LegalizeCommission Implementing Regulation (EU) 2022/951 of 24 May 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in 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.
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 | Counterparty Code | The counterparty code assigned in column 0010 of template C 101 of Annex I to this Implementing Regulation to the counterparty included in the low default portfolio (“LDP”) samples portfolios shall be reported. Columns 0010 and 0020 shall be a composite row identifier and together shall be unique for each row in the table. | |
| 0020 | Economic scenario ID | The economic scenario used by the institution to calculate the IFRS 9 PD. The scenario ID shall be expressed as a value between 0 and 5. With the exception of specific cases described before, all the 6 economic scenarios shall be populated. The economic scenario 1 shall be the baseline scenario. The economic scenarios 2 to 5 shall be ranked according to their severity, from the most favourable (number 2) to the most severe (number 5). | |
| 0100 | PD - 0 - 12 months | The cumulative PD assigned to the counterparty representing the probability of a default event within the 12 months after the reporting date, under the economic scenario considered. | |
| 0110 | PD - 0 - 24 months | The cumulative PD assigned to the counterparty representing the probability of a default event within the 24 months after the reporting date, under the economic scenario considered. | |
| 0120 | PD - 0 - 36 months | The cumulative PD assigned to the counterparty representing the probability of a default event within the 36 months after the reporting date, under the economic scenario considered. | |
| 0130 | PD - 0 - 48 months | The cumulative PD assigned to the counterparty representing the probability of a default event within the 48 months after the reporting date, under the economic scenario considered. | |
| 0140 | PD - 0 - 60 months | The cumulative PD assigned to the counterparty representing the probability of a default event within the 60 months after the reporting date, under the economic scenario considered. | |
| 0150 | PD - 0 - 72 months | The cumulative PD assigned to the counterparty representing the probability of a default event within the 72 months after the reporting date, under the economic scenario considered. | |
| 0160 | PD - 0 - 84 months | The cumulative PD assigned to the counterparty representing the probability of a default event within the 84 months after the reporting date, under the economic scenario considered. | |
| 0170 | PD - 0 - 96 months | The cumulative PD assigned to the counterparty representing the probability of a default event within the 96 months after the reporting date, under the economic scenario considered. | |
| 0180 | PD - 0 - 108 months | The cumulative PD assigned to the counterparty representing the probability of a default event within the 108 months after the reporting date, under the economic scenario considered. | |
| 0190 | PD - 0 - 120 months | The cumulative PD assigned to the counterparty representing the probability of a default event within the 120 months after the reporting date, under the economic scenario considered. |
C 113.00 – Details on exposures in Low Default Portfolios by counterparty by facility
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 | Counterparty Code | The instructions provided in this Annex for column 0010 of C 112.00 shall apply. Columns 0010 and 0020 shall be a composite row identifier and together shall be unique for each row in the table. | |
| 0020 | Facility ID | The facility ID assigned by the institution to the facility of the counterparty shall be used in a consistent way across time. Where the institution has more than five facilities toward a given counterparty, it shall report only the five facilities with the highest exposure amount. | |
| 0100 | Exposure value – IFRS 9 | The exposure value to the facility of the counterparty at the reporting date, as considered for the application of impairment requirements under IFRS 9. This shall include both, on- and off-balance sheet exposures in the scope of the impairment requirements of IFRS 9. For both stage 1 and stage 2 facilities, the exposure value for each facility shall be the one associated with default events over the 12 months’ period following the reporting date. | |
| 0200 | Impairment Status | Paragraph 5 (l) in Part 1 of Annex V to Regulation (EU) No 2021/451 | The stage assigned to the facility to each counterparty at the reporting date shall be reported as follows: — Instruments without significant increase in credit risk (stage 1); — instruments with significant increase in credit risk (stage 2); — Credit impaired instruments (stage 3). |
| 0300 | Annualised originated PD | IFRS 9.5.5.9 IFRS 9.B5.5.11 IFRS 9.B5.5.13 IFRS 9.B5.5.43 | The annualised lifetime PD representing the probability of default assigned to the facility, evaluated at the origination date, used for the assessment of the significant increase in credit risk, calculated in accordance with the following formula: Image omitted; see official source where — M is the residual number of years of the maturity of the facility at the reporting date; — lifetime PD is the lifetime PD representing the probability of default assigned to the facility, for the residual number of years at the reporting date, evaluated at the origination date, used for the assessment of the significant increase in credit risk Where the 12-month PD is used as a proxy for the assessment of the significant increase in credit risk, the 12-month PD evaluated at the origination date shall be reported. |
| 0400 | Annualised PD at reporting date | IFRS 9.5.5.9 IFRS 9.B5.5.13 IFRS 9.B5.5.14 | The annualised lifetime PD representing the probability of default assigned to the facility, evaluated at the reporting date, used for the assessment of the significant increase in credit risk, calculated in accordance with the following formula: Image omitted; see official source where: — M is the residual number of years of the maturity of the facility at the reporting date; — lifetime PD is the lifetime PD representing the probability of default assigned to the facility, for the residual number of years at the reporting date, evaluated at the reporting date, used for the assessment of the significant increase in credit risk. Where the 12-month PD is used as a proxy for the assessment of the significant increase in credit risk, the 12-month PD evaluated at the reporting date shall be reported. |
| 0500 | Quantitative Stage 2 trigger (in annualised PD) | IFRS 9.5.5.9 | The annualised lifetime PD level which constitutes a significant increase in credit risk and triggers a transfer to stage 2 for the considered facility of the counterparty, calculated in accordance with the following formula: Image omitted; see official source where: — M is the residual number of years of the maturity of the facility at the reporting date; — lifetime PD is the lifetime PD level which constitutes a significant increase in credit risk and triggers a transfer to stage 2 for the considered facility of the counterparty, for the residual number of years of the maturity of the exposure at the reporting date. To note, for the purpose of this data point, the implications on the annualised PD threshold for the transfer to stage 2 stemming from the adoption of the Low Credit Risk exemption (where applicable) shall not be taken into consideration. Where both a relative and an absolute threshold are used for the assessment of a significant increase in credit risk, the threshold that first triggers a transfer to stage 2 for the considered facility shall be reported. Where a ratings-based approach is used for the assessment of a significant increase in credit risk, the annualised lifetime PDs corresponding to the rating that would trigger the transfer shall be reported. Where the 12-month PD is used as a proxy for the assessment of the significant increase in credit risk, the 12-month PD trigger level which constitutes a significant increase in credit risk shall be reported. |
