Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

ANNEX II SUPERVISORY BENCHMARKING PORTFOLIOS

DEFINITION OF THE SUPERVISORY BENCHMARKING PORTFOLIOS

C 101 — Definition of Low Default Portfolio counterparties

Column

Label

Legal reference

Instructions

010

Counterparty code

The code assigned by the EBA to each legal entity included in the 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

The ISO Code of the country of residence or the macro region of residence of the counterparty. The macro-regions are:

090

Portfolio name

Each group (sample) of LDP counterparties is assigned one of the following unique names:

100

Sector of counterparty

Each counterparty is assigned to one of the following FINREP-based economic sector classes:

110

Type of exposures

Rows 020 and 030 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014

The type of exposures is one of the following:

120

Type of facility

The type of facility is one of the following:

C 102 — Definition of Low Default Portfolios

Column

Label

Legal reference

Instructions

010

Portfolio ID

The unique ID assigned to the portfolio by the EBA.

020

Portfolio name

Each portfolio is assigned one of the following unique names:

030

Geographical area

The ISO Code of the country of residence or the macro region of residence of the counterparty. The macro regions are:

040

Exposure class

Paragraph 78 of Annex II of Commission Implementing Regulation (EU) No 680/2014

Each portfolio is assigned to one of the following exposure classes:

050

Default status

The default status is one of the following:

060

Rating

The rank of the internal rating applied by the institution from lowest risk to highest risk excluding defaults with PD corresponding to 100 %. It takes values from Rating 1, Rating 2 etc. Where the rating is not used to define a portfolio in Annex I, "Not applicable" is used instead.

070

Type of facility

The type of facility is one of the following:

080

Collateralisation status

Columns 150 to 210 of template 8.1 of Commission Implementing Regulation (EU) No 680/2014

The collateralisation status is one of the following:

090

NACE code

This column corresponds to the NACE codes (Statistical Classification of Economic Activities of the EU) used for "Non-financial corporations" with a one level detail (e.g. "F — Construction") and for "Other financial corporations" with a two level detail (e.g. "K65 — Insurance, reinsurance and pension funding, except compulsory social security").

100

Sector of counterparty

Each counterparty is assigned to one of the following FINREP-based economic sector classes:

110

Size of counterparty

The total annual sales for the consolidated group of which the counterparty is a part. Each counterparty is assigned to one of the following categories:

The total annual sales are calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC.

120

Collateral type

Columns 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014

The collateral type is one of the following:

130

Type of exposure

Rows 020 and 030 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014

The type of exposure is one of the following:

140

Size of exposure

Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014

The size of the exposure expressed in terms of exposure value (i.e. EAD). Each exposure is assigned to one of the following categories:

C 103 — Definition of High Default Portfolios

Column

Legal reference

Instructions

010

Portfolio ID

The unique ID assigned by the EBA to each portfolio.

020

Portfolio name

Each portfolio is assigned one of the following names by the EBA:

030

Geographical area

The ISO Code of the country of residence or the macro region of residence of the counterparty. For the "Retail — secured by real estate SME" and "Retail — secured by real estate non SME" portfolios, it is the location of the collateral.

The macro regions are:

040

Exposure class

Paragraph 78 of Annex II of Commission Implementing Regulation (EU) No 680/2014

Each portfolio is assigned to one or several of the following exposure classes:

050

Type of risk

The type of risk is one of the following:

060

Default status

The default status is one of the following:

070

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 %. It takes values from Rating 1 to Rating 30 or Not applicable. Where the rating is not used to define a portfolio in Annex I, "Not applicable" is used instead.

080

Type of facility

The type of facility is one of the following:

090

Collateralisation status

Column 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014

The collateralisation status is one of the following:

100

NACE code

This column correspond to the NACE codes (Statistical Classification of Economic Activities of the EU) used for "Non-financial corporations" with a one level detail (e.g. "F — Construction") and for "Other financial corporations" with a two level detail (e.g. "K65 — Insurance, reinsurance and pension funding, except compulsory social security").

110

Sector of counterparty

Each counterparty is assigned to one of the following FINREP-based economic sector classes:

120

Size of counterparty

The total annual sales for the consolidated group of which the counterparty is a part. Each counterparty is assigned to one of the following categories:

The total annual sales are calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC.

130

Collateral type

The collateral type is one of the following:

140

Type of exposure

Rows 020 and 030 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014

Each exposure is assigned to one of the following types:

150

Size of exposure

Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014

The size of the exposure expressed in terms of exposure value (i.e. EAD). Each exposure is assigned to one of the following categories:

160

Indexed loan-to-value range

The indexed loan-to-value ("ILTV") range is the ratio between the current loan amount and the current value of the property.

The indexed loan-to-value range shall be calculated in a prudent manner and at least comply with the following features:

Institutions are requested to document their calculations and provide the documents to their competent authority upon request.

The ILTV categories are the following:

C 104 — Definition of hypothetical transactions in Low Default Portfolios

Column

Label

Legal reference

Instructions

010

Transaction ID

The unique ID assigned by the EBA to each transaction.

020

Transaction name

The name assigned by the EBA to each transaction.

030

Type of facility

The type of facility is one of the following:

040

Facility

The synthetic description of the hypothetical transaction.

050

Geographical area

The ISO Code of the country of residence or the macro region of residence of the counterparty. The macro regions are:

060

Portfolio name

Each portfolio is assigned one of the following unique names:

070

Portfolio ID

The unique ID assigned by the EBA to each portfolio.

080

Exposure class

Paragraph 78 of Annex II of Commission Implementing Regulation (EU) No 680/2014

Each portfolio is assigned to one of the following exposure classes:

090

NACE code

This column corresponds to the NACE codes (Statistical Classification of Economic Activities of the EU) used for "Non-financial corporations" with a one level detail (e.g. "F — Construction") and for "Other financial corporations" with a two level detail (e.g. "K65 — Insurance, reinsurance and pension funding, except compulsory social security").

100

Type of exposure

Rows 020 and 030 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014

Each exposure is assigned to one of the following types:

110

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 %. It takes values from Rating 1 to Rating 30. Where the rating is not used to define a portfolio in Annex I, "Not applicable" is used instead.

120

Collateralisation status

Columns 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014

The collateralisation status is one of the following:

130

Collateral type

Columns 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014

The collateral type is one of the following:

140

Collateral

The description of the collateral of the hypothetical transactions.

150

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.

160

Size of counterparty

The total annual sales for the consolidated group of which the counterparty is a part. Each counterparty is assigned to one of the following categories:

The total annual sales are calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC.