ANNEX IX
IFRS 9 TEMPLATE REPORTING INSTRUCTIONS
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PART I: |
GENERAL INSTRUCTIONS |
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General Instructions for Low Default Portfolios – Templates C.111.00, C.112.00, C.113.00, C.114.00 |
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General Instructions for High Default Portfolios – Templates C.115.00, C.116.00, C.117.00, C.118.00 |
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PART II: |
TEMPLATE-RELATED INSTRUCTIONS |
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C 111.00 – |
Details on exposures in Low Default Portfolios by counterparty |
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C 112.00 – |
Details on exposures in Low Default Portfolios by counterparty by economic scenario |
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C 113.00 – |
Details on exposures in Low Default Portfolios by counterparty by facility |
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C 114.00 – |
Details on macroeconomic scenarios per GDP Area code |
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C 115.00 – |
Details on exposures in High Default Portfolios |
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C 116.00 – |
Details on exposures in High Default Portfolios by economic scenario |
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C 117.00 – |
Details on exposures in High Default Portfolios by staging |
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C 118.00 – |
Details on macroeconomic scenarios per GDP Area code |
PART I: GENERAL INSTRUCTIONS
General Instructions for Low Default Portfolios – Templates C.111.00, C.112.00, C.113.00, C.114.00
1. Information shall be submitted only for those counterparties and portfolios where an actual exposure exists at the reference date in the form of either an Original Exposure or an Exposure after credit risk mitigation, including exposures in stage 3 and counterparties for which the temporary or permanent partial use of the Standardised Approach has been permitted by the respective competent authority in accordance with Article 148 or 150 of Regulation (EU) No 575/2013. Information for counterparties and portfolios for which no exposure exists at the reference date shall not be submitted. Only the following exposures should be reported: those exposures which are subject to the impairment requirements under IFRS 9.5.5.1, excluding purchased or originated credit-impaired financial assets as defined in Appendix A to IFRS 9 as set out in the Annex to Commission Regulation (EC) No 2023/1803 (‘Annex relating to IFRS 9 ’) shall be included.
2. Information not required or not applicable shall not be submitted; the relevant cells shall either be left blank or NULL. This shall also apply to weighted average quantities that cannot be calculated. Zero values shall be reported only where the intention is to report a quantity of zero. The cells shall not be left blank nor the indication “NULL” shall be inserted to report quantities that are zero.
3. Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date in accordance with Commission Implementing Regulation (EU) 2021/451 ( 1 ).
4. All the templates included in this Annex shall be filled only for the subset of counterparties with the counterparty ID in the following format: ID **_*******_CT_****. Specialised lending exposures as defined in Article 147(8) of Regulation (EU) No 575/2013 shall be excluded.
5. The PDs shall be expressed as a value between 0 and 1, and shall be expressed with a minimum precision equivalent to four decimals.
6. Where the facility expires within the year considered for a specific data point, the parameter estimates and the ECL amount to be reported for this facility shall be related to a default event over a 12 months’ period. By way of derogation from this rule, for the purpose of template C 112.00, where the facility expires before the year considered for a specific data point, the facility’s PD shall not be included in the exposure weighted average PD.
7. In relation to guaranteed exposures, the PD parameter to be reported shall be the one of the original obligors, regardless of whether, for regulatory purposes, the CRM technique is applied via a substitution of the risk parameters of the obligor by the risk parameters of the protection provider. However, the effect of the guarantee shall be taken into consideration in the LGD and in the ECL estimate, in line with the approach used for accounting purposes. Under no circumstances should the PD parameters of a protection provider be reported as the risk parameters of the original obligor.
General Instructions for High Default Portfolios – Templates C.115.00, C.116.00, C.117.00, C.118.00
8. Information shall be submitted only for those portfolios where an actual exposure exists at the reference date in the form of either an Original Exposure or an Exposure after credit risk mitigation, including exposures in stage 3. Information for portfolios for which no exposure exists at the reference date shall not be submitted. Only the following exposures should be reported: those exposures which are subject to the impairment requirements under IFRS 9.5.5.1, excluding purchased or originated credit-impaired financial assets as defined in Appendix A to IFRS 9 as set out in the Annex to Commission Regulation (EC) No 2023/1803 (‘Annex relating to IFRS 9’) shall be included.
9. Information not required or not applicable shall not be submitted; the relevant cells shall be left blank or ‘NULL’ shall be inserted. This shall also apply to weighted average quantities that cannot be calculated. Zero values shall be reported only where the intention is to report a quantity of zero. To report quantities that are zero, the cells shall not be left blank nor shall ‘NULL’ be inserted.
10. Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date in accordance with Commission Implementing Regulation (EU) 2021/451 ( 2 ).
11. All the templates included in this Annex shall be filled only for those portfolios included in Annex I, template C 104.00. Specialized lending exposures as defined in Article 147(8) of Regulation (EU) No 575/2013 shall be excluded.
12. By way of derogation of paragraph 4, for portfolios identified in Annex I, template C.104.00 with a geographical breakdown (all portfolios with column 0050 different than ‘Not applicable””), information shall be reported only when portfolios are considered material. A portfolio is considered material when it has a total exposure equal or higher than 1 % of the total exposure reported for that exposure class (identifiable for each asset class, considering portfolios with column 50, 150 and 200 as “Not applicable” and Column 90 as “non-defaulted”). The total exposure to be considered shall correspond to the sum of the amounts reported respectively in Annex VII, template C.115.00, column 0050 (stage 1 facilities), column 0051 (stage 2 facilities) and column 0052 (stage 3 facilities).
13. The PDs shall be expressed as a value between 0 and 1 and shall be expressed with a minimum precision equivalent to four decimals.
14. The ECLs, as well as the IRB expected loss amounts, shall be expressed as a positive number.
15. Where the facility expires within the year considered for a specific data point, the parameter estimates and the ECL amount to be reported for this facility shall be related to a default event over a 12 months’ period. By way of derogation from this rule, for the purpose of template C.116.00, where the facility expires before the year considered for a specific data point, the facility’s PD shall not be included in the exposure weighted average PD.
16. In relation to guaranteed exposures, the PD parameter to be reported shall be the one of the original obligors, regardless of whether, for regulatory purposes, the CRM technique is applied via a substitution of the risk parameters of the obligor by the risk parameters of the protection provider. However, the effect of the guarantee shall be taken into consideration in the LGD and in the ECL estimate, in line with the approach used for accounting purposes. Under no circumstances should the PD parameters of a protection provider be reported as the risk parameters of the original obligor.
17. Data should be reported only with reference to both the on-balance sheet and off-balance sheet exposures in the scope of the impairment requirements of IFRS 9, related to those portfolios included in Annex I, template C.104.00.
