Commission Implementing Regulation (EU) 2021/2017 of 13 September 2021 amending 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 CouncilText with EEA relevance

0080Sector of counterpartyThe instructions provided for column 0100 of C 101 shall apply.0090Default 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.

0100Type of facilityArticle 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) indrawn 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.

0110Collateralisation statusColumns 0150 to 0220 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 Title II, Chapter 4, Section 4 of Regulation (EU) No 575/2013 and, where applicable, institutions’ internal guidelines.

0120Collateral typeColumns 0150 to 0220 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 applied 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 points (g), (h) or (i) of this column.

0130Counterparty

Exposures shall be split into parts and assigned to portfolios based on the type of counterparty:

(a) Public sector entities (as referred to in point (c) of Article 112 (c) of Regulation (EU) No 575/2013);

(b) Counterparties other than public sector entities;

(c) Not applicable.

0140Size 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/EC and shall refer to the year ending 1 year before the reporting reference date.

0150NACE 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 referred to in points (a) to (g);

(i) Not applicable.

0160Type of exposureArticle 2 of Commission Delegated Regulation (EU) 2021/598

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).

0170Size of exposureColumn 0110 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)):

Not applicable.

0180Indexed 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 to 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 at some point in time (most likely at origination) and 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.

0190Balance 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 points (a) or (b).

C 103 – Definition of High Default Portfolios

ColumnLegal referenceInstructions0010Portfolio IDThe unique ID assigned by EBA to each portfolio.0020Portfolio name

EBA shall assign to 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

0030Type of riskThe instructions for column 0130 of C 101 shall apply.0040Regulatory approachThe instructions for column 0140 of C 101 shall apply.0050Geographical areaThe instructions for column 0080 of C 101 shall apply.0060RatingThe instructions for column 0060 of C 102 shall apply.0070Exposure classThe instructions for column 0070 of C 102 shall apply.0080Sector of counterpartyThe instructions for column 0100 of C 101 shall apply.0090Default statusThe instructions for column 0090 of C 102 shall apply.0100Type of facilityThe instructions for column 0120 of C 101 shall apply.0110Collateralisation statusThe instructions for column 0110 of C 102 shall apply.0120Collateral typeThe instructions for column 0120 of C 102 shall apply.0130CounterpartyThe instructions for column 0130 of C 102 shall apply.0140Size of counterpartyThe instructions for column 0140 of C 102 shall apply.0150NACE codeThe instructions for column 0150 of C 102 shall apply.0160Type of exposureThe instructions for column 0110 of C 101 shall apply.0170Size of exposureThe instructions for column 0170 of C 102 shall apply.0180Indexed loan-to-value rangeThe instructions for column 0180 of C 102 shall apply0190Balance sheet recognitionThe instructions for column 0190 of C 102 shall apply.

Annex

ANNEX III

Annex

ANNEX III

Results Supervisory Benchmarking portfolios

Template numberTemplate codeName of the template /group of templates101C 101.00Details on exposures in Low Default Portfolios by counterparty102C 102.00Details on exposures in Low Default Portfolios103C 103.00Details on exposures in High Default Portfolios105.01C 105.01Definition of internal models105.02C 105.02Mapping of internal models to portfolios105.03C 105.03Mapping of internal models to countries

C 101.00 - Details on exposures in Low Default Portfolios by counterparty

Counterparty CodeExposure classRatingDate of most recent rating of counterpartyPDDefault statusOriginal exposure pre conversion factorsExposure after CRM substitution effects pre conversion factorsCCFEADCollateral valueHyp LGD senior unsecured without negative pledgeHyp LGD senior unsecured with negative pledgeLGDMaturityRWA0010002000400050006000700080009001000110012001300140015001600170

C 102.00 - Details on exposures in Low Default Portfolios

Portfolio IDNumber of obligorsPDOriginal exposure pre conversion factorsExposure after CRM substitution effects pre conversion factorsCCFEADCollateral valueLGDMaturityExpected Loss AmountProvisions defaulted exposuresRWARWA Standardised00100040006000800090010001100120013001400150016001700180

C 103.00 - Details on exposures in High Default Portfolio

Portfolio IDNumber of obligorsPDOriginal exposure pre conversion factorsExposure after CRM substitution effects pre conversion factorsCCFEADCollateral valueLGDMaturityExpected Loss amountProvisions defaulted exposuresRWARWA StandardisedDefault rate latest yearDefault rate past 5 yearsLoss rate latest yearLoss rate past 5 yearsRWA-RWA+RWA- -RWA++0010004000600080009001000110012001300140015001600170018001900200021002200250026002700280

C 105.01 - Definition of internal models

Internal model IDModel nameIRBA Risk parameterEADEAD weighted average default rate for calibrationCase weighted average default rate for calibrationLong-run PDCure rate for defaulted assetsRecovery rate of the foreclosed assets for not cured defaultsRecovery period of the foreclosed assets for not cured defaultsJoint decisionConsolidating supervisorRWA0010002000300040005000600070008000900100011001200130

C 105.02 – Mapping of internal models to portfolios

Portfolio IDInternal model IDEADRWA0010002000300040

C 105.03 - Mapping of internal models to countries

Row IDInternal model IDLocation of institution000500100020

Annex

ANNEX IV

Annex

ANNEX IV

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS

PART I: GENERAL INSTRUCTIONS

2809

PART II: TEMPLATE RELATED INSTRUCTIONS

2810

C 101 – Details on Exposures in Low Default Portfolios by Counterparty

2810

C 102 – Details on Exposures in Low Default Portfolios

2814

C 103 – Details on Exposures in High Default Portfolio

2817

C 105.01 – Definition of Internal Models

2826

C 105.02 – Mapping of Internal Models to Portfolios

2828

C 105.03 – Mapping of Internal Models to Countries

2829

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.

1. 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). For the benchmarking portfolios referred to in tables C102 and C103, exposures under the Standardised Approach and exposures for which the respective competent authority allowed the temporary or permanent partial use of the Standardised Approach, shall be excluded. In table C101, no exposure shall be included for counterparties with counterparty code ending with STDA. In the same table, for counterparties with counterparty codes other than those ending with STDA, exposures under the Standardised Approach shall be excluded

1. Information not required or not applicable shall not be submitted; those 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. The cells shall not be left blank nor the indication NULL shall be inserted to report quantities that are zero.

1. 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 by 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.

