ANNEX VIII
Results Supervisory Benchmarking portfolios
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Template number |
Template code |
Name of the template /group of templates |
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111.00 |
C 111.00 |
Details on exposures in Low Default Portfolios by counterparty |
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112.00 |
C 112.00 |
Details on exposures in Low Default Portfolios by counterparty by economic scenario |
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113.00 |
C 113.00 |
Details on exposures in Low Default Portfolios by counterparty by facility |
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114.00 |
C 114.00 |
Details on macroeconomic scenarios per GDP Area code |
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115.00 |
C 115.00 |
Details on exposures in High Default Portfolios |
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116.00 |
C 116.00 |
Details on exposures in High Default Portfolios by economic scenario |
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117.00 |
C 117.00 |
Details on exposures in High Default Portfolios by staging |
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118.00 |
C 118.00 |
Details on macroeconomic scenarios per GDP Area code |
Basic information about the reporting entity
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Legal Entity Identifier (LEI code) |
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Name of the institution |
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Country (drop-down box) |
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Reference Date (drop-down box) |
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File name naming conventions: |
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<Reference date>_<country code of the bank>_<LEI CODE>_S<submission number>.xls |
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Example: |
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2019_12_31_AT_AAAAAAAAAAAAAAA_S1.xls |
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In case of different LEI between the file name and cell E9 then the values in E9 will be considered. |
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C 111.00 – Details on exposures in Low Default Portfolios by counterparty
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Counterparty Code |
Number of facilities |
GDP Area Code |
Exposure value - IFRS 9 |
Gross carrying amount |
PD - 12 months - IFRS 9 |
PD - IRB without conservative adjustment |
LGD - IFRS 9 |
ECL amount - 12 months IFRS 9 |
Expected Loss Amount - IRB |
LGD IFRS 9 Unsecured 12M (Hypothetical) |
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0010 |
0020 |
0030 |
0040 |
0045 |
0100 |
0110 |
0200 |
0400 |
0410 |
0500 |
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C 112.00 - Details on exposures in Low Default Portfolios by counterparty by economic scenario
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Counterparty Code |
Economic scenario ID |
PD - 0 - 12 months |
PD - 0 - 24 months |
PD - 0 - 36 months |
PD - 0 - 48 months |
PD - 0 - 60 months |
PD - 0 - 72 months |
PD - 0 - 84 months |
PD - 0 - 96 months |
PD - 0 - 108 months |
PD - 0 - 120 months |
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0010 |
0020 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
0160 |
0170 |
0180 |
0190 |
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C 113.00 - Details on exposures in Low Default Portfolios by counterparty by facility
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Counterparty Code |
facility ID |
Exposure value |
Impairment status |
Annualised originated PD |
Annualised PD at reporting date |
Quantitative Stage 2 trigger (in annualised PD) |
Low Credit Risk Exemption threshold (if applicable) |
Qualitative Stage 2 Trigger set |
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0010 |
0020 |
0100 |
0200 |
0300 |
0400 |
0500 |
0550 |
0600 |
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C 114.00 – Details on macroeconomic scenarios per GDP Area code
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GDP Area code |
Economic scenario ID |
GDP growth - 0 - 12 months |
GDP growth - 12 - 24 months |
GDP growth - 24 - 36 months |
GDP growth - 36 - 48 months |
GDP growth - 48 - 60 months |
GDP growth - 60 - 72 months |
GDP growth - 72 - 84 months |
GDP growth - 84 - 96 months |
GDP growth - 96 - 108 months |
GDP growth - 108 - 120 months |
