LegalizeCommission Implementing Regulation (EU) 2018/688 of 23 March 2018 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios, reporting templates 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 | 6299 |
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| C 101 – DEFINITION OF LOW DEFAULT PORTFOLIO COUNTERPARTIES | 6299 |
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| C 102 – DEFINITION OF LOW DEFAULT PORTFOLIOS | 6301 |
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| C 103 – DEFINITION OF HIGH DEFAULT PORTFOLIOS | 6306 |
DEFINITION OF THE SUPERVISORY BENCHMARKING PORTFOLIOS
C 101 – Definition of Low Default Portfolio counterparties
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Counterparty code | The code assigned by the European Banking Authority (‘EBA’) to each legal entity included in the low default portfolio (‘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) 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) Central banks; (b) General Governments; (c) Credit institutions; (d) Other financial corporations; (e) Non-financial corporations; (f) Not applicable. | |
| 110 | Type of exposure | Rows 020 and 030 of template 8.1 of Annex I to 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. |
| 120 | Type of facility | For the purpose of mapping exposures to portfolios defined in Annex I, exposures shall be split into parts according to the 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. The ‘Large corporate’ sample comprises all entities listed in template 101 of Annex I to this Implementing Regulation for which the Portfolio name (column 090 of template 101) is ‘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 country of residence (ISO code or ‘Other countries’) 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) Not applicable. | |
| 060 | Rating | 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 %. 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. It is neither intended nor desirable to have a supervisory master scale. Where the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale shall be used. Otherwise, the different rating systems shall be merged and ordered according to 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. | |
| 070 | Exposure class | Each portfolio is assigned to one of the following exposure classes: (a) Central governments and central banks; (b) Institutions; (c) Corporates; (d) Not applicable. | |
| 080 | Sector of counterparty | Each portfolio is assigned to one of the following FINREP-based economic sector classes: (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 | For the purpose of mapping exposures to portfolios defined in Annex I, exposures shall be split into parts according to the 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 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 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 the 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 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. | |
| 110 | Collateralisation status | Columns 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | For the purpose of mapping exposures to portfolios defined in Annex I, exposures shall be split into parts according to the collateralisation status. 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 Implementing Regulation (EU) No 680/2014 | For the purpose of mapping exposures to portfolios defined in Annex I, exposures shall be split into parts according to the collateral type. 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 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 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The size of the exposure expressed in terms of exposure value (i.e. exposure at default (‘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 | 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 | Exposures of the exposure class ‘Corporates’ can be subject to different regulatory approaches and shall be split to fit the portfolios definitions which include one of the following: (a) Foundation IRB Approach; (b) Advanced IRB Approach; (c) Specialised lending slotting criteria. Portfolios for the exposure class ‘Retail’ are defined with the regulatory approach ‘Advanced IRB Approach’. | |
| 050 | Geographical area | The country of residence (ISO code or ‘Other countries’) 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. | |
| 060 | 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. It is neither intended nor desirable to have a supervisory master scale. Where the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale shall be used. Otherwise, the different rating systems shall be merged and ordered according to 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. | |
| 070 | Exposure class | Each portfolio is assigned to one or several of the following exposure classes: (a) Corporate: (a.1) Corporate – SME; (a.2) Corporate – No SME; (b) Retail: (b.1) Retail – SME; (b.1.1) Retail – SME — Secured by real estate; (b.1.2) Retail – SME — Other; (b.2) Retail – No SME; (b.2.1) Retail – No SME — Other; (b.2.2) Retail – No SME — Secured by real estate; (b.3) Retail – Qualifying revolving; (c) Not applicable. | |
| 080 | 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. | |
| 090 | 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 %. | |
| 100 | Type of facility | For the purpose of mapping exposures to portfolios defined in Annex I, exposures shall be split into parts according to the 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 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 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 the 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 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: This refers to on-balance sheet exposures; (k) Not applicable. | |