PART II: TEMPLATE-RELATED INSTRUCTIONS
C 111.00 – Details on exposures in Low Default Portfolios by counterparty
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Column |
Label |
Legal reference |
Instructions |
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0010 |
Counterparty Code |
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The instructions provided in Annex IV to this Implementing Regulation for column 0010 of template C 101 shall apply. This column is a row identifier and shall be unique for each row in the table. |
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0020 |
Number of facilities |
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The number of facilities of the counterparty. |
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0030 |
GDP Area Code |
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The code of the geographical area of the counterparty. The geographical area should be the one associated with the estimations of columns 0100 to 0190 of this Annex for column 0010 of template C 114.00. Where the GDP is estimated for the counterparty on a single country basis, the country code shall have the same format as the one used in column 0080 of template C101 of Annex 1 to this Implementing Regulation. Where the GDP is estimated for an area with several countries, one of the following codes shall be used: — ‘All countries’: where GDP estimates can be considered as global estimates; — ‘European Union (EU)’: where the GDP estimates can be considered as estimates related to the European Union composition at the reference date; — ‘Euro Area’: where the GDP estimates can be considered as estimates related to the Euro Area composition at the reference date; — ‘Countries of the OECD’: where the GDP estimates can be considered as estimates related to the whole set of jurisdictions which are member countries of the Organisation for Economic Cooperation and Development (OECD) at the reference date. |
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0040 |
Exposure value – IFRS 9 |
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The sum of exposure values to the counterparty over all facilities at the reporting date, as considered for the application of impairment requirements under IFRS 9. This shall include both on- and off-balance sheet exposures in the scope of the impairment requirements of IFRS 9, as well as off-balance sheet exposures after the application of the conversion factors used for accounting purposes. For both stage 1 and stage 2 facilities, the exposure value for each facility shall be the one associated with default events over the 12 months’ period following the reporting date. |
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0045 |
Gross carrying amount |
Appendix A, defined terms of Commission Regulation (EU) 2016/2067 |
The sum of the amortised cost at the reporting date, before adjusting for any loss allowance, over all on-balance exposures towards the counterparty, which are in the scope of application of impairment requirements under IFRS 9. |
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0100 |
PD – 12 months IFRS 9 |
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The PD calculated at the counterparty level at the reporting date, representing the probability of a default event within 12 months following the reporting date, as considered in the application of the impairment requirements under IFRS 9. This shall be the PD used to compute the 12 month expected credit loss (ECL amount – 12 months IFRS 9), and associated with the economic scenario 0 in template C112.00. Where the institution applies different PDs for different exposures to the same counterparty, the weighted average PD at the reporting date shall be reported. The weight used for each facility shall be the exposure value as defined in column 0040 of this template. Where the PD values associated with the economic scenario 0 of the template C112.00 are not populated, this data point shall not be populated, either. |
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0110 |
PD – IRB without conservative adjustments |
Articles 160 and 180 of Regulation (EU) No 575/2013- -Section 4.4.3. of EBA Guidelines on PD estimation, LGD estimation and the treatment of defaulted exposures |
The PD of the counterparty estimated under Articles 160 and 180 of the CRR, free from any Margin of Conservatism, regulatory floors, supervisory add-ons and any other conservative measures, and adjustments,. Where an institution is not able to isolate the conservative adjustments embedded in its PD estimates, this data point shall either be left blank or NULL. This data point shall be submitted only for those exposures for which an internal model has been approved and is used in the calculation of risk weighted exposure amounts (RWA). For all other cases, this field shall be left blank or NULL. |
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0200 |
LGD – IFRS 9 |
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The weighted average LGD of the counterparty applied by the institution to the exposures of each counterparty, at the reporting date, as considered in the impairment requirements under IFRS 9 and used to compute the final expected credit loss. The weight used to compute the LGD weighted average shall be the multiplication of the following two values: (a) the PD assigned to the facility at the reporting date, representing the probability of a default event within 12 months following the reporting date, as defined in column 0100 of this template; (b) the exposure value of the facility associated with default events over the 12 months’ period following the reporting date, as defined in column 0040 of this template. For both stage 1 and stage 2 facilities, the LGD for each facility shall be the one associated with default events over the 12 months’ period following the reporting date. |
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0400 |
ECL amount – 12 months IFRS 9 |
Appendix A to IFRS 9 as set out in the Annex to Commission Regulation (EC) No 2023/1803 |
The sum of the expected credit losses to the counterparty over all facilities for the exposures, at the reporting date, as considered for the application of impairment requirements under IFRS 9. For both stage 1 and stage 2 facilities, the ECL amount for each facility shall be the one associated with default events over the 12 months’ period following the reporting date. |
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0410 |
Expected Loss Amount- IRB |
Column 0280 of template 8.1 of Annex I to Implementing Regulation (EU) 2021/451 |
The expected loss amount calculated using IRB parameters. This data point shall be submitted only for those exposures for which an internal model has been approved and is used in the calculation of RWA. For all other cases, this field shall be left blank or NULL. |
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0500 |
LGD IFRS 9 Unsecured 12M (Hypothetical) |
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The hypothetical LGD value that would be applied by the institution, according to the impairment requirements under IFRS 9, to a Senior Unsecured exposure to the counterparty, associated with a default event over the 12 months’ period following the reporting date, shall be reported.. This hypothetical LGD value shall be computed according to the economic scenario 0 in template C112.00 and in accordance with the following: — The exposure is senior and unsecured (no funded nor unfunded credit protection); — No negative pledge clause is in place. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. |
C 112.00 – Details on exposures in Low Default Portfolios by counterparty by economic scenario
The PD values reported in columns 0100, 0110, 0120, 0130, 0140, 0150, 0160, 0170, 0180, 0190 shall not incorporate any effect of prepayment. Where the PD model cannot provide PD values beyond the maturity of the facility, these fields shall be left blank or the indication NULL shall be inserted.
Where the ECL amount is calculated as a probability weighted ECL of each economic scenario, the following considerations apply:
Where only a single scenario is used, without any adjustment, neither at the PD level nor at the ECL level that takes into account the non-linearity effects, the PD values for this economic scenario shall be reported under both economic scenarios 0 and 1.
Where the estimation is based on a baseline scenario that is forward-looking and an adjustment is applied to consider the non-linearity effect, the institution shall report in the template the cumulative PD value of the baseline scenario in scenario 1, and the PD used for the purpose of the Significant Increase in Credit Risk (SICR) assessment in scenario 0.