ColumnLabelLegal referenceInstructions0010Counterparty CodeColumn 0010 of template 101 of Annex IThe counterparty code assigned by the EBA in column 0010 of template C101 of Annex I to the counterparty included in the low default portfolio (LDP) samples portfolios shall be reported. That code shall be a row identifier and shall be unique for each row in the table.0020Exposure classParagraph 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 applies which is the case where a counterparty is classified in multiple exposure classes, without one being clearly predominant.

0040Rating

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 point (e) of Article 172 (1) of Regulation (EU) No 575/2013, rating grade zero (0) shall be entered in column 0040 of template C101.00 of Annex III.

0050Date of most recent rating of counterpartyThe date of the most recent rating of the counterparty shall be reported.0060PDColumn 0010 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 based on 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.

0070Default 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 %.

0080Original exposure pre-conversion factorsColumn 0020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.0090Exposure after credit risk mitigation (CRM) substitution effects pre-conversion factorsColumn 0090 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The amount to which a credit conversion factor (CCF) is applied in order to obtain the exposure at default (EAD) shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure.

0100CCFSecond 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 referred to 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 referred to in Article 166(8) of Regulation (EU) No 575/2013, the value of weighted average of the CCF shall either be left blank or the indication NULL shall be inserted.

For counterparties with facilities for:

(a) items referred to in Article 166(8) of Regulation (EU) No 575/2013; and

(b) items which do not fall under the items referred to 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 point (a).

Where the institution applies own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for those items referred to 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.

0110EADColumn 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The value of exposure value shall be left blank where the institution has no IRB exposure for a given counterparty.0120Collateral valueColumns 0150 to 0210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The market value of the collateral shall be reported.

0130Hyp LGD senior unsecured without negative pledgeArticle 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 shall be reported in accordance with the following:

(a) The scope of exposures is the same as for the LGD value reported in column 0150;

(b) The exposure is senior and unsecured;

(c) No negative pledge clause is in place.

A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party.

0140Hyp LGD senior unsecured with negative pledgeArticle 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:

(a) The scope of exposures is the same as for the LGD value reported in column 0150;

(b) The exposure is senior and unsecured;

(c) A negative pledge clause is in place.

A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party.

0150LGDColumns 0230 and 0240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The 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.0160MaturityColumn 0250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The EAD-weighted maturity for the exposures to each counterparty shall be reported. It shall be expressed in number of days.0170RWEAColumn 0260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The 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 referred to in Annex I with a collateralisation status other than Not applicable, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 0130), Expected Loss (column 0150) and RWEA (column 0170).

For portfolios with the regulatory approach defined as Specialised lending slotting criteria, the following information may be omitted: PD (c060), LGD (c130)

ColumnLabelLegal referenceInstructions0010Portfolio IDColumn 0010 of template 102 of Annex I

The code assigned by the EBA in column 0010 of Template C.102 of Annex I to each portfolio shall be reported. That code shall be 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.

0040Number 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 0080 or in column 0090. 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.

0060PDColumn 0010 of table 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014The PD shall be the PD used in the calculation of the RWEA, excluding the effect of potential measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013. For portfolios corresponding to an individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs assigned to the exposures included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1.0080Original exposure pre-conversion factorsColumn 0020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.0090Exposure after CRM substitution effects pre-conversion factorsColumn 0090 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The amount to which a CCF is applied to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure.

0100CCFArticle 166(8)(e) 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 in order to obtain the EAD.

For portfolios with only facilities for items referred to 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 referred to in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall either be left blank or the indication NULL shall be inserted.

For portfolios with facilities for:

(a) items referred to in Article 166(8) of Regulation (EU) No 575/2013; and

(b) items which do not fall under the items referred to 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 point (a).

Where the institution applies own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs shall be used.

The CCF shall be expressed as a value between 0 and 1.

0110EADColumn 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The exposure value shall be reported.0120Collateral valueColumns 0150 to 0210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The market value of the collateral shall be reported.

0130LGDColumns 0230 and 0240 of template 8.1 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, the LGDs shall be based on the institutions’ own estimates or on regulatory values. 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.

0140MaturityColumn 0250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The 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.0150Expected Loss amountColumn 0280 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The expected loss amount shall be reported.0160Provisions defaulted exposuresColumns 0050, 0055 and 0060 of template 9.2 of Annex I to Implementing Regulation (EU) No 680/2014The 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 Article 110 of Regulation (EU) No 575/2013, irrespective of the threshold set for Template C 09.02 of Annex I to Implementing Regulation (EU) No 680/2014.0170RWEAColumn 0260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The risk-weighted exposure amount after applying the SME supporting factor shall be reported.0180RWEA StandardisedPart 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 0130), Expected Loss (column 0150), RWEA (column 0170), Loss rate latest year (column 0210) and Loss rate past 5 years (column 0220).

ColumnLabelLegal referenceInstructions0010Portfolio ID

The code assigned in column 0010 of Template C.103 of Annex I to each portfolio shall be reported. That code shall be 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 ID that is applicable.

0040Number of obligorsThe instructions for column 0040 of C 102 shall apply.0060PDThe instructions for column 0060 of C 102 shall apply.0080Original exposure pre conversion factorsThe instructions for column 0080 of C 102 shall apply.0090Exposure after CRM substitution effects pre conversion factorsThe instructions for column 0090 of C 102 shall apply.0100CCFThe instructions for column 0100 of C 102 shall apply.0110EADThe instructions for column 0110 of C 102 shall apply.0120Collateral valueThe instructions for column 0120 of C 102 shall apply.0130LGDThe instructions for column 0130 of C 102 shall apply.0140MaturityThe instructions for column 0140 of C 102 shall apply.0150Expected Loss amountThe instructions for column 0150 of C 102 shall apply.0160Provisions defaulted exposuresThe instructions for column 0160 of C 102 shall apply.0170RWEAThe instructions for column 0170 of C 102 shall apply.0180RWEA StandardisedThe instructions for column 0180 of C 102 shall apply.

0190Default rate latest year

The default rate for the most recent year shall be reported. For that purpose the default rate shall be defined as the ratio between:

(a) 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

(b) 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.

That information shall be reported for portfolio IDs relating to non-defaulted exposures only.

0200Default 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 in column 0190 shall apply. The weights to be used are the non-defaulted exposures used in the calculation of the default rate in accordance with column 0190.

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.

0210Loss rate latest year

The loss rate observed in the most recent year shall be reported for portfolio IDs relating to non-defaulted and defaulted exposures only.

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, 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:

(a) credit risk adjustments to exposures that were already in default exactly one year before the reference date in the respective portfolio; and

(b) 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.

0220Loss 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 definition of loss rate in column 0210 shall apply.

The loss ratio of past 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.