| 110 | Collateralisation status | Column 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | For the purpose of mapping exposures to portfolios defined in Annex I, exposures shall be split into parts according to the collateralisation status. 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 | For the purpose of mapping exposures to portfolios defined in Annex I, exposures shall be split into parts according to the collateral type. The collateral type is one of the following: (a) Eligible collateral other than real estate; (b) Real estate collateral; (c) Not applicable. | |
| 130 | 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’). | |
| 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 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. | |
| 150 | Type of exposure | Rows 020 and 030 of template 8.1 of Annex I to 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. |
| 160 | Size of exposure | Column 110 of template 8.1 of Annex I to 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. |
| 170 | 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 at least comply with 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. Where 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 in an independent way and 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 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); — where a market value can be determined, the valuation is not higher than 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
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 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 020 | 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 | Number of obligors | PD | Original exposure pre conversion factors | Exposure after CRM substitution effects pre conversion factors | CCF | EAD | Collateral value | LGD | Maturity | Expected Loss | Provisions defaulted exposures | RWA | RWA Standardised |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 040 | 060 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 |
C 103.00 - Details on exposures in High Default Portfolio
| Portfolio ID | Number of obligors | PD | Original exposure pre conversion factors | Exposure after CRM substitution effects pre conversion factors | CCF | EAD | Collateral value | LGD | Maturity | Expected Loss | 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 ** |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 040 | 060 | 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 for not cured defaults | Recovery period for not cured defaults | Joint decision | Consolidating supervisor | RWA |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 |
C 105.02 - Mapping of internal models to portfolios
| Row ID | Portfolio ID | Internal model ID | EAD | RWA |
|---|---|---|---|---|
| 005 | 010 | 020 | 030 | 040 |
C 105.03 - Mapping of internal models to countries
| Internal model ID | Location of institution |
|---|---|
| 010 | 020 |
ANNEX IV
‘ANNEX IV
RESULTS SUPERVISORY BENCHMARKING PORTFOLIOS
Table of Contents
| PART I: GENERAL INSTRUCTIONS | 6316 |
| --- | --- |
| PART II: TEMPLATE RELATED INSTRUCTIONS | 6317 |
| --- | --- |
| C 101 – DETAILS ON EXPOSURES IN LOW DEFAULT PORTFOLIOS BY COUNTERPARTY | 6317 |
| --- | --- |
| C 102 – DETAILS ON EXPOSURES IN LOW DEFAULT PORTFOLIOS | 6319 |
| --- | --- |
| C 103 – DETAILS ON EXPOSURES IN HIGH DEFAULT PORTFOLIO | 6321 |
| --- | --- |
| C 105.01 – DEFINITION OF INTERNAL MODELS | 6327 |
| --- | --- |
| C 105.02 – MAPPING OF INTERNAL MODELS TO PORTFOLIOS | 6329 |
| --- | --- |
| C 105.03 – MAPPING OF INTERNAL MODELS TO COUNTRIES | 6330 |
PART I: GENERAL INSTRUCTIONS
| 1. | Information shall be submitted only for those counterparties where an actual exposure or a rating which is valid to be used in the calculation risk-weighted assets (‘RWA’) exists. | |
| --- | --- | --- |
| 2. | Information shall be submitted only for those exposures and portfolios where an internal model has been approved. | |
| --- | --- | --- |
| 3. | Information not required or not applicable shall not be submitted. Zero values shall be reported where the quantity is known to be zero. | |
| --- | --- | --- |
| 4. | For portfolios that are defined with a specific rating grade in Annex I, information on the probability of default (‘PD’) shall be reported for the entire rating scale used by the institution, even where no internal-ratings based (‘IRB’) exposure exists for the respective portfolio at the reporting reference date for each rating grade. In this case, the exposure at default (‘EAD’) shall be reported as zero and information on the other columns shall not be submitted. | |
| --- | --- | --- |
| 5. | Portfolios that are not defined by specific rating grade in Annex I shall not be submitted where no IRB exposure or valid rating exists at the reporting reference date. | |
| --- | --- | --- |
| 6. | Monetary amounts shall be reported as used for calculating own funds requirements as of a specific reference date (i.e. same as reported for Implementing Regulation (EU) No 680/2014). |
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 | The counterparty code assigned by the European Banking Authority (EBA) to the counterparty included in the low default portfolio (‘LDP’) samples portfolios shall be reported. This code is a row identifier and shall be unique for each row in the table. |
