PART I: GENERAL INSTRUCTIONS
(1)
Data shall be submitted only for those counterparties where an actual exposure or valid rating exists.
(2)
Data shall be submitted only for those exposures and hypothetical transactions where an internal model has been approved.
(3)
The following shall apply to Part II:
(a)
for the absolute values, the sum of the values shall be reported;
(b)
for the percentage values, the weighted average, using the exposure at default ("EAD") as weight, shall be reported;
(c)
as an exception to point (b), when calculating the conversion factor ("CCF"), the weight used shall be the "original exposure", i.e. the amount to which a CCF is applied in order to obtain the EAD, after taking into account credit risk mitigation ("CRM") techniques with substitution effects on the exposure (column 090 in templates 101, 102 and 103).
PART II: TEMPLATE RELATED INSTRUCTIONS
C 101 — Details on exposures in Low Default Portfolios by counterparty
| 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: |
| 030 | Regulatory approach | The approach used for calculating own funds requirements that shall be reported shall be one of the following: | |
| 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: 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: | |
| 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. |
C 102 — Details on exposures in Low Default Portfolios
(4)
An institution shall complete the columns below in accordance with the following rules:
(a)
if the institution has no IRB exposure for the portfolio, the EAD shall be left blank;
(b)
the PD shall be filled in for the entire rating scale;
(c)
if the institution has no IRB exposure for a given rating/segment, the EAD shall be 0 and the other columns shall be blank (except the PD for the rating scale).
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Portfolio ID | Column 010 of template 102 of Annex I | The code assigned by the EBA to each portfolio 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: |
| 030 | Regulatory approach | The approach used for calculating own funds requirements that shall be reported shall be one of the following: | |
| 040 | Number of obligors | Column 300 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The number of obligors shall be reported. |
| 050 | 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. This information shall only be reported for portfolios defined in Annex I that consist of exposures to a single rating grade, otherwise this cell shall be left blank. | |
| 060 | PD | Column 010 of table 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The PD assigned to the obligor grade or pool to 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 110) shall be used for the calculation of the expo-sure-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: 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: | |
| 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 | 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 reported. |
| 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 | 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 held and included in each portfolio shall be reported. |
| 140 | Maturity | Column 250 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The exposure-weighted maturity shall be reported. It shall be expressed in number of days. |
| 150 | Expected Loss | Column 280 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The expected loss shall be reported. |
| 160 | Provisions non-performing exposures | Columns 050 and 060 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The specific credit risk adjustments for non-performing exposures shall be reported. |
| 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. |
| 180 | RWA Standardised | Row 900 of template 4 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported. |
C 103 — Details on exposures in High Default Portfolio
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Portfolio ID | Column 010 of template 103 of Annex I | The code assigned by the EBA to each portfolio 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: |
| 030 | Regulatory approach | The regulatory approach used for calculating own funds requirements that shall be reported shall be one of the following: | |
| 040 | Number of obligors | Column 300 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The number of obligors shall be reported. |
| 050 | Rating | 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. This information shall only be reported for portfolios defined in Annex I that consist of exposures to a single rating grade, otherwise this cell shall be left blank. | |
| 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 to 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 110) 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: 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 shall be one of the following: | |
| 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 conversion factor 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 | 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 reported. |
| 120 | Collateral value | Column 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 | 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 exposure-weighted regulatory LGD applied by the institution to the exposures to each portfolio shall be reported. |
| 140 | Maturity | Column 250 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The exposure-weighted maturity shall be reported. It shall be expressed in number of days. |
| 150 | Expected Loss | Column 280 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The expected loss shall be reported. |
| 160 | Provisions non-performing exposures | Columns 050 and 060 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The specific credit risk adjustments for non-performing exposures shall be reported. |
| 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. |
| 180 | RWA Standardised | Row 900 of template 4 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported. |
