employed in the derivation of these variables;

   

Template CR6: IRB - Credit risk exposures by portfolio and PD range

Purpose: Provide main parameters used for the calculation of capital requirements for IRB models. The purpose of disclosing these parameters is to enhance the transparency of banks' RWA calculations and the reliability of regulatory measures.

Scope of application: The template is mandatory for banks using either the F-IRB or the A-IRB approach for some or all of their exposures.

Content: Columns (a) and (b) are based on accounting carrying values and columns (c) to (l) are regulatory values. All are based on the scope of regulatory consolidation.

Frequency: Semiannual.

Format: Fixed. The columns, their contents and the PD scale in the rows cannot be altered, but the portfolio breakdown in the rows will be set at the jurisdiction level to reflect exposure categories under local implementation of the IRB approaches. Where a bank makes use of both F-IRB and A-IRB approaches, it must disclose one template for each approach.

Accompanying narrative: Banks are expected to supplement the template with a narrative to explain the effect of credit derivatives on RWAs.

   

a

b

c

d

e

f

g

h

i

j

k

l

 

PD scale

Original

on-balance

sheet gross exposure

Off-balance sheet

exposures

pre CCF

Average

CCF

EAD

post CRM and post-CCF

Average

PD

Number

of obligors

Average

LGD

Average

maturity

RWA

RWA density

Expected Loss

Provisions

Portfolio X

                         
 

0.00 to <0.15

                       
 

0.15 to <0.25

                       
 

0.25 to <0.50

                       
 

0.50 to <0.75

                       
 

0.75 to <2.50

                       
 

2.50 to <10.00

                       
 

10.00 to <100.00

                       
 

100.00 (Default)

                       
 

Sub-total

                       

Total (all portfolios)

                       

Definitions

Rows

Portfolio X includes the following prudential portfolios for the F-IRB approach: (i) Sovereign; (ii) Banks; (iii) Corporate; (iv) Corporate - Specialised Lending; (v) Equity (PD/LGD methods described in CRE31.37 to CRE31.45 and CRE20.34); (vi) Purchased receivables, and the following prudential portfolios for the A-IRB approach: (i) Sovereign; (ii) Banks; (iii) Corporate; (iv) Corporate - Specialised Lending; (v) Equity (PD/LGD method as described in CRE31.37 to CRE31.45 and CRE20.34); (vi) Retail - qualifying revolving (QRRE); (vii) Retail - Residential mortgage exposures; (viii) Retail - SME; (ix) Other retail exposures; (x) Purchased receivables. Information on F-IRB and A-IRB portfolios, respectively, must be reported in two separate templates.

Default: The data on defaulted exposures may be further broken down according to jurisdiction's definitions for categories of defaulted exposures.

Columns

PD scale: Exposures shall be broken down according to the PD scale used in the template instead of the PD scale used by banks in their RWA calculation. Banks must map the PD scale they use in the RWA calculations into the PD scale provided in the template.

Original on-balance sheet gross exposure: amount of the on-balance sheet exposure gross of accounting provisions (before taking into account the effect of credit risk mitigation techniques).

Off-balance sheet exposure pre conversion factor: exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques.

Average CCF: EAD post-conversion factor for off-balance sheet exposure to total off-balance sheet exposure pre conversion factor.

EAD post-CRM: the amount relevant for the capital requirements calculation.

Number of obligors: corresponds to the number of individual PDs in this band. Approximation (round number) is acceptable.

Average PD: obligor grade PD weighted by EAD.

Average LGD: the obligor grade LGD weighted by EAD. The LGD must be net of any CRM effect.

Average maturity: the obligor maturity in years weighted by EAD; this parameter needs to be filled in only when it is used for the RWA calculation.

RWA density: Total risk-weighted assets to EAD post-CRM.

EL: the expected losses as calculated according to CRE33.8 to CRE33.12 and CRE35.2 to CRE35.3;

Provisions: provisions calculated according to CRE35.4.

Template CR7: IRB - Effect on RWA of credit derivatives used as CRM techniques

Purpose: Illustrate the effect of credit derivatives on the IRB approach capital requirements' calculations. The pre-credit derivatives RWA before taking account of credit derivatives mitigation effect has been selected to assess the impact of credit derivatives on RWA. This is irrespective of how the CRM technique feeds into the RWA calculation.

Scope of application: The template is mandatory for banks using the A-IRB and/or F-IRB approaches for some or all of their exposures.

Content: Risk-weighted assets (subject to credit risk treatment).

Frequency: Semiannual.

Format: Fixed.

Columns are fixed but the portfolio breakdown in the rows will be set at jurisdiction level to reflect exposure categories required under local implementation of IRB approaches.

Accompanying narrative: Banks should supplement the template with a narrative commentary to explain the effect of credit derivatives on the bank's RWA.

