Column

Label

Legal reference

Instructions

0010

Counterparty code

The code assigned by EBA to each legal entity included in the low default portfolio (‘LDP’) sample.

0020

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.

0030

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.

0040

Commercial register code

The code assigned to a counterparty by the public commercial register of the country where that counterparty is registered.

0050

ISIN code

The ‘International Securities Identification Number’ used to identify uniquely securities issued by a counterparty.

0060

Bloomberg ticker

The string of characters or numbers used to identify a company or entity uniquely in Bloomberg.

0070

Name

The name of the legal entity included in the LDP samples.

0080

Geographical area

The country of residence (ISO Code or ‘Other countries’) of the counterparty (0010).

0090

Portfolio name

The sample to which the counterparty (0010) is assigned. It is one of the following:

(a)  sovereign sample;

(b)  institutions sample;

(c)  large corporate sample.

0100

Sector of counterparty

Annex VI to Commission Implementing Regulation (EU) 2021/451 (*1)

The relevant economic sector to which the counterparty (0010) is assigned. It is one of the following:

(a)  central banks;

(b)  general governments;

(c)  credit institutions;

(d)  other financial corporations;

(e)  non-financial corporations;

(f)  households;

(g)  not applicable.

The assignment of counterparties to sectors is made in accordance with the instructions in Section 1, point 42 of Annex V to Implementing Regulation (EU) No 451/2021 for all counterparties except for the “European Investment Bank”, which shall be assigned to (b) General Governments due to its treatment as multilateral development bank under Article 117(2), point (j), of Regulation (EU) No 575/2013.

0110

Type of exposure

Only exposures other than specialised lending shall be reported in template C 101.00 of Annex III.

0120

Type of facility

Not applicable: exposures shall be reported in template C 101.00 of Annex III independently of the type of facility.

0130

Type of risk

Exposures shall be split into parts and assigned to portfolios based on the type of risk:

(a)  counterparty credit risk;

(b)  credit risk and free deliveries;

(c)  credit risk, counterparty credit risk and free deliveries.

0140

Regulatory approach

Exposures to counterparties shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWA:

(a)  foundation IRB approach;

(b)  advanced IRB approach;

(c)  standardised approach.

Column

Label

Legal reference

Instructions

0010

Portfolio ID

The unique ID assigned to the portfolio by EBA.

0020

Portfolio name

Each portfolio is assigned to one of the following portfolio names:

(a)  sovereign;

(b)  institutions;

(c)  large corporates;

(d)  specialised lending exposures, which comprises all the exposures defined under Article 147(8) of Regulation (EU) No 575/2013.

0030

Type of risk

The instructions provided for column 0130 of table C 101.00 shall apply.

0040

Regulatory approach

Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWA:

(a)  foundation IRB approach;

(b)  advanced IRB approach;

(c)  specialised lending slotting criteria.

0050

Geographical area

Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or ‘Other countries’) of the obligors.

0060

Rating

Article 153(5) of Regulation (EU) No 575/2013

Template C 08.02 of Annex I to Implementing Regulation (EU) 2021/451

Exposures shall be split into parts and assigned to portfolios based on the rank of the internal rating applied by the institution from lowest risk to highest risk excluding defaults with a probability of default (‘PD’) corresponding to 100 %. The ranking takes values from Rating 1, Rating 2 etc.

Where the reporting institution applies a unique rating system or is able to report in accordance to an internal master scale, that internal master scale shall be used. In all other cases, the different rating systems shall be merged and ordered according to the following instructions:

(a)  obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher;

(b)  where a large number of grades or pools is used, a reduced number of grades or pools to be reported may be agreed with the competent authorities.

For specialised lending exposures risk weighted in accordance to the approach with Article 153(5) of Regulation (EU) No 575/2013, the rating split shall be based on the supervisory risk weight category described in Table 1 of that Article, as follows:

(a)  rating 1: category 1 with remaining maturity less than 2,5 years;

(b)  rating 2: category 2 with remaining maturity less than 2,5 years;

(c)  rating 3: category 3 with remaining maturity less than 2,5 years;

(d)  rating 4: category 4 with remaining maturity less than 2,5 years;

(e)  rating 5: category 1 with remaining maturity equal or more than 2,5 years;

(f)  rating 6: category 2 with remaining maturity equal or more than 2,5 years;

(g)  rating 7: category 3 with remaining maturity equal or more than 2,5 years;

(h)  rating 8: category 4 with remaining maturity equal or more than 2,5 years.

