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 )
ANNEX II
SUPERVISORY BENCHMARKING PORTFOLIOS
| DEFINITION OF THE SUPERVISORY BENCHMARK PORTFOLIOS | |
| C 101.00 – | Definition of Low Default Portfolio counterparties |
| C 102.00 – | Definition of Low Default Portfolios |
| C 103.00 – | Definition of High Default Portfolios |
| C 104.00 – | Definition of High Default Portfolios for IFRS 9 templates |
DEFINITION OF THE SUPERVISORY BENCHMARK PORTFOLIOS
For mapping the exposures of the institutions to the counterparties and the portfolios specified in Annex I, the columns, labels, legal references and instructions provided in this Annex shall be used. Where ‘Not applicable’ is used in Annex I, no specific split is required for the variable it relates to.
C 101.00 – Definition of Low Default Portfolio counterparties
Only exposures to the counterparties listed in table C 101.00 of Annex I which are treated under the Foundation IRB approach or under the Advanced IRB approach shall be reported in template C 101.00 of Annex III. In templates C 111.00, C 112.00 and C 113.00 of Annex VIII, -exposures to counterparties listed in table C 101.00 of Annex I which are treated under the standardised approach shall also be reported. Independent of the regulatory approach, exposures to related entities of the counterparties listed in table C 101.00 of Annex I, including subsidiaries and parent companies, shall not be reported.
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 | Counterparty code | The code assigned by EBA to each legal entity included in the low default portfolio (‘LDP’) sample. | |
| 0020 | Legal entity identifier (LEI) | 20-digit, alpha-numeric code that connects to key reference information that enables clear and unique identification of companies participating in global financial markets. | |
| 0030 | Credit register code | The code used by the national credit register of the place of residence of the counterparty. The code is used as an identifier for the counterparty. | |
| 0040 | Commercial register code | The code assigned to a counterparty by the public commercial register of the country where that counterparty is registered. | |
| 0050 | ISIN code | The ‘International Securities Identification Number’ used to identify uniquely securities issued by a counterparty. | |
| 0060 | Bloomberg ticker | The string of characters or numbers used to identify a company or entity uniquely in Bloomberg. | |
| 0070 | Name | The name of the legal entity included in the LDP samples. | |
| 0080 | Geographical area | The country of residence (ISO Code or ‘Other countries’) of the counterparty (0010). | |
| 0090 | Portfolio name | The sample to which the counterparty (0010) is assigned. It is one of the following: (a) sovereign sample; (b) institutions sample; (c) large corporate sample. | |
| 0100 | Sector of counterparty | Annex VI to Commission Implementing Regulation (EU) 2021/451 [^E0001] | The relevant economic sector to which the counterparty (0010) is assigned. It is one of the following: (a) central banks; (b) general governments; (c) credit institutions; (d) other financial corporations; (e) non-financial corporations; (f) households; (g) not applicable. The assignment of counterparties to sectors is made in accordance with the instructions in Section 1, point 42 of Annex V to Implementing Regulation (EU) No 451/2021 for all counterparties except for the “European Investment Bank”, which shall be assigned to (b) General Governments due to its treatment as multilateral development bank under Article 117(2), point (j), of Regulation (EU) No 575/2013. |
| 0110 | Type of exposure | Only exposures other than specialised lending shall be reported in template C 101.00 of Annex III. | |
| 0120 | Type of facility | Not applicable: exposures shall be reported in template C 101.00 of Annex III independently of the type of facility. | |
| 0130 | Type of risk | Exposures shall be split into parts and assigned to portfolios based on the type of risk: (a) counterparty credit risk; (b) credit risk and free deliveries; (c) credit risk, counterparty credit risk and free deliveries. | |
| 0140 | Regulatory approach | Exposures to counterparties shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWA: (a) foundation IRB approach; (b) advanced IRB approach; (c) standardised approach. |
Commission Implementing Regulation (EU) No 451/2021 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).