| 190 | Default rate latest year | Columns 010, 030 and 040 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The default rate for the latest year shall be reported. The default rate is defined as the observed new defaults for the last year (column 040 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014) divided by the amount of the non-defaulted assets existing 1 year before the reference date (the difference between column 010 and column 030 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014). |
| 200 | Default rate past 5 years | Columns 010, 030 and 040 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The exposure-weighted average of the default rates observed in the last 5 years shall be reported. For the definition of default rate see column 190. If the institution is not able to calculate a default rate for the past 5 years it shall develop a proxy using its longest history up to 5 years and provide the documentation detailing the calculation to its competent authority. |
| 210 | Loss rate latest year | Columns 040 and 070 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 and Commission Delegated Regulation (EU) No 183/2014 | The loss rate observed in the latest year shall be reported. The loss rate is defined as the sum of credit risk adjustments and write-offs for the exposures that were classified as "defaulted exposures" in the latest year (column 070 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014) divided by the amount of the observed new defaults in the last year (column 040 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014). |
| 220 | Loss rate past 5 years | Columns 040 and 070 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The exposure-weighted average of the loss rates observed in the last 5 years shall be reported. For the definition of loss rate see column 210. If the institution is not able to calculate a loss rate for the past 5 years it shall develop a proxy using its longest history up to 5 years and provide documentation detailing the calculation to its competent authority. |
| 230 | RWA* | Institutions shall calculate and report RWA* for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 and are identified with the following portfolio ID: The risk-weighted exposure amount, after applying the SME supporting factor, that would result from the application of PD* instead of the original PD on the rating grade level shall be reported. No compensation between rating grades shall be taken into account. PD* is the smallest PD estimate for which the one-sided binomial test (based on normal approximation of binomial distribution with confidence level of 97,5 %) would be passed. PD* = min PD* so that: With: An institution using continuous PD shall first determine the PD* for the average PD of each rating class and subsequently apply by rating class the same relative deviation between PD and PD* at counterpart level as for the average PD and PD* at rating grade level. If the prohibition from taking into account compensation between rating grades leads to a situation where, for a given rating grade, PD* is less than PD then for that rating grade the PD shall be used in the calculation of the risk-weighted exposure amount. | |
| 240 | RWA** | Institutions shall calculate and report RWA** for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 and are identified with the following portfolio ID: The risk-weighted exposure amount, after applying the SME supporting factor, that would result from the application of PD** instead of the original PD on the rating grade level shall be reported. No compensation between rating grades shall be taken into account. PD** is the smallest PD estimate for which the one-sided binomial test (based on normal approximation of binomial distribution with confidence level of 97,5 %) would be passed. The rating grade shall be the following PD** = min PD** so that: With: An institution using continuous PD shall determine first the PD** for the average PD of each rating class and subsequently apply by rating class the same relative deviation between PD and PD** at counterpart level as for the average PD and PD** at rating grade level. If the prohibition from taking into account compensation between rating grades leads to a situation where, at rating grade level, PD** is less than PD then for that rating grade the PD shall be used in the calculation of the risk-weighted exposure amount. |
C 104 — Details for hypothetical transactions in Low Default Portfolios
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Transaction ID | Column 010 of template 101 of Annex I | The code assigned by the EBA to the hypothetical transaction included in the LDP samples shall be reported. This code is a row identifier and shall be unique for each row in the table. |
| 020 | Rating | The rank of the internal rating grade of each institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %). It shall follow the numerical order 1, 2, 3 etc. | |
| 030 | PD | The PD corresponding to the internal rating grade assigned by the institution to the hypothetical transaction shall be reported. The PD shall be expressed as a value between 0 and 1. | |
| 040 | Original exposure pre conversion factors | Column 020 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 of the hypothetical transaction shall be reported. |
| 050 | CCF | Article 166(8) of Regulation (EU) No 575/2013 | The CCF applied by the institutions to the hypothetical transaction shall be reported. |
| 060 | Collateral value before haircut | The market value of the collateral before the application of the haircut shall be reported. | |
| 070 | Haircut | The conservative adjustment applied by the institution to the market value of the collateral shall be reported. | |
| 080 | Collateral value after haircut | The market value of the collateral (see column 060) after the application of the haircut (see column 070) shall be reported. | |
| 090 | EAD | Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The exposure value of the hypothetical transaction shall be reported. |
| 100 | EAD unsecured | The exposure value of an unsecured hypothetical transaction shall be reported. If the hypothetical transaction is only partly secured and if the institution splits, in accordance with a regular practice, such exposures into fully secured and unsecured parts, the exposure value of the unsecured part shall be reported. | |