The same rating scale as that used for reporting in template C 08.02 of Annex I to Implementing Regulation (EU) No 451/2021 shall be used. Where the institution uses a group master scale, that master scale shall be used.

0070

Exposure class

Point 76 of Annex II to Implementing Regulation (EU) 2021/451

Exposures shall be split into parts and assigned to portfolios based on the exposure class:

(a)  central governments and central banks;

(b)  institutions;

(c)  For corporates exposures in Low Default Portfolios:

(c.1)  corporates – other;

(c.2)  corporates – specialised lending exposures;

(e)  not applicable.

In accordance with Article 147(4), point (a), of Regulation (EU) No 575/2013 exposures to regional governments and local authorities which are not treated as exposures to central governments shall be assigned to the exposure class ‘exposures to institutions’.

The exposure classes "equity exposures" and "items representing securitisation positions" referred to in article 147(2), points (e) and (f), of Regulation (EU) No 575/2013, shall not be reported.

0080

Sector of counterparty

Annex VI to Implementing Regulation (EU) 2021/451

Exposures shall be split into parts and assigned to portfolios based on the relevant economic sector:

(a)  central banks;

(b)  general governments;

(c)  credit institutions;

(d)  other financial corporations;

(e)  non-financial corporations;

(f)  households;

(g)  not applicable.

The assignment of exposures to sectors is made in accordance with the instructions in Section 1, point 42of Annex V to Implementing Regulation (EU) No 451/2021.

0090

Default status

Exposures shall be split into parts and assigned to portfolios based on the default status in accordance with Article 178 of Regulation (EU) No 57/2013:

(a)  defaulted;

(b)  non-defaulted;

(c)  not applicable.

0100

Type of facility

Article 166(8) and (10) of Regulation (EU) No 575/2013

Exposures shall be split into parts and assigned to portfolios based on the type of facility. Where more than one facility type value applies to the credit product, the exposure value shall be split on the basis of the facility type values.

The type of facility is one of the following:

(a)  full risk (100 %);

(b)  note issuance facility and revolving underwriting facility (Medium risk);

(c)  issued warranties and indemnities, guarantees, irrevocable stand-by letters of credit, documentary credit and other medium risk off-balance sheet items (Medium risk),including tender, performance, customs and tax bonds, guarantees, irrevocable standby letters of credit not having the character of credit substitutes and other medium risk off-balance sheet items;

(d)  undrawn committed revolving credit facility (Medium- low risk) including revolving lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness;

(e)  undrawn committed term credit facility (Medium-low risk) including term lending commitments that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness;

(f)  undrawn committed other credit facility (Medium-low risk) including lending commitments, other than revolving and term, that are undrawn and that may not be cancelled unconditionally at any time without notice or that do not provide for automatic cancellation due to a deterioration in a borrower’s creditworthiness;

(g)  issued short-term letters of credit and other medium-low risk off-balance sheet items (Medium-low risk);

(h)  undrawn uncommitted credit lines (Low risk) including lending facilities that are undrawn and that may be cancelled unconditionally at any time without notice or that do provide for automatic cancellation due to a deterioration in borrower’s creditworthiness;

(i)  undrawn purchase commitments for revolving purchased receivables and other low-risk off-balance sheet items (Low risk) including commitments that are able to be unconditionally cancelled or that effectively provide for automatic cancellation at any time by the institution without prior notice;

(j)  not applicable.

0110

Collateralisation status

Template C 08.01, columns 150 to 220, of Annex I to Implementing Regulation (EU) 2021/451

Exposures shall be split into parts and assigned to portfolios based on the collateralisation status of each part:

(a)  exposures with credit protection;

(b)  exposures without credit protection;

(c)  not applicable.

