ITS on Benchmarking Portfolios

Auszug SCOM Arbeitsinstanz 14.4.2015
ITS on Benchmarking Portfolios
Hauptabteilung Statistik
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ITS on Benchmarking Portfolios
 Veröffentlichung finaler ITS/RTS am 2.3.2015 auf EBA-Homepage
http://www.eba.europa.eu/-/eba-delivers-benchmarking-package
 Jährliche Meldung (solo + konsolidiert)
 Melderkreis gem. Art. 1 ITS (Referenzierung auf Art. 78 Abs. 1 CRD):
 Institute, die interne Ansätze zur Berechnung von risikogewichteten Positionsbeträgen
oder Eigenmittelanforderungen, außer für das operationelle Risiko, anwenden dürfen.
 Zu melden sind die Ergebnisse der Berechnungen ihrer internen Ansätze für diejenigen
ihrer Risikopositionen oder Positionen, die in den Referenzportfolios enthalten sind.
 Beachte Ausnahmebestimmungen gem. Art. 4 ITS
 Erstmalige Meldung mit Daten aus Q4/2015
 Kreditrisiko: Meldestichtag 31. Dezember 2015
 Marktrisiko: Meldestichtage im Annex V und VI definiert
 Übermittlungsfrist für KIs jeweils 11. April eines jeden Jahres
(Template C 106.00 „Initial Market Valuation (IMV)“ bereits mit 2. November 2015)
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Rechtliche Grundlage
--- Art. 78 CRD IV --Aufsichtlicher Vergleich interner Ansätze zur Berechnung der Eigenmittelanforderungen
(1) Die zuständigen Behörden stellen sicher, dass Institute, die interne Ansätze zur Berechnung von
risikogewichteten Positionsbeträgen oder Eigenmittelanforderungen, außer für das operationelle Risiko,
anwenden dürfen, die Ergebnisse der Berechnungen ihrer internen Ansätze für diejenigen ihrer
Risikopositionen oder Positionen, die in den Referenzportfolios enthalten sind, melden. Die Institute übermitteln
den zuständigen Behörden die Ergebnisse ihrer Berechnungen zusammen mit einer Erläuterung der dabei
angewandten Methoden in angemessenen zeitlichen Abständen, jedoch mindestens jährlich.
(2) Die zuständigen Behörden stellen sicher, dass die Institute den zuständigen Behörden und der EBA die
Ergebnisse der Berechnungen nach Absatz 1 entsprechend dem von der EBA erstellten Musters gemäß Absatz 8
übermitteln. …
(7) Die EBA arbeitet Entwürfe technischer Regulierungsstandards aus, in denen Folgendes präzisiert wird:
a) die Verfahren für die gemeinsame Nutzung der Bewertungen nach Abs 3 durch die zuständigen Behörden und die EBA,
b) die Normen für die von den zuständigen Behörden gemäß Absatz 3 vorgenommene Bewertung.
(8) Die EBA arbeitet Entwürfe technischer Durchführungsstandards aus, in denen Folgendes präzisiert wird:
a) das Muster, die Begriffsbestimmungen und die IT-Lösungen, die für Meldungen gem. Abs 2 zu verwenden sind;
b) das Referenzportfolio bzw. die Referenzportfolios im Sinne des Absatzes 1.
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Scope ITS / RTS
optional: EBA may
issue Guidelines &
Recommendations
Art. 78
CRD IV
The
draft
implementing
standards (ITS) specify:
technical
a) the template, the definitions and the
IT solutions to be applied in the Union
for the reporting of benchmarking
portfolios; and
b) the benchmark portfolio or portfolios
for the internal models applied to
calculate capital requirements for
credit risk (IRB) as well as for market
risk (including VaR, SVaR, IRC and
Correlation
Trading
models),
counterparty risk and CVA risk.
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The draft regulatory technical standards
(RTS) specify:
a)
the procedures for sharing the
assessments between competent
authorities and with the EBA, and
b)
the standards for assessments
made by competent authorities, for the
internal models applied to calculate
capital requirements for credit risk
(IRB) and own funds for market risk
(including VaR, SVaR, IRC and
Correlation
Trading
models),
counterparty risk and CVA risk.
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Structure of the benchmarking portfolios
Market risk internal models:
 For market risk, the EBA is providing:
(i) individual and
(ii) aggregated portfolios, which will comprise a number of the individual portfolios
 The individual portfolios used to assess VaR, SVaR and IRC will be categorised
around the following broad risk categories:





Interest Rate
Equity
FX
Commodities
Credit
 Besides the above categories, there will be a set of portfolios for correlation
trading activities (which, due to their nature, encompass different risk categories)
which will not be included in aggregated portfolios.
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Structure of the benchmarking portfolios
Credit risk (IRB):
 The individual portfolios used to assess credit risk exposures are the following
broad risk portfolios:
 Low default portfolios (LDP: central governments, institutions, large corporate)
 High default portfolios (HDP: corporate, SMEs, residential mortgages)
 In particular, it is envisaged to use:
(i)
a set of real LDP cluster portfolios designed by grouping the actual exposures
according to some key dimensions (rating grade, facility type, collateral type,
geography, economic sector, company size, etc.);
(ii) a sample of actual exposures identified through a list of names for central
governments, banks and large corporate;
(iii) a set of real HDP cluster portfolios (corporate, SME corporate, SME retail and
residential mortgages) designed by grouping the exposures according to some key
dimensions (rating grade, collateral type, geography/country, company size, indexed
loan to value, etc.); and
(iv) a set of hypothetical transactions for LDP exposures investigating maturity, own
CCF (EAD) and own LGD estimates for different transactions and collateral types.
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IT solutions and the reporting templates
 The EBA has reused existing definitions of the COREP part of the ITS
on supervisory reporting and extended these definitions to achieve the
higher level of granularity needed for benchmarking purposes.
 This also allows the existing infrastructure available to be used for data
submissions related to the ITS on reporting.
 Hence, the specification of the data requirements for the benchmarking
exercise build on the existing Data Point Model (DPM), which has already
been implemented by institutions
Art. 6 ITS:
IT solutions for the reporting of Article 78(3) of Directive 2013/36/EU
The IT solution for the reporting of Article 78(3) of Directive 2013/36/EU shall be the same as,
and shall form an integral part of, the IT solution developed for the supervisory reporting of
institutions to competent authorities in accordance with Implementing Regulation (EU) No
680/2014.
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Anhänge im ITS betreffend “Credit Risk”
Annex I to IV are about Credit risk:


Annex I (template) and II (instructions): Definition of Supervisory Benchmarking portfolios
(The templates identify the benchmarking portfolios and are pre-filled by the EBA)
Annex III (template) and IV (instructions): Results Supervisory Benchmarking portfolios
(The templates are used by the Institutions to report the results)
ANNEX III - Results Supervisory Benchmarking portfolios
RESULTS BENCHMARKING PORTFOLIOS
Template Template
Name of the template /group of templates
number
code
101
C 101.00 Details on exposures in Low Default Portfolios by counterparty
102
C 102.00 Details on exposures in Low Default Portfolios
103
C 103.00 Details on exposures in High Default Portfolio
104
C 104.00 Details for hypothetical transactions in Low Default Portfolios
105,01
C 105.01 Definition of internal models
105,02
C 105.02 Mapping of internal models to portfolios
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Short name
LDP counterparty details
LDP details
HDP details
HYP Details
Internal models
Mapping internal models
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Anhänge im ITS betreffend “Market Risk”
Annex V to VII are about Market risk:
 Annex V: Definition of Supervisory Benchmarking portfolios
(These documents identify the market risk benchmarking portfolios)
 Annex VII (template) and VI (instructions): Results Supervisory Benchmarking portfolios
(The templates are used by the Institutions to report the results)
ANNEX 7 - Results Supervisory Benchmarking portfolios. MARKET RISK
RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK
Template
number
Template
code
106
C 106.00
107,1
107,2
C 107.01
C 107.02
108
C 108.00
109,1
109,2
109,3
C 109.01
C 109.02
C 109.03
110,1
110,2
110,3
C 110.01
C 110.02
C 110.03
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Name of the template /group of templates
INITIAL MARKET VALUATION
INITIAL MARKET VALUATION
VaR AND SVaR NON-CTP
DETAILS
BASE CURRENCY RESULTS
ONE YEAR PROFIT & LOSS VaR
ONE YEAR PROFIT & LOSS VaR
INCREMENTAL RISK CHARGE
IRC. DETAILS OF THE MODEL
IRC. DETAILS BY PORTFOLIO
IRC. AMOUNT BY PORTFOLIO/DATE
CORRELATION TRADING
CT. DETAILS OF THE MODEL
CT. DETAILS BY PORTFOLIO
CT. AMOUNT BY PORTFOLIO/DATE
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Short name
IMV
VaR&SVaR 1
VaR&SVaR 2
1Y P&L
IRC 1
IRC 2
IRC 3
CT 1
CT 2
CT 3
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Ausnahmebestimmungen gem. Art. 4 ITS
Exceptions from reporting for market risk on a consolidated & individual basis:
 Art. 4 (1): For the purposes of the reporting on market risk referred to in Article
78(2) of Directive 2013/36/EU, institutions may refrain from reporting any of
the templates relating to individual portfolios as referred to in Article 2, where:
a) such institutions do not have a model authorisation from their competent authority to
model the relevant instruments, or risk factors, which are included in the portfolio;
b) there is no internal authorisation by the management of these institutions to operate
in certain instruments or the underlying assets included in the relevant portfolios;
c) one or more of the instruments included in the portfolios incorporate underlying risks or
modelling features which are not contemplated in the institution’s risk metrics.
 Art. 4 (2): Where institutions meet the requirements of paragraph 1 and have
exercised the option of refraining from reporting certain templates relating to
individual market risk portfolios, they shall still report data for the aggregated
portfolios included in Annex V, considering only the individual portfolios
which they are able and authorised to model.
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Übergangsbestimmungen gem. Art. 7 ITS
 Art. 7 (1): As a derogation from Article 2(1), during the first year of application of
this Regulation, institutions shall submit only the information referred to in points
(c) and (e) of that Article.  dh, betreffend Credit Risk sind für das Jahr 2015
ausschließlich die Templates 103 und 105 des Annex III zu melden.
 Art. 7 (2): As a derogation from Article 2(1), during the second year of application
of this Regulation, institutions shall submit only the information referred to in points
(a), (b), (d) and (e) of that Article.  dh, betreffend Credit Risk sind für das
Jahr 2016 ausschließlich die Templates 101, 102, 104 und 105 des Annex III
zu melden.
 Art. 7 (3): As a derogation from Article 2, and until 1.1.2017, institutions that do not
compute the own funds requirements for credit risk resulting from the application of
the standardised approach as referred to in Article 4 of Regulation xx/xxx [RTS],
shall not be required to report column No 180 of templates No 102 and 103 of
Annex III.  dh, betreffend Credit Risk ist für die Jahre 2015 + 2016 von den
genannten Instituten die Spalte 180 (“RWA Standardised”) der Templates
102 und 103 des Annex III nicht zu melden.
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