LegalizeCommission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance. )
This is the act as published. Later amendments are not folded into the text below: each one is a separate act in this repository and an entry in this law's history.
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ANNEX II
‘ANNEX II
SUPERVISORY BENCHMARKING PORTFOLIOS
| DEFINITION OF THE SUPERVISORY BENCHMARKING PORTFOLIOS | 2780 |
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| C 101 — DEFINITION OF LOW DEFAULT PORTFOLIO COUNTERPARTIES | 2780 |
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| C 102 — DEFINITION OF LOW DEFAULT PORTFOLIOS | 2782 |
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| C 103 — DEFINITION OF HIGH DEFAULT PORTFOLIOS | 2786 |
DEFINITION OF THE SUPERVISORY BENCHMARKING PORTFOLIOS
C 101 — Definition of Low Default Portfolio (‘LDP’) counterparties
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Counterparty code | The code assigned by EBA to each legal entity included in the LDP sample. | |
| 020 | 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. | |
| 030 | 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. | |
| 040 | Commercial register code | The code assigned to a counterparty by the public commercial register of the country where that counterparty is registered. | |
| 050 | ISIN code | The ‘International Securities Identification Number’ used to identify uniquely securities issued by a counterparty. | |
| 060 | Bloomberg ticker | The string of characters or numbers used to identify a company or entity uniquely in Bloomberg. | |
| 070 | Name | The name of the legal entity included in the LDP samples. | |
| 080 | Geographical area | The ISO Code of the country of residence or the macro region of residence of the counterparty. The macro-regions are: (a) EU for European Union countries; (b) Non-EU for third countries; (c) Other countries which represent the aggregate of countries not included explicitly in Annex I; (d) Not applicable4. | |
| 090 | Portfolio name | Each group (sample) of LDP counterparties is assigned one of the following unique names: (a) Sovereign sample (b) Institutions sample; (c) Large corporate sample. | |
| 100 | Sector of counterparty | Each counterparty is assigned to one of the following FINREP-based economic sector classes: (a) General Governments; (b) Credit institutions; (c) Other financial corporations; (d) Non-financial corporations; (e) Not applicable. | |
| 110 | Type of exposures | Rows 020 and 030 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The type of exposures is one of the following: (a) On-balance sheet items subject to credit risk; (b) Off-balance sheet items subject to credit risk; (c) Not applicable. |
| 120 | Type of facility | 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): This refers to warranties and indemnities (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): This refers to 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): This refers to 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): This refers to 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): This refers to uncommitted lending facilities (advised and unadvised) 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): 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) Drawn credit facility; (k) Not applicable. | |
| 130 | Type of risk | The type of risk is one of the following: (a) Counterparty credit risk; (b) Credit risk and free deliveries; (c) Credit risk, Counterparty credit risk and free deliveries. | |
| 140 | Regulatory approach | The regulatory approach under which the reported exposure value is calculated. |
C 102 — Definition of Low Default Portfolios
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Portfolio ID | The unique ID assigned to the portfolio by EBA. | |
| 020 | Portfolio name | Each portfolio is assigned one of the following unique names: (a) Sovereign; (b) Institutions; (c) Large corporate; (d) Large corporate sample. | |
| 030 | Type of risk | The type of risk is one of the following: (a) Counterparty credit risk; (b) Credit risk and free deliveries; (c) Credit risk, counterparty credit risk and free deliveries. | |
| 040 | Regulatory approach | The regulatory approach under which the reported exposure value is calculated. | |
| 050 | Geographical area | The ISO Code of the country of residence or the macro region of residence of the counterparty. The macro regions are: (a) EU for European Union countries; (b) Non-EU for third countries; (c) Other countries which represent the aggregate of countries not included explicitly in Annex I; (d) Not applicable. | |
| 060 | Rating | The rank of the internal rating applied by the institution from lowest risk to highest risk, excluding defaults with PD corresponding to 100 %. It takes values from Rating 1, Rating 2 etc. Where the rating is not used to define a portfolio in Annex I, ‘Not applicable’ is used instead. | |
| 070 | Exposure class | Paragraph 78 of Annex II to Commission Implementing Regulation (EU) No 680/2014 | Each portfolio is assigned to one of the following exposure classes: (a) Central banks and central governments; (b) Institutions; (c) Corporate — Other; (d) Not applicable. |
| 080 | Sector of counterparty | Each counterparty is assigned to one of the following FINREP-based economic sector classes: (a) General Governments; (b) Credit institutions; (c) Other financial corporations; (d) Non-financial corporations; (e) Not applicable. | |
| 090 | Default status | The default status is one of the following: (a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %; (b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %. | |
