OpenLegislation

Division C 101 — Details on exposures in Low Default Portfolios (LDPs) by counterpartyF1

United Kingdom

Specialised lending exposures shall be excluded.

Column	Label	Legal reference	Instructions
010	Counterparty Code	Column 010 of template 101 of Annex I	The counterparty code assigned by the European Banking Authority ( ‘ EBA ’ ) to the counterparty included in the low default portfolio ( ‘ 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 II to 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 – Other non – SME; (k) Not applicable ‘ Not applicable ’ shall 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 grade 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 I to 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. 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.
070	Default status		The default status to be reported shall be one of the following: (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 %.
080	Original exposure pre-conversion factors	Column 020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.
090	Exposure after CRM substitution effects pre-conversion factors	Column 090 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The amount to which a conversion factor ( ‘ CCF ’ ) is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure.
100	CCF	Second subparagraph of Article 166(8) of Regulation (EU) No 575/2013	The weighted average of the CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD. Where 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 template8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The exposure value shall be left blank where the institution has no IRB exposure for a given counterparty.
120	Collateral value	Columns 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The market value of the collateral shall be reported.
130	Hyp LGD senior unsecured without negative pledge	Article 161 of Regulation (EU) No 575/2013	The hypothetical own estimates of loss given default ( ‘ LGD ’ ) that would be applied by the institution to the counterparty shall be reported in accordance with the following: The scope of exposures is the same as for the LGD value reported in column 150; The exposure is senior and unsecured; No negative pledge clause is in place. A negative pledge clause states that the borrower or debt issuer will not pledge any of its assets to another party.
140	Hyp LGD senior unsecured with negative pledge	Article 161 of Regulation (EU) No 575/2013	The hypothetical own estimates of LGD that would be applied by the institution to the counterparty shall be reported in accordance with the following: The scope of exposures is the same as for the LGD value reported in column 150; The exposure is senior and unsecured; A negative pledge clause is in place. A negative pledge clause states that the borrower or debt issuer will not pledge any of its assets to another party.
150	LGD	Columns 230 and 240 of template 8.1 of Annex I to 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 to each counterparty shall be reported.
160	Maturity	Column 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The EAD-weighted maturity for the exposures to each counterparty shall be reported. It shall be expressed in number of days.
170	RWA	Column 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014	The risk-weighted exposure amount after applying the small- and medium-sized enterprise ( ‘ SME ’ ) supporting factor shall be reported.

Annotations

Textual amendments

F1: 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).