LegalizeCommission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance )
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Sections 3, 4 and 5 of Annex V | The number of the portfolio taken from Annex V shall be reported. |
| Column | Label | Legal reference |
| --- | --- | --- |
| 0010 | Instrument number | Section 2 of Annex V |
| 0020 | Risk class | Article 325v(2) of Regulation (EU) No 575/2013 |
| 0030 | Bucket1 | Article 325y(3), Article 325aa(4) and Article 325ad(2) of Regulation (EU) No 575/2013 |
| 0040 | Bucket2 | Article 325ad(2) of Regulation (EU) No 575/2013 |
| 0050 | Obligor | Article 325v(2), Article 325x(1), and Articles 325z and 325ac of Regulation (EU) No 575/2013 |
| 0060 | Credit quality category | Article 325y(1) and (2), Article 325aa(1) and Article 325ad(1) of Regulation (EU) No 575/2013 |
| 0070 | Default risk weight | Article 325v(1), point (f), Article 325y(1) and (2), Article 325aa(1) and Article 325ad(1) of Regulation (EU) No 575/2013 |
| 0080 | Seniority | Article 325w(3) and (6) of Regulation (EU) No 575/2013 |
| 0090 | Maturity | Articles 325x, 325z and 325ac of Regulation (EU) No 575/2013 |
| 0100 | Recovery rate | Article 325v(1), point (e), of Regulation (EU) No 575/2013 |
| 0110 | Direction | Article 325v(1), points (a) and (b), of Regulation (EU) No 575/2013 |
| 0120 | Attachment point (%) | Articles 325aa and 325ad of Regulation (EU) No 575/2013 |
| 0130 | Detachment point (%) | Articles 325aa and 325ad of Regulation (EU) No 575/2013 |
| 0140- 0170 | Reporting currency results | |
| 0140 | Notional | Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 |
| 0150 | P&L + Adjustment | Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 |
| 0160 | Gross JTD amount | Article 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013 |
| 0170 | Currency | |
| 0180- 0200 | EBA portfolio currency results | Sections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013 |
| 0180 | Notional | Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 |
| 0190 | P&L + Adjustment | Article 325w(1), (2) and (5) of Regulation (EU) No 575/2013 |
| 0200 | Gross JTD amount | Article 325v(1), point (c), Article 325w(1), (2) and (5), Article 325z(1) and Article 325ac(2) of Regulation (EU) No 575/2013 |
C 120.05 – DRC. OFR COMPOSITION BY PORTFOLIO
Instructions concerning sheets (z-axis)
| Label | Legal reference | Instructions |
|---|---|---|
| Portfolio | Sections 3, 4 and 5 of Annex V | The number of the portfolio taken from Annex V shall be reported. |
| Column | Label | Legal reference |
| --- | --- | --- |
| 0010 | Risk class | Article 325v(2) of Regulation (EU) No 575/2013 |
| 0020 | Bucket1 | Article 325y(3), Article 325aa(4) and Article 325ad(2) of Regulation (EU) No 575/2013 |
| 0030 | Bucket2 | Article 325ad(2) of Regulation (EU) No 575/2013 |
| 0040 | Own funds requirements (Reporting currency results) | Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013 |
| 0050 | Reporting currency | |
| 0060 | Own funds requirements (EBA portfolio currency results) | Sections 3 and 4 of Annex V to this Regulation and Articles 325y, 325aa and 325ad of Regulation (EU) No 575/2013 |
C 120.06 – ASA. OFR
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 | Portfolio number | Sections 3, 4 and 5 of Annex V | The number of the portfolio taken from Annex V shall be reported. |
| 0020- 0040 | Reporting currency results | Sections 3 and 4 of Annex V | |
| 0020 | SBM OFR | Article 325h of Regulation (EU) No 575/2013 | Own funds requirements for the sensitivities-based method of the alternative standardised approach shall be reported for the ‘RM (and final ASA) final reference date’ (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio. |
| 0030 | DRC OFR | Article 325v of Regulation (EU) No 575/2013 | Own funds requirements for the default risk requirement of the alternative standardised approach shall be reported for the ‘RM (and final ASA) final reference date’ (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio. |
| 0040 | RRAO OFR | Article 325u of Regulation (EU) No 575/2013 | Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the ‘RM (and final ASA) final reference date’ (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio. |
| 0050- 0070 | EBA portfolio currency results | Sections 3 and 4 of Annex V | When the reporting currency of the institution is different from the EBA portfolio currencies specified in Sections 3 and 4 of Annex V, the institutions shall convert the reporting currency at the applicable ECB spot exchange rate. |
| 0050 | SBM OFR | Article 325h of Regulation (EU) No 575/2013 | Own funds requirements for the sensitivities-based method of the alternative standardised approach shall be reported for the ‘RM (and final ASA) final reference date’ (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio. |
| 0060 | DRC OFR | Article 325v of Regulation (EU) No 575/2013 | Own funds requirements for the default risk requirement of the alternative standardised approach shall be reported for the ‘RM (and final ASA) final reference date’ (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio. |
| 0070 | RRAO OFR | Article 325u of Regulation (EU) No 575/2013 | Own funds requirements for the residual risk add-on of the alternative standardised approach shall be reported for the ‘RM (and final ASA) final reference date’ (as specified in Section 1, point (b), of Annex V to this Regulation) for each portfolio. |
Table: guidance for the reporting of templates 106.01 (column 0010) and 120.01 (column 0020)
- — The column ‘risk class’ refers to Article 325d(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the risk classes: (a) ‘GIRR’ (general interest rate risk); (b) ‘CSR_NON_SEC’ (credit spread risk (CSR) for non-securitisation); (c) ‘CSR_SEC_NON_ACTP’ (credit spread risk for securitisation not included in the alternative correlation trading portfolio (non-ACTP CSR)); (d) ‘CSR_SEC_ACTP’ (credit spread risk for securitisation included in the alternative correlation trading portfolio (ACTP CSR)); (e) ‘EQ’ (equity risk); (f) ‘CM’ (commodity risk); (g) ‘FX’ (foreign exchange risk).