| 020 | Exposure class | Paragraph 78 of Annex II to 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 applicable ‘Not applicable’ shall be used where none of the answers in the list is correct which is the case when a counterparty is classified in multiple asset classes, without one being clearly predominant |
| 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 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. 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. The PD shall be expressed as a value between 0 and 1. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. |
| 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 Implementing Regulation (EU) No 680/2014 | The original exposure value before taking into account any value adjustments, credit risk adjustments, 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 Implementing Regulation (EU) No 680/2014 | The amount to which a conversion factor (‘CCF’) is applied in order to obtain the EAD shall be reported. This shall be done taking 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 | The weighted average of the 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. Where the institution is allowed to apply own estimates of CCFs, those shall be reported, otherwise the regulatory CCFs shall be reported. |
| 110 | EAD | Column 110 of template 8.1 of Annex I to 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 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 loss given default (‘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 estimates of 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 | Columns 230 and 240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The EAD-weighted own estimates of LGD or the EAD-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 Implementing Regulation (EU) No 680/2014 | The EAD-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 1 to Implementing Regulation (EU) No 680/2014 | The risk-weighted exposure amount after applying the small- and medium-sized enterprise (‘SME’) supporting factor shall be reported. |
C 102 – Details on exposures in Low Default Portfolios
For portfolios defined 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 130), Expected Loss (column 150) and RWA (column 170).
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Portfolio ID | Column 010 of template 102 of Annex I | The code assigned by the EBA to each portfolio shall be reported. This code is a row identifier and shall be unique for each row in the table. |
| 040 | Number of obligors | Column 300 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The number of obligors shall be reported. |
| 060 | PD | Column 010 of table 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The PD assigned to the obligor shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. 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. In those cases where the PD of the protection provider is used to calculate the RWA, the PD of the protection provider shall be used. 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 the EAD-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the relevant competent authority. |
| 080 | Original exposure pre conversion factors | Column 020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The original exposure value before taking into account any value adjustments, credit risk adjustments, 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 Implementing Regulation (EU) No 680/2014 | The amount to which a CCF is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure. |
| 100 | CCF | Article 166(8)(e) of Regulation (EU) No 575/2013 | The weighted average of the 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. Where the institution is allowed to apply own estimates of CCFs, those shall be reported, otherwise the regulatory CCFs shall be reported. |
| 110 | EAD | Column 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The exposure value shall be reported. |
| 120 | Collateral value | Columns 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The market value of the collateral shall be reported. |
| 130 | LGD | Columns 230 and 240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The EAD-weighted own estimates of LGD or the EAD-weighted regulatory LGD applied by the institution to the exposures held and included in each portfolio shall be reported. |
| 140 | Maturity | Column 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | 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 risk weighted exposure amounts. This information shall not be reported for portfolios that represent exposures of the exposure class ‘Retail’. |
| 150 | Expected Loss | Column 280 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The expected loss shall be reported. |
| 160 | Provisions defaulted exposures | Columns 050, 055 and 060 of template 9.2 of Annex I to Implementing Regulation (EU) No 680/2014 | The credit risk adjustments for defaulted exposures shall be reported. These include all the general and specific credit risk adjustments for defaulted assets as defined in Article 110 of Regulation (EU) No 575/2013. |
| 170 | RWA | Column 260 of template 8.1 of Annex I to 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 Implementing Regulation (EU) No 680/2014 | The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported. |
C 103 – Details on exposures in High Default Portfolio
For portfolios defined 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 130), Expected Loss (column 150), RWA (column 170), Loss rate latest year (column 210) and Loss rate past 5 years (column 220).
