Commission Implementing Regulation (EU) 2016/2070Show full title

C 101 — Details on exposures in Low Default Portfolios by counterparty

a ‘Not applicable’ shall be used when none of the answers in the list is correct (e.g. for column 020, it will mean that the counterparty is classified in multiple asset classes, without one being clearly predominant).
Column	Label	Legal reference	Instructions
010	Counterparty Code	Column 010 of template 101 of Annex I	The counterparty code assigned by the EBA to the counterparty included in the 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 of Commission 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 applicablea.
030	Regulatory approach		The approach used for calculating own funds requirements that shall be reported shall be one of the following: (a) Foundation IRB approach: if exposures under the Foundation IRB approach represent 50 % or more of the IRB exposures to the counterparty; (b) Advanced IRB approach: if exposures under the Advanced IRB approach represent 50 % or more of the IRB exposures to the counterparty; (c) Specialised lending slotting criteria: if exposures under the slotting criteria represent 50 % or more of the IRB exposures to the counterparty; (d) IRB approach: if none of the conditions in points (a) to (c) is met and the institution applies IRB approaches to the exposures to the counterparty; (e) Not applicable.
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 of Commission 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. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 120) shall be used for the calculation of the exposure-weighted average PD. The PD shall be expressed as a value between 0 and 1. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale shall be used. Otherwise, the different rating systems shall be merged and ordered according to the following criteria: (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 the institution uses a large number of grades or pools, it may agree to report with the competent authorities to report a reduced number of grades or pools. The institution shall contact its competent authority in advance if it wants to report a different number of grades in comparison with the internal number of grades.
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 of Commission Implementing Regulation (EU) No 680/2014	The original exposure value before taking into account any value adjustments, specific credit risk adjustments, 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 of Commission Implementing Regulation (EU) No 680/2014	The amount to which a 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	For the exposures where own estimates of CCFs are applied, the weighted average 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.
110	EAD	Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014	The exposure value shall be left blank if the institution has no IRB exposure for a given counterparty.
120	Collateral value	Columns 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014	The market value of the collateral shall be reported.
130	Hyp LGD senior unsecured without negative pledge	Article 161 of Regulation (EU) No 575/2013	The hypothetical own estimates of LGD that would be applied by the institution to the counterparty for senior unsecured exposures without a negative pledge clause shall be reported. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party.
140	Hyp LGD senior unsecured with negative pledge	Article 161 of Regulation (EU) No 575/2013	The hypothetical own estimated LGD that would be applied by the institution to the counterparty for senior unsecured exposures with a negative pledge clause shall be reported. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party.
150	LGD	Column 230 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014	The exposure-weighted own estimates of LGD or the exposure-weighted regulatory LGD applied by the institution to the exposures to each counterparty shall be reported.
160	Maturity	Column 250 of template8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014	The exposure-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 of Commission Implementing Regulation (EU) No 680/2014	The risk-weighted exposure amount after applying the SME supporting factor shall be reported.