| 100 | Type of facility | 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): This refers to warranties and indemnities (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): This refers to 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): This refers to 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): This refers to 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): This refers to uncommitted lending facilities (advised and unadvised) 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 a borrower's creditworthiness; (i) Undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items (Low risk): 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) Drawn credit facility; (k) Not applicable. | |
| 110 | Collateralisation status | Columns 150 to 210 of template 8.1 in Annex I to Commission Implementing Regulation (EU) No 680/2014 | The collateralisation status is one of the following: (a) Exposures with credit protection; (a.1) Exposures with funded credit protection; (a.2) Exposures with unfunded credit protection; (b) Exposures without credit protection; (c) Not applicable. |
| 120 | Collateral type | Columns 150 to 210 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The collateral type is one of the following: (a) Eligible financial collateral; (b) Other eligible collateral: Receivables; (c) Other eligible collateral: Residential real estate; (d) Other eligible collateral: Commercial real estate; (e) Other eligible collateral: Physical collateral; (f) Other funded credit protection; (g) Credit derivatives; (h) Guarantees; (i) Unfunded credit protection; (j) Not applicable. |
| 130 | Counterparty | The counterparty is one of the following: (a) Public sector entities (according to Article 112(c) of Regulation (EU) No 575/2013; (b) Counterparties other than public sector entities. | |
| 140 | Size of counterparty | The total annual sales for the consolidated group of which the counterparty is a part. Each counterparty is assigned to one of the following categories: (a) > EUR 200 million; (b) Not applicable. The total annual sales are calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC5. | |
| 150 | NACE code | This column corresponds to the NACE codes (Statistical Classification of Economic Activities of the EU) used for ‘Non-financial corporations’ with a one level detail (e.g. ‘F — Construction’) and for ‘Other financial corporations’ with a two level detail (e.g. ‘K65 — Insurance, reinsurance and pension funding, except compulsory social security’). | |
| 160 | Type of exposure | Rows 020 and 030 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The type of exposure is one of the following: (a) On-balance sheet items subject to credit risk; (b) Off-balance sheet items subject to credit risk; (c) Not applicable. |
| 170 | Size of exposure | Column 110 of template CR IRB 1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The size of the exposure expressed in terms of exposure value (i.e. EAD). Each exposure is assigned to one of the following categories: (a) <= EUR 0,5 million; (b) > EUR 0,5 million <= EUR 1 million; (c) > EUR 1 million <= EUR 1,5 million; (d) > EUR 1,5 million <= EUR 5 million; (e) > EUR 5 million <= EUR 10 million; (f) > EUR 10 million <= EUR 50 million; (g) > EUR 50 million; (h) Not applicable. |
C 103 — Definition of High Default Portfolios
| Column | Legal reference | Instructions | |
| 010 | Portfolio ID | The unique ID assigned by EBA to each portfolio. | |
| 020 | Portfolio name | Each portfolio is assigned one of the following names by EBA: 1.1. CORP Defaulted 1.2. CORP Non-Defaulted 1.2.1. CORP Non-defaulted Secured 1.2.1.1. CORP Non-defaulted Secured Construction 1.2.1.2. CORP Non-defaulted Secured Other 1.2.2. CORP Non-defaulted Unsecured 1.2.2.1. CORP Non-defaulted Unsecured Construction 1.2.2.2. CORP Non-defaulted Unsecured Other 2.1. SMEC Defaulted 2.2. SMEC Non-Defaulted 2.2.1. SMEC Non-defaulted Secured 2.2.1.1. SMEC Non-defaulted Secured Construction 2.2.1.2. SMEC Non-defaulted Secured Other 2.2.2. SMEC Non-defaulted Unsecured 2.2.2.1. SMEC Non-defaulted Unsecured Construction 2.2.2.2. SMEC Non-defaulted Unsecured Other 3.1. SMER Defaulted 3.2. SMER Non-Defaulted 3.2.1. SMER Non-defaulted Secured 3.2.1.1. SMER Non-defaulted Secured Construction 3.2.1.2. SMER Non-defaulted Secured Other 3.2.2. SMER Non-defaulted Unsecured 3.2.2.1. SMER Non-defaulted Unsecured Construction 3.2.2.2. SMER Non-defaulted Unsecured Other 4.1. Mortgages Defaulted 4.2. Mortgages Non-defaulted 4.2.1.1. Mortgages Non-defaulted funded CRM 4.2.1.2. Mortgages Non-defaulted Unfunded CRM 4.2.2.1. Mortgages Non-defaulted ILTV <= 25 % 4.2.2.2. Mortgages Non-defaulted ILTV > 100 %, <= 125 % 4.2.2.3. Mortgages Non-defaulted ILTV > 125 % 4.2.2.4. Mortgages Non-defaulted ILTV > 25 %, <= 50 % 4.2.2.5. Mortgages Non-defaulted ILTV > 50 %, <= 75 % 4.2.2.6. Mortgages Non-defaulted ILTV > 75 %, <= 100 % | |
| 030 | Geographical area | The ISO Code of the country of residence or the macro region of residence of the counterparty. For the ‘Retail — secured by real estate SME’ and ‘Retail — secured by real estate non SME’ portfolios, it is the location of the collateral. The macro regions are: (a) EU for European Union countries; (b) Non-EU for third countries; (c) Other countries which represent the aggregate of countries not included explicitly in Annex I; (d) Not applicable. | |
| 040 | Exposure class | Paragraph 78 of Annex II to Commission Implementing Regulation (EU) No 680/2014 | Each portfolio is assigned to one or several of the following exposure classes: (a) Corporate — SME; (b) Corporate — Specialised lending; (c) Corporate — Other; (d) Retail — Secured by real estate SME; (e) Retail — Secured by real estate non-SME; (f) Retail — Qualifying revolving; (g) Retail — Other SME; (h) Retail — Other non — SME; (i) Not applicable. |
| 050 | Type of risk | The type of risk is one of the following: (a) Counterparty credit risk; (b) Credit risk and free deliveries; (c) Credit risk, counterparty credit risk and free deliveries. | |