0250RWEA-

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____ALL

SMEC_ALL_0106_CT___ _ALL

MORT_ALL_0094_CT___ _ALL

SMOT_ALL_0106_CT____ALL

RSMS_ALL_0106_CT____ALL

RETO_ALL_0094_CT____ALL

RQRR_ALL_0094_CT____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 0005 of Template C 08.02 of Annex I to Implementing Regulation (EU) No 680/2014 shall be used (see Annex II to that Regulation, C 08.01 column 0010 and C 08.02 for instructions).

For each obligor grade, p– shall be the smallest positive value satisfying the equation

p ф 1q p 1 pn DR1y where DR1y 0

and p– = 0 where DR1y = 0

where,

Φ–1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;DR1ythe 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 most recent 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;nthe 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 formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.

0260RWEA+

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____ALL

SMEC_ALL_0106_CT____ALL

MORT_ALL_0094_CT____ALL

SMOT_ALL_0106_CT____ALL

RSMS_ALL_0106_CT____ALL

RETO_ALL_0094_CT____ALL

RQRR_ALL_0094_CT____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 0005 of Template C 08.02 of Annex I to Implementing Regulation (EU) No 680/2014 shall be used (see Annex II to that Regulation, C 08.01 column 0010 and C 08.02 for instructions).

For each obligor grade, P+ shall be the largest positive value satisfying the equation

p ф 1q p 1 pn DR1y

In this equation,

Φ–1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;DR1ythe 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 most recent 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;nthe 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 formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.

0270RWEA- -

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____ALL

SMEC_ALL_0106_CT____ALL

MORT_ALL_0094_CT____ALL

SMOT_ALL_0106_CT____ALL

RSMS_ALL_0106_CT____ALL

RETO_ALL_0094_CT____ALL

RQRR_ALL_0094_CT____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 0005 of Template C 08.02 of Annex I to Implementing Regulation (EU) No 680/2014 shall be used (see Annex II to that Regulation, C 08.01 column 0010 and C 08.02 for instructions).

For each obligor grade, p- - shall be the smallest positive value satisfying the equation

p ф 1q p 1 pn DR5y where DR5y 0

and p–: = 0 where DR5y = 0,

where,

Φ–1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;DR5ythe default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates;nthe 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 formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.

0280RWEA++

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____ALL

SMEC_ALL_0106_CT____ALL

MORT_ALL_0094_CT____ALL

SMOT_ALL_0106_CT____ALL

RSMS_ALL_0106_CT____ALL

RETO_ALL_0094_CT____ALL

RQRR_ALL_0094_CT____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 0005 of Template C 08.02 of Annex I to Implementing Regulation (EU) No 680/2014 shall be used (see Annex II to that Regulation, C 08.01 column 0010 and C 08.02 for instructions).

For each obligor grade, p++ shall be the largest positive value satisfying the equation

p ф 1q p 1 pn DR5y

where,

Φ–1the inverse function of the standard normal (cumulative) distribution;qthe confidence level set at 90 %;DR5ythe default rate of the five latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates;nthe 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 formula set out in the fourth subparagraph for the obligor grade assigned to the obligor.

C 105.01 – Definition of internal models

ColumnLabelLegal referenceInstructions0010Internal model IDThe internal model ID assigned by the reporting institution shall be reported. That internal model ID shall be a row identifier and shall be unique for each row in the table.0020Model nameThe model name assigned by the reporting institution shall be reported.0030IRBA Risk parameter

The IRB approach risk parameter shall be one of the following:

(a) PD;

(b) LGD;

(c) CCF.

0040EADColumn 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The aggregate exposure value of the transactions in the scope of application of the specific model shall be reported.0050EAD weighted average default rate for calibrationThe 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.0060Case 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 exists and the calibration is based on external data, then the external data shall be reported.

0070Long-run PDThe 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.0080Cure rate 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 as the percentage of defaulted outstanding that returns in non-defaulted status over a 12 months period. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models.

0090Recovery 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 exists 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. That information shall be completed only for LGD models.

0100Recovery 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 exists 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.

0110Joint decisionArticle 20(2), point (a) of Regulation (EU) No 575/2013The 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.

0120Consolidating supervisorArticle 20 of Regulation (EU) No 575/2013The 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.0130RWEAColumn 0260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The 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

ColumnLabelLegal referenceInstructions0010Portfolio IDColumn 0010 of templates 102 and 103The code assigned to the portfolio in accordance with Annex II for which the institution reports the results of the calculation shall be reported. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in the table.0020Internal model IDColumn 0010 of template 105.01The internal model ID assigned by the reporting institution shall be reported.0030EADColumn 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The exposure value of the transactions in the scope of application of the specific model in accordance with column 0020 for the specific portfolio in accordance with column 0010 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 0110 of template 102 or 103, as applicable.0040RWEAColumn 0260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014The 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 0020, for the specific portfolio in accordance with column 0010, 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 0170 of template 102 or 103, as applicable.

C 105.03 – Mapping of internal models to countries

ColumnLabelLegal referenceInstructions0005Row IDThis code shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.0010Internal model IDColumn 0010 of template 105.01The 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 0010 and 0020 are a composite row identifier and their combination shall be unique for each row in the table.0020Location of institutionArticle 20 of Regulation (EU) No 575/2013The 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

ANNEX V

Annex V to Implementing Regulation (EU) 2016/2070 is amended as follows:

(1) In Section 1 (Instructions) points (b), (aa) and (ff) are replaced by the following:

(b) The following dates shall apply for the exercise:

(i) The booking date shall be 17 September 2020;

(ii) the IMV reference date shall be 24 September 2020 at 5:30 pm CET;

(iii) the IMV remittance date shall be 2 October 2020;

(iv) the RM initial reference date shall be 18 January 2021;

(v) the RM final reference date shall be 29 January 2021;

(vi) the RM remittance dates shall be 26 February 2021;

(aa) Where necessary, institutions shall apply the EU Benchmarks Regulation for the interest rate in order to substitute the reference rate (EURIBOR) and (LIBOR) stated in Section 2 of this Annex. Institutions shall specify the alternative rate they use instead of the reference rate (EURIBOR) and (LIBOR) in the explanatory note referred to in point (d) of these instructions.;

(ff) In Section 2 (Instruments): Year T = 2021; In addition, Year T + X = 2021 + X, with X as specified in Section 2..

(2) In Section 1 (Instructions) the following point (mm) is added:

(mm) The risk measures of the portfolios shall be calculated in the same currency of the portfolio currency, not including any FX Risk, also related to the reporting currency of the institutions. The FX Risk shall be considered only when intrinsically included in the instruments..

