LegalizeCommission Implementing Regulation (EU) 2021/1971 of 13 September 2021 amending Implementing Regulation (EU) 2016/2070 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance)
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.
ANNEX II
‘ANNEX II
SUPERVISORY BENCHMARK PORTFOLIOS
| DEFINITION OF THE SUPERVISORY BENCHMARK PORTFOLIOS | 2691 |
| --- | --- |
| C 101 – | Definition of Low Default Portfolio counterparties |
| --- | --- |
| C 102 – | Definition of Low Default Portfolios |
| --- | --- |
| C 103 – | Definition of High Default Portfolios |
DEFINITION OF THE SUPERVISORY BENCHMARK PORTFOLIOS
For the mapping of the exposures to counterparties and the portfolios listed in Annex I, this Annex shall apply.
Where “Not applicable” is used in Annex I, no specific split is required for the variable it relates to.
C 101 – Definition of Low Default Portfolio counterparties
Only exposures to the counterparties listed in template C 101.00 of Annex I shall be reported in template C 101.00 of Annex III. Exposures to related entities of the counterparties listed in Table C 101.00 of Annex I, including subsidiaries and parent companies, shall not be reported.
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 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 | Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or “Other countries”) of the counterparty. For the “Retail – SME - secured by real estate” and “Retail – Non-SME - secured by real estate” portfolios, exposures shall be split into parts based on the location of the collateral. | |
| 090 | Portfolio name | Each counterparty is assigned one of the following names: (a) Sovereign sample; (b) Institutions sample; (c) Large corporate sample. | |
| 100 | Sector of counterparty | Exposures shall be split into parts and assigned to portfolios based on the economic sector of the counterparty: (a) Central banks; (b) General governments; (c) Credit institutions; (d) Other financial corporations; (e) Non-financial corporations; (f) Households; (g) Not applicable. The assignment of counterparties to sectors shall be made in accordance with the instructions in Annex V part 1 paragraph 35 of Commission Implementing Regulation (EU) No 680/20144. | |
| 110 | Type of exposure | Only Exposures other than specialised lending shall be reported in template C 101.00 of Annex III. | |
| 120 | Type of facility | Not applicable: exposures shall be reported in template C 101.00 of Annex III independently of the type of facility. | |
| 130 | Type of risk | Exposures shall be split into parts and assigned to portfolios based on the type of risk: (a) Counterparty credit risk; (b) Credit risk and free deliveries; (c) Credit risk, counterparty credit risk and free deliveries. | |
| 140 | Regulatory approach | Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWEA: (a) Foundation IRB Approach; (b) Advanced IRB Approach; (c) Specialised lending slotting criteria. RWEAs for the exposure class “Retail” are calculated under the regulatory approach “Advanced IRB Approach”. |
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 | The name of each portfolio, assigned from among the following names: (a) Sovereign; (b) Institutions; (c) Large corporates; (d) Specialised lending exposures, which comprises all the exposures referred to in Article 147(8) of Regulation (EU) No 575/2013 of the European Parliament and of the Council5. | |
| 030 | Type of risk | The instructions provided for column 130 of C 101 shall apply. | |
| 040 | Regulatory approach | The instructions provided for column 140 of C 101 shall apply. | |
| 050 | Geographical area | The instructions provided for column 080 of C 101 shall apply. | |
| 060 | Rating | Article 153(5) of Regulation (EU) No 575/2013, Template 8.2 of Annex I to Implementing Regulation (EU) No 680/2014 | Exposures shall be split into parts and assigned to portfolios based on the rank of the internal rating applied by the institution from lowest risk to highest risk excluding defaults with a probability of default (“PD”) corresponding to 100 %. The rating takes values from Rating 1, Rating 2 etc. Where the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, that internal master scale shall be used. In all other cases, the different rating systems shall be merged and ordered in accordance with the following instructions: (a) Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher; (b) Where a large number of grades or pools is used, a reduced number of grades or pools to be reported may be agreed with the competent authorities. For specialised lending exposures risk weighted in accordance with Article 153(5) CRR, the rating split shall be based on the supervisory risk weight category described in table 1 of that Article, as follows: Rating 1: Category 1 with Remaining maturity less than 2.5 years; Rating 2: Category 2 with Remaining maturity less than 2.5 years; Rating 3: Category 3 with Remaining maturity less than 2.5 years; Rating 4: Category 4 with Remaining maturity less than 2.5 years; Rating 5: Category 1 with Remaining maturity equal or more than 2.5 years; Rating 6: Category 2 with Remaining maturity equal or more than 2.5 years; Rating 7: Category 3 with Remaining maturity equal or more than 2.5 years; Rating 8: Category 4 with Remaining maturity equal or more than 2.5 years. The same rating scale as that used for reporting in template C 08.02 of Annex I to Regulation (EU) No 680/2014 shall be used. Where the Institution uses a group master scale, that master scale shall be used. |
