19. Credit Risk

(Default) Sub-total Total (all portfolios) Definitions Rows Portfolio X includes the following prudential portfolios for the FIRB approach: (i) Sovereign; (ii) Banks; (iii) Corporate; (iv) Corporate - Specialised Lending; (v) Purchased receivables, and the following prudential portfolios for the AIRB approach: (i) Sovereign; (ii) Banks; (iii) Corporate; (iv) Corporate - Specialised Lending; (v) Retail - qualifying revolving (QRRE); (vi) Retail - Residential mortgage exposures; (vii) Retail - SME; (viii) Other retail exposures; (ix) 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 SAMA’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 preconversion 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 SCRE13.8 to SCRE13.12 and SCRE15.2 to SCRE15.3 . Provisions: provisions calculated according to SCRE15.4 . 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. Accompanying narrative: Banks should supplement the template with a narrative commentary to explain the effect of credit derivatives on the bank's RWAs. 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 -MSMEs 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