The part of the exposure with credit protection shall be determined by the value of the collateral after haircuts applied in accordance with Part Three, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013 and, where applicable, institutions’ internal guidelines.

0120

Collateral type

Template C 08.01, columns 0040 to 0060 and 0150 to 0220, of Annex I to Implementing Regulation (EU) 2021/451

Exposures shall be split into parts and assigned to portfolios based on the collateral type:

(a)  eligible financial collateral (template C 08.01, column 0180);

(b)  other eligible collateral: Receivables (template C 08.01, column 0210);

(c)  other eligible collateral: Residential real estate (template C 08.01 column 0190);

(d)  other eligible collateral: Commercial real estate (template C 08.01, column 0190);

(e)  other eligible collateral: Physical collateral (template C 08.01, column 0200);

(f)  other funded credit protection (template C 08.01, columns 0060 and 0170);

(g)  credit derivatives (template C 08.01, columns 0050 and 0160);

(h)  guarantees (template C 08.01, columns 0040 and 0150);

(i)  other unfunded credit protection: exposures subject to double default (template C 08.01, column 0220);

(j)  not applicable.

The part of the exposure secured by a specific type of collateral shall be determined by the value of that specific type of the collateral after the required haircuts are applied in accordance with Part Three, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013 and, where applicable, institutions’ internal guidelines.

0130

Counterparty

Exposures shall be split into parts and assigned to portfolios based on the type of counterparty:

(a)  public sector entities (Part Three, Title II, Chapter 4, Section 4, of Regulation (EU) No 575/2013);

(b)  counterparties other than public sector entities;

(c)  not applicable.

0140

Size of counterparty

Exposures shall be split into parts and assigned to portfolios based on the size of the counterparty which shall be determined based on the total annual turnover for the consolidated group of which the counterparty is a part:

(a)  <=EUR 50 million;

(b)  >EUR 50 million and <=EUR 200 million;

(c)  >EUR 200 million;

(d)  >EUR 200 million and <=EUR 500 million;

(e)  > EUR 500 million;

(f)  not applicable.

The total annual turnover shall be calculated in accordance with the Annex, Article 4, to Commission Recommendation 2003/361/EC (*1) and shall refer to the year ending one year before the reporting reference date.

0150

NACE code

Exposures shall be split into parts and assigned to portfolios based on the economic activity of the counterparty determined by the NACE Rev. 2 set out in Regulation (EC) No 1893/2006 of the European Parliament and of the Council (*2):

(a)  NACE 1: C Manufacturing;

(b)  NACE 2: G Wholesale and retail trade;

(c)  NACE 3: F Construction;

(d)  NACE 4: H Transport and storage;

(e)  NACE 5: D Electricity, gas, steam and air conditioning supply;

(f)  NACE 6: A Agriculture, forestry and fishing;

(g)  NACE 7: L Real estate activities;

(h)  NACE 8: All other exposures than those included in points (a) to (g) above;

(i)  not applicable.

0160

Type of exposure

Article 1 of Commission Delegated Regulation (EU) 2021/598 (*3)

Exposures shall be split into parts and assigned to portfolios based on the type of exposure:

(a)  not applicable;

(b)  specialised lending exposures – project finance;

(c)  specialised lending exposures – income-producing real estate and high-volatility commercial real estate;

(d)  specialised lending exposures – object finance;

(e)  specialised lending exposures – commodities finance;

(f)  eligible covered bonds that meet the requirements of Article 129(1) of Regulation (EU) No 575/2013;

(g)  other exposures than those referred to in (b) to point (f).

0170

Size of exposure

Column 0110 of template C 08.01, of Annex I to Implementing Regulation (EU) 2021/451

Exposures shall be split into parts and assigned to portfolios based on the size of the exposure expressed in terms of exposure value (i.e. exposure at default (‘EAD’)):

(a)  Not applicable.