| 070 | Exposure class | Paragraph 78 of Annex II to Regulation (EU) No 680/2014 | Exposures shall be split into parts and assigned to portfolios based on the exposure class: (a) Central governments and central banks; (b) Institutions; (c) Corporates - other: (c.1) Corporates - SME; (c.2) Corporates - no SME; (d) Corporates - specialised lending exposures; (e) Retail: (e.1) Retail - SME; (e.1.1) Retail - SME - secured by real estate; (e.1.2) Retail - SME - other; (e.2) Retail - no SME; (e.2.1) Retail - no SME - other; (e.2.2) Retail - no SME - Secured by real estate; (e.3) Retail - Qualifying revolving; (f) Not applicable. In accordance with Article 147(4)(a) Regulation (EU) No 575/2013, exposures to regional governments and local authorities which are not treated as exposures to central governments shall be assigned to the exposure class “exposures to institutions”. The exposure classes of point e) and f) of Article 147(2) of Regulation (EU) No 575/2013 “equity exposures” and “items representing securitisation positions” shall not be reported. |
| 080 | Sector of counterparty | The instructions provided for column 100 of C 101 shall apply. | |
| 090 | Default status | Exposures shall be split into parts and assigned to portfolios based on the default status: (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 %; (c) Not applicable. | |
| 100 | Type of facility | Article 166 (8) and (10) of Regulation (EU) No 575/2013 | Exposures shall be split into parts and assigned to portfolios based on the type of facility. Where more than one facility type value applies to the credit product, the exposure value shall be split on the basis of the facility type values. The type of facility is one of the following: (a) Full risk (100 %); (b) Note issuance facility and revolving underwriting facility (Medium risk); (c) Issued warranties and indemnities, guarantees, irrevocable stand-by letters of credit, documentary credit and other medium risk off-balance sheet items (Medium risk), including tender, performance, customs and tax bonds, guarantees, irrevocable standby letters of credit not having the character of credit substitutes and other medium risk off-balance sheet items; (d) Undrawn committed revolving credit facility (Medium-low risk) including revolving lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness; (e) Undrawn committed term credit facility (Medium-low risk) including term lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness; (f) Undrawn committed other credit facility (Medium-low risk) including lending commitments, other than revolving and term, that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness; (g) Issued short-term letters of credit and other medium-low risk off-balance sheet items (Medium-low risk); (h) Undrawn uncommitted credit lines (Low risk) including lending facilities that are undrawn and that may be cancelled unconditionally at any time without notice or that provide for automatic cancellation due to a deterioration in borrower’s creditworthiness; (i) Undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items (Low risk) including commitments that are able to be unconditionally cancelled or that effectively provide for automatic cancellation at any time by the institution without prior notice; (j) Not applicable. |
| 110 | Collateralisation status | Columns 150 to 220 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | Exposures shall be split into parts and assigned to portfolios based on the collateralisation status of each part: (a) Exposures with credit protection; (b) Exposures without credit protection; (c) Not applicable. The part of the exposure with credit protection shall be determined by the value of the collateral after haircuts applied in accordance with PART THREE, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013, and, where applicable, institutions’ internal guidelines. |
| 120 | Collateral type | Columns 150 to 220 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | Exposures shall be split into parts and assigned to portfolios based on the collateral type: (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) Other unfunded credit protection: exposures subject to double default; (j) Not applicable. The part of the exposure secured by a specific type of collateral shall be determined by the value of that specific type of the collateral after the haircuts required in accordance with Title II, Chapter 4, Section 4 of Regulation (EU) No 575/2013, and, where applicable, institutions’ internal guidelines. Exposures with unfunded credit protections treated under the substitution approach are already shifted to the corresponding exposures classes and shall thus not be reported under (g), (h) or (i). |
| 130 | Counterparty | Exposures shall be split into parts and assigned to portfolios based on the type of counterparty: (a) Public sector entities (in accordance with Article 112, point (c), of Regulation (EU) No 575/2013); (b) Counterparties other than public sector entities; (c) Not applicable | |
| 140 | Size of counterparty | Exposures shall be split into parts and assigned to portfolios based on the size of the counterparty which shall be determined based on the total annual turnover for the consolidated group of which the counterparty is a part: (a) ≤ EUR 50 million; (b) > EUR 50 million and ≤ EUR 200 million; (c) > EUR 200 million; (d) > EUR 200 million and ≤ EUR 500 million; (e) > EUR 500 million; (f) Not applicable. The total annual turnover shall be calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC6 and shall refer to the year ending one year before the reporting reference date. | |
| 150 | NACE code | Exposures shall be split into parts and assigned to portfolios based on the economic activity of the counterparty determined by the NACE codes (Statistical Classification of Economic Activities of the Union): (a) Nace 1: C Manufacturing; (b) Nace 2: G Wholesale and retail trade; (c) Nace 3: F Construction; (d) Nace 4: H Transport and storage; (e) Nace 5: D Electricity, gas, steam and air conditioning supply; (f) Nace 6: A Agriculture, forestry and fishing; (g) Nace 7: L real estate activities; (h) Nace 8: All other exposures than those included in points (a) to (h) above; (i) Not applicable. | |
| 160 | Type of exposure | Article 2 of the Commission Delegated Regulation (EU) 2021/5987 | Exposures shall be split into parts and assigned to portfolios based on the type of exposure: (a) Not applicable; (b) Specialised lending exposures - Project finance; (c) Specialised lending exposures - Income-producing real estate and high-volatility commercial real estate; (d) Specialised lending exposures - Object finance; (e) Specialised lending exposures - Commodities finance; (f) Eligible covered bonds that meet the requirements of Article 129(1) of Regulation (EU) No 575/2013; (g) Other exposures than those referred to in point (f). |
| 170 | Size of exposure | Column110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | Exposures shall be split into parts and assigned to portfolios based on the size of the exposure expressed in terms of exposure value (i.e. exposure at default (“EAD”)): (a) Not applicable. |
| 180 | Indexed loan-to-value range | Exposures shall be split into parts and assigned to portfolios based on the indexed loan-to-value (“ILTV”) range which shall be the ratio between the current loan amount and the current value of the property: (a) Bucket 1: ≤ 55 % if the property is a residential immovable property; ≤ 60 % if the property is a commercial immovable property; (b) Bucket 2: > 55 % ≤ 70 % if the property is a residential immovable property; > 60 % ≤ 70 % if the property is a commercial immovable property; (c) Bucket 3: > 70 % ≤ 80 %; (d) Bucket 4: > 80 % ≤ 90 %; (e) Bucket 5: > 90 % ≤ 100 %; (f) Bucket 6: > 100 % ≤ 110 %; (g) Bucket 7: > 110 %; (h) Not applicable. The indexed loan-to-value range shall be calculated in a prudent manner and comply with the following 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 loans known to the institution that are provided by other financial institutions) 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, converted to a current value using a property price index. The valuation shall 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 requirements: (i) there is an individual assessment of the property and the property is valued in a prudently conservative manner (e.g. excluding expectations of future price appreciations and taking into account any potential for the current property price to be above a level that is sustainable over the life of the loan, for example due to a property price bubble); (ii) where a market value can be determined, the valuation is not higher than that market value; (iii) the valuation is supported by adequate appraisal documentation. Institutions shall document their calculations and provide that documentation to their competent authority upon request. | |
| 190 | Balance sheet recognition | Exposures shall be split into parts and assigned to portfolios based on the balance sheet recognition: (a) On-balance sheet items; (b) Off-balance sheet items; (c) Other; (d) Not applicable. Exposures representing securities financing transactions, derivatives & long settlement transactions or contractual cross product netting and which are subject to counterparty credit risk shall be assigned to point (c) “Other”. Those exposures shall not be reported in (a) or (b). |
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 | EBA shall assign each portfolio one of the following names: 1.0 CORP 1.1. CORP Defaulted 1.2. CORP Non-Defaulted 2.0 SMEC 2.1. SMEC Defaulted 2.2. SMEC Non-Defaulted 3.0 Other retail SME 3.1. Other retail SME Defaulted 3.2. Other retail SME Non-Defaulted 4.0 Mortgages non SME 4.1. Mortgages non SME Defaulted 4.2. Mortgages non SME Non-defaulted 5.0. Mortgages SME 5.1. Mortgages SME Defaulted 5.2. Mortgages SME Non-defaulted 6.0. Other retail non-SME 6.1. Other retail non-SME Defaulted 6.2. Other retail non-SME Non-defaulted 7.0. QRRE 7.1. QRRE Defaulted 7.2. QRRE Non-defaulted | |
| 030 | Type of risk | The instructions for column 130 of C 101 shall apply. | |
| 040 | Regulatory approach | The instructions for column 140 of C 101 shall apply. | |
| 050 | Geographical area | The instructions for column 080 of C 101 shall apply. | |
| 060 | Rating | The instructions for column 060 of C 102 shall apply. | |
| 070 | Exposure class | The instructions for column 070 of C 102 shall apply. | |
| 080 | Sector of counterparty | The instructions for column 100 of C 101 shall apply. | |
| 090 | Default status | The instructions for column 090 of C 102 shall apply. | |
| 100 | Type of facility | The instructions for column 120 of C 101 shall apply. | |
| 110 | Collateralisation status | The instructions for column 110 of C 102 shall apply. | |
| 120 | Collateral type | The instructions for column 120 of C 102 shall apply. | |
| 130 | Counterparty | The instructions for column 130 of C 102 shall apply. | |
| 140 | Size of counterparty | The instructions for column 140 of C 102 shall apply. | |
| 150 | NACE code | The instructions for column 150 of C 102 shall apply. | |
| 160 | Type of exposure | The instructions for column 110 of C 101 shall apply. | |
| 170 | Size of exposure | The instructions for column 170 of C 102 shall apply. | |
| 180 | Indexed loan-to-value range | The instructions for column 180 of C 102 shall apply. | |
| 190 | Balance sheet recognition | The instructions for column 190 of C 102 shall apply.’ |
4
Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).