| 060 | Default status | The default status is one of the following: (a) Defaulted: Those are the exposures assigned to the last rating grade/s with a PD of 100 %; (b) Non-defaulted: Those are the exposures assigned to rating grades with a PD lower than 100 %. | |
| 070 | Rating | The rank of the internal rating grade applied by the institution from lowest risk to highest risk, excluding defaults with PD corresponding to 100 %. It takes values from Rating 1 to Rating 30 or Not applicable. Where the rating is not used to define a portfolio in Annex I, ‘Not applicable’ is used instead. | |
| 080 | Type of facility | 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): This refers to warranties and indemnities (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): This refers to 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): This refers to 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): This refers to 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): This refers to uncommitted lending facilities (advised and unadvised) 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 a borrower's creditworthiness; (i) Undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items (Low risk): 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) Drawn credit facility; (k) Not applicable. | |
| 090 | Collateralisation status | Column 150 to 210 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The collateralisation status is one of the following: (a) Exposures with credit protection; (a.1) Exposures with funded credit protection; (a.2) Exposures with unfunded credit protection; (b) Exposures without credit protection; (c) Not applicable. |
| 100 | NACE code | This column correspond to the NACE codes (Statistical Classification of Economic Activities of the EU) used for ‘Non-financial corporations’ with a one level detail (e.g. ‘F — Construction’) and for ‘Other financial corporations’ with a two level detail (e.g. ‘K65 — Insurance, reinsurance and pension funding, except compulsory social security’). | |
| 110 | Sector of counterparty | Each counterparty is assigned to one of the following FINREP-based economic sector classes: (a) Other financial corporations; (b) Non-financial corporations; (c) Households; (d) Not applicable. | |
| 120 | Size of counterparty | The total annual sales for the consolidated group of which the counterparty is a part. Each counterparty is assigned to one of the following categories: (a) <= EUR 50 million; (b) > EUR 50 million and <= EUR 200 million; (c) Not applicable. The total annual sales are calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC. | |
| 130 | Collateral type | The collateral type is one of the following: (a) Non Real estate funded collateral; (b) Other eligible collateral: Real estate; (c) Real estate collateral and other unfunded CRM; (d) Real estate collateral, other funded CRM and guarantees; (e) Not applicable. | |
| 140 | Type of exposure | Rows 020 and 030 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | Each exposure is assigned to one of the following types: (a) On-balance sheet items subject to credit risk; (b) Off-balance sheet items subject to credit risk; (c) Not applicable. |
| 150 | Size of exposure | Column 110 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The size of the exposure expressed in terms of exposure value (i.e. EAD). Each exposure is assigned to one of the following categories: (a) <= EUR 0,5 million; (b) > EUR 0,5 million <= EUR 1 million; (c) > EUR 1 million <= EUR 1,5 million; (d) > EUR 1,5 million <= EUR 5 million; (e) > EUR 5 million <= EUR 10 million; (f) > EUR 10 million <= EUR 50 million; (g) > EUR 50 million; (h) Not applicable. |
| 160 | Indexed loan-to-value range | The indexed loan-to-value (‘ILTV’) range is the ratio between the current loan amount and the current value of the property. The indexed loan-to-value range shall be calculated in a prudent manner and comply with at least the following features: (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 gross of any specific credit risk adjustments and shall include all other loans (including those 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. If there is insufficient information for ascertaining the ranking of the other liens, the institution shall assume that these liens rank pari passu with the lien securing the loan. (b) Value of the property: the value of the property is the independent valuation of the property at some point in time (most likely at origination) and converted to a current value using a property price index. The valuation should be performed independently by appraisers that meet specific qualification requirements. Qualifying requirements and minimum appraisal standards shall comply with the following conditions: — there is an individual assessment of the property and the property is valued in a prudent and conservative manner (e.g. excluding expectationsof 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); — if a market value can be determined, the valuation is not higher than the market value; — the valuation is supported by adequate appraisal documentation. Institutions are requested to document their calculations and provide the documents to their competent authority upon request. The ILTV categories are the following: (a) <= 25 %; (b) > 25 % <= 50 %; (c) > 50 % <= 75 %; (d) > 75 % <= 100 %; (e) > 100 % <= 125 %; (f) > 125 %; (g) Not applicable. |
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4
‘Not applicable’ is used when no specific breakdown is requested for the variable (e.g. for column 080, it means that all countries are considered).
5
Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (OJ L 124, 20.5.2003, p. 36).