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Column |
Label |
Legal reference |
Instructions |
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0010 |
Counterparty Code |
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The counterparty code assigned in column 0010 of template C101 of Annex I to this Implementing Regulation to the counterparty included in the low default portfolio (‘LDP’) samples portfolios shall be reported. Columns 0010 and 0020 shall be a composite row identifier and together shall be unique for each row in the table. |
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0020 |
Economic scenario ID |
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The economic scenario used by the institution to calculate the IFRS 9 PD. The scenario ID shall be expressed as a value between 0 and 5. With the exception of specific cases described before, all the 6 economic scenarios shall be populated. The economic scenario 1 shall be the baseline scenario. The economic scenarios 2 to 5 shall be ranked according to their severity, from the most favourable (number 2) to the most severe (number 5). |
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0100 |
PD – 0 - 12 months |
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The cumulative PD assigned to the counterparty representing the probability of a default event within the 12 months after the reporting date, under the economic scenario considered. |
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0110 |
PD – 0 - 24 months |
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The cumulative PD assigned to the counterparty representing the probability of a default event within the 24 months after the reporting date, under the economic scenario considered. |
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0120 |
PD – 0 - 36 months |
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The cumulative PD assigned to the counterparty representing the probability of a default event within the 36 months after the reporting date, under the economic scenario considered. |
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0130 |
PD – 0 - 48 months |
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The cumulative PD assigned to the counterparty representing the probability of a default event within the 48 months after the reporting date, under the economic scenario considered. |
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0140 |
PD – 0 - 60 months |
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The cumulative PD assigned to the counterparty representing the probability of a default event within the 60 months after the reporting date, under the economic scenario considered. |
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0150 |
PD – 0 - 72 months |
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The cumulative PD assigned to the counterparty representing the probability of a default event within the 72 months after the reporting date, under the economic scenario considered. |
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0160 |
PD – 0 - 84 months |
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The cumulative PD assigned to the counterparty representing the probability of a default event within the 84 months after the reporting date, under the economic scenario considered. |
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0170 |
PD – 0 - 96 months |
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The cumulative PD assigned to the counterparty representing the probability of a default event within the 96 months after the reporting date, under the economic scenario considered. |
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0180 |
PD – 0 - 108 months |
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The cumulative PD assigned to the counterparty representing the probability of a default event within the 108 months after the reporting date, under the economic scenario considered. |
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0190 |
PD – 0 - 120 months |
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The cumulative PD assigned to the counterparty representing the probability of a default event within the 120 months after the reporting date, under the economic scenario considered. |
C 113.00 – Details on exposures in Low Default Portfolios by counterparty by facility
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Column |
Label |
Legal reference |
Instructions |
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0010 |
Counterparty Code |
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The instructions provided in this Annex for column 0010 of C 112.00 shall apply. Columns 0010 and 0020 shall be a composite row identifier and together shall be unique for each row in the table. |
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0020 |
Facility ID |
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The facility ID assigned by the institution to the facility of the counterparty shall be used in a consistent way across time. Where the institution has more than five facilities toward a given counterparty, it shall report only the five facilities with the highest exposure amount. |
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0100 |
Exposure value – IFRS 9 |
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The exposure value to the facility of the counterparty at the reporting date, as considered for the application of impairment requirements under IFRS 9. This shall include both, on- and off-balance sheet exposures in the scope of the impairment requirements of IFRS 9. For both stage 1 and stage 2 facilities, the exposure value for each facility shall be the one associated with default events over the 12 months’ period following the reporting date. |
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0200 |
Impairment Status |
Paragraph 5 (l) in Part 1 of Annex V to Regulation (EU) 2021/451 |
The stage assigned to the facility to each counterparty at the reporting date shall be reported as follows: — Instruments without significant increase in credit risk (stage 1); — instruments with significant increase in credit risk (stage 2); — Credit impaired instruments (stage 3). |
|
0300 |
Annualised originated PD |
IFRS 9.5.5.9 IFRS 9.B5.5.11 IFRS 9.B5.5.13 IFRS 9.B5.5.43 |
The annualised lifetime PD representing the probability of default assigned to the facility, evaluated at the origination date, used for the assessment of the significant increase in credit risk, calculated in accordance with the following formula:
where — M is the residual number of years of the maturity of the facility at the reporting date; — lifetime PD is the lifetime PD representing the probability of default assigned to the facility, for the residual number of years at the reporting date, evaluated at the origination date, used for the assessment of the significant increase in credit risk Where the 12-month PD is used as a proxy for the assessment of the significant increase in credit risk, the 12-month PD evaluated at the origination date shall be reported. |
|
0400 |
Annualised PD at reporting date |
IFRS 9.5.5.9 IFRS 9.B5.5.13 IFRS 9.B5.5.14 |
The annualised lifetime PD representing the probability of default assigned to the facility, evaluated at the reporting date, used for the assessment of the significant increase in credit risk, calculated in accordance with the following formula:
where: — M is the residual number of years of the maturity of the facility at the reporting date; — lifetime PD is the lifetime PD representing the probability of default assigned to the facility, for the residual number of years at the reporting date, evaluated at the reporting date, used for the assessment of the significant increase in credit risk. Where the 12-month PD is used as a proxy for the assessment of the significant increase in credit risk, the 12-month PD evaluated at the reporting date shall be reported. |
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0500 |
Quantitative Stage 2 trigger (in annualised PD) |
IFRS 9.5.5.9 |
The annualised lifetime PD level which constitutes a significant increase in credit risk and triggers a transfer to stage 2 for the considered facility of the counterparty, calculated in accordance with the following formula:
where: — M is the residual number of years of the maturity of the facility at the reporting date; — lifetime PD is the lifetime PD level which constitutes a significant increase in credit risk and triggers a transfer to stage 2 for the considered facility of the counterparty, for the residual number of years of the maturity of the exposure at the reporting date. To note, for the purpose of this data point, the implications on the annualised PD threshold for the transfer to stage 2 stemming from the adoption of the Low Credit Risk exemption (where applicable) shall not be taken into consideration. Where both a relative and an absolute threshold are used for the assessment of a significant increase in credit risk, the threshold that first triggers a transfer to stage 2 for the considered facility shall be reported. Where a ratings-based approach is used for the assessment of a significant increase in credit risk, the annualised lifetime PDs corresponding to the rating that would trigger the transfer shall be reported. Where the 12-month PD is used as a proxy for the assessment of the significant increase in credit risk, the 12-month PD trigger level which constitutes a significant increase in credit risk shall be reported. |
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0550 |
Low Credit Risk exemption threshold (if applicable) |
IFRS 9.5.5.10 IFRS 9.B5.5.22 – B5.5.24 |
The annualised lifetime PD level, below which the financial instrument is considered to have a low risk of default, calculated in accordance with the following formula:
where: — M is the residual number of years of the maturity of the exposure at the reporting date; — lifetime PD is the lifetime PD level below which the financial instrument is considered to have a low risk of default at the reporting date. Where the facility is not subject to the Low Credit Risk exemption, this data point shall be left blank or NULL. Where the 12-month PD is used as a proxy for the low credit risk assessment, the 12-month PD below which the financial instrument is considered to have a low risk of default shall be reported. |
|
0600 |
Qualitative Stage 2 Trigger set |
IFRS 9.B5.5.17 IFRS 9.B5.5.19 – B5.5.21 |
Where the facility is in stage 1 or in stage 3, this field shall be left bank or NULL. Where the facility is in stage 2, the type of qualitative indicator that triggered first the stage transfer shall be reported as one of the following: — ‘no qualitative indicator’ (but the facility is in stage 2 due to a quantitative trigger); — ‘30 days past due’; — ‘watch list’; — ‘forbearance’; — ‘other qualitative trigger’; — ‘identification of first trigger not possible’. |
C 114.00 – Details on macroeconomic scenarios per GDP Area code
The estimated yearly GDP growth of the countries reported in columns 0100, 0110, 0120, 0130, 0140, 0150, 0160, 0170, 0180 and 0190 shall be expressed in decimals with a minimum precision equivalent to four decimals. Where the annual GDP growth is estimated for aggregated geographical zones different from the ones referred to in column 0010, this estimation shall be reported for each of the countries belonging to the relevant geographical zone and for each maturity bucket.
Where the IFRS 9 model related to the obligor uses a higher number of economic scenarios than five, including when performing Monte Carlo simulation„ the template C114.00 should not be populated.
In the case where the weights for all the economic scenarios of a given country are the same over the different time horizons, the columns 201 to 209 may either be left blank or NULL.
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Column |
Label |
Legal reference |
Instructions |
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0010 |
GDP Area Code |
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The list of areas identified in column 0030 of template C111.00 of this Annex. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in the table. |
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0020 |
Economic scenario ID |
IFRS 9.5.5.17(a) IFRS 9.5.5.18 IFRS 9.B5.5.41 IFRS 9.B5.5.42 |
The instructions provided in this Annex for column 0020 of C112.00 shall apply for scenario 1 to 5. However, in case the IFRS 9 model related to the GDP area code uses an average macroeconomic scenario, with no individual macroeconomic scenario available, the scenario 1 to 5 should not be populated. Instead, the average macroeconomic scenario should be reported under the economic scenario 0, and no data should be reported for the economic scenarios 1 to 5 |
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0100 |
GDP growth – 0 - 12 months |
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The estimated yearly GDP growth within the next 12 months after the reporting date of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
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0110 |
GDP growth – 12 – 24 months |
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The estimated yearly GDP growth within the next 12 months starting 12 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
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0120 |
GDP growth – 24 – 36 months |
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The estimated yearly GDP growth within the next 12 months starting 24 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
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0130 |
GDP growth – 36 – 48 months |
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The estimated yearly GDP growth within the next 12 months starting 36 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
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0140 |
GDP growth – 48 – 60 months |
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The estimated yearly GDP growth within the next 12 months starting 48 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
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0150 |
GDP growth – 60 – 72 months |
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The estimated yearly GDP growth within the next 12 months starting 60 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0160 |
GDP growth – 72 – 84 months |
|
The estimated yearly GDP growth within the next 12 months starting 72 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0170 |
GDP growth – 84 – 96 months |
|
The estimated yearly GDP growth within the next 12 months starting 84 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0180 |
GDP growth – 96 – 108 months |
|
The estimated yearly GDP growth within the next 12 months starting 96 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0190 |
GDP growth – 108 – 120 months |
|
The estimated yearly GDP growth within the next 12 months starting 108 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0199 |
Weight of the Scenarios – 0 - 12 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 0-12 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0201 |
Weight of the Scenarios – 12 – 24 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 12-24 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0202 |
Weight of the Scenarios – 24 – 36 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 24-36 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0203 |
Weight of the Scenarios – 36 – 48 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 36-48 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0204 |
Weight of the Scenarios – 48 – 60 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 48-60 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0205 |
Weight of the Scenarios – 60 – 72 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 60-72 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0206 |
Weight of the Scenarios – 72 – 84 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 72-84 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0207 |
Weight of the Scenarios – 84 – 96 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 84-96 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0208 |
Weight of the Scenarios – 96 – 108 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 96-108 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
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0209 |
Weight of the Scenarios – 108 – 120 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 108-120 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
C 115.00 – Details on exposures in High Default Portfolios
|
Column |
Label |
Legal reference |
Instructions |
|
0010 |
Portfolio ID |
|
The code assigned in Annex I, template C.104.00, column 0010 to each portfolio shall be reported. That code shall be a row identifier and shall be unique for each row in the table. The assignment of exposures to portfolio IDs is not exclusive: exposures or parts of exposures shall be reported under each portfolio ID that is applicable. |
|
0040 |
Number of obligors |
|
The number of obligors for the respective portfolio shall be reported. It shall be based on obligors that have a strictly positive exposure value reported either in columns 0050 or in column 0051 or in column 0052. |
|
0045 |
GDP Area Code |
|
The code of the geographical area of the facilities included in the respective portfolio shall be reported. The geographical area should be the one associated with the estimations of this Annex, columns 0100 to 0190 for template C 118.00, column 0010. Where the GDP is estimated on a single country basis, the country code shall have the same format as the one used in Annex I, template C.104.00, column 0050. Where the GDP is estimated for an area with several countries, one of the following codes shall be used: — ‘All countries’: where GDP estimates can be considered as global estimates; — ‘European Union (EU)’: where the GDP estimates can be considered as estimates related to the European Union composition at the reference date; — ‘Euro Area’: where the GDP estimates can be considered as estimates related to the Euro Area composition at the reference date; — ‘Countries of the OECD’: where the GDP estimates can be considered as estimates related to the whole set of jurisdictions which are member countries of the Organisation for Economic Cooperation and Development (OECD) at the reference date. The information required in this column shall be provided only for those portfolio IDs for which Annex I, template C.104.00, column 0050 is different than ‘Not applicable’. In the remaining cases, this column shall be left blank or ‘NULL’ shall be inserted. |
|
0050 |
Exposure value IFRS 9 – Stage 1 |
|
The sum of exposure values over all facilities included in the respective portfolio and which were, under IFRS 9, without significant increase in credit risk since initial recognition (Stage 1) at the reporting date. Exposure values shall include both on- and off-balance sheet exposures in the scope of the impairment requirements of IFRS 9. In the case of off-balance sheet exposures, the latter shall be considered after the application of the conversion factors used for accounting purposes. |
|
0051 |
Exposure value IFRS 9 – Stage 2 |
|
The sum of exposure values over all facilities included in the respective portfolio and which were, under IFRS 9, with significant increase in credit risk since initial recognition but not credit impaired (Stage 2) at the reporting date. Exposure values shall include both on- and off-balance sheet exposures in the scope of the impairment requirements of IFRS 9. In the case of off-balance sheet exposures, the latter shall be considered after the application of the conversion factors used for accounting purposes. |
|
0052 |
Exposure value IFRS 9 – Stage 3 |
|