(3) In Section 2 (Instruments), points (17), (18), (27), (34), (38) and (39) are replaced by the following:

1. Short Future NIKKEI 225 (Ticker NKY) (1 point equals 500 JPY).

Exchange: CME

Expiry date: 11 June Year T

Base currency: JPY;

1. Auto-callable Equity product

Long position

Booking on Booking date

Notional amount (Capital): 1000000

Underlying: Index EURO STOXX 50 (Ticker: SX5E)

Base currency: EUR

Maturity: 5 years

Annual Payout and annual observation (Booking date + 1 year, Booking date + 2 years, Booking date + 3 years, Booking date + 4 years, Booking date + 5 years). Payout occurs 10 days after reference date.

Coupon: 6 %

Autocall level (Initial value): End of day Booking date - 1 year

Barrier coupon payment 60 % of autocall level

Protection barrier: 55 % of autocall level

Capital not guaranteed if index is below the protection barrier (capital returned on year 5 will be pro-rata if the level is below the protection barrier: for instance, if the SX5E = 40 % of its initial level then the capital returned is 40 %);

If SX5E ≥ 60 % (barrier coupon) of initial value at the end of any year then the coupon is paid out 6 %;

If SX5E ≥ 100 % of initial value at the end of any year then the product is called and the payout is the coupon plus the capital (100 %);

If SX5E < 60 % (barrier coupon) of initial value at the end of any year then no coupon is paid;

If SX5E < 55 % (protection barrier) of initial value at the end of year 5 then the capital is only paid pro-rata. Else if SX5E > = 55 % (protection barrier) of initial value at the end of year 5 then the capital is fully paid.;

1. Long ITALY GOVT EUR 1000000 (ISIN IT0004953417)

Maturity: 1 March 2024

Base currency: EUR;

1. Long BRAZIL GOVT 5000000 USD (ISIN US105756AR10)

Maturity: 15 April 2024

Base currency: USD;

1. 6-month USD/EUR forward contract. Cash settled. Long USD – Short EUR; Notional USD 10000000 USD; EUR/USD ECB reference spot rate as of end of the booking date.

Base currency: EUR;

1. 6-month EUR/GBP forward contract. Cash settled. Long EUR – Short GBP; Notional 10000000 GBP; EUR/GBP ECB reference spot rate as of end of the booking date.’;

Base currency: EUR.

(4) In Section 5 (Instrument additional specifications), in the sixth row of the second column, the word included is replaced by the word Excluded.

Annex

ANNEX VI

Annex

ANNEX VI

RESULTS SUPERVISORY BENCHMARK PORTFOLIOS

TEMPLATE RELATED INSTRUCTIONS

2833

C 106.00 –

Initial Market Valuation and exclusion justification

2833

C 107.01 –

VaR & sVaR Non-CTP. Details

2834

C 107.02 –

VaR, sVaR and PV - Non-CTP. Base Currency Results

2836

C 108.00 –

Profit & Loss Time Series

2837

C 109.01 –

IRC. Details of the Model

2838

C 109.02 –

IRC. Details by Portfolio

2839

C 109.03 –

IRC. Amount by Portfolio/Date

2840

C 110.01 –

CT. Details of the Model.

2840

C 110.02 –

CT. Details by Portfolio.

2841

C 110.03 –

CT. APR by Portfolio/Date

2842

TEMPLATE RELATED INSTRUCTIONS

C 106.00 – Initial Market Valuation and exclusion justification

ColumnLabelLegal referenceInstructions0010Instrument numberSection 2 of Annex VThe instrument number taken from Annex V shall be reported.0020Instrument modelled for VaR and sVaR (TRUE/FALSE)Either TRUE or FALSE shall be reported.0030Instrument modelled for IRC (TRUE/FALSE)Either TRUE or FALSE shall be reported.0040Instrument modelled for correlation trading (TRUE/FALSE)Either TRUE or FALSE shall be reported.0050Rationale for exclusionArticle 3 (2) of Commission Implementing Regulation (EU) 2016/2070

One of the following shall be reported:

(a) Model not authorised by regulator;

(b) Instrument or underlying not authorised internally;

(c) Underlying or modelling feature not contemplated internally;

(d) Other rationale for exclusion. Please, explain that rationale in column 0060.

0060Free text boxAn institution may provide any additional information in this column.0070Initial market valuation (IMV)

The mark-to-market value of each instrument on the reference date at 5:30 pm CET (as referred to in Annex V, Section 1, point (b).

The cell shall be left blank where the institution does not wish to provide an IMV for a certain portfolio (i.e. zero values shall be reported only where the result of the calculation is zero).

C 107.01 - VaR & sVaR Non-CTP. Details.

RowLabelLegal referenceInstructions0010 - 0060VaR0010Methodology

One of the following shall be reported in column 0010:

(a) Historical simulation;

(b) Monte Carlo simulation;

(c) Parametric methodology;

(d) Combination / other methodology (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. Where option (d) was selected in column 0010, the institution shall provide details in column 0020.

0020Computation of 10-day horizonArticle 365(1) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

(a) 1 day re-scaled to 10 days;

(b) 10 days with overlapping periods;

(c) 10 days other methodology.

The institution shall use column 0020 to clarify the answer given in column 0010.

0030Length of observation periodArticle 365(1) point (d) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

(a) Up to 1 year;

(b) More than 1 and up to 2 years;

(c) More than 2 and up to 3 years;

(d) More than 3 years.

The institution shall use column 0020 to clarify the answer given in column 0010.

0040Data WeightingArticle 365(1) point (d) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

(a) Unweighted (VaR data weighting);

(b) Weighted (VaR data weighting);

(c) Higher of weighted and unweighted (VaR data weighting) in points (a) and (b).

The institution shall use column 0020 to clarify the answer given in column 0010.

0050Backtesting add-onArticle 366(2) of Regulation (EU) No 575/2013

Backtesting add-on means the addend between 0 and 1 in accordance with Table 1 of Article 366 (2) of Regulation (EU) No 575/2013

The institution shall use column 0020 to clarify the answer given in column 0010.

0060VaR Regulatory add-onArticle 366(2) of Regulation (EU) No 575/2013 (at least 3)

VaR Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for VaR (at least 3) in accordance with Article 366 (2) of Regulation (EU) No 575/2013. The VaR Regulatory add-on is the sum of the backtesting add-on and of the qualitative add-on, where applicable, in excess to 3.

The institution shall use column 0020 to clarify the answer given in column 0010.

0070-0100SVaR (i.e. Stressed VaR)0070Methodology

One of the following shall be reported in column 0010:

(a) Historical simulation;

(b) Monte Carlo simulation;

(c) Parametric methodology;

(d) Combination / other methodology (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.