- — The column ‘component’ refers to Article 325e(1) of Regulation (EU) No 575/2013. The following acronyms are used to denote the components of the sensitivities-based method: (a) ‘DELTA’ (delta risk); (b) ‘VEGA’ (vega risk); (c) ‘CURVATURE’ (curvature risk).
- — The column ‘maturity’ refers to the maturity of the risk factor, where risk factors are defined along specified vertices following Articles 325l, 325m, 325n, 325o, 325p and 325q of Regulation (EU) No 575/2013. For vega general interest rate risk factors as specified in Article 325l(7) of that Regulation two maturities are given and separated by a hyphen (e.g. ‘0,5 years - 0,5 years’), the first refers to the maturity of the option and the second to residual maturity of the underlying of the option at the expiry date of the option.
- — The column ‘additional specifications’ further specifies the respective risk factor with regards to the distinction between inflation risk and cross-currency basis risk factors according to Article 325l of Regulation (EU) No 575/2013, the distinction between risk factors relating to debt instruments and risk factors relating to credit default swaps according to Articles 325m and 325n of that Regulation, the distinction between equity spot price and equity repo rate risk factors according to Article 325o of that Regulation and the distinction between the upward net curvature risk position of that risk factor (CVRk+) or the downward net curvature risk position of that risk factor (CVRk-) as specified in Article 325g of that Regulation. Risk class Component Maturity Additional specification Risk factor identifier Legal reference CM DELTA 0 years
CM_D_00.00
Article 325p of Regulation (EU) No 575/2013
CM DELTA 0,25 years
CM_D_00.25
Article 325p of Regulation (EU) No 575/2013
CM DELTA 0,5 years
CM_D_00.50
Article 325p of Regulation (EU) No 575/2013
CM DELTA 1 year
CM_D_01.00
Article 325p of Regulation (EU) No 575/2013
CM DELTA 2 years
CM_D_02.00
Article 325p of Regulation (EU) No 575/2013
CM DELTA 3 years
CM_D_03.00
Article 325p of Regulation (EU) No 575/2013
CM DELTA 5 years
CM_D_05.00
Article 325p of Regulation (EU) No 575/2013
CM DELTA 10 years
CM_D_10.00
Article 325p of Regulation (EU) No 575/2013
CM DELTA 15 years
CM_D_15.00
Article 325p of Regulation (EU) No 575/2013
CM DELTA 20 years
CM_D_20.00
Article 325p of Regulation (EU) No 575/2013
CM DELTA 30 years
CM_D_30.00
Article 325p of Regulation (EU) No 575/2013
CM VEGA 0,5 years
CM_V_00.50
Article 325p of Regulation (EU) No 575/2013
CM VEGA 1 year
CM_V_01.00
Article 325p of Regulation (EU) No 575/2013
CM VEGA 3 years
CM_V_03.00
Article 325p of Regulation (EU) No 575/2013
CM VEGA 5 years
CM_V_05.00
Article 325p of Regulation (EU) No 575/2013
CM VEGA 10 years
CM_V_10.00
Article 325p of Regulation (EU) No 575/2013
CM CURVATURE
Upward shift CM_CU Articles 325p, 325g of Regulation (EU) No 575/2013 CM CURVATURE
Downward shift CM_CD Articles 325p, 325g of Regulation (EU) No 575/2013 CSR_NON_SEC DELTA 0,5 years Debt instrument CSR_NON_SEC_D_00.50_DEBT
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC DELTA 1 year Debt instrument CSR_NON_SEC_D_01.00_DEBT
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC DELTA 3 years Debt instrument CSR_NON_SEC_D_03.00_DEBT
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC DELTA 5 years Debt instrument CSR_NON_SEC_D_05.00_DEBT
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC DELTA 10 years Debt instrument CSR_NON_SEC_D_10.00_DEBT
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC DELTA 0,5 years Credit Default Swap CSR_NON_SEC_D_00.50_CDS
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC DELTA 1 year Credit Default Swap CSR_NON_SEC_D_01.00_CDS
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC DELTA 3 years Credit Default Swap CSR_NON_SEC_D_03.00_CDS
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC DELTA 5 years Credit Default Swap CSR_NON_SEC_D_05.00_CDS
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC DELTA 10 years Credit Default Swap CSR_NON_SEC_D_10.00_CDS
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC VEGA 0,5 years
CSR_NON_SEC_V_00.50
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC VEGA 1 year
CSR_NON_SEC_V_01.00
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC VEGA 3 years
CSR_NON_SEC_V_03.00
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC VEGA 5 years
CSR_NON_SEC_V_05.00
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC VEGA 10 years
CSR_NON_SEC_V_10.00
Article 325m of Regulation (EU) No 575/2013
CSR_NON_SEC CURVATURE
Upward shift CSR_NON_SEC_CU Articles 325m, 325g of Regulation (EU) No 575/2013 CSR_NON_SEC CURVATURE
Downward shift CSR_NON_SEC_CD Articles 325m, 325g of Regulation (EU) No 575/2013 CSR_SEC_ACTP DELTA 0,5 years Debt instrument CSR_SEC_ACTP_D_00.50_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP DELTA 1 year Debt instrument CSR_SEC_ACTP_D_01.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP DELTA 3 years Debt instrument CSR_SEC_ACTP_D_03.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP DELTA 5 years Debt instrument CSR_SEC_ACTP_D_05.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP DELTA 10 years Debt instrument CSR_SEC_ACTP_D_10.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP DELTA 0,5 years Credit Default Swap CSR_SEC_ACTP_D_00.50_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP DELTA 1 year Credit Default Swap CSR_SEC_ACTP_D_01.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP DELTA 3 years Credit Default Swap CSR_SEC_ACTP_D_03.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP DELTA 5 years Credit Default Swap CSR_SEC_ACTP_D_05.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP DELTA 10 years Credit Default Swap CSR_SEC_ACTP_D_10.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP VEGA 0,5 years
CSR_SEC_ACTP_V_00.50
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP VEGA 1 year
CSR_SEC_ACTP_V_01.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP VEGA 3 years
CSR_SEC_ACTP_V_03.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP VEGA 5 years
CSR_SEC_ACTP_V_05.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP VEGA 10 years
CSR_SEC_ACTP_V_10.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_ACTP CURVATURE
Upward shift CSR_SEC_ACTP_CU Articles 325n, 325g of Regulation (EU) No 575/2013 CSR_SEC_ACTP CURVATURE
Downward shift CSR_SEC_ACTP_CD Articles 325n, 325g of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP DELTA 0,5 years Debt instrument CSR_SEC_NON_ACTP_D_00.50_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP DELTA 1 year Debt instrument CSR_SEC_NON_ACTP_D_01.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP DELTA 3 years Debt instrument CSR_SEC_NON_ACTP_D_03.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP DELTA 5 years Debt instrument CSR_SEC_NON_ACTP_D_05.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP DELTA 10 years Debt instrument CSR_SEC_NON_ACTP_D_10.00_DEBT
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP DELTA 0,5 years Credit Default Swap CSR_SEC_NON_ACTP_D_00.50_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP DELTA 1 year Credit Default Swap CSR_SEC_NON_ACTP_D_01.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP DELTA 3 years Credit Default Swap CSR_SEC_NON_ACTP_D_03.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP DELTA 5 years Credit Default Swap CSR_SEC_NON_ACTP_D_05.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP DELTA 10 years Credit Default Swap CSR_SEC_NON_ACTP_D_10.00_CDS
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP VEGA 0,5 years
CSR_SEC_NON_ACTP_V_00.50
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP VEGA 1 year
CSR_SEC_NON_ACTP_V_01.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP VEGA 3 years
CSR_SEC_NON_ACTP_V_03.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP VEGA 5 years
CSR_SEC_NON_ACTP_V_05.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP VEGA 10 years
CSR_SEC_NON_ACTP_V_10.00
Article 325n of Regulation (EU) No 575/2013
CSR_SEC_NON_ACTP CURVATURE
Upward shift CSR_SEC_NON_ACTP_CU Articles 325n, 325g of Regulation (EU) No 575/2013 CSR_SEC_NON_ACTP CURVATURE
Downward shift CSR_SEC_NON_ACTP_CD Articles 325n, 325g of Regulation (EU) No 575/2013 EQ DELTA
Spot price EQ_D_SPOT
Article 325o of Regulation (EU) No 575/2013
EQ DELTA
Repo rate EQ_D_REPO
Article 325o of Regulation (EU) No 575/2013
EQ VEGA 0,5 years
EQ_V_00.50
Article 325o of Regulation (EU) No 575/2013
EQ VEGA 1 year
EQ_V_01.00
Article 325o of Regulation (EU) No 575/2013
EQ VEGA 3 years
EQ_V_03.00
Article 325o of Regulation (EU) No 575/2013
EQ VEGA 5 years
EQ_V_05.00
Article 325o of Regulation (EU) No 575/2013
EQ VEGA 10 years
EQ_V_10.00
Article 325o of Regulation (EU) No 575/2013
EQ CURVATURE
Upward shift
EQ_CU Articles 325o, 325g of Regulation (EU) No 575/2013 EQ CURVATURE
Downward shift EQ_CD Articles 325o, 325g of Regulation (EU) No 575/2013 FX DELTA
FX_D
Article 325q of Regulation (EU) No 575/2013
FX VEGA 0,5 years
FX_V_00.50
Article 325q of Regulation (EU) No 575/2013
FX VEGA 1 year
FX_V_01.00
Article 325q of Regulation (EU) No 575/2013
FX VEGA 3 years
FX_V_03.00
Article 325q of Regulation (EU) No 575/2013
FX VEGA 5 years
FX_V_05.00
Article 325q of Regulation (EU) No 575/2013
FX VEGA 10 years
FX_V_10.00
Article 325q of Regulation (EU) No 575/2013
FX CURVATURE
Upward shift FX_CU Articles 325q, 325g of Regulation (EU) No 575/2013 FX CURVATURE
Downward shift
FX_CD Articles 325q, 325g of Regulation (EU) No 575/2013 GIRR DELTA 0,25 years
GIRR_D_00.25
Article 325l of Regulation (EU) No 575/2013
GIRR DELTA 0,5 years
GIRR_D_00.50
Article 325l of Regulation (EU) No 575/2013
GIRR DELTA 1 year
GIRR_D_01.00
Article 325l of Regulation (EU) No 575/2013
GIRR DELTA 2 years
GIRR_D_02.00
Article 325l of Regulation (EU) No 575/2013
GIRR DELTA 3 years
GIRR_D_03.00
