ANNEX IISupplementary provisions
ANNEX II ‘ANNEX II SUPERVISORY BENCHMARK PORTFOLIOS DEFINITION OF THE SUPERVISORY BENCHMARK PORTFOLIOS 2691 C 101 – Definition of Low Default Portfolio counterparties 2691 C 102 – Definition of Low Default Portfolios 2693 C 103 – Definition of High Default Portfolios 2700 DEFINITION OF THE SUPERVISORY BENCHMARK PORTFOLIOS For the mapping of the exposures to counterparties and the portfolios listed in Annex I, this Annex shall apply. Where “Not applicable” is used in Annex I, no specific split is required for the variable it relates to. C 101 – Definition of Low Default Portfolio counterparties Only exposures to the counterparties listed in template C 101.00 of Annex I shall be reported in template C 101.00 of Annex III. Exposures to related entities of the counterparties listed in Table C 101.00 of Annex I, including subsidiaries and parent companies, shall not be reported. Column Label Legal reference Instructions 010 Counterparty code The code assigned by the European Banking Authority (“EBA”) to each legal entity included in the low default portfolio (“LDP”) sample. 020 Legal entity identifier (LEI) 20-digit, alpha-numeric code that connects to key reference information that enables clear and unique identification of companies participating in global financial markets. 030 Credit register code The code used by the national credit register of the place of residence of the counterparty. The code is used as an identifier for the counterparty. 040 Commercial register code The code assigned to a counterparty by the public commercial register of the country where that counterparty is registered. 050 ISIN code The “International Securities Identification Number” used to identify uniquely securities issued by a counterparty. 060 Bloomberg ticker The string of characters or numbers used to identify a company or entity uniquely in Bloomberg. 070 Name The name of the legal entity included in the LDP samples. 080 Geographical area Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or “Other countries”) of the counterparty. For the “Retail – SME - secured by real estate” and “Retail – Non-SME - secured by real estate” portfolios, exposures shall be split into parts based on the location of the collateral. 090 Portfolio name Each counterparty is assigned one of the following names: (a) Sovereign sample; (b) Institutions sample; (c) Large corporate sample. 100 Sector of counterparty Exposures shall be split into parts and assigned to portfolios based on the economic sector of the counterparty: (a) Central banks; (b) General governments; (c) Credit institutions; (d) Other financial corporations; (e) Non-financial corporations; (f) Households; (g) Not applicable. The assignment of counterparties to sectors shall be made in accordance with the instructions in Annex V part 1 paragraph 35 of Commission Implementing Regulation (EU) No 680/2014 ( 1 ) . 110 Type of exposure Only Exposures other than specialised lending shall be reported in template C 101.00 of Annex III. 120 Type of facility Not applicable: exposures shall be reported in template C 101.00 of Annex III independently of the type of facility. 130 Type of risk Exposures shall be split into parts and assigned to portfolios based on the type of risk: (a) Counterparty credit risk; (b) Credit risk and free deliveries; (c) Credit risk, counterparty credit risk and free deliveries. 140 Regulatory approach Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWEA: (a) Foundation IRB Approach; (b) Advanced IRB Approach; (c) Specialised lending slotting criteria. RWEAs for the exposure class “Retail” are calculated under the regulatory approach “Advanced IRB Approach”. C 102 – Definition of Low Default Portfolios Column Label Legal reference Instructions 010 Portfolio ID The unique ID assigned to the portfolio by EBA. 020 Portfolio name The name of each portfolio, assigned from among the following names: (a) Sovereign; (b) Institutions; (c) Large corporates; (d) Specialised lending exposures, which comprises all the exposures referred to in Article 147(8) of Regulation (EU) No 575/2013 of the European Parliament and of the Council ( 2 ) . 030 Type of risk The instructions provided for column 130 of C 101 shall apply. 040 Regulatory approach The instructions provided for column 140 of C 101 shall apply. 050 Geographical area The instructions provided for column 080 of C 101 shall apply. 