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. |