 

a

b

 

pre-credit derivatives RWA

Actual RWA

1

Sovereign - F-IRB

   

2

Sovereign - A-IRB

   

3

Banks - F-IRB

   

4

Banks - A-IRB

   

5

Corporate - F-IRB

   

6

Corporate - A-IRB

   

7

Specialised lending - F-IRB

   

8

Specialised lending - A-IRB

   

9

Retail - qualifying revolving (QRRE)

   

10

Retail - residential mortgage exposures

   

11

Retail -SME

   

12

Other retail exposures

   

13

Equity - F-IRB

   

14

Equity - A-IRB

   

15

Purchased receivables - F-IRB

   

16

Purchased receivables - A-IRB

   

17

Total

   

Pre-credit derivatives RWA: hypothetical RWA calculated assuming the absence of recognition of the credit derivative as a CRM technique.

Actual RWA: RWA calculated taking into account the CRM technique impact of the credit derivative.

       

Template CR8: RWA flow statements of credit risk exposures under IRB

Purpose: Present a flow statement explaining variations in the credit RWA determined under an IRB approach.

Scope of application: The template is mandatory for banks using the A-IRB and/or F-IRB approaches.

Content: Risk-weighted assets corresponding to credit risk only (counterparty credit risk excluded). Changes in RWA amounts over the reporting period for each of the key drivers should be based on a bank's reasonable estimation of the figure.

Frequency: Quarterly.

Format: Fixed. Columns and rows 1 and 9 cannot be altered. Banks may add additional rows between rows 7 and 8 to disclose additional elements that contribute significantly to RWA variations.

Accompanying narrative: Banks should supplement the template with a narrative commentary to explain any significant change over the reporting period and the key drivers of such changes.

     
   

a

   

RWA amounts

1

RWA as at end of previous reporting period

 

2

Asset size

 

3

Asset quality

 

4

Model updates

 

5

Methodology and policy

 

6

Acquisitions and disposals

 

7

Foreign exchange movements

 

8

Other

 

9

RWA as at end of reporting period

 

Asset size: organic changes in book size and composition (including origination of new businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities.

Asset quality: changes in the assessed quality of the bank's assets due to changes in borrower risk, such as rating grade migration or similar effects.

Model updates: changes due to model implementation, changes in model scope, or any changes intended to address model weaknesses.

Methodology and policy: changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations.

Acquisitions and disposals: changes in book sizes due to acquisitions and disposal of entities.

Foreign exchange movements: changes driven by market movements such as foreign exchange movements.

Other: this category must be used to capture changes that cannot be attributed to any other category. Banks should add additional rows between rows 7 and 8 to disclose other material drivers of RWA movements over the reporting period.

     

Template CR9: IRB - Backtesting of probability of default (PD) per portfolio

Purpose: Provide backtesting data to validate the reliability of PD calculations. In particular, the template compares the PD used in IRB capital calculations with the effective default rates of bank obligors. A minimum five-year average annual default rate is required to compare the PD with a "more stable" default rate, although a bank may use a longer historical period that is consistent with its actual risk management practices.

Scope of application: The template is mandatory for banks using the A-IRB and/or F-IRB approaches. Where a bank makes use of a F-IRB approach for certain exposures and an A-IRB approach for others, it must disclose two separate sets of portfolio breakdown in separate templates.

To provide meaningful information to users on the backtesting of their internal models through this template, the bank must include in this template the key models used at the group-wide level (according to the scope of regulatory consolidation) and explain how the scope of models described was determined. The commentary must include the percentage of RWA covered by the models for which backtesting results are shown here for each of the bank's regulatory portfolios.

The models to be disclosed refer to any model, or combination of models, approved by the supervisor, for the generation of the PD used for calculating capital requirements under the IRB approach. This may include the model that is used to assign a risk rating to an obligor, and/or the model that calibrates the internal ratings to the PD scale.

Content: Modelling parameters used in IRB calculation.

Frequency: Annual.

Format: Flexible.

The portfolio breakdown in the rows will be set at jurisdiction level to reflect exposure categories required under local implementations of IRB approaches.

Accompanying narrative: Banks are expected to supplement the template with a narrative commentary to explain any significant changes over the reporting period and the key drivers of such changes. Banks may wish to supplement the template when disclosing the amount of exposure and the number of obligors whose defaulted exposures have been cured in the year.

a

b

c

d

e

f

g

h

i

Portfolio X*

PD Range

External rating equivalent

Weighted average PD

Arithmetic average PD by obligors

Number of obligors

Defaulted obligors in the year

of which: new defaulted obligors in the year

Average historical annual default rate

End of previous year

End of the year

                   
                   
                   
                   
                   

* The dimension Portfolio X includes the following prudential portfolios for the F-IRB approach:

(i) Sovereign; (ii) Banks; (iii) Corporate; (iv) Corporate - Specialised lending; (v) Equity (PD/LGD method); (vi) Purchased receivables, and the following prudential portfolios for the A-IRB approach:

(i) Sovereign; (ii) Banks; (iii) Corporate; (iv) Corporate - Specialised Lending; (v) Equity (PD/LGD method); (vi) Retail - QRRE; (vii) Retail - Residential mortgage exposures; (viii) Retail - SME; (ix) Other retail exposures; (x) Purchased receivables.