0180

Indexed loan-to-value range

Exposures shall be split into parts and assigned to portfolios based on the indexed loan-to-value (‘ILTV’) range which shall be the ratio between the current loan amount and the current value of the property:

(a)  bucket 1:<=55 % if the property is a residential immovable property;

<=60 % if the property is a commercial immovable property;

(b)  bucket 2: > 55 % <=70 % if the property is a residential immovable property;

> 60 % <=70 % if the property is a commercial immovable property;

(c)  bucket 3: > 70 % <=80 %;

(d)  bucket 4: > 80 % <=90 %;

(e)  bucket 5: > 90 % <= 100 %;

(f)  bucket 6: > 100 % <= 110 %;

(g)  bucket 7: > 110 %;

(h)  not applicable.

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

(a)  total amount of the loan: the outstanding amount of the mortgage loan plus any undrawn committed amount of the mortgage loan (after applying the corresponding credit conversion factor). The loan amount shall be calculated before taking into consideration any specific credit risk adjustments and shall include all other loans (including loans known to the institution that are provided by other financial institutions that are known to the institution) secured with liens of equal or higher ranking on the same residential property with respect to the lien securing the loan. Where there is insufficient information for ascertaining the ranking of the other liens, the institution shall assume that those liens rank pari passu with the lien securing the loan.

(b)  value of the property: the value of the property is the latest independent valuation of the property and converted to a current value using a property price index. The valuation shall be performed in an independent way and by qualified appraisers. Qualifying requirements and minimum appraisal standards shall comply with the following requirements:

(i)  there is an individual assessment of the property and the property is valued in a prudently conservative manner (e.g. excluding expectations of future price appreciations and taking into account any potential for the current property price to be above a level that is sustainable over the life of the loan, for example due to a property price bubble);

(ii)  where a market value can be determined, the valuation is not higher than the market value;

(iii)  the valuation is supported by adequate appraisal documentation.

0190

Balance sheet recognition

Exposures shall be split into parts and assigned to portfolios based on the balance sheet recognition:

(a)  on-balance sheet items;

(b)  off-balance sheet items;

(c)  other;

(d)  bot applicable.

Exposures representing securities financing transactions, derivatives and long settlement transactions or contractual cross product netting and which are subject to counterparty credit risk shall be assigned to point (c). Those exposures shall not be reported in points (a) or (b).

Column

Legal reference

Instructions

0010

Portfolio ID

The unique ID assigned by EBA to each portfolio.

0020

Portfolio name

Each portfolio is assigned to one of the following portfolio names:

1.0  CORP

1.1  CORP Defaulted

1.2  CORP Non-Defaulted

2.0  SMEC

2.1  SMEC Defaulted

2.2  SMEC Non-Defaulted

3.0  Other retail SME

3.1  Other retail SME Defaulted

3.2  Other retail SME Non-Defaulted

4.0  Mortgages non SME

4.1  Mortgages non SME Defaulted

4.2  Mortgages non SME Non-defaulted

5.0.  Mortgages SME

5.1  Mortgages SME Defaulted

5.2  Mortgages SME Non-defaulted

6.0  Other retail non-SME

6.1  Other retail non-SME Defaulted

6.2  Other retail non-SME Non-defaulted

7.0  QRRE

7.1  QRRE Defaulted

7.2  QRRE Non-defaulted

0030

Type of risk

The instructions provided for column 0130 of table C 101.00 shall apply.

0040

Regulatory approach

Exposures shall be split into parts and assigned to portfolios based on the regulatory approach used for the calculation of RWA:

(a)  foundation IRB approach;

(b)  advanced IRB approach.

0050

Geographical area

Exposures shall be split into parts and assigned to portfolios based on the country of residence (ISO Code or ‘Other countries’) of the obligors.

For the ‘Retail – SME – secured by real estate’ and ‘Retail – Non-SME – secured by real estate’ portfolios, exposures shall be split into parts based on the location of the collateral.

0060

Rating

The instructions provided for column 0060 of table C 102.00 shall apply.

0070

Exposure class

Exposures shall be split into parts and assigned to portfolios based on the exposure class:

(d)  For corporate exposures in High Default Portfolios:

(d.1)  corporates – SME;

(d.2)  corporates – no SME;

(e)  For retail exposures:

(e.1)  retail – SME;

(e.1.1)  retail – SME – Secured by real estate;

(e.1.2)  retail – SME – Other;

(e.2)  Retail – No SME;

(e.2.1)  retail – No SME – Other;

(e.2.2)  retail – No SME – Secured by real estate;

(e 3.3)  Retail – Qualifying revolving;

(f)  not applicable.

