# 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), Division: C 102 – Definition of Low Default Portfolios Extent: E+W+S+N.I. 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 ). 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 ). Commission Recommendation of 6 May 2003 concerning the definition of micro, small and medium-sized enterprises ( OJ L 124, 20.5.2003, p. 36 ). Column Label Legal reference Instructions 010 Portfolio ID The unique ID assigned to the portfolio by EBA. 020 Portfolio name Each portfolio is assigned one of the following names: (a) Sovereign; (b) Institutions; (c) Large corporate; (d) Large corporate sample. The ‘ 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 ’ . 030 Type of risk The instructions provided for column 130 of C 101 shall apply. 040 Regulatory approach The instructions provided for column 140 of C 101 shall apply. 050 Geographical area The instructions provided for column 080 of C 101 shall apply. 060 Rating Exposures shall be split into parts and assigned to portfolios based on the rank of the internal rating applied by the institution from lowest risk to highest risk excluding defaults with a probability of default ( ‘ PD ’ ) corresponding to 100 %. It takes values from Rating 1, Rating 2 etc. Where 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: (a) obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher; (b) where a large number of grades or pools is used, a reduced number of grades or pools to be reported may be agreed with the competent authorities. 070 Exposure class Exposures shall be split into parts and assigned to portfolios based on the exposure class: (a) Central governments and central banks; (b) Institutions; (c) Corporates: (c.1) Corporates – SME; (c.2) Corporates – No SME; (d) Retail: (d.1) Retail – SME; (d.1.1) Retail – SME — Secured by real estate; (d.1.2) Retail – SME — Other; (d.2) Retail – No SME; (d.2.1) Retail – No SME — Other; (d.2.2) Retail – No SME — Secured by real estate; (d.3) Retail – Qualifying revolving; (e) Not applicable 080 Sector of counterparty The instructions provided for column 100 of C 101 shall apply. 090 Default status Exposures shall be split into parts and assigned to portfolios based on the default status: (a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %; (b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %. (c) Not applicable 100 Type of facility The instructions provided for column 120 of C 101 shall apply. 110 Collateralisation status Columns 150 to 210 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 Exposures shall be split into parts and assigned to portfolios based on the collateralisation status: (a) Exposures with credit protection; (b) Exposures without credit protection; (c) Not applicable. 120 Collateral type Columns 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 Exposures shall be split into parts and assigned to portfolios based on the collateral type: (a) Eligible financial collateral; (b) Other eligible collateral: Receivables; (c) Other eligible collateral: Residential real estate; (d) Other eligible collateral: Commercial real estate; (e) Other eligible collateral: Physical collateral; (f) Other funded credit protection; (g) Credit derivatives; (h) Guarantees; (i) Unfunded credit protection; (j) Not applicable. It 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). 130 Counterparty Exposures shall be split into parts and assigned to portfolios based on the counterparty: (a) Public sector entities (according to Article 112 (c) of Regulation (EU) No 575/2013) of the European Parliament and of the Council ; (b) Counterparties other than public sector entities. (c) Not applicable 140 Size of counterparty Exposures shall be split into parts and assigned to portfolios based on the size of the counterparty which shall be determined based on the total annual turnover for the consolidated group of which the counterparty is a part: (a) <= EUR 50 million; (b) > EUR 50 million and <= EUR 200 million; (c) > EUR 200 million; (d) Not applicable. The 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. 150 NACE code Exposures 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 ’ ). 160 Type of exposure The instructions provided for column 110 of C 101 shall apply. 170 Size of exposure Column 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 Exposures shall be split into parts and assigned to portfolios based on the size of the exposure expressed in terms of exposure value (i.e. exposure at default ( ‘ EAD ’ )): (a) <= EUR 0,5 million; (b) > EUR 0,5 million <= EUR 1 million; (c) > EUR 1 million <= EUR 1,5 million; (d) > EUR 1,5 million <= EUR 5 million; (e) > EUR 5 million <= EUR 10 million; (f) > EUR 10 million <= EUR 50 million; (g) > EUR 50 million; (h) Not applicable. 180 Balance sheet recognition Exposures shall be split into parts and assigned to portfolios based on the balance sheet recognition: (a) On-balance sheet items; (b) Off-balance sheet items; (c) Other (d) Not applicable. Exposures 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). --- Source: https://www.legislation.gov.uk/eur/2016/2070/annex/II/division/1/division/2 (the official version) Page: https://openlegislation.uk/eu-regulation-2016-2070/annex-II/division-1/division-2 Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.