C 102.00 – Definition of Low Default Portfolios
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 | Portfolio ID | The unique ID assigned to the portfolio by EBA. | |
| 0020 | Portfolio name | Each portfolio is assigned to one of the following portfolio names: (a) sovereign; (b) institutions; (c) large corporates; (d) specialised lending exposures, which comprises all the exposures defined under Article 147(8) of Regulation (EU) No 575/2013. | |
| 0030 | Type of risk | The instructions provided for column 0130 of table C 101.00 shall apply. | |
| 0040 | Regulatory approach | Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWA: (a) foundation IRB approach; (b) advanced IRB approach; (c) specialised lending slotting criteria. | |
| 0050 | Geographical area | Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or ‘Other countries’) of the obligors. | |
| 0060 | Rating | Article 153(5) of Regulation (EU) No 575/2013 Template C 08.02 of Annex I to Implementing Regulation (EU) 2021/451 | Exposures shall be split into parts and assigned to portfolios based on the rank of the internal rating applied by the institution from lowest risk to highest risk excluding defaults with a probability of default (‘PD’) corresponding to 100 %. The ranking takes values from Rating 1, Rating 2 etc. Where the reporting institution applies a unique rating system or is able to report in accordance to an internal master scale, that internal master scale shall be used. In all other cases, the different rating systems shall be merged and ordered according to the following instructions: (a) obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher; (b) where a large number of grades or pools is used, a reduced number of grades or pools to be reported may be agreed with the competent authorities. For specialised lending exposures risk weighted in accordance to the approach with Article 153(5) of Regulation (EU) No 575/2013, the rating split shall be based on the supervisory risk weight category described in Table 1 of that Article, as follows: (a) rating 1: category 1 with remaining maturity less than 2,5 years; (b) rating 2: category 2 with remaining maturity less than 2,5 years; (c) rating 3: category 3 with remaining maturity less than 2,5 years; (d) rating 4: category 4 with remaining maturity less than 2,5 years; (e) rating 5: category 1 with remaining maturity equal or more than 2,5 years; (f) rating 6: category 2 with remaining maturity equal or more than 2,5 years; (g) rating 7: category 3 with remaining maturity equal or more than 2,5 years; (h) rating 8: category 4 with remaining maturity equal or more than 2,5 years. The same rating scale as that used for reporting in template C 08.02 of Annex I to Implementing Regulation (EU) No 451/2021 shall be used. Where the institution uses a group master scale, that master scale shall be used. |
| 0070 | Exposure class | Point 76 of Annex II to Implementing Regulation (EU) 2021/451 | Exposures shall be split into parts and assigned to portfolios based on the exposure class: (a) central governments and central banks; (b) institutions; (c) For corporates exposures in Low Default Portfolios: (c.1) corporates – other; (c.2) corporates – specialised lending exposures; (e) not applicable. In accordance with Article 147(4), point (a), of Regulation (EU) No 575/2013 exposures to regional governments and local authorities which are not treated as exposures to central governments shall be assigned to the exposure class ‘exposures to institutions’. The exposure classes "equity exposures" and "items representing securitisation positions" referred to in article 147(2), points (e) and (f), of Regulation (EU) No 575/2013, shall not be reported. |
| 0080 | Sector of counterparty | Annex VI to Implementing Regulation (EU) 2021/451 | Exposures shall be split into parts and assigned to portfolios based on the relevant economic sector: (a) central banks; (b) general governments; (c) credit institutions; (d) other financial corporations; (e) non-financial corporations; (f) households; (g) not applicable. The assignment of exposures to sectors is made in accordance with the instructions in Section 1, point 42of Annex V to Implementing Regulation (EU) No 451/2021. |
| 0090 | Default status | Exposures shall be split into parts and assigned to portfolios based on the default status in accordance with Article 178 of Regulation (EU) No 57/2013: (a) defaulted; (b) non-defaulted; (c) not applicable. | |
| 0100 | Type of facility | Article 166(8) and (10) of Regulation (EU) No 575/2013 | Exposures shall be split into parts and assigned to portfolios based on the type of facility. Where more than one facility type value applies to the credit product, the exposure value shall be split on the basis of the facility type values. The type of facility is one of the following: (a) full risk (100 %); (b) note issuance facility and revolving underwriting facility (Medium risk); (c) issued warranties and indemnities, guarantees, irrevocable stand-by letters of credit, documentary credit and other medium risk off-balance sheet items (Medium risk),including tender, performance, customs and tax bonds, guarantees, irrevocable standby letters of credit not having the character of credit substitutes and other medium risk off-balance sheet items; (d) undrawn committed revolving credit facility (Medium- low risk) including revolving lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness; (e) undrawn committed term credit facility (Medium-low risk) including term lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness; (f) undrawn committed other credit facility (Medium-low risk) including lending commitments, other than revolving and term, that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness; (g) issued short-term letters of credit and other medium-low risk off-balance sheet items (Medium-low risk); (h) undrawn uncommitted credit lines (Low risk) including lending facilities that are undrawn and that may be cancelled unconditionally at any time without notice or that do provide for automatic cancellation due to a deterioration in borrower’s creditworthiness; (i) undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items (Low risk) including commitments that are able to be unconditionally cancelled or that effectively provide for automatic cancellation at any time by the institution without prior notice; (j) not applicable. |
| 0110 | Collateralisation status | Template C 08.01, columns 150 to 220, of Annex I to Implementing Regulation (EU) 2021/451 | Exposures shall be split into parts and assigned to portfolios based on the collateralisation status of each part: (a) exposures with credit protection; (b) exposures without credit protection; (c) not applicable. The part of the exposure with credit protection shall be determined by the value of the collateral after haircuts applied in accordance with Part Three, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013 and, where applicable, institutions’ internal guidelines. |