060 Rating Article 153(5) of Regulation (EU) No 575/2013, Template 8.2 of Annex I to Implementing Regulation (EU) No 680/2014 Exposures shall be split into parts and assigned to portfolios based on the rank of the internal rating applied by the institution from lowest risk to highest risk excluding defaults with a probability of default (“PD”) corresponding to 100 %. The rating takes values from Rating 1, Rating 2 etc. Where the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, that internal master scale shall be used. In all other cases, the different rating systems shall be merged and ordered in accordance with the following instructions: (a) Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher; (b) Where a large number of grades or pools is used, a reduced number of grades or pools to be reported may be agreed with the competent authorities. For specialised lending exposures risk weighted in accordance with Article 153(5) CRR, the rating split shall be based on the supervisory risk weight category described in table 1 of that Article, as follows: Rating 1: Category 1 with Remaining maturity less than 2.5 years; Rating 2: Category 2 with Remaining maturity less than 2.5 years; Rating 3: Category 3 with Remaining maturity less than 2.5 years; Rating 4: Category 4 with Remaining maturity less than 2.5 years; Rating 5: Category 1 with Remaining maturity equal or more than 2.5 years; Rating 6: Category 2 with Remaining maturity equal or more than 2.5 years; Rating 7: Category 3 with Remaining maturity equal or more than 2.5 years; Rating 8: Category 4 with Remaining maturity equal or more than 2.5 years. The same rating scale as that used for reporting in template C 08.02 of Annex I to Regulation (EU) No 680/2014 shall be used. Where the Institution uses a group master scale, that master scale shall be used. 070 Exposure class Paragraph 78 of Annex II to Regulation (EU) No 680/2014 Exposures shall be split into parts and assigned to portfolios based on the exposure class: (a) Central governments and central banks; (b) Institutions; (c) Corporates - other: (c.1) Corporates - SME; (c.2) Corporates - no SME; (d) Corporates - specialised lending exposures; (e) Retail: (e.1) Retail - SME; (e.1.1) Retail - SME - secured by real estate; (e.1.2) Retail - SME - other; (e.2) Retail - no SME; (e.2.1) Retail - no SME - other; (e.2.2) Retail - no SME - Secured by real estate; (e.3) Retail - Qualifying revolving; (f) Not applicable. In accordance with Article 147(4)(a) Regulation (EU) No 575/2013, exposures to regional governments and local authorities which are not treated as exposures to central governments shall be assigned to the exposure class “exposures to institutions”. The exposure classes of point e) and f) of Article 147(2) of Regulation (EU) No 575/2013 “equity exposures” and “items representing securitisation positions” shall not be reported. 080 Sector of counterparty The instructions provided for column 100 of C 101 shall apply. 090 Default status Exposures shall be split into parts and assigned to portfolios based on the default status: (a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %; (b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %; (c) Not applicable. 100 Type of facility Article 166 (8) and (10) of Regulation (EU) No 575/2013 Exposures shall be split into parts and assigned to portfolios based on the type of facility. Where more than one facility type value applies to the credit product, the exposure value shall be split on the basis of the facility type values. The type of facility is one of the following: (a) Full risk (100 %); (b) Note issuance facility and revolving underwriting facility (Medium risk); (c) Issued warranties and indemnities, guarantees, irrevocable stand-by letters of credit, documentary credit and other medium risk off-balance sheet items (Medium risk), including tender, performance, customs and tax bonds, guarantees, irrevocable standby letters of credit not having the character of credit substitutes and other medium risk off-balance sheet items; (d) Undrawn committed revolving credit facility (Medium-low risk) including revolving lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness; (e) Undrawn committed term credit facility (Medium-low risk) including term lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness; (f) Undrawn committed other credit facility (Medium-low risk) including lending commitments, other than revolving and term, that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness; (g) Issued short-term letters of credit and other medium-low risk off-balance sheet items (Medium-low risk); (h) Undrawn uncommitted credit lines (Low risk) including lending facilities that are undrawn and that may be cancelled unconditionally at any time without notice or that provide for automatic cancellation due to a deterioration in borrower’s creditworthiness; (i) Undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items (Low risk) including commitments that are able to be unconditionally cancelled or that effectively provide for automatic cancellation at any time by the institution without prior notice; (j) Not applicable. 