{
  "url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-II/division-1/division-3",
  "json_url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-II/division-1/division-3.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/3",
  "kind": "division",
  "number": null,
  "heading": "C 103 – Definition of High Default Portfolios",
  "text": "Column\nLegal reference\nInstructions\n010\nPortfolio ID\nThe unique ID assigned by EBA to each portfolio.\n020\nPortfolio name\nEach portfolio is assigned one of the following names by EBA:\n1.1. CORP Defaulted\n1.2. CORP Non-Defaulted\n1.2.1. CORP Non-defaulted Secured\n1.2.1.1. CORP Non-defaulted Secured Construction\n1.2.1.2. CORP Non-defaulted Secured Other\n1.2.2. CORP Non-defaulted Unsecured\n1.2.2.1. CORP Non-defaulted Unsecured Construction\n1.2.2.2. CORP Non-defaulted Unsecured Other\n2.1. SMEC Defaulted\n2.2. SMEC Non-Defaulted\n2.2.1. SMEC Non-defaulted Secured\n2.2.1.1. SMEC Non-defaulted Secured Construction\n2.2.1.2. SMEC Non-defaulted Secured Other\n2.2.2. SMEC Non-defaulted Unsecured\n2.2.2.1. SMEC Non-defaulted Unsecured Construction\n2.2.2.2. SMEC Non-defaulted Unsecured Other\n3.1. SMER Defaulted\n3.2. SMER Non-Defaulted\n3.2.1. SMER Non-defaulted Secured\n3.2.1.1. SMER Non-defaulted Secured Construction\n3.2.1.2. SMER Non-defaulted Secured Other\n3.2.2. SMER Non-defaulted Unsecured\n3.2.2.1. SMER Non-defaulted Unsecured Construction\n3.2.2.2. SMER Non-defaulted Unsecured Other\n4.1. Mortgages Defaulted\n4.2. Mortgages Non-defaulted\n4.2.1.1. Mortgages Non-defaulted Secured\n4.2.1.2. Mortgages Non-defaulted Unsecured\n4.2.2.1. Mortgages Non-defaulted ILTV <= 25 %\n4.2.2.2. Mortgages Non-defaulted ILTV > 100 %,<= 125 %\n4.2.2.3. Mortgages Non-defaulted ILTV > 125 %\n4.2.2.4. Mortgages Non-defaulted ILTV > 25 %,<= 50 %\n4.2.2.5. Mortgages Non-defaulted ILTV > 50 %,<= 75 %\n4.2.2.6. Mortgages Non-defaulted ILTV > 75 %,<= 100 %\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\nThe instructions provided for column 060 of C 102 shall apply.\n070\nExposure class\nThe instructions provided for column 070 of C 102 shall apply.\n080\nSector of counterparty\nThe instructions provided for column 100 of C 101 shall apply.\n090\nDefault status\nThe instructions provided for column 090 of C 102 shall apply.\n100\nType of facility\nThe instructions provided for column 120 of C 101 shall apply.\n110\nCollateralisation status\nThe instructions provided for column 110 of C 102 shall apply.\n120\nCollateral type\nExposures shall be split into parts and assigned to portfolios based on the collateral type:\n(a) Eligible collateral other than real estate;\n(b) Real estate collateral;\n(c) Not applicable.\n130\nNACE code\nThe instructions provided for column 150 of C 102 shall apply.\n140\nSize of counterparty\nThe instructions provided for column 140 of C 102 shall apply.\n150\nType of exposure\nThe instructions provided for column 110 of C 101 shall apply.\n160\nSize of exposure\nThe instructions provided for column 170 of C 102 shall apply.\n170\nIndexed loan-to-value range\nExposures shall be split into parts and assigned to portfolios based on the indexed loan-to-value ( ‘ ILTV ’ ) range which shall be the ratio between the current loan amount and the current value of the property:\n(a) <= 25 %;\n(b) > 25 % <= 50 %;\n(c) > 50 % <= 75 %;\n(d) > 75 % <= 100 %;\n(e) > 100 % <= 125 %;\n(f) > 125 %;\n(g) Not applicable.\nThe indexed loan-to-value range shall be calculated in a prudent manner and at least comply with the following features:\n(a) Total amount of the loan: the outstanding amount of the mortgage loan plus any undrawn committed amount of the mortgage loan (after applying the corresponding credit conversion factor). The loan amount shall be calculated gross of any specific credit risk adjustments and shall include all other loans (including those provided by other financial institutions that are known to the institution) secured with liens of equal or higher ranking on the same residential property with respect to the lien securing the loan. Where there is insufficient information for ascertaining the ranking of the other liens, the institution shall assume that these liens rank pari passu with the lien securing the loan.\n(b) Value of the property: the value of the property is the independent valuation of the property at some point in time (most likely at origination) and converted to a current value using a property price index. The valuation should be performed in an independent way and by appraisers that meet specific qualification requirements. Qualifying requirements and minimum appraisal standards shall comply with the following conditions:\nthere is an individual assessment of the property and the property is valued in a prudently conservative manner (e.g. excluding expectations of future price appreciations and taking into account any potential for the current property price to be above a level that is sustainable over the life of the loan, for example due to a property price bubble);\nwhere a market value can be determined, the valuation is not higher than market value;\nthe valuation is supported by adequate appraisal documentation.\nInstitutions shall document their calculations and provide this documentation to their competent authority upon request.\n180\nBalance sheet recognition\nThe instructions provided for column 180 of C 102 shall apply.",
  "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)."
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2016/2070/annex/II/division/1/division/3",
    "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."
}