+Portfolio-level information
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Portfolio-level information
| Portfolio distribution | Size distribution and concentration level Top x (e.g. 10) groups of connected clients and related risk indicators Asset class distribution Breakdown by industry, sector, collateral type, country, maturity, etc. | | Risk parameters | PD/LGD evolution (overall and per portfolio) PD/LGD forecasts and projections Overall expected losses Default exposure Stocks and flows of loss allowances (overall and per portfolio) | | Stock of loss allowances | Volumes of and trends in significant risk provisions at individual level |
NPE/forbearance | status/foreclosure | NPE volume by category (> 90 days past due, loss allowances, etc.) Forbearance volume and grouping of exposures (restructuring, workout, forced prolongation, other modifications, deferrals, > 90days past due, loan loss provisions) Foreclosed assets on total exposures NPE ratio without foreclosed assets NPE ratio with foreclosed assets NPE coverage (loss allowances, collateral, other guarantees) |
1. Overview
1.1 References
1.2 Identified Requirements
1.3 Related Standards
2. Identified Requirements
Requirements
| Source |
Requirement |
3. Related Standards
Standards
| Source |
Requirement |
- EBA - Published by the European Banking Authority at https://www.eba.europa.eu/
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