ANNEX III
‘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 | Regulatory approach | 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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 |
C 102.00 — Details on exposures in Low Default Portfolios
| Portfolio ID | Exposure class | Regulatory approach | Number of obligors | Rating | PD | Default status | Original exposure pre conversion factors | Exposure after CRM substitution effects pre conversion factors | CCF | EAD | Collateral value | LGD | Maturity | Expected Loss | Provisions non-performing exposures | RWA | RWA Standardised |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 |
C 103.00 — Details on exposures in High Default Portfolio
| Portfolio ID | Exposure class | Regulatory approach | Number of obligors | Rating | PD | Default status | Original exposure pre conversion factors | Exposure after CRM substitution effects pre conversion factors | CCF | EAD | Collateral value | LGD | Maturity | Expected Loss amount | Provisions non-performing exposures | RWA | RWA Standardised | Default rate latest year | Default rate past 5 years | Loss rate latest year | Loss rate past 5 years | RWA * | RWA ** |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 230 | 240 |
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 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 |
C 105.02 — Mapping of internal models to portfolios
| Portfolio ID | Internal model ID |
|---|---|
| 010 | 020 |
C 105.03 — Mapping of internal models to countries
| Internal model ID | Host supervisor |
|---|---|
| 010 | 020 |
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ANNEX IV
‘ANNEX IV
RESULTS SUPERVISORY BENCHMARKING PORTFOLIOS
Table of Contents
| PART I: GENERAL INSTRUCTIONS | 2795 |
| --- | --- |
| PART II: TEMPLATE RELATED INSTRUCTIONS | 2796 |
| --- | --- |
| C 101 — DETAILS ON EXPOSURES IN LOW DEFAULT PORTFOLIOS BY COUNTERPARTY | 2796 |
| --- | --- |
| C 102 — DETAILS ON EXPOSURES IN LOW DEFAULT PORTFOLIOS | 2799 |
| --- | --- |
| C 103 — DETAILS ON EXPOSURES IN HIGH DEFAULT PORTFOLIO | 2802 |
| --- | --- |
| C 105.01 — DEFINITION OF INTERNAL MODELS | 2808 |
| --- | --- |
| C 105.02 — MAPPING OF INTERNAL MODELS TO PORTFOLIOS | 2809 |
| --- | --- |
| C 105.03 — MAPPING OF INTERNAL MODELS TO COUNTRIES | 2810 |
PART I: GENERAL INSTRUCTIONS
| 1. | Data shall be submitted only for counterparties with an exposure or valid rating. | |
| --- | --- | --- |
| 2. | Data shall be submitted only for those exposures for which an internal model has been approved. | |
| --- | --- | --- |
| 3. | The following shall apply to Part II: (a) for the absolute values, the sum of the values shall be reported; (b) for the percentage values, the weighted average, using the exposure at default (‘EAD’) as weight, shall be reported; (c) as an exception to point (b), when calculating the conversion factor (‘CCF’), the weight used shall be the ‘original exposure’, i.e. the amount to which a CCF is applied in order to obtain the EAD, after taking into account credit risk mitigation (‘CRM’) techniques with substitution effects on the exposure (column 090 in templates 101, 102 and 103). |
PART II: TEMPLATE RELATED INSTRUCTIONS
C 101 — Details on exposures in Low Default Portfolios by counterparty
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Counterparty Code | Column 010 of template 101 of Annex I to this Implementing Regulation | The counterparty code assigned by EBA to the counterparty included in the LDP samples portfolios shall be reported. The code is a row identifier and shall be unique for each row in the table. |
| 020 | Exposure class | Paragraph 78 of Annex II to Commission Implementing Regulation (EU) No 680/2014 | Each portfolio shall be assigned to one of the following exposure classes: (a) Central banks and central governments; (b) Institutions; (c) Corporate — SME; (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 applicable6. |
| 030 | Regulatory approach | The approach used for calculating own funds requirements that shall be reported shall be one of the following: (a) Foundation IRB approach; (b) Advanced IRB approach; (c) Specialised lending slotting criteria; (d) Not applicable. Where more than one approach applies to the exposures of a given portfolio, the exposures shall be split and reported separately for each approach using the appropriate and uniquely defined counterparty code. | |
| 040 | Rating | The rank of the internal rating grade applied by the institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc. | |
| 050 | Date of most recent rating of counterparty | The date of the most recent rating of the counterparty shall be reported. | |
| 060 | PD | Column 010 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The PD assigned to the obligor grade or pool that shall be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 120) shall be used for the calculation of the exposure-weighted average PD. The PD shall be expressed as a value between 0 and 1. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, then the internal master scale shall be used. Otherwise, the different rating systems shall be merged and ordered in accordance with the following criteria: (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 the institution uses a large number of grades or pools, it may agree with the competent authorities to report a reduced number of grades or pools. The institution shall contact its competent authority in advance if it wants to report a different number of grades in comparison with the internal number of grades. |
| 070 | Default status | The default status to be reported shall be one of the following: (a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %; (b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %. | |
| 080 | Original exposure pre-conversion factors | Column 020 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | 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. |
| 090 | Exposure after CRM substitution effects pre-conversion factors | Column 090 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The amount to which a CCF is applied in order to obtain the EAD shall be reported. The reported amount shall take into account credit risk mitigation techniques with substitution effects on the exposure. |