5
Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).
6
Commission Recommendation 2003/361/EC of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises (OJ L 124, 20.5.2003, p. 36).
7
Commission Delegated Regulation (EU) 2021/598 of 14 December 2020 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for assigning risk weights to specialised lending exposures (OJ L 127, 14.4.2021, p. 1).
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 | 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 Amount | 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 amount | Provisions defaulted exposures | RWA | RWA Standardised | Default rate latest year | Default rate past 5 years | Loss rate latest year | Loss rate past 5 years | RWA- | RWA+ | RWA- - | RWA++ |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 040 | 060 | 080 | 090 | 100 | 110 | 120 | 130 | 140 | 150 | 160 | 170 | 180 | 190 | 200 | 210 | 220 | 250 | 260 | 270 | 280 |
C 105.01 - Definition of internal models
| Internal model ID | Model name | IRBA Risk parameter | EAD | EAD weighted average default rate for calibration | Case weighted average default rate for calibration | Long-run PD | Cure rate for defaulted assets | Recovery rate of the foreclosed assets for not cured defaults | Recovery period of the foreclosed assets for not cured defaults | Joint decision | Consolidating supervisor | RWA |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 010 | 020 | 030 | 040 | 050 | 060 | 070 | 080 | 090 | 100 | 110 | 120 | 130 |
C 105.02 – Mapping of internal models to portfolios
| Portfolio ID | Internal model ID | EAD | RWA |
|---|---|---|---|
| 010 | 020 | 030 | 040 |
C 105.03 - Mapping of internal models to countries
| Row ID | Internal model ID | Location of institution |
|---|---|---|
| 005 | 010 | 020’ |
ANNEX IV
‘ANNEX IV
RESULTS SUPERVISORY BENCHMARK PORTFOLIOS
| PART I: GENERAL INSTRUCTIONS | 2707 |
| --- | --- |
| PART II: TEMPLATE RELATED INSTRUCTIONS | 2708 |
| --- | --- |
| C 101 – | Details on exposures in low default portfolios by counterparty |
| --- | --- |
| C 102 – | Details on exposures in low default portfolios |
| --- | --- |
| C 103 – | Details on exposures in high default portfolio |
| --- | --- |
| C 105.01 – | Definition of internal models |
| --- | --- |
| C 105.02 – | Mapping of internal models to portfolios |
| --- | --- |
| C 105.03 – | Mapping of internal models to countries |
PART I: GENERAL INSTRUCTIONS
| 1. | Information shall be submitted only for those counterparties and portfolios where an actual exposure exists at the reference date in the form of either an Original Exposure or an Exposure after CRM. Counterparties and portfolios for which no exposure exists at the reference date shall not be submitted. | |
| --- | --- | --- |
| 2. | Information shall be submitted only for those exposures for which the competent authority approved an internal model for the calculation of risk weighted exposure amounts (RWEA) Exposures under the Standardised Approach and exposures for which the respective competent authority allowed temporary or permanent partial use of the Standardised Approach, shall be excluded. | |
| --- | --- | --- |
| 3. | If not applicable the field shall either be left blank or the indication “NULL” shall be inserted. The same applies to EAD-weighted quantities that cannot be calculated. Zero values shall be reported only where the intention is to report a quantity of zero. Neither of the indications “blank” or “NULL” shall be used to report quantities that are zero. | |
| --- | --- | --- |
| 4. | Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date as required in Article 17 of Implementing Regulation (EU) No 680/2014,. |
PART II: TEMPLATE RELATED INSTRUCTIONS
C 101 – Details on exposures in Low Default Portfolios by counterparty
Specialised lending exposures shall be excluded.