Article 325l of Regulation (EU) No 575/2013
GIRR DELTA 5 years
GIRR_D_05.00
Article 325l of Regulation (EU) No 575/2013
GIRR DELTA 10 years
GIRR_D_10.00
Article 325l of Regulation (EU) No 575/2013
GIRR DELTA 15 years
GIRR_D_15.00
Article 325l of Regulation (EU) No 575/2013
GIRR DELTA 20 years
GIRR_D_20.00
Article 325l of Regulation (EU) No 575/2013
GIRR DELTA 30 years
GIRR_D_30.00
Article 325l of Regulation (EU) No 575/2013
GIRR DELTA
Inflation GIRR_D_INF
Article 325l of Regulation (EU) No 575/2013
GIRR DELTA
Cross-currency basis (over EUR)
GIRR_D_CRO_EUR
Article 325l of Regulation (EU) No 575/2013
GIRR DELTA
Cross-currency basis (over USD) GIRR_D_CRO_USD
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 0,5 years - 0,5 years
GIRR_V_00.50_00.50
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 1 year - 0,5 years
GIRR_V_01.00_00.50
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 3 years - 0,5 years
GIRR_V_03.00_00.50
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 5 years - 0,5 years
GIRR_V_05.00_00.50
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 10 years - 0,5 years
GIRR_V_10.00_00.50
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 0,5 years - 1 year
GIRR_V_00.50_01.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 1 year - 1 year
GIRR_V_01.00_01.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 3 years - 1 year
GIRR_V_03.00_01.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 5 years - 1 year
GIRR_V_05.00_01.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 10 years - 1 year
GIRR_V_10.00_01.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 0,5 years - 3 years
GIRR_V_00.50_03.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 1 year - 3 years
GIRR_V_01.00_03.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 3 years - 3 years
GIRR_V_03.00_03.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 5 years - 3 years
GIRR_V_05.00_03.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 10 years - 3 years
GIRR_V_10.00_03.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 0,5 years - 5 years
GIRR_V_00.50_05.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 1 year - 5 years
GIRR_V_01.00_05.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 3 years - 5 years
GIRR_V_03.00_05.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 5 years - 5 years
GIRR_V_05.00_05.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 10 years - 5 years
GIRR_V_10.00_05.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 0,5 years - 10 years
GIRR_V_00.50_10.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 1 year - 10 years
GIRR_V_01.00_10.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 3 years - 10 years
GIRR_V_03.00_10.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 5 years - 10 years
GIRR_V_05.00_10.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 10 years - 10 years
GIRR_V_10.00_10.00
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 0,5 years Inflation GIRR_V_00.50_INF
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 1 year Inflation GIRR_V_01.00_INF
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 3 years Inflation GIRR_V_03.00_INF
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 5 years Inflation GIRR_V_05.00_INF
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 10 years Inflation GIRR_V_10.00_INF
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 0,5 years Cross-currency basis (over EUR) GIRR_V_00.50_CRO_EUR
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 1 year Cross-currency basis (over EUR) GIRR_V_01.00_CRO_EUR
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 3 years Cross-currency basis (over EUR) GIRR_V_03.00_CRO_EUR
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 5 years Cross-currency basis (over EUR) GIRR_V_05.00_CRO_EUR
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 10 years Cross-currency basis (over EUR) GIRR_V_10.00_CRO_EUR
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 0,5 years Cross-currency basis (over USD) GIRR_V_00.50_CRO_USD
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 1 year Cross-currency basis (over USD) GIRR_V_01.00_CRO_USD
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 3 years Cross-currency basis (over USD) GIRR_V_03.00_CRO_USD
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 5 years Cross-currency basis (over USD) GIRR_V_05.00_CRO_USD
Article 325l of Regulation (EU) No 575/2013
GIRR VEGA 10 years Cross-currency basis (over USD) GIRR_V_10.00_CRO_USD
Article 325l of Regulation (EU) No 575/2013
GIRR CURVATURE
Upward shift GIRR_CU Articles 325l, 325g of Regulation (EU) No 575/2013 GIRR CURVATURE
Downward shift GIRR_CD Articles 325l, 325g of Regulation (EU) No 575/2013
ANNEX VII
Results Supervisory Benchmarking portfolios. MARKET RISK
| RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK | RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK | RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK | RESULTS BENCHMARKING PORTFOLIOS. MARKET RISK |
