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. |