| 100 | CCF | Second subparagraph of Article 166(8) of Regulation (EU) No 575/2013 | For the exposures where own estimates of CCFs are applied, the weighted average CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD. |
| 110 | EAD | Column 110 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The exposure value shall be left blank where the institution has no IRB exposure for a given counterparty. |
| 120 | Collateral value | Columns 150 to 210 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The market value of the collateral shall be reported. |
| 130 | Hyp LGD senior unsecured without 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 counterparty for senior unsecured exposures without a negative pledge clause shall be reported. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. |
| 140 | Hyp LGD senior unsecured with negative pledge | Article 161 of Regulation (EU) No 575/2013 | The hypothetical own estimated LGD that would be applied by the institution to the counterparty for senior unsecured exposures with a negative pledge clause shall be reported. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. |
| 150 | LGD | Column 230 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The exposure-weighted own estimates of LGD or the exposure-weighted regulatory LGD applied by the institution to the exposures to each counterparty shall be reported. |
| 160 | Maturity | Column 250 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The exposure-weighted maturity for the exposures to each counterparty shall be reported. It shall be expressed in number of days. |
| 170 | RWA | Column 260 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The risk-weighted exposure amount after applying the SME supporting factor shall be reported. |
C 102 — Details on exposures in Low Default Portfolios
| 4. | For portfolios that are defined with a specific rating grade, information on the PD shall be reported for the entire rating scale, even if the bank has no exposure for each rating grade. In that case, the EAD shall be reported as zero and the other columns shall be left blank. | |
| --- | --- | --- |
| 5. | Portfolios that are defined without a specific rating grade shall be left out of a data submission if no IRB exposure exists for the respective portfolio at the reporting reference date. | |
| Column | Label | Legal reference |
| --- | --- | --- |
| 010 | Portfolio ID | Column 010 of template 102 of Annex I to this Implementing Regulation |
| 020 | Exposure class | Paragraph 78 of Annex II to Commission Implementing Regulation (EU) No 680/2014 |
| 030 | Regulatory approach | |
| 040 | Number of obligors | Column 300 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 |
| 050 | Rating | |
| 060 | PD | Column 010 of table 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 |
| 070 | Default status | |
| 080 | Original exposure pre-conversion factors | Column 020 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 |
| 090 | Exposure after CRM substitution effects pre-conversion factors | Column 090 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 |
| 100 | CCF | Article 166(8) of Regulation (EU) No 575/2013 |
| 110 | EAD | Column 110 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 |
| 120 | Collateral value | Columns 150 to 210 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 |
| 130 | LGD | Column 230 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 |
| 140 | Maturity | Column 250 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 |
| 150 | Expected Loss | Column 280 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 |
| 160 | Provisions non-performing exposures | Columns 050, 055 and 060 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014 |
| 170 | RWA | Column 260 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 |
| 180 | RWA Standardised | Row 900 of template 4 of Annex I to Commission Implementing Regulation (EU) No 680/2014 |
C 103 — Details on exposures in High Default Portfolio
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Portfolio ID | Column 010 of template 103 of Annex I to this Implementing Regulation | The code assigned by the EBA to each portfolio shall be reported. That code is a row identifier and shall be unique for each row in the table. |
| 020 | Exposure class | Paragraph 78 of Annex II to Commission Implementing Regulation (EU) No 680/2014 | Each portfolio shall be assigned to one of the following exposure classes: (a) Corporate — SME; (b) Corporate — Specialised lending; (c) Corporate — Other; (d) Retail — Secured by real estate SME; (e) Retail — Secured by real estate non-SME; (f) Retail — Qualifying revolving; (g) Retail — Other SME; (h) Retail — Other non — SME; (i) Not applicable. |
| 030 | Regulatory approach | The regulatory approach used for calculating own funds requirements that shall be reported shall be one of the following: (a) Foundation IRB approach; (b) Advanced IRB approach; (c) Specialised lending slotting criteria; (d) Not applicable. Where more than one approach applies to the exposures of a given portfolio, the exposures shall be split and reported separately for each approach, using the appropriate and uniquely defined portfolio identifier. | |
| 040 | Number of obligors | Column 300 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The number of obligors shall be reported. |
| 050 | Rating | The internal rating grade applied by the institution (from lowest risk to highest risk, excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc. The information shall only be reported for portfolios defined in Annex I to this Implementing Regulation that consist of exposures to a single rating grade, otherwise this cell shall be left blank. | |
| 060 | PD | Column 010 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD. The PD shall be expressed as a value between 0 and 1. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, that scale shall be used. Otherwise, the different rating systems shall be merged and ordered in accordance with the following criteria: (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 the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. The institution shall contact its competent authority in advance if it wants to report a different number of grades in comparison with the internal number of grades. |
| 070 | Default status | The default status shall be one of the following: (a) Defaulted: Those are the exposures assigned to the rating grade(s) with a PD of 100 %; (b) Non-defaulted: Those are the exposures assigned to rating grades with a PD lower than 100 %. | |