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Portfolio ID | Column 010 of template 103 of Annex I | The code assigned by EBA to each portfolio shall be reported. This code is a row identifier and shall be unique for each row in the table. |
| 040 | Number of obligors | Column 300 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The number of obligors shall be reported. |
| 060 | PD | Column 010 of template 8.1 of Annex I to 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. 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. In those cases where the PD of the protection provider is used to calculate the RWA, the PD of the protection provider shall be used. 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 EAD-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the relevant competent authority. |
| 080 | Original exposure pre conversion factors | Column 020 of template8.1 of Annex I of Implementing Regulation (EU) No 680/2014 | The original exposure value before taking into account any value adjustments, credit risk adjustments, 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 Implementing Regulation (EU) No 680/2014 | The amount to which a conversion factor is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure. |
| 100 | CCF | Article 166(8) of Regulation (EU) No 575/2013 | The weighted average of the 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. Where the institution is allowed to apply own estimates of CCFs, those shall be reported, otherwise the regulatory CCFs shall be reported. |
| 110 | EAD | Column 110 of template 8.1 of Annex I to 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 Implementing Regulation (EU) No 680/2014 | The market value of the collateral shall be reported. |
| 130 | LGD | Columns 230 and 240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The EAD-weighted own estimates of LGD or EAD-weighted regulatory LGD applied by the institution to the exposures to each portfolio shall be reported. The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded. |
| 140 | Maturity | Column 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | 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 risk weighted exposure amounts. This means that this information shall not be reported for portfolios that represent exposures of the exposure class ‘Retail’. |
| 150 | Expected Loss | Column 280 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The expected loss shall be reported. |
| 160 | Provisions defaulted exposures | Columns 050, 055 and 060 of template 9.2 of Annex I to Implementing Regulation (EU) No 680/2014 | The credit risk adjustments for defaulted exposures shall be reported. These include all the general and specific credit risk adjustments for defaulted exposures as defined in Article 110 of Regulation (EU) No 575/2013. |
| 170 | RWA | Column 260 of template 8.1 of Annex I to 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 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 | The default rate for the latest year shall be reported. The default rate shall be calculated as the ratio between i) the sum of the exposures (original exposure before applying the conversion factor measured at the reference date minus one year) that were non-defaulted exactly one year before the reference date and that defaulted between the reference date minus one year and the reference date and ii) the sum of the exposures (original exposure before applying the conversion factor measured at the reference date minus one year) that were non-defaulted at the reference date minus one year. New exposures that were generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in both the numerator and the denominator. Multiple defaults of the same obligor shall be included only once. This information shall be reported for portfolio IDs relating to non-defaulted exposures only. | |
| 200 | Default rate past 5 years | The weighted average of the default rates observed in the last five years preceding the reference date shall be reported. The default rate definition referred to in column 190 shall be used. The weights to be used are the non-defaulted exposures used in the calculation of the default rate in accordance with column 190. Where the institution is not able to calculate a default rate for the past five years preceding the reference date, it shall develop a proxy using its longest history up to five years preceding the reference date and provide the documentation detailing the calculation to its competent authority. This information shall be reported for portfolio IDs relating to non-defaulted exposures only. | |
| 210 | Loss rate latest year | The loss rate observed in the latest year shall be reported. For non-defaulted portfolios, the loss rate shall be the sum of credit risk adjustments and write-offs applied, within the year preceding the reference date, to exposures that were non-defaulted exactly one year before the reference date and that defaulted during the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date, of the exposures that were non-defaulted exactly one year before the reference date and that defaulted during the year preceding the reference date. New exposures that were generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be considered in the numerator of the loss rate. Multiple defaults of the very same obligor shall be considered only once. For defaulted portfolios, the loss rate shall be the sum of (i) credit risk adjustments to exposures that were already in default exactly one year before the reference date in the respective portfolio and (ii) credit risk adjustments and write-offs applied within the year preceding the reference date for these exposures, divided by the sum of the EAD, measured exactly one year before the reference date, of the exposures that were defaulted exactly one year before the reference date. New defaults during the year preceding the reference date shall not be included. Exposures that cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be included in the numerator of the loss rate. Multiple defaults of the very same obligor shall be included only once. | |
