PART II: TEMPLATE RELATED INSTRUCTIONS C 101 – Details on exposures in Low Default Portfolios by counterparty Column Label Legal reference Instructions 010 Counterparty Code Column 010 of template 101 of Annex I The counterparty code assigned by the EBA to the counterparty included in the LDP samples portfolios shall be reported. This code is a row identifier and shall be unique for each row in the table. 020 Exposure class Paragraph 78 of Annex 2 of Commission Implementing Regulation (EU) No 680/2014 Each portfolio shall be assigned to one of the following exposure classes: (a) Central banks and central governments; (b) Institutions; (c) Corporate – SME; (d) Corporate – Specialised lending; (e) Corporate – Other; (f) Retail – Secured by real estate SME; (g) Retail – Secured by real estate non-SME; (h) Retail – Qualifying revolving; (i) Retail – Other SME; (j) Retail – non – SME; (k) Not applicable ‘Not applicable’ be used where none of the answers in the list is correct which is the case when a counterparty is classified in multiple asset classes, without one being clearly predominant 040 Rating The rank of the internal rating applied by the institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100%) shall be reported. It shall follow the numerical order 1, 2, 3 etc. 050 Date of most recent rating of counterparty The date of the most recent rating of the counterparty shall be reported. 060 PD Column 010 of template 8.1 of Annex 1 of Commission Implementing Regulation (EU) No 680/2014 The PD assigned to the obligor grade or pool that shall be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. The PD shall be the PD used in the calculation of the RWA, excluding the effect of potential measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 (‘CRR’). The PD shall be expressed as a value between 0 and 1. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.
Regulation (EU) No 680/2014 100 CCF Article 166(8)(e) of Regulation (EU) No 575/2013 The weighted average of the CCFs be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD. If the institution is allowed to apply own estimates of CCFs, those shall be reported, otherwise the regulatory CCFs shall be reported. 110 EAD Column 110 of template 8.1 of Annex 1 of Commission Implementing Regulation (EU) No 680/2014 The exposure value shall be reported. 120 Collateral value Columns 150 to 210 of template8.1 of 1 of Commission Implementing Regulation (EU) No 680/2014 The market value of the collateral shall be reported. 130 LGD Column 230 of template8.1 of Annex 1 of Commission Implementing Regulation (EU) No 680/2014 The EAD-weighted own estimates of LGD or the EAD-weighted regulatory LGD applied by the institution to the exposures held and included in each portfolio shall be reported. 140 Maturity Column 250 of template of Annex 1 of Commission Implementing Regulation (EU) No 680/2014 The EAD-weighted maturity shall be reported. It shall be expressed in number of days. This information shall not be reported for exposures for which the maturity is not an element in the calculation of risk weighted exposure amounts. This means that this information shall not be reported for portfolios that represent exposures of the exposure class ‘Retail’. 150 Expected Loss Column 280 of template8.1 of Annex 1 of Commission The expected loss shall be reported.