| 080 | Original exposure pre conversion factors | Column 020 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | 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. |
| 090 | Exposure after CRM substitution effects pre conversion factors | Column 090 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The amount to which a conversion factor is applied in order to obtain the EAD shall be reported. The information reported shall take into account credit risk mitigation techniques with substitution effects on the exposure. |
| 100 | CCF | Article 166(8)(e) of Regulation (EU) No 575/2013 | For the exposures where own estimates of CCFs are applied, the weighted average CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD. |
| 110 | EAD | Column 110 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The exposure value shall be reported. |
| 120 | Collateral value | Column 150 to 210 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The market value of the collateral shall be reported. |
| 130 | LGD | Column 230 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The exposure-weighted own estimates of LGD or exposure-weighted regulatory LGD applied by the institution to the exposures to each portfolio shall be reported. |
| 140 | Maturity | Column 250 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The exposure-weighted maturity shall be reported. It shall be expressed in number of days. |
| 150 | Expected Loss | Column 280 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The expected loss shall be reported. |
| 160 | Provisions non-performing exposures | Columns 050, 055 and 060 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The provisions for non-performing exposures shall be reported. These include all the general and specific credit risk adjustments for defaulted assets as referred to in Article 110 of Regulation (EU) No 575/2013. |
| 170 | RWA | Column 260 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The risk-weighted exposure amount after applying the SME supporting factor shall be reported. |
| 180 | RWA Standardised | Row 900 of template 4 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported. |
| 190 | Default rate latest year | Columns 010, 030 and 040 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The default rate for the latest year shall be reported. The default rate means the observed new defaults for the last year (column 040 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014) divided by the amount of the non-defaulted assets existing one year before the reference date (the difference between column 010 and column 030 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014). |
| 200 | Default rate past 5 years | Columns 010, 030 and 040 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The exposure-weighted average of the default rates observed in the last 5 years shall be reported. For the definition of default rate see column 190. Where the institution is not able to calculate a default rate for the past 5 years, it shall develop a proxy using its longest history up to 5 years and provide its competent authority with the documentation detailing the calculation. |
| 210 | Loss rate latest year | Columns 040 and 70 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014; Commission Delegated Regulation (EU) No 183/2014 | The loss rate observed in the latest year shall be reported. The loss rate means the sum of credit risk adjustments and write-offs for the exposures that were classified as ‘defaulted exposures’ in the latest year (column 070 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014) divided by the amount of the observed new defaults in the last year (column 040 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014). |
| 220 | Loss rate past 5 years | Columns 040 and 070 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The exposure-weighted average of the loss rates observed in the last 5 years shall be reported. For the definition of loss rate see column 210. If the institution is not able to calculate a loss rate for the past 5 years it shall develop a proxy using its longest history up to 5 years and provide documentation detailing the calculation to its competent authority. |
| 230 | RWA* | Institutions shall calculate and report RWA for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. The portfolios are defined in template 103 of Annex I to this Implementing Regulation and are identified with the following portfolio ID: (a) CORP0007; (b) SMEC0008; (c) SMER0008; (d) MORT0010; (e) CORP0007; (f) SMEC0008; (g) SMER0008; (h) MORT0010; (i) CORP0007; (j) SMEC0008; (k) SMER0008; (l) MORT0010; (m) CORP0007; (n) SMEC0008; (o) SMER0008; (p) MORT0010. The risk-weighted exposure amount, after applying the SME supporting factor, that would result from the application of PD instead of the original PD on the rating grade level shall be reported. No compensation between rating grades shall be taken into account. PD is the smallest PD estimator for which the one-sided binomial test (based on normal approximation of binomial distribution with confidence level of 97,5 %) would be passed. PD = min PD so that: Image omitted; see official source With: PD = the probability of default for the rating grade; φ– 1 = the inverse function of the standard normal distribution; q = the confidence level; DR1 y = the case-weighted default rate of the latest year for the rating grade; n = the number of non-defaulted debtors at the beginning of the period. An institution using continuous PD shall first determine the PD for the average PD of each rating class and subsequently apply by rating class the same relative deviation between PD and PD at counterpart level as for the average PD and PD at rating grade level. If the prohibition from taking into account compensation between rating grades leads to a situation where, for a given rating grade, PD is less than PD than for that rating grade, the PD shall be used in the calculation of the risk-weighted exposure amount. | |
