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Technical Standards
2016
Commission Implementing Regulation (EU) 2016/2070
ANNEX II SUPERVISORY BENCHMARKING PORTFOLIOS

You are viewing the version of the document as on 2021-01-01.

ANNEX II SUPERVISORY BENCHMARKING PORTFOLIOS

01/01/2021

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.