0080Computation of 10 day HorizonArticle 365(1) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

(a) 1 day re-scaled to 10 days;

(b) 10 days with overlapping periods;

(c) 10 days other methodology.

The institution shall use column 0020 to clarify the answer given in column 0010.

0090SVaR Regulatory add-onArticle 366(2) of Regulation (EU) No 575/2013

Regulatory add-on means the extra charge imposed by the competent authority with respect to the multiplication factor for sVaR (at least 3) in accordance with Article 366 (2) of Regulation (EU) No 575/2013. The regulatory add-on is the sum of 3, backtesting add-on and qualitative add-on (if applicable).

The institution shall use column 0020 to clarify the answer given in column 0010.

0100SVaR periodArticle 365(2) of Regulation (EU) No 575/2013

One of the following shall be reported in column 0010:

(a) Daily computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020;

(b) Weekly computation of the stressed VaR calibrated to one continuous 12-month period starting from the date specified in column 0020;

(c) Daily computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020;

(d) Weekly computation of the stressed VaR calibrated to different continuous 12-month periods during the stressed VaR reporting dates given in column 0010 of C107.02 starting from the dates specified in column 0020;

(e) Maximum of daily computation of the stressed VaR calibrated to more than one single 12-month period;

(f) Maximum of weekly computation of the stressed VaR calibrated to more than one single 12-month period;

(g) Other choices for the stressed VaR calibration (please specify).

The institution shall use column 0020 to provide the starting date in the format of dd/mm/yyyy in case of options (a) or (b) given in column 0010 and the starting dates in the format dd/mm/yyyy used for each stressed VaR computation in case of options (c) or (d) given in column 0010. The institution shall also use column 0020 to clarify the 12-month period used for each stressed VaR computation in case of options (e), (f) and (g) given in column 0010.

C 107.02 - VaR, sVaR and PV - Non-CTP. Base Currency Results.

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this Implementing RegulationThe portfolio (both individual and aggregated) number taken from Annex V shall be reported.

ColumnLabelLegal referenceInstructions0010DateVaR, sVaR and Present Value (PV) results shall be reported for all the 10 business days between the RM initial reference date and the RM final reference date (as specified in Annex V, Section 1, point (b)). The dd/mm/yyyy convention shall be adopted to report the dates.0020VaRArticle 365 of Regulation (EU) No 575/2013

The 10-day regulatory VaR obtained for each portfolio, without applying the at least 3 regulatory multiplication factor, shall be reported.

Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a VaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).

0030sVaRArticle 365 of Regulation (EU) No 575/2013

The 10-day regulatory sVaR obtained for each portfolio, without applying the at least 3 regulatory multiplication factor, shall be reported.

Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a sVaR on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).

0040PV

The present value (PV) for each portfolio shall be reported.

Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate a PV on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).

C 108.00 - Profit & Loss Time Series

Template C 108.00 (Profit & Loss Time Series) shall be completed only by institutions that calculate VaR using historical simulation.

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this Implementing RegulationThe portfolio number (both individual and aggregated) taken from Annex V to this Implementing Regulation shall be reported.

ColumnLabelLegal referenceInstructions0010DateArticle 365(1) point (d) of Regulation (EU) No 575/2013On each business day, determined in accordance with the calendar in the institution’s jurisdiction, institutions shall provide the P&L series used to calculate VaR in C107.02 column 0010 with a minimum of 250 observations starting from 29 January 2021 and going backward.0020Daily P&L

Institutions that calculate VaR using historical simulation shall fill the full length historic series used by the institution, with a minimum of one-year data series, with the portfolio valuation change (i.e. daily P&L) produced on each business day (i.e. by comparing the end-of-day valuation on each business day reported in column 0010 with the end-of-day valuation on the previous business day).

In case a day is a bank holiday in the relevant jurisdiction, this cell shall be left blank (i.e. a zero P&L shall be reported only where there was no change in the hypothetical value of the portfolio on a given business day).

C 109.01 – IRC. Details of the Model

RowLabelLegal referenceInstructions0010Number of modelling factors

EBA/GL/2012/3

The number of modelling factors at the overall IRC model level shall be reported. The answer shall be one of the following:

(a) 1 modelling factor;

(b) 2 modelling factors;

(c) More than 2 modelling factors.

The institution shall use column 0020 to clarify the answer given in column 0010.

0020Source of LGDs

EBA/GL/2012/3

The source of LGDs at the overall IRC Model level shall be reported. The answer shall be one of the following:

(a) Market convention;

(b) LGD used in IRB;

(c) Other source of LGD (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column.

C 109.02 – IRC. Details by Portfolio

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this Implementing RegulationThe portfolio number (both individual and aggregated) taken from Annex V to this Implementing Regulation, only for those portfolios where IRC is requested, shall be reported.RowLabelLegal referenceInstructions0010Liquidity HorizonArticle 374(5) of Regulation (EU) No 575/2013

EBA/GL/2012/3

The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:

(a) Up to 3 months;

(b) More than 3 and up to 6 months;

(c) More than 6 and up to 9 months;

(d) More than 9 and up to 12 months.

0020Source of PDs

EBA/GL/2012/3

The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:

(a) Rating agencies;

(b) IRB;

(c) Market implied PDs;

(d) Other source of PDs (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in this column 0020.

0030Source of transition matrices

EBA/GL/2012/3

The source of transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:

(a) Rating agencies;

(b) IRB;

(c) Market implied transition matrices;

(d) Other sources of transition matrices (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in this column 0020.

C 109.03 – IRC. Amount by Portfolio/Date.

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this Implementing RegulationThe portfolio (both individual and aggregated) number taken from Annex V to this Implementing Regulation, only for those portfolios where IRC is requested, shall be reported.ColumnLabelLegal referenceInstructions0010DateIRC shall be reported for all the 10 business days between the RM initial reference date and the RM final reference date, as specified in Annex V, Section 1, point (b). The dd/mm/yyyy convention shall be adopted to report the dates.0020IRCArticles 372 to 376 of Regulation (EU) No 575/2013

EBA/GL/2012/3

The regulatory IRC obtained for each portfolio shall be reported.

Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not calculate an IRC on the date reported in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).

C 110.01 – CT. Details of the Model.

RowLabelLegal referenceInstructions0010Number of modelling factorsArticle 377 of Regulation (EU) No 575/2013

The number of modelling factors at the overall correlation trading model level shall be reported. The answer shall be one of the following:

(a) 1 modelling factor;

(b) 2 modelling factors;

(c) More than 2 modelling factors.

The institution shall use column 0020 where it wants to clarify the answer given in column 0010.

0020Source of LGDsArticle 377 of Regulation (EU) No 575/2013

The source of LGDs at the overall correlation trading model level shall be reported. The answer shall be one of the following:

(a) Market convention;

(b) LGD used in IRB;

(c) Other sources of LGD (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (c) was selected in column 0010, the institution shall provide details in this column.

C 110.02 – CT. Details by Portfolio.

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSections 3 and 4 of Annex V to this Implementing RegulationThe portfolio (both individual and aggregated) number taken from Annex V to this Regulation, only for those portfolios where APR is requested, shall be reported.RowLabelLegal referenceInstructions0010Liquidity horizonArticle 377(2) of Regulation (EU) No 575/2013

The liquidity horizon applied at the portfolio level shall be reported. The answer shall be one of the following:

(a) Up to 3 months;

(b) More than 3 and up to 6 months;

(c) More than 6 and up to 9 months;

(d) More than 9 and up to 12 months.

0020Source of PDsArticle 377 of Regulation (EU) No 575/2013

The source of PDs applied at the portfolio level shall be reported. The answer shall be one of the following:

(a) Rating agencies;

(b) IRB;

(c) Market implied PDs;

(d) Other source of PDs (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.

0030Source of transition matricesArticle 377 of Regulation (EU) No 575/2013

The source of the transition matrices applied at the portfolio level shall be reported. The answer shall be one of the following:

(a) Rating agencies;

(b) IRB;

(c) Market implied transition matrices;

(d) Other source of transition matrices (please specify).

The institution shall use column 0020 to clarify the answer given in column 0010. In case option (d) was selected in column 0010, the institution shall provide details in column 0020.

C 110.03 – CT. APR by Portfolio/Date

Instructions concerning sheets (z-axis)

LabelLegal referenceInstructionsPortfolioSection 3 and 4 of Annex V to this Implementing RegulationThe portfolio (both individual and aggregated) number taken from Annex V to this Implementing Regulation, only for those portfolios where APR is requested, shall be reportedColumnLabelLegal referenceInstructions0010DateArticle 377 of Regulation (EU) No 575/2013All price risk (APR) shall be reported for all the 10 business days between the RM initial reference date and the RM final reference date as referred to in Annex V, section 1, point b). The dd/mm/yyyy convention shall be adopted to report the dates.0060APRArticle 377 of Regulation (EU) No 575/2013

The results obtained by applying the regulatory correlation trading model to each portfolio shall be reported.

Figures shall be reported for each of the dates provided in column 0010. The cell shall be left blank where the institution does not use a correlation trading model on the date provided in column 0010 (i.e. zero values shall be reported only where the result of the calculation is zero).

Annex

ANNEX VII

Annex

ANNEX VII

Results Supervisory Benchmarking portfolios. MARKET RISK

RESULTS BENCHMARKING PORTFOLIOS. MARKET RISKTemplate numberTemplate codeName of the template / group of templatesShort nameINITIAL MARKET VALUATION106C 106.00INITIAL MARKET VALUATIONIMVVaR, sVaR and PV107.1C 107.01DETAILSVaR&SVaR 1107.2C 107.02BASE CURRENCY RESULTSVaR&SVaR 2PROFIT & LOSS TIME SERIES108C 108.00PROFIT & LOSS TIME SERIESP&LINCREMENTAL RISK CHARGE109.1C 109.01IRC. DETAILS OF THE MODELIRC 1109.2C 109.02IRC. DETAILS BY PORTFOLIOIRC 2109.3C 109.03IRC. AMOUNT BY PORTFOLIO/DATEIRC 3CORRELATION TRADING110.1C 110.01CT. DETAILS OF THE MODELCT 1110.2C 110.02CT. DETAILS BY PORTFOLIOCT 2110.3C 110.03CT. AMOUNT BY PORTFOLIO/DATECT 3

C 106.00 - INITIAL MARKET VALUATION AND EXCLUSION JUSTIFICATION

Instrument numberInstrument Modelled for Var + SVaR (YES/NO)Instrument Modelled for IRC (YES/NO)Instrument Modelled for Correlation Trading (YES/NO)Rationale for ExclusionFree text boxInitial Market Valuation0010002000300040005000600070

C 107.01 - VaR, sVaR and PV. DETAILS

OptionFree text box00100020VaR0010Methodology0020Computation of 10-day horizon0030Length of observation period0040Data Weighting0050Backtesting add-on0060Regulatory add-onSVaR0070Methodology0080Computation of 10-day horizon0090SVaR regulatory add-on0100SVaR period

C 107.02 - VaR and SVaR NON-CTP. BASE CURRENCY RESULTS

Portfolio

DateVaRsVaRPV0010002000300040

C 108.00- PROFIT & LOSS TIME SERIES

Portfolio

DateDaily P&L00100020

C 109.01 - IRC. DETAILS OF THE MODEL

OptionFree text boxRowItem001000200010Number of modelling factors0020Source of LGDs

C 109.02 - IRC. DETAILS BY PORTFOLIO

Portfolio

OptionFree text boxRowItem001000200010Liquidity Horizon0020Source of PDs0030Source of transition matrices

C 109.03 - IRC. AMOUNT BY PORTFOLIO/DATE

Portfolio

DateIRC00100020

C 110.01 - CT. DETAILS OF THE MODEL

OptionFree text boxRowItem001000200010Number of modelling factors0020Source of LGDs

C 110.02 - CT. DETAILS BY PORTFOLIO

Portfolio

OptionFree text boxRowItem001000200010Liquidity Horizon0020Source of PDs0030Source of transition matrices

C 110.03 - CT. APR BY PORTFOLIO/DATE

Portfolio

DateAPR00100060

Annex

ANNEX VIII

Annex

ANNEX VIII

Results Supervisory Benchmarking portfolios

Template numberTemplate codeName of the template /group of templates111.00C 111.00Details on exposures in Low Default Portfolios by counterparty112.00C 112.00Details on exposures in Low Default Portfolios by counterparty by economic scenario113.00C 113.00Details on exposures in Low Default Portfolios by counterparty by facility114.00C 114.00Details on macroeconomic scenarios per country

C 111.00 - Details on exposures in Low Default Portfolios by counterparty

Counterparty CodeNumber of facilitiesGDP Area CodeExposure value - IFRS 9PD - 12 months - IFRS 9PD - IRB without conservative adjustmentLGD - IFRS 9ECL amount - 12 months IFRS 9Expected Loss - IRB001000200030004001000110020004000410