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Counterparty Code | Column 010 of template 101 of Annex I | The counterparty code assigned by 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 classes in the list above is applicable, which is the case where a counterparty is classified in multiple exposure 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. Where a counterparty has been assigned multiple rating grades in accordance with Article 172 (1) (e) of Regulation (EU) No 575/2013, rating grade zero (0) shall be entered in column 040 of template C101.00 of Annex III. | |
| 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 reported shall be calculated in accordance with Article 180 of Regulation (EU) No 575/2013. The PD shall be the PD used in the calculation of the RWEA, excluding the effect of measures that can be 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 shall be reported before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors. |
| 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 credit conversion factor (“CCF”) is applied in order to obtain the exposure value shall be reported, 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 used shall be the amounts to which the CCFs are applied to obtain the EAD. For counterparties with only facilities for items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall be based on all the facilities. For counterparties with only facilities which do not fall under the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall either be left blank or the word “NULL” shall be inserted. For counterparties with facilities for i) items mentioned in Article 166(8) of Regulation (EU) No 575/2013 and ii) items which do not fall under the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall be based only on facilities which fall under i). Where the institution applies own estimates of CCFs for the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items mentioned Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs shall be used. The CCF shall be expressed as a value between 0 and 1. |
| 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 LGD that would be applied by the institution to the counterparty shall be reported in accordance with the following: — The scope of exposures is the same as for the LGD value reported in column 150; — The exposure is senior and unsecured; — No negative pledge clause is in place. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. |
| 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 shall be reported in accordance with the following: — The scope of exposures is the same as for the LGD value reported in column 150; — The exposure is senior and unsecured; — A negative pledge clause is in place. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. |
| 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 | RWEA | Column 260 of template 8.1 of Annex I 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 RWEA (column 170).
For portfolios with the regulatory approach defined as “Specialised lending slotting criteria”, the following information may be omitted: PD (c060), LGD (c130).
For all portfolios referred to in Annex I, template 102 the following information may be omitted: RWEA Standardised (c180).
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Portfolio ID | Column 010 of template 102 of Annex I | The code assigned by EBA to each portfolio shall be reported. That code is a row identifier and shall be unique for each row in the table. The assignment of exposures to portfolio IDs is not exclusive: Exposures or parts of exposures shall be reported under each portfolio IDs that is applicable. |
| 040 | Number of obligors | The number of obligors shall be reported. It shall be based on obligors that have a strictly positive exposure value reported either in column 80 or in column 90. Where a full substitution is applied due to a CRM technique, the original obligor shall be added to the “Number of obligors” of its original portfolio, and the guarantor shall be added to the “Number of obligors” of the guarantor portfolio. | |
| 060 | PD | Column 010 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The PD shall be the PD used in the calculation of the RWEA, excluding the effect of measures that can be introduced in accordance with Article 458 of Regulation (EU) No 575/2013. For portfolios corresponding to an individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs assigned to the exposures included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1. |
| 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, 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 Implementing Regulation (EU) No 680/2014 | The amount to which a CCF is applied in order to obtain the EAD shall be reported, 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. For portfolios with only facilities for items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall be based on all the facilities. For portfolios with only facilities which do not fall under the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the [field for?] weighted average of the CCF shall either be left blank or the word “NULL” shall be inserted. For portfolios with facilities for i) items mentioned in Article 166(8) of Regulation (EU) No 575/2013 and ii) items which do not fall under the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall be based only on facilities which fall under i). Where the institution applies own estimates of CCFs for the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items mentioned in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs shall be used. The CCF shall be expressed as a value between 0 and 1. |
| 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 template8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The EAD-weighted average of the LGD values of the exposures in the respective portfolio shall be reported. Based on the institution’s permission from the competent authority, the LGDs shall be based on the institutions’ own estimates or on the regulatory values set out in Articles 161 and 230 of Regulation (EU) No 575/2013 In either case, the LGDs shall be those used for the calculation of the RWEA. Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall be included. The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded. The LGD shall be expressed as a value between 0 and 1. |
| 140 | Maturity | Column 250 of template 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. That information shall not be reported for exposures for which the maturity is not an element in the calculation of risk weighted exposure amounts. That information shall not be reported for portfolios that represent exposures of the exposure class “Retail”. |
| 150 | Expected Loss amount | Column 280 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The expected loss amount 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 provisions for defaulted exposures shall be reported. These shall include all the general and specific credit risk adjustments for defaulted assets as referred to in in Article 110 of Regulation (EU) No 575/2013, irrespective of the threshold set for Template C 09.02 of Annex I of Regulation (EU) No 680/2014. |
| 170 | RWEA | 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 | RWEA Standardised | Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013. | RWEA Standardised is the hypothetical RWEA amount obtained by applying the standardised approach for credit risk to the exposures instead of the IRB approach. |
C 103 – Details on exposures in High Default Portfolio
For portfolios referred to in Annex I with a collateralisation status different from “Not applicable”, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 130), Expected Loss (column 150), RWEA (column 170), Loss rate latest year (column 210) and Loss rate past 5 years (column 220).