| Template number | Template code | Name of the template /group of templates | Short name |
| INITIAL MARKET VALUATION | |||
| 106,1 | C 106.00 | INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION | IMV |
| 106,2 | C 106.01 | RISK SENSITIVITIES BY INSTRUMENT | SENSITIVITIES |
| VaR, sVaR and PV | |||
| 107,1 | C 107.01 | DETAILS | VaR&SVaR 1 |
| 107,2 | C 107.02 | EBA PORTFOLIO CURRENCY RESULTS | VaR&SVaR 2 |
| PROFIT & LOSS TIME SERIES | |||
| 108 | C 108.00 | PROFIT & LOSS TIME SERIES | P&L |
| INCREMENTAL RISK CHARGE | |||
| 109,1 | C 109.01 | IRC. DETAILS OF THE MODEL | IRC 1 |
| 109,2 | C 109.02 | IRC. DETAILS BY PORTFOLIO | IRC 2 |
| 109,3 | C 109.03 | IRC. AMOUNT BY PORTFOLIO/DATE | IRC 3 |
| CORRELATION TRADING | |||
| 110,1 | C 110.01 | CT. DETAILS OF THE MODEL | CT 1 |
| 110,2 | C 110.02 | CT. DETAILS BY PORTFOLIO | CT 2 |
| 110,3 | C 110.03 | CT. AMOUNT BY PORTFOLIO/DATE | CT 3 |
| ASA (SBM & DRC) | |||
| 120,1 | C 120.01 | SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO | SBM 1 |
| 120,2 | C 120.02 | SBM. OFR COMPOSITION BY PORTFOLIO | SBM 2 |
| 120,4 | C 120.04 | DRC. MARKET VALUES AND GROSS JTD AMOUNTS BY INSTRUMENT/PORTFOLIO | DRC 1 |
| 120,5 | C 120.05 | DRC. OFR COMPOSITION BY PORTFOLIO | DRC 2 |
| 120,6 | C 120.06 | ASA. OFR BY PORTFOLIO | ASA OFR |
| C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION |
| Instrument number | Instrument Modelled for Var + SVaR (True/False) | Instrument Modelled for IRC (True/False) | Instrument Modelled for Correlation Trading (True/False) | Rationale for Exclusion | Free text box | Initial Market Valuation |
|---|---|---|---|---|---|---|
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 |
| C 106.01 - RISK SENSITIVITIES BY INSTRUMENT |
| Instrument number |
| Risk factor identifier | Bucket | Additional identifier | Risk sensitivity (Reporting currency results) | Reporting currency | Risk sensitivity (EBA instrument currency results) | Pricing model | Sensitivities definition | Free text box | Additional identifier2 | Credit quality category |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | | 0010 | 0020 | 0030 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 110 | 120 | | | | | | | | | | | | |
| C 107.01 - VaR, sVaR and PV. DETAILS |
| | | Option | Free text box |
| --- | --- | --- | --- | | | | 0010 | 0020 | | VaR | VaR | VaR | VaR | | 0010 | Methodology | | | | 0020 | Computation of 10-day Horizon | | | | 0030 | Length of observation period | | | | 0040 | Data Weighting | | | | 0050 | Backtesting add-on | | | | 0060 | VaR Regulatory add-on | | | | SVaR | SVaR | SVaR | SVaR | | 0070 | Methodology | | | | 0080 | Computation of 10-day Horizon | | | | 0090 | SVaR Regulatory add-on | | | | 0100 | SVaR period | | |
| C 107.02 - VaR and SVaR NON-CTP. EBA PORTFOLIO CURRENCY RESULTS |
| Portfolio | ||
| Date | VaR | sVaR |
| --- | --- | --- |
| 0010 | 0020 | 0030 |
| C 108.00- PROFIT & LOSS TIME SERIES |
| | | |
| --- | --- | --- |
|---|---|---|
| Portfolio | ||
| Date | Daily P&L | |
| --- | --- | |
| 0010 | 0020 | |
| |
| --- | | C 109.01 - IRC. DETAILS OF THE MODEL |
| Option | Free text box | ||
|---|---|---|---|
| Row | Item | 0010 | 0020 |
| 0010 | Number of modelling factors | ||
| 0020 | Source of LGDs |
| C 109.02 - IRC. DETAILS BY PORTFOLIO |
| Portfolio |
| | | Option | Free text box |
| --- | --- | --- | --- | | Row | Item | 0010 | 0020 | | 0010 | Liquidity Horizon | | | | 0020 | Source of PDs | | | | 0030 | Source of transition matrices | | |
| C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE |
| Portfolio | ||
| Date | IRC | |
| --- | --- | |
| 0010 | 0020 | |
| |
| --- | | C 110.01 - CT. DETAILS OF THE MODEL |
| Option | Free text box | ||
|---|---|---|---|
| Row | Item | 0010 | 0020 |
| 0010 | Number of modelling factors | ||
| 0020 | Source of LGDs |
| C 110.02 - CT. DETAILS BY PORTFOLIO |
| Portfolio | ||
| Option | ||
| --- | --- | --- |
| Row | Item | 0010 |
| 0010 | Liquidity Horizon | |
| 0020 | Source of PDs | |
| 0030 | Source of transition matrices |
| C 110.03 - CT. APR BY PORTFOLIO/DATE |
| | | |
| --- | --- | --- |
|---|---|---|
| Portfolio | ||
| Date | APR | |
| --- | --- | |
| 0010 | 0060 | |
| C 120.01 - SBM. RISK SENSITIVITIES BY INSTRUMENT/PORTFOLIO |
| Portfolio | ||
| Instrument number | Risk factor identifier | Bucket |
| --- | --- | --- |
| 0010 | 0020 | 0030 |
| C 120.02 - SBM. OFR COMPOSITION BY PORTFOLIO |
| Portfolio | ||
| Risk class | Risk Component | Correlations scenario |
| --- | --- | --- |
| 0010 | 0020 | 0030 |
| C 120.04 - DRC. Market values and gross JTD amounts by Instrument/Portfolio |
| Portfolio | ||
| Integer | ||
| Instrument number | Risk class | Bucket1 |
| --- | --- | --- |
| Instrument number | Risk class | Bucket1 |
| 0010 | 0020 | 0030 |
| C 120.05 - DRC. OFR COMPOSITION BY PORTFOLIO |
| Portfolio | ||
| Integer | ||