| 240 | RWA** | Institutions shall calculate and report RWA for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in template 103 of Annex I to this Implementing Regulation and are identified with the following portfolio ID: (a) CORP0007; (b) SMEC0008; (c) SMER0008; (d) MORT0010; (e) CORP0007; (f) SMEC0008; (g) SMER0008; (h) MORT0010; (i) CORP0007; (j) SMEC0008; (k) SMER0008; (l) MORT0010; (m) CORP0007; (n) SMEC0008; (o) SMER0008; (p) MORT0010. The risk-weighted exposure amount, after applying the SME supporting factor, that would result from the application of PD instead of the original PD on the rating grade level shall be reported. No compensation between rating grades shall be taken into account. PD is the smallest PD estimator for which the one-sided binomial test (based on normal approximation of binomial distribution with confidence level of 97,5 %) would be passed. The rating grade shall be the following PD = min PD so that: Image omitted; see official source With: PD = the probability of default for the rating grade; φ– 1 = the inverse function of the standard normal distribution; q = the confidence level; DR5 y = the case-weighted default rate of the 5 latest years for the rating grade, calculated as the average of five 1-year default rates; n = the number of non-defaulted debtors at the beginning of the period. An institution using continuous PD shall determine first the PD for the average PD of each rating class and subsequently apply by rating class the same relative deviation between PD and PD at counterpart level as for the average PD and PD at rating grade level. If the prohibition from taking into account compensation between rating grades leads to a situation where, at rating grade level, PD is less than PD then for that rating grade the PD shall be used in the calculation of the risk-weighted exposure amount. |
C 105.01 — Definition of internal models
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Internal model ID | The internal model ID assigned by the reporting institution shall be reported. The internal model ID is a row identifier that shall be unique for each row in the table. | |
| 020 | Model name | The model name assigned by the reporting institution shall be reported. | |
| 030 | IRBA Risk parameter | The IRBA risk parameter shall be one of the following: (a) PD; (b) LGD; (c) CCF. | |
| 040 | EAD | Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The aggregate exposure value of the transactions included in each portfolio (see column 060) treated with the specific model shall be reported. |
| 050 | EAD weighted average default rate for calibration | The EAD-weighted average of the annual default rates used in the calibration of the PD models shall be reported. | |
| 060 | Case weighted average default rate for calibration | The case-weighted average of the annual default rates used in the calibration of the PD models shall be reported. | |
| 070 | Long-run PD | The central tendency used by the institution in the calibration of the models that incorporates any prudent adjustment to the simple case weighted average of the annual default rates used in the calibration of the PD models shall be reported. | |
| 080 | Cure rate defaulted asset | The cure rate defaulted asset is the percentage of defaulted outstanding that returns in ‘non-defaulted’ status over a 12 months period. An institution that does not calculate cure rates for a given model shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. | |
| 090 | Recovery rate of the foreclosed assets for not cured defaults | The case-weighted average recovery rate of the foreclosed assets for not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. An institution that does not have a specific recovery rate of the foreclosed assets for no cured defaults shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. | |
| 100 | Recovery period of the foreclosed assets for not cured defaults | The case-weighted average length of the recovery period (from the start of the default status to the completion date of the recovery procedures) for the non-cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. It shall be expressed in number of days. An institution that does not have a specific recovery period length of the foreclosed assets for no cured defaults shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. | |
| 110 | Joint decision | Article 20(2)(a) of Regulation (EU) No 575/2013 | The institution shall report whether or not a joint decision on prudential requirements does exist between the consolidating and the other (host) competent authority regarding the permission to use the IRB approach for the calculation of the prudential requirements for the exposures held by the subsidiaries of the institutions in the reported benchmarking portfolios. |
| 120 | Consolidating supervisor | Article 20 of Regulation (EU) No 575/2013 | The country ISO code of the country of origin of the competent authority responsible for the consolidated supervision of the institution using an IRB approach shall be reported. |
C 105.02 — Mapping of internal models to portfolios
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Portfolio ID | Column 010 of templates 102 and 103 | The code assigned by the EBA to the portfolio for which the institution reports the results of the calculation shall be reported. |
| 020 | Internal model ID | Column 010 of template 105.01 | The internal model ID assigned by the reporting institution shall be reported. |
C 105.03 — Mapping of internal models to countries
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Internal model ID | Column 010 of template 105.01 | The internal model ID assigned by the reporting institution shall be reported. Where one internal model ID is associated with several countries, separate rows shall be reported for each combination of ‘Internal model ID’ and ‘Host supervisor’. Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table. |
| 020 | Host supervisor | Article 20 of Regulation (EU) No 575/2013 | The country ISO code of the country of origin of the competent authority responsible for the supervision of the subsidiary on an individual basis for each institution where the IRB exposures reported for each benchmarking portfolio are booked shall be reported (irrespective of the existence of any permission granted by the host supervisor to apply an IRB approach). |
’
6
‘Not applicable’ shall be used when none of the answers in the list is correct (e.g. for column 020, it will mean that the counterparty is classified in multiple asset classes, without one being clearly predominant).