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Portfolio ID | The instructions provided for column 010 of C 102 shall apply. | |
| 040 | Number of obligors | The instructions provided for column 040 of C 102 shall apply. | |
| 060 | PD | The instructions provided for column 060 of C 102 shall apply. | |
| 080 | Original exposure pre-conversion factors | The instructions provided for column 080 of C 102 shall apply. | |
| 090 | Exposure after CRM substitution effects pre-conversion factors | The instructions provided for column 090 of C 102 shall apply. | |
| 100 | CCF | The instructions provided for column 100 of C 102 shall apply. | |
| 110 | EAD | The instructions provided for column 110 of C 102 shall apply. | |
| 120 | Collateral value | The instructions provided for column 120 of C 102 shall apply. | |
| 130 | LGD | The instructions provided for column 130 of C 102 shall apply. | |
| 140 | Maturity | The instructions provided for column 140 of C 102 shall apply. | |
| 150 | Expected Loss amount | The instructions provided for column 150 of C 102 shall apply. | |
| 160 | Provisions defaulted exposures | The instructions provided for column 160 of C 102 shall apply. | |
| 170 | RWEA | The instructions provided for column 170 of C 102 shall apply. | |
| 180 | RWEA Standardised | The instructions provided for column 180 of C 102 shall apply. | |
| 190 | Default rate latest year | The default rate for the most recent year shall be reported. For that purpose 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 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 calculation referred to in column 190 shall apply. 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, the institution 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. That information shall be reported for portfolio IDs relating to “non-defaulted” exposures only. | |
| 210 | Loss rate latest year | The loss rate observed in the most recent year shall be only reported for portfolio IDs relating to “non-defaulted” and “defaulted” exposures. 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 which 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 which defaulted during the year preceding the reference date. The numerator of the loss rate shall incorporate all the credit risk adjustments and write-offs related to the exposures that defaulted within the year preceding the reference date, including the credit risk adjustments applied before the default date. New exposures 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 for portfolio IDs relating to “non-defaulted” and “defaulted” exposures only. The calculation of loss rate referred to in column 210 shall apply. The loss rate of the previous five years shall not include changes in credit risk adjustments and write offs that occur after the first year of default. An institution that is not able to calculate a loss rate for the previous five years shall develop a proxy using its longest history up to five years and provide to its competent authority documentation detailing the calculation. | |
| 250 | RWEA- | Institutions shall calculate and report RWEA- for portfolios that are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT___Rx0_ALL SMEC_ALL_0106_CT___Rx0_ALL MORT_ALL_0094_CT___Rx0_ALL SMOT_ALL_0106_CT___Rx0_ALL RSMS_ALL_0106_CT___Rx0_ALL RETO_ALL_0094_CT___Rx0_ALL RQRR_ALL_0094_CT__**_Rx0_ALL RWEA- shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD- values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I to Regulation (EU) No 680/2014 shall be used (see Annex II to Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions). For each obligor grade, p– shall be the smallest positive value satisfying the equation Image omitted; see official source and p– = 0 where DR1y = 0 where, Φ–1 = the inverse function of the standard normal (cumulative) distribution; q = the confidence level set at 90 %; DR1y = 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 which 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 reference date. For each obligor, PD- shall be equal to p–, where p– shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor. | |
| 260 | RWEA+ | Institutions shall calculate and report RWEA+ for the portfolios are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT___Rx0_ALL SMEC_ALL_0106_CT___Rx0_ALL MORT_ALL_0094_CT___Rx0_ALL SMOT_ALL_0106_CT___Rx0_ALL RSMS_ALL_0106_CT___Rx0_ALL RETO_ALL_0094_CT___Rx0_ALL RQRR_ALL_0094_CT__**_Rx0_ALL RWEA+ shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD+ values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD+ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I to Regulation (EU) No 680/2014 shall be used (see Annex II to Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions). For each obligor grade, p+ shall be the largest positive value satisfying the equation Image omitted; see official source In this equation, Φ–1 = the inverse function of the standard normal (cumulative) distribution; q = the confidence level set at 90 %; DR1y = 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 which 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+ shall be equal to p+, where p+ shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor. | |