External rating equivalent: refers to external ratings that may, in some jurisdictions, be available for retail borrowers. This may, for instance, be the case for small or medium-sized entities (SMEs) that fit the requirements to be included in the retail portfolios which in some jurisdictions could have an external rating, or a credit score or a range of credit scores provided by a consumer credit bureau. One column has to be filled in for each rating agency authorised for prudential purposes in the jurisdictions where the bank operates. However, where such external ratings are not available, they need not be provided.

Weighted average PD: the same as reported in Template CR6. These are the estimated PDs assigned by the internal model authorised under the IRB approaches. The PD values are EAD-weighted and the "weight" is the EAD at the beginning of the period.

Arithmetic average PD by obligors: PD within range by number of obligor within the range. The average PD by obligors is the simple average: Arithmetic average PD = sum of PDs of all accounts (transactions) / number of accounts.

Number of obligors: two sets of information are required: (i) the number of obligors at the end of the previous year; (ii) the number of obligors at the end of the year subject to reporting;

Defaulted obligors in the year: number of defaulted obligors during the year; of which: new obligors defaulted in the year: number of obligors having defaulted during the last 12-month period that were not funded at the end of the previous financial year;

Average historical annual default rate: the five-year average of the annual default rate (obligors at the beginning of each year that are defaulted during that year/total obligor hold at the beginning of the year) is a minimum. The bank may use a longer historical period that is consistent with the bank's actual risk management practices. The disclosed average historical annual default rate disclosed should be before the application of the margin of conservatism.

Template CR10: IRB (specialised lending and equities under the simple risk-weight method)

 

Purpose: Provide quantitative disclosures of banks' specialised lending and equity exposures using the simple risk-weight approach.

 

Scope of application: The template is mandatory for banks using one of the approaches included in the template. The breakdown by regulatory categories included in the template is indicative as the data included in the template are provided by banks according to applicable domestic regulation.

 

Content: Carrying values, exposure amounts and RWA.

 

Frequency: Semiannual.

 

Format: Flexible. (Jurisdictions may notably amend the rows to reflect regulatory categories in their local implementation of the approach.)

 

Accompanying narrative: Banks are expected to supplement the template with a narrative commentary to explain any significant changes over the reporting period and the key drivers of such changes.

 

Specialised lending

 

Other than HVCRE

 

Regulatory categories

Remaining maturity

On-balance sheet amount

Off-balance sheet amount

Risk weight

Exposure amount

RWA

Expected losses

 

PF

OF

CF

IPRE

Total

 

Strong

Less than 2.5 years

   

50%

             
   

Equal to or more than 2.5 years

   

70%

             
 

Good

Less than 2.5 years

   

70%

             
   

Equal to or more than 2.5 years

   

90%

             
 

Satisfactory

     

115%

             
 

Weak

     

250%

             
 

Default

     

-

             
 

Total

 

 

                 
 

HVCRE

 

Regulatory categories

Remaining maturity

On-balance sheet amount

Off-balance sheet amount

RW

Exposure amount

RWA

Expected losses

 

Strong

Less than 2.5 years

   

70%

     
   

Equal to or more than 2.5 years

   

95%

     
 

Good

Less than 2.5 years

   

95%

     
   

Equal to or more than 2.5 years

   

120%

     
 

Satisfactory

     

140%

     
 

Weak

     

250%

     
 

Default

     

-

     
 

Total

 

 

         
 

Equities under the simple risk-weight approach

 

Categories

On-balance sheet amount

Off-balance sheet amount

Risk Weight

Exposure amount

RWA

 
 

Exchange-traded equity exposures

   

190%

     
 

Private equity exposures

   

290%

     
 

Other equity exposures

   

370%

     
 

Total

 

         

Definitions

HVCRE: High-volatility commercial real estate.

On-balance sheet amount: banks must disclose the amount of exposure (net of allowances and write-offs) under the regulatory scope of consolidation.

Off-balance sheet amount: banks must disclose the exposure value without taking into account conversion factors and the effect of credit risk mitigation techniques.

Exposure amount: the amount relevant for the capital requirement's calculation, therefore after having applied CRM techniques and CCF.

Expected losses: amount of expected losses calculated according to CRE33.8 to CRE33.12.

PF: Project finance

OF: Object finance

CF: Commodities finance

IPRE: Income producing real estate