The sum of exposure values over all facilities included in the respective portfolio and which were credit-impaired (Stage 3) at the reporting date. Exposure values shall include both on- and off-balance sheet exposures in the scope of the impairment requirements of IFRS 9. In the case of off-balance sheet exposures, the latter shall be considered after the application of the conversion factors used for accounting purposes |
|
0055 |
Gross carrying amount |
Appendix A, defined terms of Commission Delegated Regulation (EU) 2016/2067 |
The sum of the amortised cost at the reporting date, before adjusting for any loss allowance, over all on-balance exposures towards the counterparty, which are in the scope of application of impairment requirements under IFRS 9. |
|
0100 |
PD – 12 months IFRS 9 |
|
The weighted average PD over all facilities included in the respective portfolio at the reporting date shall be reported. For the purpose of this computation: — The PD shall represent the probability of a default event within 12 months following the reporting date, as considered in the application of the impairment requirements under IFRS 9. This shall be the PD used to compute the 12-month expected credit loss (ECL amount – 12 months IFRS 9), and associated with the economic scenario 0 in template C116.00. — The weight used for each facility shall be the exposure value, intended as the sum of the amounts defined respectively in column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities) of this template; — The data reported shall include any temporary model/manual adjustment or overlay that has been applied directly at the level of the PD parameter. |
|
0105 |
PD – 12 months IFRS 9 without overlays |
|
The weighted average IFRS 9 12 month PD reported in accordance with the instructions provided for column C.0100, but excluding the effect of any temporary model adjustment or overlay that has been applied directly at the level of the PD parameter. For the purpose of this datapoint, model adjustments and overlays are intended as any manual adjustment or intervention affecting the IFRS 9 PD estimates resulting from the ordinary application of the IFRS 9 ECL model adopted by the institution. In case no model adjustment or overlay has been applied at the PD level with reference to the reported portfolio, the datapoint should be reported in accordance with the instructions provided for column 0100. In case it is not possible to disentangle the effect of overlays on the PD parameter, this data point shall be left blank or ‘NULL’ shall be inserted. |
|
0106 |
PD – 12 months – IFRS 9 TTC/Unconditional |
|
The weighted average TTC/unconditional PD of the respective portfolio at the reporting date shall be reported. For the purpose of this computation: — The PD shall represent the unconditional/trough the cycle probability of a default event within 12 months following the reporting date. It should correspond to the “intermediate” PD estimated by the relevant IFRS 9 model (e.g. Markov chains, Fitting with Weibull or Cox functions, etc.…) before the application of any PIT and FLI shift/adjustment. — The weight used for each facility shall be the exposure value, intended as the sum of the amounts defined respectively in column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities) of this template; The data reported shall not include any temporary model/manual adjustment or overlay that has been applied directly at the level of the PD parameter. In case the “intermediate” unconditional/TTC PD is not available as this parameter is not an intermediate output of the IFRS 9 PD model used, this data point shall be left blank or ‘NULL’ shall be inserted. |
|
0107 |
PD – 12 months – IFRS 9 – Stage 1 |
|
The weighted average PD over all facilities included in the respective portfolio and which were allocated within stage 1 at the reporting date. For the purpose of this computation: — The PD shall represent the probability of a default event within 12 months following the reporting date, as considered in the application of the impairment requirements under IFRS 9. This shall be the PD used to compute the 12-month expected credit loss (ECL amount – 12 months IFRS 9), and associated with the economic scenario 0 in template C116.00. — The weight used for each facility shall be the exposure value as defined respectively in column 0050 of this template. The data reported shall include any temporary model/manual adjustment or overlay that has been applied directly at the level of the PD parameter. |
|
0108 |
PD – 12 months – IFRS 9 – Stage 2 |
|
The weighted average PD over all facilities included in the respective portfolio and which were allocated within stage 2 at the reporting date. For the purpose of this computation: — The PD shall represent the probability of a default event within 12 months following the reporting date, as considered in the application of the impairment requirements under IFRS 9. This shall be the PD used to compute the 12-month expected credit loss (ECL amount – 12 months IFRS 9) and associated with the economic scenario 0 in template C116.00. — The weight used for each facility shall be the exposure value as defined respectively in column 0051 of this template. The data reported shall include any temporary model/manual adjustment or overlay that has been applied directly at the level of the PD parameter. |
|
0120 |
Collateral value |
|
The market value of the collateral shall be reported. |
|
0130 |
LGD – IFRS 9 |
|
The weighted average LGD of the respective portfolio at the reporting date, as considered in the impairment requirements under IFRS 9 and used to compute the final expected credit loss. The weight used to compute the weighted average LGD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities) of this template. For both stage 1 and stage 2 facilities, the LGD for each facility shall be the one associated with default events over the 12 months’ period following the reporting date. For the purpose of this datapoint, the data reported shall include any temporary model adjustment or overlay that has been applied directly at the level of the LGD parameter. |
|
0133 |
LGD – IFRS 9 without overlays |
|
The weighted average IFRS 9 LGD reported in accordance with the instructions provided for column 0130 of this template, but excluding the effect of any temporary model adjustment or overlay that has been applied directly at the level of the LGD parameter. For the purpose of this datapoint, model adjustments and overlays are intended as any manual adjustment or intervention affecting the IFRS 9 LGD estimates resulting from the ordinary application of the IFRS 9 ECL model adopted by the institution. In case no model adjustment or overlay has been applied at the LGD level with reference to the reported portfolio, this datapoint should be reported in accordance with the instructions provided for column 0130. In case it is not possible to disentangle the effect of overlays on the LGD parameter, this data point shall be left blank or ‘NULL’ shall be inserted. |
|
0140 |
Residual maturity |
|
The EAD-weighted residual maturity of the respective portfolio shall be reported. It shall be expressed in number of years. |
|
0145 |
ECL amount IFRS 9 – Stage 1 |
Appendix A to IFRS 9 as set out in the Annex to Regulation (EC) No 2023/1803 |
The sum of the expected credit losses over all facilities, as considered for the application of impairment requirements under IFRS 9, included in the respective portfolio and which were allocated within stage 1 at the reporting date. The ECL amount for each facility shall be the one associated with default events over the 12 months’ period following the reporting date. The data reported shall include any temporary model adjustment or overlay that has been applied for the purposes of estimating ECL. Therefore, this data point shall include the effect of all the model adjustments/overlays, regardless they were applied at risk parameter level or at the ECL level. |
|
0146 |
ECL amount IFRS 9 – Stage 2 |
Appendix A to IFRS 9 as set out in the Annex to Regulation (EC) No 2023/1803 |
