{
  "url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-II/division-1/division-2",
  "json_url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-II/division-1/division-2.json",
  "legislation": "eur/2016/2070",
  "legislation_title": "Commission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2016-2070",
  "path": "annex/II/division/1/division/2",
  "kind": "division",
  "number": null,
  "heading": "C 102 – Definition of Low Default Portfolios",
  "text": "Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council ( OJ L 191, 28.6.2014, p. 1 ).\nRegulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 ( OJ L 176, 27.6.2013, p. 1 ).\nCommission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises ( OJ L 124, 20.5.2003, p. 36 ).\nColumn\nLabel\nLegal reference\nInstructions\n010\nPortfolio ID\nThe unique ID assigned to the portfolio by EBA.\n020\nPortfolio name\nEach portfolio is assigned one of the following names:\n(a) Sovereign;\n(b) Institutions;\n(c) Large corporate;\n(d) Large corporate sample.\nThe ‘ Large corporate sample ’ comprises all entities listed in template 101 of Annex I to this Implementing Regulation for which the Portfolio name (column 090 of template 101) is ‘ Large corporate sample ’ .\n030\nType of risk\nThe instructions provided for column 130 of C 101 shall apply.\n040\nRegulatory approach\nThe instructions provided for column 140 of C 101 shall apply.\n050\nGeographical area\nThe instructions provided for column 080 of C 101 shall apply.\n060\nRating\nExposures shall be split into parts and assigned to portfolios based on the rank of the internal rating applied by the institution from lowest risk to highest risk excluding defaults with a probability of default ( ‘ PD ’ ) corresponding to 100 %. It takes values from Rating 1, Rating 2 etc.\nWhere the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale shall be used. In all other cases, the different rating systems shall be merged and ordered according to the following instructions:\n(a) obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher;\n(b) where a large number of grades or pools is used, a reduced number of grades or pools to be reported may be agreed with the competent authorities.\n070\nExposure class\nExposures shall be split into parts and assigned to portfolios based on the exposure class:\n(a) Central governments and central banks;\n(b) Institutions;\n(c) Corporates:\n(c.1) Corporates – SME;\n(c.2) Corporates – No SME;\n(d) Retail:\n(d.1) Retail – SME;\n(d.1.1) Retail – SME — Secured by real estate;\n(d.1.2) Retail – SME — Other;\n(d.2) Retail – No SME;\n(d.2.1) Retail – No SME — Other;\n(d.2.2) Retail – No SME — Secured by real estate;\n(d.3) Retail – Qualifying revolving;\n(e) Not applicable\n080\nSector of counterparty\nThe instructions provided for column 100 of C 101 shall apply.\n090\nDefault status\nExposures shall be split into parts and assigned to portfolios based on the default status:\n(a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %;\n(b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %.\n(c) Not applicable\n100\nType of facility\nThe instructions provided for column 120 of C 101 shall apply.\n110\nCollateralisation status\nColumns 150 to 210 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nExposures shall be split into parts and assigned to portfolios based on the collateralisation status:\n(a) Exposures with credit protection;\n(b) Exposures without credit protection;\n(c) Not applicable.\n120\nCollateral type\nColumns 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nExposures shall be split into parts and assigned to portfolios based on the collateral type:\n(a) Eligible financial collateral;\n(b) Other eligible collateral: Receivables;\n(c) Other eligible collateral: Residential real estate;\n(d) Other eligible collateral: Commercial real estate;\n(e) Other eligible collateral: Physical collateral;\n(f) Other funded credit protection;\n(g) Credit derivatives;\n(h) Guarantees;\n(i) Unfunded credit protection;\n(j) Not applicable.\nIt should be noted that exposures treated under the substitution approach are already shifted to the corresponding exposures classes and shall thus not be reported under (g), (h) or (i).\n130\nCounterparty\nExposures shall be split into parts and assigned to portfolios based on the counterparty:\n(a) Public sector entities (according to Article 112 (c) of Regulation (EU) No 575/2013) of the European Parliament and of the Council ;\n(b) Counterparties other than public sector entities.\n(c) Not applicable\n140\nSize of counterparty\nExposures shall be split into parts and assigned to portfolios based on the size of the counterparty which shall be determined based on the total annual turnover for the consolidated group of which the counterparty is a part:\n(a) <= EUR 50 million;\n(b) > EUR 50 million and <= EUR 200 million;\n(c) > EUR 200 million;\n(d) Not applicable.\nThe total annual turnover is calculated in accordance with Article 4 of the Annex to Commission Recommendation 2003/361/EC and shall refer to the year ending one year before the reporting reference date.\n150\nNACE code\nExposures shall be split into parts and assigned to portfolios based on the economic activity of the counterparty determined by the NACE codes (Statistical Classification of Economic Activities of the EU) used for ‘ Non-financial corporations ’ with a one level detail (e.g. ‘ F – Construction ’ ) and for ‘ Other financial corporations ’ with a two level detail (e.g. ‘ K65 — Insurance, reinsurance and pension funding, except compulsory social security ’ ).\n160\nType of exposure\nThe instructions provided for column 110 of C 101 shall apply.\n170\nSize of exposure\nColumn 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nExposures shall be split into parts and assigned to portfolios based on the size of the exposure expressed in terms of exposure value (i.e. exposure at default ( ‘ EAD ’ )):\n(a) <= EUR 0,5 million;\n(b) > EUR 0,5 million <= EUR 1 million;\n(c) > EUR 1 million <= EUR 1,5 million;\n(d) > EUR 1,5 million <= EUR 5 million;\n(e) > EUR 5 million <= EUR 10 million;\n(f) > EUR 10 million <= EUR 50 million;\n(g) > EUR 50 million;\n(h) Not applicable.\n180\nBalance sheet recognition\nExposures shall be split into parts and assigned to portfolios based on the balance sheet recognition:\n(a) On-balance sheet items;\n(b) Off-balance sheet items;\n(c) Other\n(d) Not applicable.\nExposures representing Securities Financing Transactions, Derivatives & Long Settlement Transactions or Contractual Cross Product Netting and which are subject to counterparty credit risk, shall be assigned to (c) other. These Exposure shall not be reported in (a) or (b).",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [
    {
      "type": "F",
      "label": "F1",
      "text": "Substituted by Commission Implementing Regulation (EU) 2019/439 of 15 February 2019 amending Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance)."
    },
    {
      "type": "footnote",
      "label": "f1",
      "text": "Commission Implementing Regulation (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council ( OJ L 191, 28.6.2014, p. 1 )."
    },
    {
      "type": "footnote",
      "label": "f2",
      "text": "Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 ( OJ L 176, 27.6.2013, p. 1 )."
    },
    {
      "type": "footnote",
      "label": "f3",
      "text": "Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises ( OJ L 124, 20.5.2003, p. 36 )."
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2016/2070/annex/II/division/1/division/2",
    "retrieved_at": "2026-11-01T14:45:20.126201+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}