| 0120 | Collateral type | Template C 08.01, columns 0040 to 0060 and 0150 to 0220, of Annex I to Implementing Regulation (EU) 2021/451 | Exposures shall be split into parts and assigned to portfolios based on the collateral type: (a) eligible financial collateral (template C 08.01, column 0180); (b) other eligible collateral: Receivables (template C 08.01, column 0210); (c) other eligible collateral: Residential real estate (template C 08.01 column 0190); (d) other eligible collateral: Commercial real estate (template C 08.01, column 0190); (e) other eligible collateral: Physical collateral (template C 08.01, column 0200); (f) other funded credit protection (template C 08.01, columns 0060 and 0170); (g) credit derivatives (template C 08.01, columns 0050 and 0160); (h) guarantees (template C 08.01, columns 0040 and 0150); (i) other unfunded credit protection: exposures subject to double default (template C 08.01, column 0220); (j) not applicable. The part of the exposure secured by a specific type of collateral shall be determined by the value of that specific type of the collateral after the required haircuts are applied in accordance with Part Three, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013 and, where applicable, institutions’ internal guidelines. |
| 0130 | Counterparty | Exposures shall be split into parts and assigned to portfolios based on the type of counterparty: (a) public sector entities (Part Three, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013); (b) counterparties other than public sector entities; (c) not applicable. | |
| 0140 | Size of counterparty | Exposures shall be split into parts and assigned to portfolios based on the size of the counterparty which shall be determined based on the total annual turnover for the consolidated group of which the counterparty is a part: (a) <=EUR 50 million; (b) >EUR 50 million and <=EUR 200 million; (c) >EUR 200 million; (d) >EUR 200 million and <=EUR 500 million; (e) > EUR 500 million; (f) not applicable. The total annual turnover shall be calculated in accordance with the Annex, Article 4, to Commission Recommendation 2003/361/EC [^E0002] and shall refer to the year ending one year before the reporting reference date. | |
| 0150 | NACE code | Exposures shall be split into parts and assigned to portfolios based on the economic activity of the counterparty determined by the NACE Rev. 2 set out in Regulation (EC) No 1893/2006 of the European Parliament and of the Council [^E0003]: (a) NACE 1: C Manufacturing; (b) NACE 2: G Wholesale and retail trade; (c) NACE 3: F Construction; (d) NACE 4: H Transport and storage; (e) NACE 5: D Electricity, gas, steam and air conditioning supply; (f) NACE 6: A Agriculture, forestry and fishing; (g) NACE 7: L Real estate activities; (h) NACE 8: All other exposures than those included in points (a) to (g) above; (i) not applicable. | |
| 0160 | Type of exposure | Article 1 of Commission Delegated Regulation (EU) 2021/598 [^E0004] | Exposures shall be split into parts and assigned to portfolios based on the type of exposure: (a) not applicable; (b) specialised lending exposures – project finance; (c) specialised lending exposures – income-producing real estate and high-volatility commercial real estate; (d) specialised lending exposures – object finance; (e) specialised lending exposures – commodities finance; (f) eligible covered bonds that meet the requirements of Article 129(1) of Regulation (EU) No 575/2013; (g) other exposures than those referred to in (b) to point (f). |
| 0170 | Size of exposure | Column 0110 of template C 08.01, of Annex I to Implementing Regulation (EU) 2021/451 | Exposures shall be split into parts and assigned to portfolios based on the size of the exposure expressed in terms of exposure value (i.e. exposure at default (‘EAD’)): (a) Not applicable. |
| 0180 | Indexed loan-to-value range | Exposures shall be split into parts and assigned to portfolios based on the indexed loan-to-value (‘ILTV’) range which shall be the ratio between the current loan amount and the current value of the property: (a) bucket 1:<=55 % if the property is a residential immovable property; <=60 % if the property is a commercial immovable property; (b) bucket 2: > 55 % <=70 % if the property is a residential immovable property; > 60 % <=70 % if the property is a commercial immovable property; (c) bucket 3: > 70 % <=80 %; (d) bucket 4: > 80 % <=90 %; (e) bucket 5: > 90 % <= 100 %; (f) bucket 6: > 100 % <= 110 %; (g) bucket 7: > 110 %; (h) not applicable. The indexed loan-to-value range shall be calculated in a prudent manner and comply with the following requirements: (a) total amount of the loan: the outstanding amount of the mortgage loan plus any undrawn committed amount of the mortgage loan (after applying the corresponding credit conversion factor). The loan amount shall be calculated before taking into consideration any specific credit risk adjustments and shall include all other loans (including loans known to the institution that are provided by other financial institutions that are known to the institution) secured with liens of equal or higher ranking on the same residential property with respect to the lien securing the loan. Where there is insufficient information for ascertaining the ranking of the other liens, the institution shall assume that those liens rank pari passu with the lien securing the loan. (b) value of the property: the value of the property is the latest independent valuation of the property and converted to a current value using a property price index. The valuation shall be performed in an independent way and by qualified appraisers. Qualifying requirements and minimum appraisal standards shall comply with the following requirements: (i) there is an individual assessment of the property and the property is valued in a prudently conservative manner (e.g. excluding expectations of future price appreciations and taking into account any potential for the current property price to be above a level that is sustainable over the life of the loan, for example due to a property price bubble); (ii) where a market value can be determined, the valuation is not higher than the market value; (iii) the valuation is supported by adequate appraisal documentation. | |
| 0190 | Balance sheet recognition | Exposures shall be split into parts and assigned to portfolios based on the balance sheet recognition: (a) on-balance sheet items; (b) off-balance sheet items; (c) other; (d) bot applicable. Exposures representing securities financing transactions, derivatives and long settlement transactions or contractual cross product netting and which are subject to counterparty credit risk shall be assigned to point (c). Those exposures shall not be reported in points (a) or (b). |
Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (OJ L 124, 20.5.2003, p. 36).
Regulation (EC) No 1893/2006 of the European Parliament and of the Council of 20 December 2006 establishing the statistical classification of economic activities NACE Revision 2 and amending Council Regulation (EEC) No 3037/90 as well as certain EC Regulations on specific statistical domains (OJ L 393, 30.12.2006, p. 1).