ANNEX V
‘ANNEX V
MARKET BENCHMARKING PORTFOLIOS
| COMMON INSTRUCTIONS | 2811 |
| --- | --- |
| SECTION 1: NON-CORRELATION TRADING PORTFOLIOS | 2812 |
| --- | --- |
| SECTION 2: DETAILS FOR PORTFOLIOS | 2820 |
| --- | --- |
| 2.1. | DETAILS FOR PORTFOLIO N. 12: CPTFEMU INDEX 10Y MATURITY ZERO COUPON SWAP |
| --- | --- |
| 2.2 | DETAILS FOR PORTFOLIO N. 14: MARK-TO-MARKET (RESETTABLE) CROSS-CURRENCY BASIS SWAP |
| --- | --- |
| 2.3 | DETAILS FOR PORTFOLIO N. 15: KNOCK-OUT CURRENCY OPTION |
| --- | --- |
| 2.4 | DETAILS FOR PORTFOLIO N. 16: DOUBLE NO TOUCH BINARY CURRENCY OPTION |
| --- | --- |
| 2.5 | DETAILS FOR PORTFOLIO N. 27: INDEX PUT ON ITRAXX EUROPE CROSSOVER |
| --- | --- |
| 2.6 | DETAILS FOR PORTFOLIO N. 28: QUANTO EURO CDS ON SPAIN WITH USD DELTA HEDGE |
| --- | --- |
| SECTION 3: CORRELATION TRADING PORTFOLIOS (CTPS) | 2824 |
COMMON INSTRUCTIONS
An institution shall apply all of the following:
- (a) Unless explicitly specified otherwise in the portfolio description, all positions shall be booked on 13 October 2016. Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise. Furthermore, calculations shall be made under the assumption that the institution will not take any action to manage the portfolio during the entire period of the benchmarking exercise. Unless explicitly stated otherwise in the specifications for a particular portfolio, strike prices for option positions shall be determined relative to prices for the underlying as observed at market close on 13 October 2016;
- (b) for the purpose of the pre-benchmarking exercise validation, the valuation of each portfolio shall be submitted to the institution's competent authority by [date of entry into force]. Initial Market Valuation (IMV) means the sum of the market value at the booking date and of the unrealised balance (i.e. profit or loss that has been made but not yet realised or that would be realised if the position would be closed out (or ‘unwound’)) between the booking date and the valuation date and time. Therefore, IMV means the mark-to-market value on the valuation date and time. The valuation shall be performed on 27 October 2016, 5.30 pm CET (4.30 pm GMT);
- (c) the risks of the positions shall be calculated without taking into account the funding costs;
- (d) to the extent possible, counterparty credit risk shall be excluded when valuing the risks of the portfolios;
- (e) the 10-day 99 % VaR shall be calculated on a daily basis. Stressed Value-at-Risk (‘sVaR’) and the Incremental Risk Charge (‘IRC’) may be calculated on a weekly basis. sVaR and IRC shall be based on end–of-day prices for each Friday in the time window of the benchmarking exercise;
- (f) for each portfolio, results in the base currency of the portfolio, as required in the tables below, shall be provided;
- (g) for transactions that include long positions in Credit Default Swaps (‘CDS’), it shall be assumed that an immediate up-front fee is paid to enter the position as per the market conventions. It shall be assumed that the maturity dates for all CDS positions in the exercise follow conventional quarterly termination dates;
- (h) additional specifications needed in order to carry out pricing calculations required for CDS positions shall be done in a way that is consistent with commonly used market standards and conventions;
- (i) the maturity date that ensures that the transaction is closest to the term-to-maturity specified shall be used;
- (j) for material details of the product specification that are not explicitly stated in this Annex, the assumptions that have been used, including day count convention, and the choice for a tradable and liquid instrument where permitted, shall be provided along with the results;
- (k) the abbreviations ATM, OTM and ITM refer to the relative position of the current or future price of a derivative's underlying asset with respect to the strike price of that derivative (‘moneyness’). ATM stands for ‘at the money’, OTM stands for ‘out of the money’, and ITM stands for ‘in the money’;
- (l) all options shall be treated as if they are traded over-the-counter (‘OTC’), unless explicitly specified otherwise in the portfolio;
- (m) the standard timing conventions for OTC options shall be followed (i.e. expiry dates are the business day following a non-trading day). The timing convention for options shall be as follows: the time to maturity for a n-month option shall be n months. Where options expire on a non-trading day, institutions shall adjust the expiration date per business day, in accordance with common market practices;
- (n) all OTC options shall be treated as follows:
- — as American for single name equities and commodities;
- — as European for equity indices, foreign exchange and swaptions;
- (o) for all options, the premium from the initial market value calculations shall be excluded, so that options shall be considered as ‘naked’;
- (p) regarding the Correlation Trading Portfolio (CTP), IM stands for Risk Measures resulting from Internal Model calculations for CTP in accordance with Article 377 of Regulation (EU) No 575/2013. It is indicated as All Price Risk (APR) in Annex VI to this Implementing Regulation;
- (q) for the positions denominated in a common base currency but composed of one or more instruments denominated in a different currency, the Initial Market Valuation (‘IMV’) shall be converted in the common portfolio base currency using the appropriate foreign exchange (‘FX’) spot rate at the end of the booking date (13 October 2016). The same common portfolio base currency that was used to convert the IMV shall be used for profit-and-loss results (‘P&L’) and risk and stressed measures (VaR, sVaR, IRC, APR) by using the corresponding and appropriate FX rate;
- (r) when booking all positions, institutions shall follow appropriate market conventions unless otherwise specified. In the following sections, ‘long’ means ‘buy’ and ‘short’ means ‘sell’. For CDS positions, ‘long’ means ‘buy protection’ and ‘short’ means ‘sell protection’, following standard market practice;
- (s) where an instrument is subject to a corporate action including a call from the issuer, or a default or similar actions, institutions shall exclude that instrument from the portfolio together with any related CDS or option;
- (t) ‘on-the-run’ referring to an Index series means the most liquid and tradable series of that specific index available on the market. Institutions shall communicate their choice of the Index series along with the related results in the appropriate text cell in the templates;
- (u) the Euro Interbank Offered Rate (‘EURIBOR’) is the rate calculated by the European Money Markets Institute at different maturities for Euro interbank term deposits;
- (v) the London Interbank Offered Rate (‘LIBOR’) is the rate calculated by the Intercontinental Exchange at different maturities for interbank term deposits in different currencies;
Section 1: Non-Correlation Trading Portfolios
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