C 112.00 - Details on exposures in Low Default Portfolios by counterparty by economic scenario

Counterparty CodeEconomic scenario IDPD - 0 - 12 monthsPD - 0 - 24 monthsPD - 0 - 36 monthsPD - 0 - 48 monthsPD - 0 - 60 monthsPD - 0 - 72 monthsPD - 0 - 84 monthsPD - 0 - 96 monthsPD - 0 - 108 monthsPD - 0 - 120 months001000200100011001200130014001500160017001800190

C 113.00 - Details on exposures in Low Default Portfolios by counterparty by facility

Counterparty Codefacility IDExposure valueImpairment statusAnnualised originated PDAnnualised PD at reporting dateQuantitative Stage 2 trigger (in annualised PD)Low Credit Risk Exemption threshold (if applicable)Qualitative Stage 2 Trigger set001000200100020003000400050005500600

C 114.00 - Details on macroeconomic scenarios per country

GDP Area CodeEconomic scenario IDGDP growth 0 - 12 monthsGDP growth 12 - 24 monthsGDP growth 24 - 36 monthsGDP growth 36 - 48 monthsGDP growth 48 - 60 monthsGDP growth 60 - 72 monthsGDP growth 72 - 84 monthsGDP growth 84 - 96 monthsGDP growth 96 - 108 monthsGDP growth 108 - 120 monthsWeight of the economic scenario0010002001000110012001300140015001600170018001900200

Annex

ANNEX IX

Annex

ANNEX IX

IFRS 9 TEMPLATE REPORTING INSTRUCTIONS

PART I:

GENERAL INSTRUCTIONS

2851

PART II:

TEMPLATE-RELATED INSTRUCTIONS

2852

C 111.00 –

Details on exposures in Low Default Portfolios by counterparty

2852

C 112.00 –

Details on exposures in Low Default Portfolios by counterparty by economic scenario

2854

C 113.00 –

Details on exposures in Low Default Portfolios by counterparty by facility

2856

C 114.00 –

Details on macroeconomic scenarios per country

2860

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 credit risk mitigation, including exposures in stage 3 and counterparties for which the temporary or permanent partial use of the Standardised Approach has been permitted by the respective competent authority in accordance with Article 148 or 150 of Regulation (EU) No 575/2013. Information for counterparties and portfolios for which no exposure exists at the reference date shall not be submitted. Only the following exposures should be reported: those exposures which are subject to the impairment requirements under IFRS 9.5.5.1, excluding purchased or originated credit-impaired financial assets as defined in Appendix A to IFRS 9 as set out in the Annex to Commission Regulation (EC) No 1126/2008 (Annex relating to IFRS 9) shall be included.

1. Information not required or not applicable shall not be submitted; the relevant cells shall either be left blank or the indication NULL shall be inserted. This shall also apply to weighted average quantities that cannot be calculated. Zero values shall be reported only where the intention is to report a quantity of zero. The cells shall not be left blank nor the indication NULL shall be inserted to report quantities that are zero.

1. Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date in accordance with Commission Implementing Regulation (EU) No 680/2014

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).

.

1. All the templates included in this Annex shall be filled only for the subset of counterparties with the counterparty ID in the following format: ID _CT. Specialised lending exposures as defined in Article 147(8) of Regulation (EU) No 575/2013 shall be excluded.

1. The PDs shall be expressed as a value between 0 and 1, and shall be expressed with a minimum precision equivalent to four decimals.

1. Where the facility expires within the year considered for a specific data point, the parameter estimates and the ECL amount to be reported for this facility shall be related to a default event over a 12 months’ period. By way of derogation from this rule, for the purpose of template C 112.00, where the facility expires before the year considered for a specific data point, the facility’s PD shall not be included in the exposure weighted average PD.

1. In relation to guaranteed exposures, the PD parameter to be reported shall be the one of the original obligor, regardless of whether, for regulatory purposes, the CRM technique is applied via a substitution of the risk parameters of the obligor by the risk parameters of the protection provider. However, the effect of the guarantee shall be taken into consideration in the LGD and in the ECL estimate, in line with the approach used for accounting purposes. Under no circumstances should the PD parameters of a protection provider be reported as the risk parameters of the original obligor.

PART II: TEMPLATE-RELATED INSTRUCTIONS

C 111.00 – Details on exposures in Low Default Portfolios by counterparty

ColumnLabelLegal referenceInstructions0010Counterparty CodeThe instructions provided in Annex IV to this Implementing Regulation for column 0010 of C 101 shall apply.0020Number of facilitiesThe number of facilities of the counterparty.0030GDP Area Code

The code of the geographical area of the counterparty associated with the estimations of columns 0100 to 0190 of this Annex to this Implementing Regulation for column 0010 of C 114.00. Where the GDP is estimated for the counterparty on a single country basis, the country code shall have the same format as the one used in column 0080 of template C 101 of Annex I to this Implementing Regulation. Where the GDP is estimated for an area with several countries, one of the following codes shall be used:

WR: where GDP estimates can be considered as global estimates;

EZ: where the GDP estimates can be considered as estimates related to the European Union composition at the reference date;

EA: where the GDP estimates can be considered as estimates related to the Euro Area composition at the reference date.

0040Exposure value - IFRS 9

The sum of exposure values to the counterparty over all facilities 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, as well as off-balance sheet exposures after the application of the conversion factors used for accounting purposes.

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.

0100PD - 12 months IFRS 9

The PD calculated at the counterparty level at the reporting date, representing the probability of a default event within 12 months following the reporting date, as considered in the application of the impairment requirements under IFRS 9. This shall be the PD used to compute the 12 month expected credit loss (ECL amount – 12 months IFRS 9), and associated with the economic scenario 0 in template C 112.00.

Where the institution applies different PDs for different exposures to the same counterparty, the weighted average PD at the reporting date shall be reported. The weight used for each facility shall be the exposure value as defined in column 0040 of this template.

Where the PD values associated with the economic scenario 0 of the template C 112.00 are not populated, this data point shall not be populated, either.

0110PD - IRB without conservative adjustmentsArticle 160 of Regulation (EU) 575/2013 Section 4.4.3. of EBA Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures

The PD estimated under Article 160 of the CRR, free from any Margin of Conservatism, regulatory floors, supervisory add-ons and any other conservative measures, and adjustments, except those that are retained for the purpose of IFRS 9.

Where an institution is not able to isolate the conservative adjustments embedded in its PD estimates, this data point shall either be left blank or the indication NULL shall be inserted.