Commission Delegated Regulation (EU) 2021/598 of 14 December 2020 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for assigning risk weights to specialised lending exposures (OJ L 127, 14.4.2021, p. 1).
C 103.00 – Definition of High Default Portfolios
| Column | Legal reference | Instructions | |
|---|---|---|---|
| 0010 | Portfolio ID | The unique ID assigned by EBA to each portfolio. | |
| 0020 | Portfolio name | Each portfolio is assigned to one of the following portfolio names: 1.0 CORP 1.1 CORP Defaulted 1.2 CORP Non-Defaulted 2.0 SMEC 2.1 SMEC Defaulted 2.2 SMEC Non-Defaulted 3.0 Other retail SME 3.1 Other retail SME Defaulted 3.2 Other retail SME Non-Defaulted 4.0 Mortgages non SME 4.1 Mortgages non SME Defaulted 4.2 Mortgages non SME Non-defaulted 5.0. Mortgages SME 5.1 Mortgages SME Defaulted 5.2 Mortgages SME Non-defaulted 6.0 Other retail non-SME 6.1 Other retail non-SME Defaulted 6.2 Other retail non-SME Non-defaulted 7.0 QRRE 7.1 QRRE Defaulted 7.2 QRRE Non-defaulted | |
| 0030 | Type of risk | The instructions provided for column 0130 of table C 101.00 shall apply. | |
| 0040 | Regulatory approach | Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWA: (a) foundation IRB approach; (b) advanced IRB approach. | |
| 0050 | Geographical area | Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or ‘Other countries’) of the obligors. For the ‘Retail – SME – secured by real estate’ and ‘Retail – Non-SME – secured by real estate’ portfolios, exposures shall be split into parts based on the location of the collateral. | |
| 0060 | Rating | The instructions provided for column 0060 of table C 102.00 shall apply. | |
| 0070 | Exposure class | Exposures shall be split into parts and assigned to portfolios based on the exposure class: (d) For corporate exposures in High Default Portfolios: (d.1) corporates – SME; (d.2) corporates – no SME; (e) For retail exposures: (e.1) retail – SME; (e.1.1) retail – SME – Secured by real estate; (e.1.2) retail – SME – Other; (e.2) Retail – No SME; (e.2.1) retail – No SME – Other; (e.2.2) retail – No SME – Secured by real estate; (e 3.3) Retail – Qualifying revolving; (f) not applicable. In accordance with Article 147(4), point (a), of Regulation (EU) No 575/2013 exposures to regional governments and local authorities which are not treated as exposures to central governments shall be assigned to the exposure class ‘exposures to institutions’. The exposure classes "equity exposures" and "items representing securitisation positions" referred to in Article 147(2), points (e) and (f), of Regulation (EU) No 575/2013, shall not be reported. | |
| 0080 | Sector of counterparty | The instructions provided for column 0100 of table C 102.00 shall apply. | |
| 0090 | Default status | The instructions provided for column 0090 of table C 102.00 shall apply. | |
| 0100 | Type of facility | The instructions provided for column 0120 of table C 102.00 shall apply. | |
| 0110 | Collateralisation status | The instructions provided for column 0110 of table C 102.00 shall apply. | |
| 0120 | Collateral type | The instructions provided for column 0120 of table C 102.00 shall apply. | |
| 0130 | Counterparty | The instructions provided for column 0130 of table C 102.00 shall apply. | |
| 0140 | Size of counterparty | The instructions provided for column 0140 of table C 102.00 shall apply. | |
| 0150 | NACE code | The instructions provided for column 0150 of table C 102.00 shall apply. | |
| 0160 | Type of exposure | The instructions provided for column 0110 of table C 102.00 shall apply. | |
| 0170 | Size of exposure | The instructions provided for column 0170 of table C 102.00 shall apply. | |
| 0180 | Indexed loan-to-value range | The instructions provided for column 0180 of table C 102.00 shall apply | |
| 0190 | Balance sheet recognition | The instructions provided for column 0190 of table C 102.00 shall apply. | |
| 0200 | Collateralisation status IFRS 9 | IFRS 9 B.5.55 | Exposures shall be assigned to portfolios based on their collateralisation status, as used for the purpose of the expected credit loss measurement under IFRS 9: (a) Collateralised exposures. This portfolio shall include all those exposures, for which, in accordance with IFRS 9 B5.5.55, the measurement of expected credit losses reflects the cash flows expected from the related collateral and/or other credit enhancements that are part of the contractual terms of the exposure into question and are not recognised separately by the entity. Those exposures that are only partially collateralised shall be reported for their full amount within this portfolio. (b) Not-collateralised exposures. This portfolio shall include all those exposures, for which, the measurement of the related expected credit losses is not affected by the presence of any collateral or any other form of credit enhancements. (c) Not applicable. |
C 104.00 – Definition of High Default Portfolios for IFRS 9 templates
| Column | Legal reference | Instructions | |
|---|---|---|---|
| 0010 | Portfolio ID | The unique ID assigned by EBA to each portfolio. | |
| 0020 | Portfolio name | The instructions provided for column 0020 of C 103 shall apply. | |
| 0030 | Type of risk | The instructions provided for column 0130 of C 101 shall apply. | |
| 0040 | Regulatory approach | The instructions provided for column 0140 of C 101 shall apply. | |
| 0050 | Geographical area | The instructions provided for column 0080 of C 101 shall apply. | |
| 0060 | Rating | The instructions provided for column 0060 of C 102 shall apply. | |
| 0070 | Exposure class | The instructions provided for column 0070 of C 103 shall apply. | |
