20. Counterparty Credit Risk

(Default) Sub-total Total (sum of portfolios) Definitions Rows Portfolio X refers to the following prudential portfolios for the FIRB approach: (i) Sovereign; (ii) Banks; (iii) Corporate; and the following prudential portfolios for the AIRB approach: (i) Sovereign; (ii) Banks; (iii) Corporate. The information on FIRB and AIRB portfolios must be reported in separate templates. Default: The data on defaulted exposures may be further broken down according to a 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 to the PD scale provided in the template; EAD post-CRM: exposure at default. The amount relevant for the capital requirements calculation, having applied the CCR approach and CRM techniques, but gross of accounting provisions; 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 loss-given-default (LGD): the obligor grade LGD weighted by EAD. The LGD must be net of any CRM effect; Average maturity: the obligor maturity weighted by EAD; RWA density: Total RWA to EAD post-CRM. Template CCR5: Composition of collateral for CCR exposure Purpose : Provide a breakdown of all types of collateral posted or received by banks to support or reduce the counterparty credit risk exposures related to derivative transactions or to SFTs, including transactions cleared through a CCP. Scope of application: The template is mandatory for all banks. Content: Carrying values of collateral used in derivative transactions or SFTs, whether or not the transactions are cleared through a CCP and whether or not the collateral is posted to a CCP. Please refer to section 29.1 for an illustration on how the template should be completed. Frequency : Semiannual. Format : Flexible (the columns cannot be altered but the rows are flexible). 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 Collateral used in derivative transactions Collateral used in SFTs Fair value of collateral received Fair value of posted collateral Fair value of collateral received Fair value of posted collateral Segregated Unsegregated Segregated Unsegregated Cash - domestic currency Cash - other currencies Domestic sovereign debt Other sovereign debt Government agency debt Corporate bonds Equity securities Other collateral Total Definitions Collateral used is defined as referring to both legs of the transaction. Example: a bank transfers securities to a third party, and the third party in turn posts collateral to the bank. The bank reports both legs of the transaction. The collateral received is reported in column (e), while the collateral posted by the bank is reported in column (f). The fair value of collateral received or posted must be after any haircut. This means the value of collateral received will be reduced by the haircut (ie C(1 - Hs)) and collateral posted will be increased after the haircut (ie E(1 + Hs)). Segregated refers to collateral which is held in a bankruptcy-remote manner according to the description included in SCCR8.18 to SCCR8.23 . Unsegregated refers to collateral that is not held in a bankruptcy-remote manner. Domestic sovereign debt refers to the sovereign debt of the jurisdiction of incorporation of the bank, or, when disclosures are made on a consolidated basis, the jurisdiction of incorporation of the parent company. Domestic currency refers to items of collateral that are denominated in the bank's (consolidated) reporting currency and not the transaction currency. Template CCR6: Credit derivatives exposures Purpose : Illustrate the extent of a bank's exposu