| Risk class | Bucket1 | Bucket2 |
| --- | --- | --- |
| 0010 | 0020 | 0030 |
| C 120.06 - ASA. OFR |
| Portfolio number | Reporting currency results | Reporting currency results | Reporting currency results | EBA portfolio currency results | EBA portfolio currency results | EBA portfolio currency results |
|---|---|---|---|---|---|---|
| Portfolio number | SBM OFR | DRC OFR | RRAO OFR | SBM OFR | DRC OFR | RRAO OFR |
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 |
ANNEX VIII
Results Supervisory Benchmarking portfolios
| Template number | Template code | Name of the template /group of templates |
|---|---|---|
| 111.00 | C 111.00 | Details on exposures in Low Default Portfolios by counterparty |
| 112.00 | C 112.00 | Details on exposures in Low Default Portfolios by counterparty by economic scenario |
| 113.00 | C 113.00 | Details on exposures in Low Default Portfolios by counterparty by facility |
| 114.00 | C 114.00 | Details on macroeconomic scenarios per GDP Area code |
| 115.00 | C 115.00 | Details on exposures in High Default Portfolios |
| 116.00 | C 116.00 | Details on exposures in High Default Portfolios by economic scenario |
| 117.00 | C 117.00 | Details on exposures in High Default Portfolios by staging |
| 118.00 | C 118.00 | Details on macroeconomic scenarios per GDP Area code |
Basic information about the reporting entity
| Legal Entity Identifier (LEI code) | ||||
| Name of the institution | ||||
| Country (drop-down box) | ||||
| Reference Date (drop-down box) | ||||
| File name naming conventions: | _S.xls | |||
| Example: | 2019_12_31_AT_AAAAAAAAAAAAAAA_S1.xls | |||
| In case of different LEI between the file name and cell E9 then the values in E9 will be considered. | In case of different LEI between the file name and cell E9 then the values in E9 will be considered. | In case of different LEI between the file name and cell E9 then the values in E9 will be considered. | In case of different LEI between the file name and cell E9 then the values in E9 will be considered. |
C 111.00 – Details on exposures in Low Default Portfolios by counterparty
| Counterparty Code | Number of facilities | GDP Area Code | Exposure value - IFRS 9 | Gross carrying amount | PD - 12 months - IFRS 9 | PD - IRB without conservative adjustment | LGD - IFRS 9 | ECL amount - 12 months IFRS 9 | Expected Loss Amount - IRB | LGD IFRS 9 Unsecured 12M (Hypothetical) |
|---|---|---|---|---|---|---|---|---|---|---|
| 0010 | 0020 | 0030 | 0040 | 0045 | 0100 | 0110 | 0200 | 0400 | 0410 | 0500 |
C 112.00 - Details on exposures in Low Default Portfolios by counterparty by economic scenario
| Counterparty Code | Economic scenario ID | PD - 0 - 12 months | PD - 0 - 24 months | PD - 0 - 36 months | PD - 0 - 48 months | PD - 0 - 60 months | PD - 0 - 72 months | PD - 0 - 84 months | PD - 0 - 96 months | PD - 0 - 108 months | PD - 0 - 120 months |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 0010 | 0020 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 |
C 113.00 - Details on exposures in Low Default Portfolios by counterparty by facility
| Counterparty Code | facility ID | Exposure value | Impairment status | Annualised originated PD | Annualised PD at reporting date | Quantitative Stage 2 trigger (in annualised PD) | Low Credit Risk Exemption threshold (if applicable) | Qualitative Stage 2 Trigger set |
|---|---|---|---|---|---|---|---|---|
| 0010 | 0020 | 0100 | 0200 | 0300 | 0400 | 0500 | 0550 | 0600 |
C 114.00 – Details on macroeconomic scenarios per GDP Area code
| GDP Area code | Economic scenario ID | GDP growth - 0 - 12 months | GDP growth - 12 - 24 months | GDP growth - 24 - 36 months | GDP growth - 36 - 48 months | GDP growth - 48 - 60 months | GDP growth - 60 - 72 months | GDP growth - 72 - 84 months | GDP growth - 84 - 96 months | GDP growth - 96 - 108 months | GDP growth - 108 - 120 months | Weight of the Scenarios - 0 - 12 months | Weight of the Scenarios - 12 - 24 months | Weight of the Scenarios - 24 - 36 months | Weight of the Scenarios - 36 - 48 months | Weight of the Scenarios - 48 - 60 months | Weight of the Scenarios - 60 - 72 months | Weight of the Scenarios - 72 - 84 months | Weight of the Scenarios - 84 - 96 months | Weight of the Scenarios - 96 - 108 months | Weight of the Scenarios - 108 - 120 months |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0010 | 0020 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0199 | 0201 | 0202 | 0203 | 0204 | 0205 | 0206 | 0207 | 0208 | 0209 |
C 115.00 - Details on exposures in High Default Portfolios