| 0080 | Sector of counterparty | The instructions provided for column 0100 of C 101 shall apply. | |
| 0090 | Default status | The instructions provided for column 0090 of C 102 shall apply. | |
| 0100 | Type of facility | The instructions provided for column 0120 of C 101 shall apply. | |
| 0110 | Collateralisation status | The instructions provided for column 0110 of C 102 shall apply. | |
| 0120 | Collateral type | The instructions provided for column 0120 of C 102 shall apply. | |
| 0130 | Counterparty | The instructions provided for column 0130 of C 102 shall apply. | |
| 0140 | Size of counterparty | The instructions provided for column 0140 of C 102 shall apply. | |
| 0150 | NACE code | The instructions provided for column 0150 of C 102 shall apply. | |
| 0160 | Type of exposure | The instructions provided for column 0110 of C 101 shall apply. | |
| 0170 | Size of exposure | The instructions provided for column 0170 of C 102 shall apply. | |
| 0180 | Indexed loan-to-value range | The instructions provided for column 0180 of C 102 shall apply | |
| 0190 | Balance sheet recognition | The instructions provided for column 0190 of C 102 shall apply. | |
| 0200 | Collateralisation status IFRS 9 | IFRS 9 B.5.55 | The instructions provided for column 0200 of C 103 shall apply. |
ANNEX III
Results Supervisory Benchmarking portfolios
| Template number | Template code | Name of the template /group of templates |
|---|---|---|
| 101 | C 101.00 | Details on exposures in Low Default Portfolios by counterparty |
| 102 | C 102.00 | Details on exposures in Low Default Portfolios |
| 103 | C 103.00 | Details on exposures in High Default Portfolios |
| 105.01 | C 105.01 | Definition of internal models |
| 105.02 | C 105.02 | Mapping of internal models to portfolios |
| 105.03 | C 105.03 | Mapping of internal models to countries |
C 101.00 - Details on exposures in Low Default Portfolios by counterparty
| Counterparty Code | Exposure class | Rating | Date of most recent rating of counterparty | PD | Default status | Original exposure pre conversion factors | Exposure after CRM substitution effects pre conversion factors | CCF | EAD | Collateral value | Hyp LGD senior unsecured without negative pledge | Hyp LGD senior unsecured with negative pledge | LGD | Maturity | RWA |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0010 | 0020 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 |
C 102.00 - Details on exposures in Low Default Portfolios
| Portfolio ID | Number of obligors | PD | PD without supervisory measures | PD without MoC and supervisory measures | Original exposure pre conversion factors | Exposure after CRM substitution effects pre conversion factors | CCF | EAD | Collateral value | LGD | LGD without supervisory measures | LGD without MoC and without supervisory measures | LGD without MoC, supervisory measures and downturn component, | Maturity | Expected Loss Amount | Provisions defaulted exposures | RWA | RWA Standardised |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0010 | 0040 | 0060 | 0061 | 0062 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0131 | 0132 | 0133 | 0140 | 0150 | 0160 | 0170 | 0180 |
C 103.00 - Details on exposures in High Default Portfolio
| Portfolio ID | Number of obligors | PD | PD without supervisory measures | PD without MoC and supervisory measures | Original exposure pre conversion factors | Exposure after CRM substitution effects pre conversion factors | CCF | EAD | Collateral value | LGD | LGD without supervisory measures | LGD without MoC and supervisory measures | LGD without MoC, supervisory measures and downturn component | Maturity | Expected Loss amount | Provisions defaulted exposures | RWA | RWA Standardised | Default rate latest year | Default rate past 5 years | Loss rate latest year | Loss rate past 5 years | RWA- | RWA+ | RWA- - | RWA++ |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0010 | 0040 | 0060 | 0061 | 0062 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0131 | 0132 | 0133 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0200 | 0210 | 0220 | 0250 | 0260 | 0270 | 0280 |
C 105.01 - Definition of internal models
| Internal model ID | Model name | IRBA Risk parameter | EAD | EAD weighted average default rate for calibration | Case weighted average default rate for calibration | Long-run PD | Cure rate for defaulted assets | Recovery rate of the foreclosed assets for not cured defaults | Recovery period of the foreclosed assets for not cured defaults | Joint decision | Consolidating supervisor | RWA | RWA Add-ons |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 | 0080 | 0090 | 0100 | 0110 | 0120 | 0130 | 0140 |
C 105.02 – Mapping of internal models to portfolios
| Portfolio ID | Internal model ID | EAD | RWA |
|---|---|---|---|
| 0010 | 0020 | 0030 | 0040 |
C 105.03 - Mapping of internal models to countries
| Row ID | Internal model ID | Location of institution |
|---|---|---|
| 0005 | 0010 | 0020 |
ANNEX IV
RESULTS SUPERVISORY BENCHMARK PORTFOLIOS
| PART I: | GENERAL INSTRUCTIONS |
| PART II: | TEMPLATE-RELATED INSTRUCTIONS |
| C 101 – | Details on exposures in Low Default Portfolios by counterparty |
| C 102 – | Details on exposures in Low Default Portfolios |
| C 103 – | Details on exposures in High Default Portfolio |
| C 105.01 – | Definition of internal models |
| C 105.02 – | Mapping of internal models to portfolios |
| C 105.03 – | Mapping of internal models to countries |
PART I: GENERAL INSTRUCTIONS
- 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 CRM. Counterparties and portfolios for which no exposure exists at the reference date shall not be submitted.
