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Commission Implementing Regulation (EU) 2016/2070Dangos y teitl llawn

Commission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance)

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EUR 2016 No. 2070 may be subject to amendment by EU Exit Instruments made by both the Prudential Regulation Authority and the Financial Conduct Authority under powers set out in The Financial Regulators’ Powers (Technical Standards etc.) (Amendment etc.) (EU Exit) Regulations 2018 (S.I. 2018/1115), regs. 2, 3, Sch. Pt. 4. These amendments are not currently available on legislation.gov.uk. Details of relevant amending instruments can be found on their website/s.

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Column Label Legal reference Instructions
010 Counterparty Code Column 010 of template 101 of Annex I The counterparty code assigned by the European Banking Authority ( ‘ EBA ’ ) to the counterparty included in the low default portfolio ( ‘ LDP ’ ) samples portfolios shall be reported. This code is a row identifier and shall be unique for each row in the table.
020 Exposure class Paragraph 78 of Annex II to Implementing Regulation (EU) No 680/2014

Each portfolio shall be assigned to one of the following exposure classes:

(a)

Central banks and central governments;

(b)

Institutions;

(c)

Corporate – SME;

(d)

Corporate – Specialised lending;

(e)

Corporate – Other;

(f)

Retail – Secured by real estate SME;

(g)

Retail – Secured by real estate non-SME;

(h)

Retail – Qualifying revolving;

(i)

Retail – Other SME;

(j)

Retail – Other non – SME;

(k)

Not applicable

‘ Not applicable ’ shall be used where none of the answers in the list is correct which is the case when a counterparty is classified in multiple asset classes, without one being clearly predominant

040 Rating The rank of the internal rating grade applied by the institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc.
050 Date of most recent rating of counterparty The date of the most recent rating of the counterparty shall be reported.
060 PD Column 010 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014

The PD assigned to the obligor grade or pool that shall be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. The PD shall be the PD used in the calculation of the RWA, excluding the effect of potential measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013. The PD shall be expressed as a value between 0 and 1.

All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.

070 Default status

The default status to be reported shall be one of the following:

(a)

Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %;

(b)

Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %.

080 Original exposure pre-conversion factors Column 020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.
090 Exposure after CRM substitution effects pre-conversion factors Column 090 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The amount to which a conversion factor ( ‘ CCF ’ ) is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure.
100 CCF Second subparagraph of Article 166(8) of Regulation (EU) No 575/2013 The weighted average of the CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD. Where the institution is allowed to apply own estimates of CCFs, those shall be reported, otherwise the regulatory CCFs shall be reported.
110 EAD Column 110 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The exposure value shall be left blank where the institution has no IRB exposure for a given counterparty.
120 Collateral value Columns 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The market value of the collateral shall be reported.
130 Hyp LGD senior unsecured without negative pledge Article 161 of Regulation (EU) No 575/2013

The hypothetical own estimates of loss given default ( ‘ LGD ’ ) that would be applied by the institution to the counterparty shall be reported in accordance with the following:

  • The scope of exposures is the same as for the LGD value reported in column 150;

  • The exposure is senior and unsecured;

  • No negative pledge clause is in place.

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

140 Hyp LGD senior unsecured with negative pledge Article 161 of Regulation (EU) No 575/2013

The hypothetical own estimates of LGD that would be applied by the institution to the counterparty shall be reported in accordance with the following:

  • The scope of exposures is the same as for the LGD value reported in column 150;

  • The exposure is senior and unsecured;

  • A negative pledge clause is in place.

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

150 LGD Columns 230 and 240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The EAD-weighted own estimates of LGD or the EAD-weighted regulatory LGD applied by the institution to the exposures to each counterparty shall be reported.
160 Maturity Column 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The EAD-weighted maturity for the exposures to each counterparty shall be reported. It shall be expressed in number of days.
170 RWA Column 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the small- and medium-sized enterprise ( ‘ SME ’ ) supporting factor shall be reported.]

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