| 270 | RWEA- - | Institutions shall calculate and report RWEA—for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT___Rx0_ALL SMEC_ALL_0106_CT___Rx0_ALL MORT_ALL_0094_CT___Rx0_ALL SMOT_ALL_0106_CT___Rx0_ALL RSMS_ALL_0106_CT___Rx0_ALL RETO_ALL_0094_CT___Rx0_ALL RQRR_ALL_0094_CT__**_Rx0_ALL RWEA- - shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD- - values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD- - shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I to Regulation (EU) No 680/2014 shall be used (see Annex II to Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions). For each obligor grade, p– – shall be the smallest positive value satisfying the equation Image omitted; see official source and p–: = 0 where DR5y = 0, where, Φ–1 = the inverse function of the standard normal (cumulative) distribution; q = the confidence level set at 90 %; DR5y = 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- - shall be equal to p– –, where p– – shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor. | |
| 280 | RWEA++ | Institutions shall calculate and report RWEA++ for the portfolios referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT___Rx0_ALL SMEC_ALL_0106_CT___Rx0_ALL MORT_ALL_0094_CT___Rx0_ALL SMOT_ALL_0106_CT___Rx0_ALL RSMS_ALL_0106_CT___Rx0_ALL RETO_ALL_0094_CT___Rx0_ALL RQRR_ALL_0094_CT__**_Rx0_ALL RWEA++ shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD++ values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD++ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I to Regulation (EU) No 680/2014 shall be used (see Annex II to Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions). For each obligor grade, p++ shall be the largest 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 90 %; DR5y = 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++ shall be equal to p++, where p++ shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor. |
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. That 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. That information shall be completed only for PD models. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. | |
| 060 | Case weighted average default rate for calibration | The simple average of the annual case-weighted default rates used in the calibration of the PD models shall be reported. That information shall be completed only for PD models. The data used in the calibration of the model parameters shall be used. If no internal data exist and the calibration is based on external data, then the external data 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. That information shall be completed only for PD models. | |
| 080 | Cure rate defaulted asset | The cure rate defaulted asset shall be the percentage of defaulted outstanding that returns in “non-defaulted” status over a twelve months period. An institution that does not calculate cure rates for a given model shall calculate a proxy for cure rates. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models. | |
| 090 | Recovery rate not cured foreclosed assets | 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. The data used in the calibration of the model parameters shall be used. If no internal data exist and the calibration is based on external data, then the external data shall be reported. An institution that does not have a specific recovery rate for non-cured defaults due to an incomplete recovery procedure, shall calculate a proxy taking into account observed recoveries as well as the estimations of recoveries for incomplete workout. 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 length not cured foreclosed assets | 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. The case-weighted average length shall be expressed in number of days. The data used in the calibration of the model parameters shall be used. If no internal data exist and the calibration is based on external data, then the external data shall be reported. 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. That 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 exists between the consolidating and the 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 | RWEA | 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 |
|---|---|---|---|
| 010 | Portfolio ID | Column 010 of templates 102 and 103 | The code assigned to the portfolio in accordance with Annex II for which the institution reports the results of the calculation shall be reported. Columns 010 and 020 are a composite row identifier and together shall be unique for each row in the table. |
| 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 in accordance with column 020 for the specific portfolio in accordance with 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 | RWEA | 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, in accordance with column 020, for the specific portfolio in accordance with 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 |
|---|---|---|---|
| 005 | Row ID | This code is a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc. | |
| 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 their combination 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 RISK BENCHMARK INSTRUMENTS AND PORTFOLIOS
| 1. | Instructions | 2725 |
| --- | --- | --- |
| 2. | Instruments | 2730 |
| --- | --- | --- |
| 3. | Individual Portfolios | 2740 |
| --- | --- | --- |
| 4. | Aggregated Portfolios | 2744 |
| --- | --- | --- |
| 5. | Additional specifications for instruments | 2745 |
Section 1: Instructions
- (a) For the purposes of this Annex, the following shall apply:
- (i) “booking date” means the date and time on which institutions book the transactions for the purposes of the benchmarking exercise;
- (ii) “Initial Market Valuation (IMV)” means the marked-to-market value of the instruments referred to in Section 2 of this Annex, at the IMV reference date and time;