| Portfolio ID | Number of obligors | GDP Area Code | Exposure value - IFRS 9 Stage 1 | Exposure value - IFRS 9 Stage 2 | Exposure value - IFRS 9 Stage 3 | Gross carrying amount | PD - 12 months - IFRS 9 | PD - 12 months - IFRS 9 without overlays | PD - 12 months - IFRS 9 TTC/Unconditional | PD - 12 months - IFRS 9 - Stage 1 | PD - 12 months - IFRS 9 - Stage 2 | Collateral value | LGD - IFRS 9 | LGD - IFRS 9 without overlays | Residual maturity | ECL amount IFRS 9 Stage 1 | ECL amount IFRS 9 Stage 2 | ECL amount IFRS 9 Stage 3 | ECL amount IFRS 9 without overlays Stage 1 | ECL amount IFRS 9 without overlays Stage 2 | ECL amount IFRS 9 without overlays Stage 3 | Expected Loss amount- Stage 1 | Expected Loss amount- Stage 2 | Expected Loss amount- Stage 3 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0010 | 0040 | 0045 | 0050 | 0051 | 0052 | 0055 | 0100 | 0105 | 0106 | 0107 | 0108 | 0120 | 0130 | 0133 | 0140 | 0145 | 0146 | 0147 | 0148 | 0149 | 0150 | 0160 | 0161 | 0162 |
C 116.00 - Details on exposures in High Default Portfolios by economic scenario
| Portfolio ID | Economic scenario ID | PD - 0 - 12 months | PD - 0 - 24 months | PD - 0 - 36 months | PD - 0 - 48 months | PD - 0 - 60 months | PD - 0 - 72 months | PD - 0 - 84 months | PD - 0 - 96 months | PD - 0 - 108 months | PD - 0 - 120 months | ECL amount IFRS 9 Stage 1 | ECL amount IFRS 9 Stage 2 | ECL amount IFRS 9 Stage 3 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0010 | 0020 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0200 | 0201 | 0202 |
C 117.00 - Details on exposures in High Default Portfolios by staging
| Portfolio ID | Stage 1 exposures under Low credit risk exemption | Low credit risk exemption threshold | Stage 1 exposures with more than a three- fold increase in PD | Exposures in stage 2 due to quantitative triggers | Exposures in stage 2 due to qualitative or backstop indicators | Additional ECL amount in case of transfer to stage 2 | Transition rate from stage 1 to stage 3 | Transition rate from stage 2 to stage 3 | Total transfers to stage 3 | Transfers from stage 1 directly to stage 3 |
|---|---|---|---|---|---|---|---|---|---|---|
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0080 | 0120 | 0130 | 0140 | 0150 |
C 118.00 – Details on macroeconomic scenarios per GDP Area code
| GDP Area code | Economic scenario ID | GDP growth - 0 - 12 months | GDP growth - 12 - 24 months | GDP growth - 24 - 36 months | GDP growth - 36 - 48 months | GDP growth - 48 - 60 months | GDP growth - 60 - 72 months | GDP growth - 72 - 84 months | GDP growth - 84 - 96 months | GDP growth - 96 - 108 months | GDP growth - 108 - 120 months | Weight of the Scenarios - 0 - 12 months | Weight of the Scenarios - 12 - 24 months | Weight of the Scenarios - 24 - 36 months | Weight of the Scenarios - 36 - 48 months | Weight of the Scenarios - 48 - 60 months | Weight of the Scenarios - 60 - 72 months | Weight of the Scenarios - 72 - 84 months | Weight of the Scenarios - 84 - 96 months | Weight of the Scenarios - 96 - 108 months | Weight of the Scenarios - 108 - 120 months |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0010 | 0020 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0199 | 0201 | 0202 | 0203 | 0204 | 0205 | 0206 | 0207 | 0208 | 0209 |
ANNEX IX
IFRS 9 TEMPLATE REPORTING INSTRUCTIONS
| PART I: | GENERAL INSTRUCTIONS |
| General Instructions for Low Default Portfolios – Templates C.111.00, C.112.00, C.113.00, C.114.00 | |
| General Instructions for High Default Portfolios – Templates C.115.00, C.116.00, C.117.00, C.118.00 | |
| PART II: | TEMPLATE-RELATED INSTRUCTIONS |
| C 111.00 – | Details on exposures in Low Default Portfolios by counterparty |
| C 112.00 – | Details on exposures in Low Default Portfolios by counterparty by economic scenario |
| C 113.00 – | Details on exposures in Low Default Portfolios by counterparty by facility |
| C 114.00 – | Details on macroeconomic scenarios per GDP Area code |
| C 115.00 – | Details on exposures in High Default Portfolios |
| C 116.00 – | Details on exposures in High Default Portfolios by economic scenario |
| C 117.00 – | Details on exposures in High Default Portfolios by staging |
| C 118.00 – | Details on macroeconomic scenarios per GDP Area code |
PART I: GENERAL INSTRUCTIONS
General Instructions for Low Default Portfolios – Templates C.111.00, C.112.00, C.113.00, C.114.00
- 1.Information shall be submitted only for those counterparties and portfolios where an actual exposure exists at the reference date in the form of either an Original Exposure or an Exposure after credit risk mitigation, including exposures in stage 3 and counterparties for which the temporary or permanent partial use of the Standardised Approach has been permitted by the respective competent authority in accordance with Article 148 or 150 of Regulation (EU) No 575/2013. Information for counterparties and portfolios for which no exposure exists at the reference date shall not be submitted. Only the following exposures should be reported: those exposures which are subject to the impairment requirements under IFRS 9.5.5.1, excluding purchased or originated credit-impaired financial assets as defined in Appendix A to IFRS 9 as set out in the Annex to Commission Regulation (EC) No 2023/1803 (‘Annex relating to IFRS 9 ’) shall be included.