| 110 | EAD secured | The exposure value of a fully secured hypothetical transaction shall be reported. If the hypothetical transaction is only partly secured and if the institution splits, in accordance with a regular practice, such exposures into fully secured and unsecured parts, the exposure value of the fully secured part(s) shall be reported. | |
| 120 | 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 institutions to the hypothetical transaction shall be reported. |
| 130 | LGD unsecured | The own estimate of LGD applied by the institution to an unsecured hypothetical transactions shall be reported. If the hypothetical transaction is only partly secured and if the institution splits, in accordance with a regular practice, such exposures into fully secured and unsecured parts, the own estimate of LGD that would be applied by the institution to the unsecured part shall be reported. | |
| 140 | LGD secured | The own estimate of LGD applied by the institution to a fully secured hypothetical transaction. If the hypothetical transaction is only partly secured and if the institution splits, in accordance with regular practice, such exposures into fully secured and unsecured parts, the own estimate of LGD that would be applied by the institution to the fully secured part(s) shall be reported. | |
| 150 | Maturity | Column 250 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The maturity applied by the institution to the hypothetical transaction shall be reported. It shall be expressed in number of days. |
| 160 | RWA | Column 260 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The risk-weighted amount calculated by the institution for the hypothetical transaction shall be reported. |
C 105.01 — Definition of internal models
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Internal model ID | The internal model ID assigned by the reporting institution shall be reported. This internal model ID is a row identifier that shall be unique for each row in the table. | |
| 020 | Model name | The model name assigned by the reporting institution shall be reported. | |
| 030 | IRBA Risk parameter | The IRBA risk parameter shall be one of the following: | |
| 040 | EAD | Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 | The aggregate exposure value of the transactions included in each portfolio (see column 060) treated with the specific model shall be reported. |
| 050 | EAD weighted average default rate for calibration | The EAD-weighted average of the annual default rates used in the calibration of the PD models shall be reported. | |
| 060 | Case weighted average default rate for calibration | The case-weighted average of the annual default rates used in the calibration of the PD models shall be reported. | |
| 070 | Long-run PD | The central tendency used by the institution in the calibration of the models that incorporates any prudent adjustment to the case-weighted average of the annual default rates used in the calibration of the PD models shall be reported. | |
| 080 | Cure rate defaulted asset | The cure rate defaulted asset is the percentage of defaulted assets outstanding that returns in "non-defaulted" status over a 12 months period. An institution that does not calculate cure rates for a given model shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. | |
| 090 | Recovery rate of the foreclosed assets for not cured defaults | The case-weighted average recovery rate of the foreclosed assets for not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. An institution that does not have a specific recovery rate of the foreclosed assets for no cured defaults shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. | |
| 100 | Recovery period of the foreclosed assets for not cured defaults | The case-weighted average length of the recovery period (from the start of the default status to the completion date of the recovery procedures) for the non-cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. It shall be expressed in number of days. An institution that does not have a specific recovery period length of the foreclosed assets for no cured defaults shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. | |
| 110 | Joint decision | Article 20(2)(a) of Regulation (EU) No 575/2013 | The institution shall report whether or not a joint decision on prudential requirements does exist between the consolidating and the other (host) competent authority regarding the permission to use the IRB approach for the calculation of the prudential requirements for the exposures held by the subsidiaries of the institutions in the reported benchmarking portfolios. |
| 120 | Consolidating supervisor | Article 20 of Regulation (EU) No 575/2013 | The country ISO code of the country of origin of the competent authority responsible for the consolidated supervision of the institution using an IRB approach shall be reported. |
C 105.02 — Mapping of internal models to portfolios
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Portfolio ID | Column 010 of templates 102 and 103 | The code assigned by the EBA to the portfolio for which the institution reports the results of the calculation shall be reported. |
| 020 | Internal model ID | Column 010 of template 105.01 | The internal model ID assigned by the reporting institution shall be reported. |
C 105.03 — Mapping of internal models to countries
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Internal model ID | Column 010 of template 105.01 | The internal model ID assigned by the reporting institution shall be reported. Where one internal model ID is associated with several countries, separate rows shall be reported for each combination of "Internal model ID" and "Host supervisor". Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table. |
| 020 | Host supervisor | Article 20 of Regulation (EU) No 575/2013 | The country ISO code of the country of origin of the competent authority responsible for the supervision of the subsidiary on an individual basis for each institution where the IRB exposures reported for each benchmarking portfolio are booked shall be reported (irrespective of the existence of any permission granted by the host supervisor to apply an IRB approach). |