- 2.Information shall be submitted only for those exposures for which the competent authority has approved an internal model for the calculation of risk weighted exposure amounts (RWA). In template C 101, counterparty codes ending with ‘STDA’ shall not be reported. For the remaining counterparty codes of template C 101 of Annex I and for the benchmarking portfolios referred to in templates C 102 and C 103, exposures under the Standardised Approach and exposures for which the respective competent authority has permitted the temporary or permanent partial use of the Standardised Approach, shall be excluded.
- 3.The fields collecting non-applicable/ill-defined information shall either be left blank or the indication ‘NULL’ shall be inserted; this also applies to exposure at default (EAD)-weighted quantities or parameters that cannot be calculated. Likewise, data fields whose reporting is not mandatory may be left blank or submitted as ‘NULL’. Zero values shall be reported only where the intention is to report a quantity or parameter of zero. Neither of the indications ‘blank’ or ‘NULL’ shall be used to report quantities or parameters that are zero.
- 4.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 ([^E0005])
PART II: TEMPLATE-RELATED INSTRUCTIONS
C 101 – Details on exposures in Low Default Portfolios by counterparty
Specialised lending exposures shall be excluded.
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 | Counterparty Code | Template C 101, column 0010 of Annex I | The counterparty code of template C 101, column 0010 of Annex I defining the counterparty included in the low default portfolio (‘LDP’) samples portfolios shall be reported. This code shall be a row identifier and shall be unique for each row in the template. |
| 0020 | Exposure class | Paragraph 76 of Annex II to Implementing Regulation (EU) 2021/451 | Each counterparty shall be assigned to one of the following exposure classes: (a) Central banks and central governments; (b) Institutions; (c) Corporate – SME (small- and medium-sized enterprise); (d) Corporate – Specialised lending; (e) Corporate – Other; (f) Retail – Secured by real estate SME; (g) Retail – Secured by real estate non-SME; (h) Retail – Qualifying revolving; (i) Retail – Other SME; (j) Retail – Other non-SME; (k) Not applicable ‘Not applicable’ shall be used where none of the answers in the list applies, which is the case where the exposures to a counterparty are classified in multiple exposure classes without one being clearly predominant. |
| 0040 | Rating | The rank of the internal rating grade assigned to the counterparty within the institution’s applicable internal rating scale shall be reported. It shall follow the numerical order 1, 2, 3, etc., from lowest risk to highest risk excluding defaults with PD corresponding to 100%. Where an institution uses a continuous rating scale in accordance with Article 169(3) of Regulation (EU) No 575/2013 of the European Parliament and of the Council [^E0006], the rating grades as reported in column 0005 of template C 08.02 of Annex I to Implementing Regulation (EU) 2021/451 shall be used. Where exposures to a counterparty have been assigned to multiple rating grades in accordance with Article 172(1), point (e)(i) or (iii), of Regulation (EU) No 575/2013, the rating grade zero (0) shall be reported. | |
| 0050 | Date of most recent rating of counterparty | The date of the most recent rating of the counterparty shall be reported. | |
| 0060 | PD | Template C 08.01, column 0010 of Annex I to Implementing Regulation (EU) 2021/451 | The PD assigned to the counterparty shall be reported. The PD shall be the PD used in the calculation of the RWA excluding the effect of measures in accordance with Article 458 of Regulation (EU) No 575/2013. The PD shall be expressed as a value between 0 and 1. |
| 0070 | Default status | The default status of the counterparty shall be reported. It shall be one of the following in accordance with Article 178 of Regulation (EU) No 575/2013: (a) Defaulted; (b) Non-defaulted. | |
| 0080 | Original exposure pre-conversion factors | Template C 08.01, column 0020 of Annex I to Implementing Regulation (EU) 2021/451 | The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported. |
| 0090 | Exposure after CRM substitution effects pre-conversion factors | Template C 08.01, column 0090 of Annex I to Implementing Regulation (EU) 2021/451 | The amount to which conversion factors (‘CCFs’) are applied in order to obtain the EAD (column 0110) shall be reported. This shall be done by taking into account credit risk mitigation techniques with substitution effects on the exposure. |
| 0100 | CCF | Article 166(8) of Regulation (EU) No 575/2013 | The weighted average of the CCFs shall be reported. The weights used shall be the amounts to which the CCFs are applied to obtain the EAD. For counterparties whose facilities exclusively correspond to items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based on all facilities. For counterparties whose facilities do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the CCF shall either be left blank or the indication ‘NULL’ shall be inserted. For counterparties with facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013 and facilities that do not fall under the items referred to in Article 166(8) of that Regulation, the reported weighted average of the CCF shall be based only on the facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013. In particular, facilities corresponding to items referred to in Article 166(10) of that Regulation shall not be considered in the calculation. Where the institution applies own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs given in Article 166(8) of Regulation (EU) No 575/2013 shall be used. The CCF shall be expressed as a value between 0 and 1. |
| 0110 | EAD | Template C 08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451 | The exposure value shall be reported. |
| 0120 | Collateral value | Template C 08.01, columns 0150 to 0210 of Annex I to Implementing Regulation (EU) 2021/451 | The market value of the collateral shall be reported. |
| 0130 | Hyp LGD senior unsecured without negative pledge | Article 161 of Regulation (EU) No 575/2013 | The hypothetical own estimates of loss given default (‘LGD’) that would be applied by the institution to the exposures to the counterparty shall be reported in accordance with the following: (a) the scope of the exposures is the same as for the LGD value reported in column 0150; (b) the exposures are senior and unsecured; (c) no negative pledge clause is in place. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. |
| 0140 | Hyp LGD senior unsecured with negative pledge | Article 161 of Regulation (EU) No 575/2013 | The hypothetical own estimates of LGD that would be applied by the institution to the exposures to the counterparty shall be reported in accordance with the following: (a) the scope of the exposures is the same as for the LGD value reported in column 0150; (b) the exposures are senior and unsecured; (c) a negative pledge clause is in place. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. |
| 0150 | LGD | Template C 08.01, columns 0230 and 0240 of Annex I to Implementing Regulation (EU) 2021/451 | The EAD-weighted average of the LGD values of the exposures to the counterparty shall be reported. The LGDs shall be those used for the calculation of the RWA. Specifically, where the institution has obtained permission from its competent authority to use own estimates for LGDs, the LGDs shall be based on the institution’s own estimates, otherwise the LGDs shall be based on the regulatory LGD values taking into account the applicable risk mitigation. LGDs for large regulated financial sector entities and unregulated financial entities shall be included. The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded. The LGD shall be expressed as a value between 0 and 1. |
| 0160 | Maturity | Template C 08.01, column 0250 of Annex I to Implementing Regulation (EU) 2021/451 | The EAD-weighted maturity for the exposures to the counterparty shall be reported. It shall be expressed in number of days. |
| 0170 | RWA | Template C 08.01, column 0260 of Annex I to Implementing Regulation (EU) 2021/451 | The RWA after supporting factors (SME and infrastructure supporting factors) shall be reported. The RWA shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013. |
Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1, ELI: http://data.europa.eu/eli/reg/2013/575/oj).
C 102 – Details on exposures in Low Default Portfolios
For portfolios referred to in Annex I with a collateralisation status other than ‘Not applicable’, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 0130), LGD without supervisory measures (column 0131), LGD without margin of conservatism (MoC) and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150) and RWA (column 0170).
For portfolios with the regulatory approach defined as ‘Specialised lending slotting criteria’, the following information shall be omitted: PD (column 0060), PD without supervisory measures (column 0061), PD without MoC and supervisory measures (column 0062), LGD (column 0130), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133).
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 | Portfolio ID | Template C102, Column 0010 of Annex I | The portfolio ID of column 0010 of template C.102 of Annex I defining the portfolio shall be reported. This ID shall be a row identifier and shall be unique for each row in the template. The assignment of exposures to portfolio IDs is not exclusive: Exposures or parts of exposures shall be reported under each portfolio IDs that is applicable. |
| 0040 | Number of obligors | The number of obligors shall be reported. It shall be based on obligors that have a strictly positive value reported either in column 0080 or in column 0090. Where a full substitution is applied due to a credit risk mitigation technique, the original obligor shall be added to the ‘Number of obligors’ of its original portfolio, and the guarantor shall be added to the ‘Number of obligors’ of the guarantor’s portfolio. | |
| 0060 | PD | Template C08.01, column 0010 of Annex I to Implementing Regulation (EU) 2021/451 | The PD shall be the PD used in the calculation of the RWA excluding the effect of potential measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013. For portfolios corresponding to an individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs assigned to the exposures included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1. |
| 0061 | PD without supervisory measures | The PD without supervisory measures shall be the PD based on the provisions laid down in Articles 179 and 180 of Regulation (EU) No 575/2013 that includes the MoC added by the institution but excludes measures (multipliers, add-ons, floors or similar measures that directly increase the PD) that have been imposed by the competent authorities. For portfolios corresponding to an individual grade or pool, the PD for that grade that includes the MoC but is net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs of the respective exposures that include the MoCs but are net of the supervisory measures, shall be provided. The PD without supervisory measures shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. | |
| 0062 | PD without MoC and supervisory measures | The PD without MoC and supervisory measures shall be the PD that includes neither MoCadded by the institution in accordance with Article 179(1), point (f), and Article 180(1), point (e), of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the PD). For portfolios corresponding to an individual grade or pool, the PD for that grade that is net of the MoC and net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the PDs of the respective exposures that are net of the MoCs and net of supervisory measures, shall be reported. The PD without MoC and supervisory measures shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. | |
| 0080 | Original exposure pre-conversion factors | Template C08.01, column 0020 of Annex I to Implementing Regulation (EU) 2021/451 | The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported. |
| 0090 | Exposure after CRM substitution effects pre-conversion factors | Template C08.01, column 0090 of Annex I to Implementing Regulation (EU) 2021/451 | The amount to which conversion factors (CCFs) are applied in order to obtain the EAD (column 0110) shall be reported. This shall be done by taking into account credit risk mitigation techniques with substitution effects on the exposure. |
