19. Credit Risk

Credit risk under internal risk-based approaches. The disclosure requirements related in this section are not required to be completed by banks unless SAMA approve the bank to use the IRB approach. k. Table CRE - Qualitative disclosure related to internal ratings-based (IRB) models l. Template CR6 - IRB - Credit risk exposures by portfolio and probability of default (PD) range m. Template CR7 - IRB - Effect on RWA of credit derivatives used as credit risk mitigation (CRM) techniques n. Template CR8 - RWA flow statements of credit risk exposures under IRB o. Template CR9 - IRB - Backtesting of PD per portfolio p. Template CR10 - IRB (specialised lending and equities under the simple risk weight method) 456789 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, organization 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 organization 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 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. 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 SA 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 accom