The sum of the expected credit losses over all facilities, as considered for the application of impairment requirements under IFRS 9, included in the respective portfolio and which were allocated within stage 2 at the reporting date. The ECL amount for each facility shall be the one resulting from all possible default events over its expected life. The data reported shall include any temporary model adjustment or overlay that has been applied for the purposes of estimating ECL. Therefore, this data point shall include the effect of all the model adjustments/overlays, regardless they were applied at risk parameter level or at the ECL level. |
|
0147 |
ECL amount IFRS 9 – Stage 3 |
Appendix A to IFRS 9 as set out in the Annex to Regulation (EC) No 2023/1803 |
The sum of the expected credit losses over all facilities, as considered for the application of impairment requirements under IFRS 9, included in the respective portfolio and which were allocated within stage 3 at the reporting date. The ECL amount for each facility shall be the one resulting from all possible default events over its expected life. The data reported shall include any temporary model adjustment or overlay that has been applied for the purposes of estimating ECL. Therefore, this data point shall include the effect of all the model adjustments/overlays, regardless they were applied at risk parameter level or at the ECL level. |
|
0148 |
ECL amount IFRS 9 without overlays – Stage 1 |
|
The IFRS 9 ECL amount reported in accordance with the instructions provided for column 0145, but excluding the effect of any temporary model adjustment or overlay that has been applied directly at the ECL level. Model adjustments and overlays are intended as any manual adjustment or intervention affecting the IFRS 9 ECL estimates resulting from the ordinary application of the IFRS 9 ECL model adopted by the institution. This, regardless of the approach used for determining the overlay applied at the ECL level, as for instance whether the amount of the ECL overlay is based on stressed estimates of the respective IFRS 9 credit risk parameter (e.g. stressed IFRS 9 PD estimates). In case no model adjustment or overlay has been applied at the ECL level with reference to the reported portfolio, the IFRS 9 ECL amount should be reported in accordance with the instructions provided for column 0145. In case the effect of model adjustments or overlays at the ECL level cannot be isolated, this data point shall be left blank or ‘NULL’ shall be inserted. |
|
0149 |
ECL amount IFRS 9 without overlays – Stage 2 |
|
The IFRS 9 ECL amount reported in accordance with the instructions provided for column 0146, but excluding the effect of any temporary model adjustment or overlay that has been applied directly at the ECL level. Model adjustments and overlays are intended as any manual adjustment or intervention affecting the IFRS 9 ECL estimates resulting from the ordinary application of the IFRS 9 ECL model adopted by the institution. This, regardless of the approach used for determining the overlay applied at the ECL level, as for instance whether the amount of the ECL overlay is based on stressed estimates of the respective IFRS 9 credit risk parameter (e.g. stressed IFRS 9 PD estimates). In case no model adjustment or overlay has been applied at the ECL level with reference to the reported portfolio, the IFRS 9 ECL amount should be reported in accordance with the instructions provided for column 0146. In case the effect of model adjustments or overlays at the ECL level cannot be isolated, this data point shall be left blank or ‘NULL’ shall be inserted. |
|
0150 |
ECL amount IFRS 9 without overlays – Stage 3 |
|
The IFRS 9 ECL amount reported in accordance with the instructions provided for column 0147, but excluding the effect of any temporary model adjustment or overlay that has been applied directly at the ECL level. Model adjustments and overlays are intended as any manual adjustment or intervention affecting the IFRS 9 ECL estimates resulting from the ordinary application of the IFRS 9 ECL model adopted by the institution. This, regardless of the approach used for determining the overlay applied at the ECL level, as for instance whether the amount of the ECL overlay is based on stressed estimates of the respective IFRS 9 credit risk parameter (e.g. stressed IFRS 9 PD estimates). In case no model adjustment or overlay has been applied at the ECL level with reference to the reported portfolio, the IFRS 9 ECL amount should be reported in accordance with the instructions provided for column 0147. In case the effect of model adjustments or overlays at the ECL level cannot be isolated, this data point shall be left blank or ‘NULL’ shall be inserted. |
|
0160 |
Expected Loss Amount IRB- Stage 1 |
|
The expected loss amount calculated using IRB parameters, in accordance with the instructions provided in Annex IV, template C 102, column 0150, over those facilities which were allocated within stage 1 at the reporting date for IFRS 9 purposes. |
|
0161 |
Expected Loss Amount IRB- Stage 2 |
|
The expected loss amount calculated using IRB parameters, in accordance with the instructions provided in Annex IV, template C 102, column 0150, over those facilities which were allocated within stage 2 at the reporting date for IFRS 9 purposes. |
|
0162 |
Expected Loss Amount IRB- Stage 3 |
|
The expected loss amount calculated using IRB parameters, in accordance with the instructions provided in Annex IV, template C 102, column 0150, over those facilities which were allocated within stage 3 at the reporting date for IFRS 9 purposes. |
C 116.00 – Details on exposures in High Default Portfolios by economic scenario
The information in this template shall be reported only with reference to the following portfolios:
The portfolios related to the following portfolio ID, representing the total exposure by regulatory approach:
|
CORP_ALL_0086_CT_AIRB_x0_Rx0_ALL |
SMEC_ALL_0106_CT_FIRB_x0_Rx0_ALL |
|
MORT_ALL_0094_CT_AIRB_x0_Rx0_ALL |
RSMS_ALL_0106_CT_AIRB_x0_Rx0_ALL |
|
SMEC_ALL_0106_CT_AIRB_x0_Rx0_ALL |
RETO_ALL_0094_CT_AIRB_x0_Rx0_ALL |
|
SMOT_ALL_0106_CT_AIRB_x0_Rx0_ALL |
RQRR_ALL_0094_CT_AIRB_x0_Rx0_ALL |
|
CORP_ALL_0086_CT_FIRB_x0_Rx0_ALL |
|
All portfolios related to those portfolio ID for which Annex I, template C.104.00, column 0050 is different than ‘Not applicable’.
The PD values reported in columns 0100, 0110, 0120, 0130, 0140, 0150, 0160, 0170, 0180, and 0190 shall not incorporate any effect of prepayment. These PD values shall be reported weighting the PD of each facility included in the respective portfolio available up to the maturity of the contract (i.e. PD beyond the contractual maturity of each facility shall not be considered). The PD values shall include any temporary model/manual adjustment or overlay that has been applied directly at the level of the PD parameter.
The ECL amounts reported in columns 0200, 0201, 0202 shall include any temporary model adjustment or overlay that has been applied for the purposes of estimating ECL, regardless whether they were applied at risk parameter level or at the ECL level. The ECL amounts for economic scenario 1 to 5 for each stage shall be reported considering the actual staging allocation at the reporting date (i.e. SICR assessment and staging allocation should be kept as resulting from the application of impairment requirements under IFRS 9).
Where the ECL amount is calculated as a probability weighted ECL of each economic scenario, the following considerations apply:
Where only a single scenario is used, without any adjustment, neither at the PD level nor at the ECL level that takes into account the non-linearity effects, the PD values and the ECL amount for this economic scenario shall be reported under both economic scenarios 0 and 1.
Where the estimation is based on a baseline scenario that is forward-looking and an adjustment is applied to consider the non-linearity effect, the institution shall report in the template:
When different ECL approaches envisaging different number of scenarios and weights are used, institutions shall report the information using the number of economic scenarios and weights that accounts for the largest share of exposures of the most relevant ECL approach used. Institutions shall map the economic scenarios of the different exposures on a best effort basis based on their ranking of severity. The total exposure to be considered shall correspond to the sum of the amounts reported respectively in Annex VIII, template C.115.00, column 0050 (stage 1 facilities), column 0051 (stage 2 facilities) and column 0052 (stage 3 facilities).