This data point shall be submitted only for those exposures for which an internal model has been approved and is used in the calculation of risk weighted exposure amounts (RWEA). For all other cases, this field shall be left blank or the indication NULL shall be inserted.

0200LGD - IFRS 9Paragraph 5 (l) in Part 1 of Annex V to Regulation (EU) No 680/2014

The weighted average LGD of the counterparty applied by the institution to the exposures of each counterparty, at the reporting date, as considered in the impairment requirements under IFRS 9 and used to compute the final expected credit loss.

The weight used to compute the LGD weighted average shall be the multiplication of the following two values:

(a) the PD assigned to the facility at the reporting date, representing the probability of a default event within 12 months following the reporting date, as defined in column 0100 of this template;

(b) the exposure value of the facility associated with default events over the 12 months’ period following the reporting date, as defined in column 0040 of this template.

For both stage 1 and stage 2 facilities, the LGD for each facility shall be the one associated with default events over the 12 months’ period following the reporting date.

0400ECL amount – 12 months IFRS 9Appendix A to IFRS 9 as set out in the Annex to Commission Regulation (EC) No 1126/2008

The sum of the expected credit losses to the counterparty over all facilities for the exposures, at the reporting date, as considered for the application of impairment requirements under IFRS 9.

For both stage 1 and stage 2 facilities, the ECL amount for each facility shall be the one associated with default events over the 12 months’ period following the reporting date.

0410Expected Loss - IRBColumn 0280 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014

The expected loss amount calculated using IRB parameters.

This data point shall be submitted only for those exposures for which an internal model has been approved and is used in the calculation of RWEA. For all other cases, this field shall be left blank or the indication NULL shall be inserted.

C 112.00 – Details on exposures in Low Default Portfolios by counterparty by economic scenario

The PD values reported in columns 0100, 0110, 0120, 0130, 0140, 0150, 0160, 0170, 0180 and 0190 shall not incorporate any effect of prepayment. Where the PD model cannot provide PD values beyond the maturity of the facility, these fields shall be left blank or the indication NULL shall be inserted.

Where the ECL amount is calculated as a probability weighted ECL of each economic scenario, the following considerations apply:

Where the IFRS 9 model related to the obligor uses five economic scenarios, the PD values associated with each of the scenario shall be reported for the columns 0100 to 0190. The PD values associated with the economic scenario 0 shall be the weighted average of the PDs reported for the economic scenario 1 to 5, using the weights reported in the column 0200 in the template 114.00 of Annex VIII.

Where the IFRS 9 model related to the obligor uses a lower number of economic scenarios than five, the data points related to the missing economic scenarios shall be left blank.

Where more than one, but less than 5 economic scenarios are used, the PD values associated with the economic scenario 0 shall be the weighted average of the PDs reported for the economic scenario 1 to 5, using the weights reported in the data point 200 in the template C 114.00 of Annex VIII and 0 for the unused scenarios.

Where the IFRS 9 model related to the obligor uses a higher number of economic scenarios than five, including when performing Monte Carlo simulation, institutions shall report the economic scenario 0 and they shall also map the economic scenarios into the 5 predefined buckets. Where there is no mapping of an institution’s internal scenarios and the five prescribed scenarios, only scenario 0 shall be reported.

Where only a single scenario is used, without any adjustment neither at the PD level nor at the ECL level that takes into account the non-linearity effects the PD values for this economic scenario shall be reported under both economic scenarios 0 and 1.

Where the estimation is based on a baseline scenario that is forward-looking, and an adjustment is applied to consider the non-linearity effect, the institution shall report in the template the cumulative PD value of the baseline scenario in scenario 1, and the PD used for the purpose of the Significant Increase in Credit Risk (SICR) assessment in scenario 0.

ColumnLabelLegal referenceInstructions0010Counterparty CodeThe counterparty code assigned in column 0010 of template C 101 of Annex I 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.0020Economic 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).

0100PD - 0 - 12 monthsThe 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.0110PD - 0 - 24 monthsThe 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.0120PD - 0 - 36 monthsThe 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.0130PD - 0 - 48 monthsThe 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.

0140PD - 0 - 60 monthsThe 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.0150PD - 0 - 72 monthsThe 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.0160PD - 0 - 84 monthsThe 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.0170PD - 0 - 96 monthsThe 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.0180PD - 0 - 108 monthsThe 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.0190PD - 0 - 120 monthsThe 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

ColumnLabelLegal referenceInstructions0010Counterparty CodeThe instructions provided in this Annex to this Implementing Regulation for column 0010 of C 112.00 shall apply.0020Facility 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.

0100Exposure 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.

0200Impairment StatusParagraph 5 (l) in Part 1 of Annex V to Regulation (EU) No 680/2014

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.

0300Annualised 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:

Annualised lifetime PD 1 M1 lifetime PD

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.

0400Annualised 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:

Annualised lifetime PD 1 M1 lifetime PD

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.

0500Quantitative 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:

Annualised lifetime PD 1 M1 lifetime PD

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.

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 number of notch downgrades required for a stage 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.

0550Low 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:

Annualised lifetime PD 1 M1 lifetime PD

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 with the indication 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.

0600Qualitative 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 the indication 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:

a)

no qualitative indicator (but the facility is in stage 2 due to a quantitative trigger);

b)

30 days past due;

c)

watch list;

d)

forbearance;

e)

other qualitative trigger or identification of first trigger not possible.

C 114.00 – Details on macroeconomic scenarios per country

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.

In the case the institutions are not using a discrete number of macro-economic scenarios (for instance, because they are using Monte Carlo simulation for the PD), the template C 114.00 should not be populated.

ColumnLabelLegal referenceInstructions0010GDP Area Code

The list of areas identified in column 0030 of template C 111.00 of Annex VIII.

Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in the table.

0020Economic 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 to this Implementing Regulation 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 50100GDP growth - 0 - 12 monthsThe 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.0110GDP growth - 12 - 24 monthsThe 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.0120GDP growth - 24 - 36 monthsThe 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.0130GDP growth - 36 - 48 monthsThe 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.

0140GDP growth - 48 - 60 monthsThe 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.0150GDP growth - 60 - 72 monthsThe 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.0160GDP growth - 72 - 84 monthsThe 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.0170GDP growth - 84 - 96 monthsThe 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.0180GDP growth - 96 - 108 monthsThe 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.0190GDP growth - 108 - 120 monthsThe 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.0200Weight of the economic scenario

IFRS 9.5.5.17(a)

IFRS 9.5.5.18

IFRS 9.B5.5.41

IFRS 9.B5.5.42

The weight assigned to the economic scenario shall be reported. The weight shall be expressed as a value between 0 and 1.