110 Collateralisation status Columns 150 to 220 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 Exposures shall be split into parts and assigned to portfolios based on the collateralisation status of each part: (a) Exposures with credit protection; (b) Exposures without credit protection; (c) Not applicable. The part of the exposure with credit protection shall be determined by the value of the collateral after haircuts applied in accordance with PART THREE, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013, and, where applicable, institutions’ internal guidelines. 120 Collateral type Columns 150 to 220 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 Exposures shall be split into parts and assigned to portfolios based on the collateral type: (a) Eligible financial collateral; (b) Other eligible collateral: Receivables; (c) Other eligible collateral: Residential real estate; (d) Other eligible collateral: Commercial real estate; (e) Other eligible collateral: Physical collateral; (f) Other funded credit protection; (g) Credit derivatives; (h) Guarantees; (i) Other unfunded credit protection: exposures subject to double default; (j) Not applicable. The part of the exposure secured by a specific type of collateral shall be determined by the value of that specific type of the collateral after the haircuts required in accordance with Title II, Chapter 4, Section 4 of Regulation (EU) No 575/2013, and, where applicable, institutions’ internal guidelines. Exposures with unfunded credit protections treated under the substitution approach are already shifted to the corresponding exposures classes and shall thus not be reported under (g), (h) or (i). 130 Counterparty Exposures shall be split into parts and assigned to portfolios based on the type of counterparty: (a) Public sector entities (in accordance with Article 112, point (c), of Regulation (EU) No 575/2013); (b) Counterparties other than public sector entities; (c) Not applicable 140 Size of counterparty Exposures shall be split into parts and assigned to portfolios based on the size of the counterparty which shall be determined based on the total annual turnover for the consolidated group of which the counterparty is a part: (a) ≤ EUR 50 million; (b) > EUR 50 million and ≤ EUR 200 million; (c) > EUR 200 million; (d) > EUR 200 million and ≤ EUR 500 million; (e) > EUR 500 million; (f) Not applicable. The total annual turnover shall be calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC ( 3 ) and shall refer to the year ending one year before the reporting reference date. 150 NACE code Exposures shall be split into parts and assigned to portfolios based on the economic activity of the counterparty determined by the NACE codes (Statistical Classification of Economic Activities of the Union): (a) Nace 1: C Manufacturing; (b) Nace 2: G Wholesale and retail trade; (c) Nace 3: F Construction; (d) Nace 4: H Transport and storage; (e) Nace 5: D Electricity, gas, steam and air conditioning supply; (f) Nace 6: A Agriculture, forestry and fishing; (g) Nace 7: L real estate activities; (h) Nace 8: All other exposures than those included in points (a) to (h) above; (i) Not applicable. 160 Type of exposure Article 2 of the Commission Delegated Regulation (EU) 2021/598 ( 4 ) Exposures shall be split into parts and assigned to portfolios based on the type of exposure: (a) Not applicable; (b) Specialised lending exposures - Project finance; (c) Specialised lending exposures - Income-producing real estate and high-volatility commercial real estate; (d) Specialised lending exposures - Object finance; (e) Specialised lending exposures - Commodities finance; (f) Eligible covered bonds that meet the requirements of Article 129(1) of Regulation (EU) No 575/2013; (g) Other exposures than those referred to in point (f). 170 Size of exposure Column110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 Exposures shall be split into parts and assigned to portfolios based on the size of the exposure expressed in terms of exposure value (i.e. exposure at default (“EAD”)): (a) Not applicable. 180 Indexed loan-to-value range Exposures shall be split into parts and assigned to portfolios based on the indexed loan-to-value (“ILTV”) range which shall be the ratio between the current loan amount and the current value of the property: (a) Bucket 1: ≤ 55 % if the property is a residential immovable property; ≤ 60 % if the property is a commercial immovable property; (b) Bucket 2: > 55 % ≤ 70 % if the property is a residential immovable property; > 60 % ≤ 70 % if the property is a commercial immovable property; (c) Bucket 3: > 70 % ≤ 80 %; (d) Bucket 4: > 80 % ≤ 90 %; (e) Bucket 5: > 90 % ≤ 100 %; (f) Bucket 6: > 100 % ≤ 110 %; (g) Bucket 7: > 110 %; (h) Not applicable. The indexed loan-to-value range shall be calculated in a prudent