|
Column |
Label |
Legal reference |
Instructions |
|
0010 |
Portfolio ID |
|
The code assigned in Annex I, template C.104, column 0010 for each portfolio, for which the information in this template shall be reported. The combination portfolio ID (c0010) and Economic scenario ID (c0020) is the primary key of this template and shall be reported only once. |
|
0020 |
Economic scenario ID |
|
The economic scenario used by the institution to calculate the IFRS 9 ECL amount. The scenario ID shall be expressed as a value between 0 and 5. With the exception of specific cases described before, all the 6 economic scenarios shall be populated. The economic scenario 1 shall be the baseline scenario. The economic scenarios 2 to 5 shall be ranked according to their severity, from the most favourable (number 2) to the most severe (number 5). |
|
0100 |
PD – 0 - 12 months |
|
The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 12 months after the reporting date, under the economic scenario considered. The weight used to compute the weighted average cumulative PD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in this Annex, template C.115.00, column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities). |
|
0110 |
PD – 0 - 24 months |
|
The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 24 months after the reporting date, under the economic scenario considered. The weight used to compute the weighted average cumulative PD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in this Annex, template C.115.00, column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities). |
|
0120 |
PD – 0 - 36 months |
|
The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 36 months after the reporting date, under the economic scenario considered. The weight used to compute the weighted average cumulative PD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in this Annex, template C.115.00, column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities). |
|
0130 |
PD – 0 - 48 months |
|
The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 48 months after the reporting date, under the economic scenario considered. The weight used to compute the weighted average cumulative PD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in this Annex, template C.115.00, column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities). |
|
0140 |
PD – 0 - 60 months |
|
The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 60 months after the reporting date, under the economic scenario considered. The weight used to compute the weighted average cumulative PD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in this Annex, template C.115.00, column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities). |
|
0150 |
PD – 0 - 72 months |
|
The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 72 months after the reporting date, under the economic scenario considered. The weight used to compute the weighted average cumulative PD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in this Annex, template C.115.00, column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities). |
|
0160 |
PD – 0 - 84 months |
|
The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 84 months after the reporting date, under the economic scenario considered. The weight used to compute the weighted average cumulative PD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in this Annex, template C.115.00, column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities). |
|
0170 |
PD – 0 - 96 months |
|
The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 96 months after the reporting date, under the economic scenario considered. The weight used to compute the weighted average cumulative PD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in this Annex, template C.115.00, column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities). |
|
0180 |
PD – 0 - 108 months |
|
The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 108 months after the reporting date, under the economic scenario considered. The weight used to compute the weighted average cumulative PD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in this Annex, template C.115.00, column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities). |
|
0190 |
PD – 0 - 120 months |
|
The weighted average cumulative PD of the facilities included in the respective portfolio, representing the probability of a default event within the 120 months after the reporting date, under the economic scenario considered. The weight used to compute the weighted average cumulative PD shall be the exposure value of the facilities in the respective portfolio, intended as the sum of the amounts defined respectively in this Annex, template C.115.00, column 0050 (in case of stage 1 facilities), column 0051 (in case of stage 2 facilities) and column 0052 (in case of stage 3 facilities). |
|
0200 |
ECL amount IFRS 9 – Stage 1 |
Appendix A to IFRS 9 as set out in the Annex to Regulation (EC) No 2023/1803 |
The sum of the expected credit losses under the economic scenario considered over the facilities included in the respective portfolio, which were allocated within stage 1 at the reporting date, as considered for the application of impairment requirements under IFRS 9. The ECL amount for each facility shall be the one associated with default events over the 12 months’ period following the reporting date. |
|
0201 |
ECL amount IFRS 9 – Stage 2 |
Appendix A to IFRS 9 as set out in the Annex to Regulation (EC) No 2023/1803 |
The sum of the expected credit losses under the economic scenario considered over the facilities included in the respective portfolio, which were allocated within stage 2 at the reporting date, as considered for the application of impairment requirements under IFRS 9. The ECL amount of each facility shall be the one that result from all possible default events over its expected life. |
|
0202 |
ECL amount IFRS 9 – Stage 3 |
Appendix A to IFRS 9 as set out in the Annex to Regulation (EC) No 2023/1803 |
The sum of the expected credit losses under the economic scenario considered over the facilities included in the respective portfolio, which were allocated within stage 3 at the reporting date, as considered for the application of impairment requirements under IFRS 9. The ECL amount of each facility shall be the one that result from all possible default events over its expected life. |
C 117.00 – Details on exposures in High Default Portfolios by staging
The information in this template shall be reported only with reference to those portfolios associated to the following portfolio ID, representing the total exposure by regulatory approach:
|
CORP_ALL_0113_CT_AIRB_x0_Rx0_ALL |
CORP_ALL_0113_CT_FIRB_x0_Rx0_ALL |
|
MORT_ALL_0114_CT_AIRB_x0_Rx0_ALL |
SMEC_ALL_0115_CT_FIRB_x0_Rx0_ALL |
|
SMEC_ALL_0115_CT_AIRB_x0_Rx0_ALL |
RSMS_ALL_0115_CT_AIRB_x0_Rx0_ALL |
|
SMOT_ALL_0115_CT_AIRB_x0_Rx0_ALL |
RETO_ALL_0114_CT_AIRB_x0_Rx0_ALL |
|
RQRR_ALL_0114_CT_AIRB_x0_Rx0_ALL |
|
|
Column |
Label |
Legal reference |
Instructions |
|
0010 |
Portfolio ID |
|
The code assigned in Annex I, template C.104.00, column 0010 for each portfolio, for which the information in this template shall be reported. This code is the primary key or unique identifier for the rows of this template. |
|
0020 |
Stage 1 exposures under the low credit risk exemption |
IFRS 9.5.5.10 IFRS 9.B5.5.22 – B5.5.24 |
With reference to the respective portfolio, the sum of the exposure value, as defined in this Annex, template C.115.00, column 0050, of all the facilities classified in stage 1, to which the low credit risk exemption is applied. |
|
0030 |
Low credit risk exemption threshold |
IFRS 9.5.5.10 IFRS 9.B5.5.22 – B5.5.24 |
The median of the lifetime PD level, below which the financial instruments included in the reported portfolio are considered to have a low risk of default, calculated in accordance with the following formula:
where: — M is the residual number of years of the maturity of the exposure at the reporting date; — lifetime PD is the lifetime PD level below which the financial instrument is considered to have a low risk of default at the reporting date. Where the low credit risk exemption is not used for the respective portfolio, this data point shall be left blank or ‘NULL’ shall be inserted. Where the 12-month PD is used as a proxy for the low credit risk assessment, the 12-month PD below which the financial instrument is considered to have a low risk of default shall be reported. |
|
0040 |
Stage 1 exposures with more than a three – fold increase in PD |
IFRS 9.5.5.9 IFRS 9.B5.5.11 IFRS 9.B5.5.13 IFRS 9.B5.5.14 IFRS 9.B5.5.43 |
With reference to the respective portfolio, the sum of the exposure value, as defined in this Annex, template C.115.00, column 0050, of all the facilities reported in stage 1, for which: i. the annualised lifetime PD at the reporting date is equal to or higher than 0,3 %; and ii. more than a three-fold increase in the annualised lifetime PD has occurred since initial recognition. For the purpose of this computation: a three-fold increase in the in the annualised lifetime PD is intended as an increase of 200 % of the PD at initial recognition, in accordance with the following formula: Three-fold increase in annualised PDt = (1 + 200 %)* annualised lifetime PDo where: (a) the annualised lifetime PDt represents the probability of default assigned to the facility, evaluated at the reporting date, used for the assessment of the significant increase in credit risk, calculated in accordance with the following formula:
where: — M is the residual number of years of the maturity of the facility at the reporting date; — lifetime PD is the lifetime PD representing the probability of default assigned to the facility, for the residual number of years at the reporting date, evaluated at the reporting date, used for the assessment of the significant increase in credit risk. (b) the annualised lifetime PDo represents the probability of default assigned to the facility, evaluated at initial recognition, used for the assessment of the significant increase in credit risk, calculated in accordance with the following formula:
where: — M is the residual number of years of the maturity of the facility at the reporting date; — lifetime PD is the lifetime PD representing the probability of default assigned to the facility, for the residual number of years at the reporting date, evaluated at initial recognition, used for the assessment of the significant increase in credit risk. Where the 12-month PD is used as a proxy for the assessment of the significant increase in credit risk, the 12-month PD evaluated at the reporting date and the 12-month PD evaluated at initial recognition shall be used, instead of the respective annualised lifetime PD. |
|
0050 |
Exposures in stage 2 due to quantitative triggers |
IFRS 9.5.5.9 |
With reference to the respective portfolio, the sum of the exposure value, as defined in this Annex, template C.115.00, column 0051, of all the facilities, which have been classified in stage 2, only as a consequence of the breach of a quantitative trigger. |
|
0060 |
Exposures in stage 2 due to qualitative or backstop indicators |
IFRS 9.B5.5.17 IFRS 9.B5.5.19 – B5.5.21 |
With reference to the respective portfolio, the sum of the exposure value, as defined in this Annex, template C.115.00, column 0051, of all the facilities, which have been classified in stage 2, only as a consequence of a qualitative indicator or of a backstop indicator. |
|
0080 |
Additional ECL amount in case of transfer to stage 2 |
IFRS 9.5.5.9 IFRS 9.B5.5.17 IFRS 9.B5.5.19 – B5.5.21 |
The additional amount of ECL that would have been recognised for the respective portfolio as if a lifetime ECL would have been applied to all the facilities classified in stage 1 at the reporting date. For the purpose of performing this estimation, a lifetime ECL is defined as the expected credit losses that result from all possible default events over the expected life of a financial instrument. |
|
0120 |
Transition rate from stage 1 to stage 3 |
|
With reference to the respective portfolio, the share of stage 1 exposures transferred to stage 3 during the reporting period, expressed as the ratio of: (a) the exposure value, as defined in this Annex, template C.115.00, column 0050, of the facilities of the reported portfolio, which were classified in stage 1 at the beginning of the reporting period and that were reported within stage 3 at the reference date, to (b) the exposure value as defined in this Annex, template C.115.00, column 0050, of all the facilities of the reported portfolio, which were classified in stage 1 at the beginning of the reporting period. This information shall be expressed in decimals with a minimum precision equivalent to four decimals. |
|
0130 |
Transition rate from stage 2 to stage 3 |
|
With reference to the respective portfolio, the share of stage 2 exposures transferred to stage 3 during the reporting period, expressed as the ratio of: (a) the exposure value, as defined in this Annex, template C.115.00, column 0051, of the facilities of the reported portfolio, which were classified in stage 2 at the beginning of the reporting period and that were reported within stage 3 at the reference date, to (b) the exposure value as defined in this Annex, template C.115.00, column 0051, of all the facilities of the reported portfolio, which were classified in stage 2 at the beginning of the reporting period. This information shall be expressed in decimals with a minimum precision equivalent to four decimals. |
|
0140 |
Total transfers to stage 3 |
|
With reference to the respective portfolio, the sum of the exposure value, as defined respectively in this Annex, template C.115.00, columns 0050 and 0051, of all the facilities, which have been transferred from stage 1 or stage 2 to stage 3 during the reporting period and that are still classified in stage 3 at the reporting date. |
|
0150 |
Transfers from stage 1 directly to stage 3 |
|
With reference to the respective portfolio, the sum of the exposure value, as defined in this Annex, template C.115.00, column 0050, of all the facilities, which have been transferred from stage 1 directly to stage 3 during the reporting period and that are still classified in stage 3 at the reporting date. |
C 118.00 – Details on macroeconomic scenarios per GDP Area code
The estimated yearly GDP growth of the countries reported in columns 0100, 0110, 0120, 0130, 0140, 0150, 0160, 0170, 0180 and 0190 shall be expressed in decimals with a minimum precision equivalent to four decimals. Where the annual GDP growth or weights of scenarios are estimated for aggregated geographical zones different from the ones referred to in column 0010, this estimation shall be reported for each of the countries belonging to the relevant geographical zone and for each maturity bucket.
Where the IFRS 9 model related to the obligor uses a higher number of economic scenarios than five, including when performing Monte Carlo simulation, the template C118.00 should not be populated.
In the case where the weights for all the economic scenarios of a given country are the same over the different time horizons, the columns 201 to 209 may be left blank.
When different ECL approaches envisaging different number of scenarios and weights are used, institutions shall report the information using the number of economic scenarios and weights that accounts for the largest share of exposures of the most relevant ECL approach used. Institutions shall map the economic scenarios of the different exposures on a best effort basis based on their ranking of severity. The total exposure to be considered shall correspond to the sum of the amounts reported respectively in Annex VIII, template C.115.00, column 0050 (stage 1 facilities), column 0051 (stage 2 facilities) and column 0052 (stage 3 facilities).
|
Column |
Label |
Legal reference |
Instructions |
|
0010 |
GDP Area Code |
|
The list of areas identified in this Annex, template C.115.00, column 0045. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in the table. |
|
0020 |
Economic scenario ID |
IFRS 9.5.5.17(a) IFRS 9.5.5.18 IFRS 9.B5.5.41 IFRS 9.B5.5.42 |
The instructions provided in this Annex for column 0020 of C116.00 shall apply for scenarios 1 to 5. However, in case the IFRS 9 model related to the GDP area code uses an average macroeconomic scenario, with no individual macroeconomic scenario available, the scenarios 1 to 5 should not be populated. Instead, the average macroeconomic scenario should be reported under the economic scenario 0, and no data should be reported for the economic scenarios 1 to 5. |
|
0100 |
GDP growth – 0 - 12 months |
|
The estimated yearly GDP growth within the next 12 months after the reporting date of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0110 |
GDP growth – 12 – 24 months |
|
The estimated yearly GDP growth within the next 12 months starting 12 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0120 |
GDP growth – 24 – 36 months |
|
The estimated yearly GDP growth within the next 12 months starting 24 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0130 |
GDP growth – 36 – 48 months |
|
The estimated yearly GDP growth within the next 12 months starting 36 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0140 |
GDP growth – 48 – 60 months |
|
The estimated yearly GDP growth within the next 12 months starting 48 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0150 |
GDP growth – 60 – 72 months |
|
The estimated yearly GDP growth within the next 12 months starting 60 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0160 |
GDP growth – 72 – 84 months |
|
The estimated yearly GDP growth within the next 12 months starting 72 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0170 |
GDP growth – 84 – 96 months |
|
The estimated yearly GDP growth within the next 12 months starting 84 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0180 |
GDP growth – 96 – 108 months |
|
The estimated yearly GDP growth within the next 12 months starting 96 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0190 |
GDP growth – 108 – 120 months |
|
The estimated yearly GDP growth within the next 12 months starting 108 months after the reporting period of the country reported in column 0010 under the economic scenario reported in column 0020 shall be reported. |
|
0199 |
Weight of the Scenarios – 0 - 12 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 0-12 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0201 |
Weight of the Scenarios – 12 – 24 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 12-24 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0202 |
Weight of the Scenarios – 24 – 36 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 24-36 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0203 |
Weight of the Scenarios – 36 – 48 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 36-48 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0204 |
Weight of the Scenarios – 48 – 60 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 48-60 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0205 |
Weight of the Scenarios – 60 – 72 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 60-72 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0206 |
Weight of the Scenarios – 72 – 84 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 72-84 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0207 |
Weight of the Scenarios – 84 – 96 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 84-96 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0208 |
Weight of the Scenarios – 96 – 108 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 96-108 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
|
0209 |
Weight of the Scenarios – 108 – 120 months |
|
The weight assigned to the country reported in column 0010 under the economic scenario reported in column 0020 for the period 108-120 months shall be reported. The weight shall be expressed as a value between 0 and 1. |
( 1 ) Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).
( 2 ) Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (OJ L 97, 19.3.2021, p. 1).