In accordance with Article 147(4), point (a), of Regulation (EU) No 575/2013 exposures to regional governments and local authorities which are not treated as exposures to central governments shall be assigned to the exposure class ‘exposures to institutions’.

The exposure classes "equity exposures" and "items representing securitisation positions" referred to in Article 147(2), points (e) and (f), of Regulation (EU) No 575/2013, shall not be reported.

0080

Sector of counterparty

The instructions provided for column 0100 of table C 102.00 shall apply.

0090

Default status

The instructions provided for column 0090 of table C 102.00 shall apply.

0100

Type of facility

The instructions provided for column 0120 of table C 102.00 shall apply.

0110

Collateralisation status

The instructions provided for column 0110 of table C 102.00 shall apply.

0120

Collateral type

The instructions provided for column 0120 of table C 102.00 shall apply.

0130

Counterparty

The instructions provided for column 0130 of table C 102.00 shall apply.

0140

Size of counterparty

The instructions provided for column 0140 of table C 102.00 shall apply.

0150

NACE code

The instructions provided for column 0150 of table C 102.00 shall apply.

0160

Type of exposure

The instructions provided for column 0110 of table C 102.00 shall apply.

0170

Size of exposure

The instructions provided for column 0170 of table C 102.00 shall apply.

0180

Indexed loan-to-value range

The instructions provided for column 0180 of table C 102.00 shall apply

0190

Balance sheet recognition

The instructions provided for column 0190 of table C 102.00 shall apply.

0200

Collateralisation status IFRS 9

IFRS 9 B.5.55

Exposures shall be assigned to portfolios based on their collateralisation status, as used for the purpose of the expected credit loss measurement under IFRS 9:

(a)  Collateralised exposures.

This portfolio shall include all those exposures, for which, in accordance with IFRS 9 B5.5.55, the measurement of expected credit losses reflects the cash flows expected from the related collateral and/or other credit enhancements that are part of the contractual terms of the exposure into question and are not recognised separately by the entity. Those exposures that are only partially collateralised shall be reported for their full amount within this portfolio.

(b)  Not-collateralised exposures.

This portfolio shall include all those exposures, for which, the measurement of the related expected credit losses is not affected by the presence of any collateral or any other form of credit enhancements.

(c)  Not applicable.

Column

Legal reference

Instructions

0010

Portfolio ID

The unique ID assigned by EBA to each portfolio.

0020

Portfolio name

The instructions provided for column 0020 of C 103 shall apply.

0030

Type of risk

The instructions provided for column 0130 of C 101 shall apply.

0040

Regulatory approach

The instructions provided for column 0140 of C 101 shall apply.

0050

Geographical area

The instructions provided for column 0080 of C 101 shall apply.

0060

Rating

The instructions provided for column 0060 of C 102 shall apply.

0070

Exposure class

The instructions provided for column 0070 of C 103 shall apply.

0080

Sector of counterparty

The instructions provided for column 0100 of C 101 shall apply.

0090

Default status

The instructions provided for column 0090 of C 102 shall apply.

0100

Type of facility

The instructions provided for column 0120 of C 101 shall apply.

0110

Collateralisation status

The instructions provided for column 0110 of C 102 shall apply.

0120

Collateral type

The instructions provided for column 0120 of C 102 shall apply.

0130

Counterparty

The instructions provided for column 0130 of C 102 shall apply.

0140

Size of counterparty

The instructions provided for column 0140 of C 102 shall apply.

0150

NACE code

The instructions provided for column 0150 of C 102 shall apply.

0160

Type of exposure

The instructions provided for column 0110 of C 101 shall apply.

0170

Size of exposure

The instructions provided for column 0170 of C 102 shall apply.

0180

Indexed loan-to-value range

The instructions provided for column 0180 of C 102 shall apply

0190

Balance sheet recognition

The instructions provided for column 0190 of C 102 shall apply.

0200

Collateralisation status IFRS 9

IFRS 9 B.5.55

The instructions provided for column 0200 of C 103 shall apply.