| 220 | Loss rate past 5 years | The EAD-weighted average of the loss rates observed in the last five years preceding the reference date shall be reported. The definition of loss rate referred to in column 210 shall be used. Where 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. These portfolios are defined in template 103 of Annex I and are identified with the following portfolio ID: CORP_ALL_0086___Rx0 SMEC_ALL_0106__Rx0 SMER_ALL_0106__Rx0 MORT_ALL_0094___Rx0 RWA is the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, that results from the application of the PD values, as defined below, instead of the institution's PD values, for each exposure. The remaining parameters (LGD, M,…) needed in the computation shall not be subject to changes. PD is based on a calculation performed separately for each obligor grade, where the obligor grades as reported in column 005 of template 8.2 to Annex I to Implementing Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) are to be used (see Annex II to Implementing Regulation (EU) No 680/2014, template 8.1 column 010 and template 8.2 for instructions). For each obligor grade, p is the smallest positive value satisfying the equation Image omitted; see official source where: Φ– 1 = the inverse function of the standard normal (cumulative) distribution; q = the confidence level set at 97,5 %; DR1 y = the case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and that defaulted during the latest year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date; n = the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD is defined as PD = max(PD, p), where PD is the PD assigned to the obligor for the purposes of the institution's RWA calculation and is as defined for the obligor grade assigned to the obligor. An institution using continuous PD shall first determine the PD for the average PD of each obligor grade and subsequently apply by obligor grade the same relative deviation between PD and PD at counterpart level as for the average PD and PD* at obligor grade level. | |
| 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 and are identified with the following portfolio IDs: CORP_ALL_0086_Rx0 SMEC_ALL_0106Rx0 SMER_ALL_0106Rx0 MORT_ALL_0094_Rx0 RWA is the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, that results from the application of the PD values, as defined below, instead of the institution's PD values, for each exposure. The remaining parameters (LGD, M,…) needed in the computation shall not be subject to changes. PD is based on a calculation performed separately for each obligor grade, where the obligor grades as reported in column 005 of template 8.2 of Annex I to Implementing Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) are to be used (see Annex II to Implementing Regulation (EU) No 680/2014, 8.1 column 010 and 8.2 for instructions). For each obligor grade, p is the smallest positive value satisfying the equation Image omitted; see official source where: Φ– 1 = the inverse function of the standard normal (cumulative) distribution; q = the confidence level, set at 97,5 %; DR5 y = the default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates; n = the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD is defined as PD = max(PD, p), where PD is the PD assigned to the obligor for the purposes of the institution's RWA calculation and p is as defined for the obligor grade assigned to the obligor. An institution using continuous PD shall determine first the PD for the average PD of each obligor grade and subsequently apply by obligor grade the same relative deviation between PD and PD at counterpart level as for the average PD and PD at obligor grade level. |
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. This 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 IRB approach 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 to Implementing Regulation (EU) No 680/2014 | The aggregate exposure value of the transactions in the scope of application of the specific model shall be reported. |
| 050 | EAD-weighted average default rate for calibration | The EAD-weighted average of the annual default rates, where used in the calibration of the PD models, shall be reported. This information shall be completed only for PD models. | |
| 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. This information shall be completed only for PD models. | |
| 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. This information shall be completed only for PD models. | |
| 080 | Cure rate for defaulted asset | The cure rate defaulted asset shall be 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 for cure rates, in accordance with the definition provided. The institution shall report the use of a proxy to the competent authority. This information shall be completed only for LGD models. | |