| 0100 | CCF | Article 166(8) of Regulation (EU) No 575/2013 | The weighted average of the CCFs shall be reported. The weights used shall be the amounts to which the CCFs are applied to obtain the EAD. For portfolios that include facilities exclusively corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based on all facilities. For portfolios for which none of the included facilities fall under the items referred to in Article 166 of Regulation (EU) No 575/2013, the CCF shall either be left blank or the indication ‘NULL’ shall be inserted. For portfolios that include facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013 and facilities that do not fall under the items referred to in Article 166(8) of that Regulation, the reported weighted average of the CCF shall be based only on the facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013. In particular, facilities corresponding to items referred to in Article 166(10) of that Regulation shall not be considered in the calculation. Where the institution applies own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs given in Article 166(8) of Regulation (EU) No 575/2013 shall be used. The CCF shall be expressed as a value between 0 and 1. |
| 0110 | EAD | Template C08.01, column 0110 of Annex I to Implementing Regulation (EU) 2021/451 | The exposure value shall be reported. |
| 0120 | Collateral value | Template C08.01, columns 0150 to 0210 of Annex I to Implementing Regulation (EU) 2021/451 | The market value of the collateral shall be reported. |
| 0130 | LGD | Template C08.01, columns 0230 and 0240 of Annex I to Implementing Regulation (EU) 2021/451 | The EAD-weighted average of the LGD values of the exposures in the respective portfolio shall be reported. The LGDs shall be those used for the calculation of the RWA. Specifically, where the institution has obtained permission from its competent authority to use own estimates for LGDs, the LGDs shall be based on the institutions’ own estimates, otherwise the LGDs shall be based on the regulatory LGD values taking into account the applicable risk mitigation. Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall be included. The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded. The LGD shall be expressed as a value between 0 and 1. |
| 0131 | LGD without supervisory measures | The LGD without supervisory measures shall be the LGD based on the provisions laid down in Articles 179 and 181 of Regulation (EU) No 575/2013 that includes the MoC added by the institution but excludes measures (multipliers, add-ons, floors or similar measures that directly increase the LGD) that have been imposed by the competent authorities. For portfolios corresponding to an individual grade or pool, the LGD for that grade that includes the MoC but is net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the LGDs of the respective exposures that include the MoCs but are net of the supervisory measures, shall be provided. The LGD without supervisory measures shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. | |
| 0132 | LGD without MoC and without supervisory measures | The LGD without MoC and supervisory measures shall be the LGD that includes neither MoC added by the institution in line with Article 179(1), point (f), and Article 181 of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the LGD). For portfolios corresponding to an individual grade or pool, the LGD for that grade that is net of the MoC and net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the LGDs of the respective exposures that are net of the MoCs and net of supervisory measures shall be reported. The LGD without MoC and supervisory measures shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. | |
| 0133 | LGD without MoC, supervisory measures and downturn component, | The LGD without MoC, supervisory measures and downturn component shall be the LGD that includes neither the (MoC added by the institution in line with Article 179(1), point (f), and Article 181 of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the LGD) nor the downturn component as required by Article 181(1), point (b), of that Regulation. For portfolios corresponding to an individual grade or pool, the LGD for that grade that is net of the MoC and net of the supervisory measures and net of the downturn component shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the LGDs of the respective exposures that are net of the MoCs, net of supervisory measures and net of the downturn component, shall be reported. The LGD without MoC, supervisory measures and downturn component shall be expressed as a value between 0 and 1. In case the institution is not able to isolate the relevant conservative adjustments, Part I, point 3, shall apply. | |
| 0140 | Maturity | Template C08.01, column 0250 of Annex I to Implementing Regulation (EU) 2021/451 | The EAD-weighted maturity shall be reported. It shall be expressed in number of days. This information shall not be reported for exposures for which the maturity is not an element in the calculation of RWA. In particular, the maturity shall not be reported for portfolios that represent exposures of the exposure class ‘Retail’. |
| 0150 | Expected Loss amount | Template C08.01, column 0280 of Annex I to Implementing Regulation (EU) 2021/451 | The expected loss amount shall be reported. |
| 0160 | Provisions defaulted exposures | Template C09.02, columns 0050, 0055 and 0060 of Annex I to Implementing Regulation (EU) 2021/451 | The provisions for defaulted exposures shall be reported. These shall include all general and specific credit risk adjustments on exposures in default as referred to in Article 110 of Regulation (EU) No 575/2013. (One-off) Credit risk adjustments that an institution applies in connection with the changes in the implementation of the definition of default (DoD) shall be reported as recorded in the institution’s database. |
| 0170 | RWA | Template C08.01, column 0260 of Annex I to Implementing Regulation (EU) 2021/451 | The RWA after supporting factors (SME and infrastructure supporting factors) shall be reported. The RWA shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013. |
| 0180 | RWA Standardised | Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013 | RWA Standardised is the hypothetical RWA amount obtained by applying the standardised approach for credit risk to the exposures instead of the IRB approach. |
C 103 – Details on exposures in High Default Portfolio
For portfolios referred to in Annex I with a collateralisation status different from ‘Not applicable’, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 0130), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150), RWA (column 0170), Loss rate latest year (column 0210) and Loss rate past 5 years (column 0220).
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