EBA欧洲银行-2016-EU-wide-Transparency-Exercise-Templates-Guidelines_7页_252kb

2016 EU-wide Transparency Exercise Templates Guidelines Summary

Core Content

The document outlines the guidelines for the 2016 EU-wide Transparency Exercise, detailing how data from the COREP and FINREP reporting templates is mapped to transparency templates. It provides a structured approach for banks to disclose credit risk and sovereign exposure data in a transparent manner, based on specific thresholds and classification rules.

Main Templates and Their Purpose

The transparency exercise includes the following templates:

• Cover
• Capital
• RWA
• P&L
• Market risk
• Credit risk STA
• Credit risk IRB
• Sovereign exposures
• Non Performing exposures
• Forborne exposures

These templates are designed to present data in a clear and structured format, allowing for both detailed and aggregated disclosure of financial exposures.

Data Extraction and Validation

• Data for these templates is automatically extracted by the EBA from COREP and FINREP templates, following a detailed mapping structure.
• The data is validated by the banks themselves.
• Each cell in the transparency templates is linked to the corresponding regulatory reporting templates, as detailed in the "2016 EU-wide Transparency Exercise Mapping file.xlsx".

Credit Risk Templates

Two types of credit risk templates are provided:

a) Transparency Credit Risk Templates with Suffix "a"

• Purpose: For banks reporting country by country data in COREP credit risk information.
• Disclosure: Data is published at the total level and for the most relevant countries of counterparty.
• Selection Criteria: The most relevant countries are selected based on the minimum of:
  • 95% of the total original exposure
  • The top 10 countries ranked by original exposure
• Example: If a bank's exposure is concentrated in 6 countries that together account for 95% of the total, those 6 countries are included. Otherwise, the top 10 countries are used.
• Cut-off Date: The first reference date of the exercise, i.e., 31/12/2015, is used to determine the top 10 countries.
• Codification Rules:
  • Exposure class code: Used for group level data, referencing specific codes from templates C 07.00.a and C 08.01.a.
  • Country of counterparty rank: Used for data reported at the country level, with '999' indicating the country of counterparty and the rank following specific rules.

b) Transparency Credit Risk Templates with Suffix "b"

• Purpose: For banks not reporting country by country data due to the threshold on non-domestic exposures.
• Disclosure: Credit risk information is published only at the total level.

Sovereign Templates

a) Transparency Template "Sovereign a"

• Purpose: For banks reporting sovereign exposures by country in FINREP.
• Disclosure: Sovereign exposures are published at the total level (banking group) and for individual countries or grouped by regions.
• Codification Rules:
  • Country of sovereign: '999' + country abbreviation code.
  • Code "XX": Represents the sum of all countries.

b) Transparency Template "Sovereign b"

• Purpose: For banks not reporting sovereign exposures by country in FINREP.
• Disclosure: Sovereign exposure information is published only for the whole banking group.

Key Information

• Threshold for Country-Level Reporting: Banks must report country by country data only if total non-domestic exposures are equal or higher than 10% of the total exposures.
• Exposure Classification: Specific codes are used to classify exposure types, which are linked to the original COREP and FINREP templates.
• Aggregation Rules: The consolidated group data is not the sum of the country by country cells but represents the overall exposure.
• Mapping File: Contains detailed codification for each cell, including ITS reporting templates elements, row and column numbers, and additional parameters for credit risk and sovereign templates.