| 090 | Recovery rate for not cured defaults | The case-weighted average recovery rate 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 for not cured defaults, due to an incomplete recovery procedure, shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. This information shall be completed only for LGD models. | |
| 100 | Recovery period 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 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. It shall be expressed in number of days. An institution that does not have a specific recovery period length for not cured defaults, due to an incomplete recovery procedure, shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. This information shall be completed only for LGD models. | |
| 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. |
| 130 | RWA | Column 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The risk-weighted exposure amount after applying the SME supporting factor for all transactions in the scope of application of the specific model shall be reported. |
C 105.02 – Mapping of internal models to portfolios
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 005 | Row ID | The row ID shall be reported. This ID is a row identifier that shall be unique for each row in the table. It shall follow the numerical order 1, 2, 3, etc. | |
| 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. |
| 030 | EAD | Column 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The exposure value of the transactions in the scope of application of the specific model (see column 020) for the specific portfolio (see column 010) shall be reported. Where all transactions of a given portfolio are treated with one specific model, the exposure value shall be identical to the amount reported for the same portfolio in column 110 of template 102 or 103, as applicable. |
| 040 | RWA | Column 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The risk-weighted exposure amount after applying the SME supporting factor for the transactions in the scope of application of the specific model (see column 020) for the specific portfolio (see column 010) shall be reported. Where all transactions of a given portfolio are treated with one specific model, the amount shall be identical to the amount reported for the same portfolio in column 170 of template 102 or 103, as applicable. |
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 ‘Location of institution’. Columns 010 and 020 are a composite row identifier and together shall be unique for each row in the table. |
| 020 | Location of institution | Article 20 of Regulation (EU) No 575/2013 | The country ISO code of the legal residence of each subsidiary 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). |
’
ANNEX V
‘ANNEX V
MARKET BENCHMARKING PORTFOLIOS
Table of contents
| COMMON INSTRUCTIONS | 6331 |
| --- | --- |
| SECTION 1: NON-CORRELATION TRADING PORTFOLIOS | 6332 |
| --- | --- |
| SECTION 2: DETAILS FOR PORTFOLIOS | 6339 |
| --- | --- |
| 2.1 | DETAILS FOR PORTFOLIO N. 11: KNOCK-OUT CURRENCY OPTION |
| --- | --- |
| 2.2 | DETAILS FOR PORTFOLIO N. 12: DOUBLE NO TOUCH BINARY CURRENCY OPTION |
| --- | --- |
| SECTION 3: CORRELATION TRADING PORTFOLIOS (CTPS) | 6340 |
COMMON INSTRUCTIONS
An institution shall apply all of the following:
- (a) Unless explicitly specified otherwise in the portfolio description, all positions shall be booked 12 October 2017. Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise. Furthermore, calculations shall be carried out under the assumption that the institution will not take any action to manage the portfolio in any way 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 on12 October 2017.
- (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 11 June 2018. The exact timing of the initial market valuation shall be 27 October 2017, 5.30 pm CET (4.30 pm GMT).
Initial Market Valuation (‘IMV’) means the market value at the booking date plus the unrealised balance (i.e. profit or loss that has been made but not yet realised or that would be realised where the position would be closed out (or ‘unwound’)) until the valuation date and time; i.e. MtM (12/10/2017) + {MtM (27/10/2017, 5:30 CET) – MtM (12/10/2017)}, where MtM stands for Mark to Market. Therefore, IMV is the market value of the portfolio at the valuation date and time.
- (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 table 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. The maturity date for all CDS in the exercise shall be treated as following 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 (12 October 2017). The same common portfolio base currency that was used to convert the IMV shall be used for Profit-and-Loss (‘P&L’) results, 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 where not otherwise specified. In the following sections, ‘long’ means ‘buy’ and ‘short’ means ‘sell’. For CDS, ‘long’ means ‘buy protection’ and ‘short’ means ‘sell protection’. This follows from standard market practice.
- (s) When an instrument is subject to a corporate action including a call from the issuer, or a default or similar actions, institutions shall exclude the 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 in 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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