| 0550 | Low Credit Risk exemption threshold (if applicable) | IFRS 9.5.5.10 IFRS 9.B5.5.22 – B5.5.24 | The annualised lifetime PD level, below which the financial instrument is considered to have a low risk of default, calculated in accordance with the following formula: Image omitted; see official source where: — M is the residual number of years of the maturity of the exposure at the reporting date; — lifetime PD is the lifetime PD level below which the financial instrument is considered to have a low risk of default at the reporting date. Where the facility is not subject to the Low Credit Risk exemption, this data point shall be left blank or “NULL” shall be inserted. Where the 12-month PD is used as a proxy for the low credit risk assessment, the 12-month PD below which the financial instrument is considered to have a low risk of default shall be reported. |
| 0600 | Qualitative Stage 2 Trigger set | IFRS 9.B5.5.17 IFRS 9.B5.5.19 – B5.5.21 | Where the facility is in stage 1 or in stage 3, this field shall be left bank or “NULL” shall be inserted. Where the facility is in stage 2, the type of qualitative indicator that triggered first the stage transfer shall be reported as one of the following: — “no qualitative indicator” (but the facility is in stage 2 due to a quantitative trigger); — “30 days past due”; — “watch list”; — “forbearance”; — “other qualitative trigger”; — “identification of first trigger not possible”. |
C 114.00 – Details on macroeconomic scenarios per GDP Area code
The estimated yearly GDP growth of the countries reported in columns 0100, 0110, 0120, 0130, 0140, 0150, 0160, 0170, 0180 and 0190 shall be expressed in decimals with a minimum precision equivalent to four decimals. Where the annual GDP growth is estimated for aggregated geographical zones different from the ones referred to in column 0010, this estimation shall be reported for each of the countries belonging to the relevant geographical zone and for each maturity bucket.
Where the IFRS 9 model related to the obligor uses a higher number of economic scenarios than five, including when performing Monte Carlo simulation, the template C 114.00 should not be populated.
In the case where the weights for all the economic scenarios of a given country are the same over the different time horizons, the columns 201 to 209 may either be left blank or “NULL” shall be inserted.
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 0010 | GDP Area Code | The list of areas identified in column 0030 of template C 111.00 of this Annex. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in the table. | |
| 0020 | Economic scenario ID | IFRS 9.5.5.17(a) IFRS 9.5.5.18 IFRS 9.B5.5.41 IFRS 9.B5.5.42 | The instructions provided in this Annex for column 0020 of C 112.00 shall apply for scenario 1 to 5. However, in case the IFRS 9 model related to the GDP area code uses an average macro-economic scenario, with no individual macro-economic scenario available, the scenario 1 to 5 should not be populated. Instead, the average macro-economic scenario should be reported under the economic scenario 0, and no data should be reported for the economic scenarios 1 to 5. |
| 0100 | GDP growth - 0 - 12 months | The estimated yearly GDP growth within the next 12 months after the reporting date of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0110 | GDP growth - 12 - 24 months | The estimated yearly GDP growth within the next 12 months starting 12 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0120 | GDP growth - 24 - 36 months | The estimated yearly GDP growth within the next 12 months starting 24 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0130 | GDP growth - 36 - 48 months | The estimated yearly GDP growth within the next 12 months starting 36 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0140 | GDP growth - 48 - 60 months | The estimated yearly GDP growth within the next 12 months starting 48 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0150 | GDP growth - 60 - 72 months | The estimated yearly GDP growth within the next 12 months starting 60 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0160 | GDP growth - 72 - 84 months | The estimated yearly GDP growth within the next 12 months starting 72 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0170 | GDP growth - 84 - 96 months | The estimated yearly GDP growth within the next 12 months starting 84 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0180 | GDP growth - 96 - 108 months | The estimated yearly GDP growth within the next 12 months starting 96 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0190 | GDP growth - 108 - 120 months | The estimated yearly GDP growth within the next 12 months starting 108 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. | |
| 0199 | Weight of the Scenarios - 0 - 12 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 0-12 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0201 | Weight of the Scenarios - 12 - 24 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 12-24 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0202 | Weight of the Scenarios - 24 - 36 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 24-36 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0203 | Weight of the Scenarios - 36 - 48 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 36-48 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0204 | Weight of the Scenarios - 48 - 60 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 48-60 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0205 | Weight of the Scenarios - 60 - 72 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 60-72 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0206 | Weight of the Scenarios - 72 - 84 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 72-84 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0207 | Weight of the Scenarios - 84 - 96 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 84-96 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0208 | Weight of the Scenarios - 96 - 108 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 96-108 months shall be reported. The weight shall be expressed as a value between 0 and 1. | |
| 0209 | Weight of the Scenarios - 108 - 120 months | The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 108-120 months shall be reported. The weight shall be expressed as a value between 0 and 1.’ |
11
Commission Implementing Regulation (EU) No 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).
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.