- 2.Information not required or not applicable shall not be submitted; the relevant cells shall either be left blank or NULL. This shall also apply to weighted average quantities that cannot be calculated. Zero values shall be reported only where the intention is to report a quantity of zero. The cells shall not be left blank nor the indication “NULL” shall be inserted to report quantities that are zero.
- 3.Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date in accordance with Commission Implementing Regulation (EU) 2021/451 ([^E0007]).
- 4.All the templates included in this Annex shall be filled only for the subset of counterparties with the counterparty ID in the following format: ID _*CT. Specialised lending exposures as defined in Article 147(8) of Regulation (EU) No 575/2013 shall be excluded.
- 5.The PDs shall be expressed as a value between 0 and 1, and shall be expressed with a minimum precision equivalent to four decimals.
- 6.Where the facility expires within the year considered for a specific data point, the parameter estimates and the ECL amount to be reported for this facility shall be related to a default event over a 12 months’ period. By way of derogation from this rule, for the purpose of template C 112.00, where the facility expires before the year considered for a specific data point, the facility’s PD shall not be included in the exposure weighted average PD.
- 7.In relation to guaranteed exposures, the PD parameter to be reported shall be the one of the original obligors, regardless of whether, for regulatory purposes, the CRM technique is applied via a substitution of the risk parameters of the obligor by the risk parameters of the protection provider. However, the effect of the guarantee shall be taken into consideration in the LGD and in the ECL estimate, in line with the approach used for accounting purposes. Under no circumstances should the PD parameters of a protection provider be reported as the risk parameters of the original obligor.
General Instructions for High Default Portfolios – Templates C.115.00, C.116.00, C.117.00, C.118.00
- 8.Information shall be submitted only for those portfolios where an actual exposure exists at the reference date in the form of either an Original Exposure or an Exposure after credit risk mitigation, including exposures in stage 3. Information for portfolios for which no exposure exists at the reference date shall not be submitted. Only the following exposures should be reported: those exposures which are subject to the impairment requirements under IFRS 9.5.5.1, excluding purchased or originated credit-impaired financial assets as defined in Appendix A to IFRS 9 as set out in the Annex to Commission Regulation (EC) No 2023/1803 (‘Annex relating to IFRS 9’) shall be included.
- 9.Information not required or not applicable shall not be submitted; the relevant cells shall be left blank or ‘NULL’ shall be inserted. This shall also apply to weighted average quantities that cannot be calculated. Zero values shall be reported only where the intention is to report a quantity of zero. To report quantities that are zero, the cells shall not be left blank nor shall ‘NULL’ be inserted.
- 10.Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date in accordance with Commission Implementing Regulation (EU) 2021/451 ([^E0008]).
- 11.All the templates included in this Annex shall be filled only for those portfolios included in Annex I, template C 104.00. Specialized lending exposures as defined in Article 147(8) of Regulation (EU) No 575/2013 shall be excluded.
- 12.By way of derogation of paragraph 4, for portfolios identified in Annex I, template C.104.00 with a geographical breakdown (all portfolios with column 0050 different than ‘Not applicable””), information shall be reported only when portfolios are considered material. A portfolio is considered material when it has a total exposure equal or higher than 1 % of the total exposure reported for that exposure class (identifiable for each asset class, considering portfolios with column 50, 150 and 200 as “Not applicable” and Column 90 as “non-defaulted”). The total exposure to be considered shall correspond to the sum of the amounts reported respectively in Annex VII, template C.115.00, column 0050 (stage 1 facilities), column 0051 (stage 2 facilities) and column 0052 (stage 3 facilities).
- 13.The PDs shall be expressed as a value between 0 and 1 and shall be expressed with a minimum precision equivalent to four decimals.
- 14.The ECLs, as well as the IRB expected loss amounts, shall be expressed as a positive number.
- 15.Where the facility expires within the year considered for a specific data point, the parameter estimates and the ECL amount to be reported for this facility shall be related to a default event over a 12 months’ period. By way of derogation from this rule, for the purpose of template C.116.00, where the facility expires before the year considered for a specific data point, the facility’s PD shall not be included in the exposure weighted average PD.
- 16.In relation to guaranteed exposures, the PD parameter to be reported shall be the one of the original obligors, regardless of whether, for regulatory purposes, the CRM technique is applied via a substitution of the risk parameters of the obligor by the risk parameters of the protection provider. However, the effect of the guarantee shall be taken into consideration in the LGD and in the ECL estimate, in line with the approach used for accounting purposes. Under no circumstances should the PD parameters of a protection provider be reported as the risk parameters of the original obligor.
- 17.Data should be reported only with reference to both the on-balance sheet and off-balance sheet exposures in the scope of the impairment requirements of IFRS 9, related to those portfolios included in Annex I, template C.104.00.
PART II: TEMPLATE-RELATED INSTRUCTIONS
C 111.00 – Details on exposures in Low Default Portfolios by counterparty
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