manner and comply with the following features: (a) Total amount of the loan: the outstanding amount of the mortgage loan plus any undrawn committed amount of the mortgage loan (after applying the corresponding credit conversion factor). The loan amount shall be calculated gross of any specific credit risk adjustments and shall include all other loans (including loans known to the institution that are provided by other financial institutions) secured with liens of equal or higher ranking on the same residential property with respect to the lien securing the loan. Where there is insufficient information for ascertaining the ranking of the other liens, the institution shall assume that these liens rank pari passu with the lien securing the loan. (b) Value of the property: the value of the property is the independent valuation of the property, converted to a current value using a property price index. The valuation shall be performed in an independent way and by appraisers that meet specific qualification requirements. Qualifying requirements and minimum appraisal standards shall comply with the following requirements: (i) there is an individual assessment of the property and the property is valued in a prudently conservative manner (e.g. excluding expectations of future price appreciations and taking into account any potential for the current property price to be above a level that is sustainable over the life of the loan, for example due to a property price bubble); (ii) where a market value can be determined, the valuation is not higher than that market value; (iii) the valuation is supported by adequate appraisal documentation. Institutions shall document their calculations and provide that documentation to their competent authority upon request. 190 Balance sheet recognition Exposures shall be split into parts and assigned to portfolios based on the balance sheet recognition: (a) On-balance sheet items; (b) Off-balance sheet items; (c) Other; (d) Not applicable. Exposures representing securities financing transactions, derivatives & long settlement transactions or contractual cross product netting and which are subject to counterparty credit risk shall be assigned to point (c) “Other”. Those exposures shall not be reported in (a) or (b). C 103 – Definition of High Default Portfolios Column Legal reference Instructions 010 Portfolio ID The unique ID assigned by EBA to each portfolio. 020 Portfolio name EBA shall assign each portfolio one of the following names: 1.0 CORP 1.1. CORP Defaulted 1.2. CORP Non-Defaulted 2.0 SMEC 2.1. SMEC Defaulted 2.2. SMEC Non-Defaulted 3.0 Other retail SME 3.1. Other retail SME Defaulted 3.2. Other retail SME Non-Defaulted 4.0 Mortgages non SME 4.1. Mortgages non SME Defaulted 4.2. Mortgages non SME Non-defaulted 5.0. Mortgages SME 5.1. Mortgages SME Defaulted 5.2. Mortgages SME Non-defaulted 6.0. Other retail non-SME 6.1. Other retail non-SME Defaulted 6.2. Other retail non-SME Non-defaulted 7.0. QRRE 7.1. QRRE Defaulted 7.2. QRRE Non-defaulted 030 Type of risk The instructions for column 130 of C 101 shall apply. 040 Regulatory approach The instructions for column 140 of C 101 shall apply. 050 Geographical area The instructions for column 080 of C 101 shall apply. 060 Rating The instructions for column 060 of C 102 shall apply. 070 Exposure class The instructions for column 070 of C 102 shall apply. 080 Sector of counterparty The instructions for column 100 of C 101 shall apply. 090 Default status The instructions for column 090 of C 102 shall apply. 100 Type of facility The instructions for column 120 of C 101 shall apply. 110 Collateralisation status The instructions for column 110 of C 102 shall apply. 120 Collateral type The instructions for column 120 of C 102 shall apply. 130 Counterparty The instructions for column 130 of C 102 shall apply. 140 Size of counterparty The instructions for column 140 of C 102 shall apply. 150 NACE code The instructions for column 150 of C 102 shall apply. 160 Type of exposure The instructions for column 110 of C 101 shall apply. 170 Size of exposure The instructions for column 170 of C 102 shall apply. 180 Indexed loan-to-value range The instructions for column 180 of C 102 shall apply. 190 Balance sheet recognition The instructions for column 190 of C 102 shall apply.’ ( 1 ) 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 ). ( 2 ) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 ( OJ L 176, 27.6.2013, p. 1 ). ( 3 ) Commission Recommendation 2003/361/EC of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises ( OJ L 124, 20.5.2003, p. 36 ). ( 4 ) Commission Delegated Regulation (EU) 2021/598 of 14 December 2020 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for assigning risk weights to specialised lending exposures ( OJ L 127, 14.4.2021, p. 1 ).