- (iii) “IMV reference date” means the date and time with reference to which institutions shall determine the IMV of the transactions in the benchmarking portfolio;
- (iv) “IMV remittance date” means the date by which institutions shall submit the results of the IMV of the transactions in the benchmarking portfolio;
- (v) “VaR” means the Value at Risk;
- (vi) “sVaR” means the Stressed Value at Risk;
- (vii) “IRC” means the Incremental Risk Charge;
- (viii) “CTP” means the Correlation Trading Portfolio;
- (ix) “APR” means the All Price Risk calculated in accordance with Article 377(2) of Regulation (EU) No. 575/2013;
- (x) “Risk Measures” (RM) means the value of the VaR, sVaR, and when required IRC and APR for the portfolios, as set out in Section 3 of this Annex, between the RM initial and RM final reference date;
- (xi) “RM initial reference date” means the date on which institutions shall start to compute the RM values;
- (xii) “RM final reference date” means the date on which institutions shall finish to compute the RM values;
- (xiii) “RM remittance date” means the date by which institutions shall submit the results of the RM of the transactions in the benchmarking portfolio;
- (xiv) “Present Value (PV)” means the marked-to-market value of the portfolios, set out in Section 3 of this Annex, at the RM final reference date;
- (xv) “ATM” means “at the money” in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;
- (xvi) “OTM” means “out of the money” in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;
- (xvii) “ITM” means “in the money” in terms of the relative position of the current or future price of a derivative’s underlying asset with respect to the strike price of that derivative;
- (xviii) “long” means “bought” and “short” means “sold”;
- (xix) “CDS” means Credit Default Swaps;
- (xx) for credit default swaps, “long” means “bought protection” and “short” means “sold protection”;
- (xxi) “MLN” means millions;
- (xxii) “OTC” means over-the-counter.
- (b) The following dates shall apply for the “benchmarking” exercise:
- (i) the booking date shall be 19 September 2019;
- (ii) the IMV reference date shall be 26 September 2019 (at 5:30 pm CET - 4.30 pm GMT);
- (iii) the IMV remittance date shall be 4 October 2019;
- (iv) the RM initial reference date shall be 20 January 2020;
- (v) the RM final reference date shall be 31 January 2020;
- (vi) the RM remittance date shall be 28 February 2020.
- (c) Unless explicitly specified otherwise in Section 2 of this Annex, all positions shall be booked on the booking date referred to in point (b)(i) of this Section. Once positions have been booked, each portfolio shall age for the duration of the benchmarking exercise and shall be calculated under the assumption that the institution does 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 instrument, strike prices for option positions shall be determined relative to prices for the underlying as observed at market close on the booking date.
- (d) For the purposes of the initial market valuation, the valuation of each instrument shall be submitted to the institution’s competent authority by the IMV remittance date. By that date, institutions shall submit an explanatory note accompanying the results, in accordance with point (e). IMV shall be provided in accordance with the institution’s front office valuation, where possible. In case IMVs are not provided by the institution’s front office, the institution shall specify in the explanatory note who is the IMV data source provider.
- (e) The explanatory note that institutions are to submit together with the IMV shall include all of the following for each instrument:
- (i) the risk factors used to calculate the instrument’s IMV;
- (ii) the pricing model used to calculate the instrument’s IMV and a description of this pricing model;
- (iii) the risk factors included in the VaR model for the instrument;
- (iv) the risk factors included in the VaR model that are also valuation inputs for the IMV of the instrument;
- (v) the VaR model specifics in relation to the instrument;
- (vi) available reference data for the instrument in the institution’s own format;
- (vii) the aspects referred to in points (h), (i), (l), (n), (o), (p), (w), (x), (z), (hh) and (ll).
- (f) For the purposes of point (e), sub point (v), all of the following shall be reported:
- (i) concise VaR model descriptions;
- (ii) revaluation methods applied;
- (iii) functional form applied for modelling of returns (such as absolute, relatives, other methods);
- (iv) qualitative information on the time series used to calibrate the VaR model in relation to the instrument (such as source, methodology for normalisation, buckets applied, other information deemed relevant by the institutions to explain the results provided).
Reading this document does not replace reading the official text published in the Official Journal of the European Union. We assume no responsibility for any inaccuracies arising from the conversion of the original to this format.
This text is published under EUR-Lex's own terms of reuse, not a Legalize or public-domain licence.
EUR-Lex
Creative Commons Attribution 4.0 International (CC BY 4.0)
© European Union, https://eur-lex.europa.eu — Source: EUR-Lex (Publications Office of the European Union). Reused under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence. Only EU legislation published in the printed Official Journal of the European Union is deemed authentic; consolidated texts are reproduced here for documentation purposes and have been reformatted to Markdown.