Weight of the Scenarios - 0 - 12 months |
Weight of the Scenarios - 12 - 24 months |
Weight of the Scenarios - 24 - 36 months |
Weight of the Scenarios - 36 - 48 months |
Weight of the Scenarios - 48 - 60 months |
Weight of the Scenarios - 60 - 72 months |
Weight of the Scenarios - 72 - 84 months |
Weight of the Scenarios - 84 - 96 months |
Weight of the Scenarios - 96 - 108 months |
Weight of the Scenarios - 108 - 120 months |
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0010 |
0020 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
0160 |
0170 |
0180 |
0190 |
0199 |
0201 |
0202 |
0203 |
0204 |
0205 |
0206 |
0207 |
0208 |
0209 |
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C 115.00 - Details on exposures in High Default Portfolios
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Portfolio ID |
Number of obligors |
GDP Area Code |
Exposure value - IFRS 9 Stage 1 |
Exposure value - IFRS 9 Stage 2 |
Exposure value - IFRS 9 Stage 3 |
Gross carrying amount |
PD - 12 months - IFRS 9 |
PD - 12 months - IFRS 9 without overlays |
PD - 12 months - IFRS 9 TTC/Unconditional |
PD - 12 months - IFRS 9 - Stage 1 |
PD - 12 months - IFRS 9 - Stage 2 |
Collateral value |
LGD - IFRS 9 |
LGD - IFRS 9 without overlays |
Residual maturity |
ECL amount IFRS 9 Stage 1 |
ECL amount IFRS 9 Stage 2 |
ECL amount IFRS 9 Stage 3 |
ECL amount IFRS 9 without overlays Stage 1 |
ECL amount IFRS 9 without overlays Stage 2 |
ECL amount IFRS 9 without overlays Stage 3 |
Expected Loss amount- Stage 1 |
Expected Loss amount- Stage 2 |
Expected Loss amount- Stage 3 |
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0010 |
0040 |
0045 |
0050 |
0051 |
0052 |
0055 |
0100 |
0105 |
0106 |
0107 |
0108 |
0120 |
0130 |
0133 |
0140 |
0145 |
0146 |
0147 |
0148 |
0149 |
0150 |
0160 |
0161 |
0162 |
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C 116.00 - Details on exposures in High Default Portfolios by economic scenario
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Portfolio ID |
Economic scenario ID |
PD - 0 - 12 months |
PD - 0 - 24 months |
PD - 0 - 36 months |
PD - 0 - 48 months |
PD - 0 - 60 months |
PD - 0 - 72 months |
PD - 0 - 84 months |
PD - 0 - 96 months |
PD - 0 - 108 months |
PD - 0 - 120 months |
ECL amount IFRS 9 Stage 1 |
ECL amount IFRS 9 Stage 2 |
ECL amount IFRS 9 Stage 3 |
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0010 |
0020 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
0160 |
0170 |
0180 |
0190 |
0200 |
0201 |
0202 |
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C 117.00 - Details on exposures in High Default Portfolios by staging
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Portfolio ID |
Stage 1 exposures under Low credit risk exemption |
Low credit risk exemption threshold |
Stage 1 exposures with more than a three- fold increase in PD |
Exposures in stage 2 due to quantitative triggers |
Exposures in stage 2 due to qualitative or backstop indicators |
Additional ECL amount in case of transfer to stage 2 |
Transition rate from stage 1 to stage 3 |
Transition rate from stage 2 to stage 3 |
Total transfers to stage 3 |
Transfers from stage 1 directly to stage 3 |
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0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0080 |
0120 |
0130 |
0140 |
0150 |
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C 118.00 – Details on macroeconomic scenarios per GDP Area code
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GDP Area code |
Economic scenario ID |
GDP growth - 0 - 12 months |
GDP growth - 12 - 24 months |
GDP growth - 24 - 36 months |
GDP growth - 36 - 48 months |
GDP growth - 48 - 60 months |
GDP growth - 60 - 72 months |
GDP growth - 72 - 84 months |
GDP growth - 84 - 96 months |
GDP growth - 96 - 108 months |
GDP growth - 108 - 120 months |
Weight of the Scenarios - 0 - 12 months |
Weight of the Scenarios - 12 - 24 months |
Weight of the Scenarios - 24 - 36 months |
Weight of the Scenarios - 36 - 48 months |
Weight of the Scenarios - 48 - 60 months |
Weight of the Scenarios - 60 - 72 months |
Weight of the Scenarios - 72 - 84 months |
Weight of the Scenarios - 84 - 96 months |
Weight of the Scenarios - 96 - 108 months |
Weight of the Scenarios - 108 - 120 months |
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0010 |
0020 |
0100 |
0110 |
0120 |
0130 |
0140 |
0150 |
0160 |
0170 |
0180 |
0190 |
0199 |
0201 |
0202 |
0203 |
0204 |
0205 |
0206 |
0207 |
0208 |
0209 |
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