{
  "url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-IV/part-2/division-1",
  "json_url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-IV/part-2/division-1.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/IV/part/2/division/1",
  "kind": "division",
  "number": null,
  "heading": "C 101 — Details on exposures in Low Default Portfolios (LDPs) by counterparty",
  "text": "Specialised lending exposures shall be excluded.\nColumn\nLabel\nLegal reference\nInstructions\n010\nCounterparty Code\nColumn 010 of template 101 of Annex I\nThe 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.\n020\nExposure class\nParagraph 78 of Annex II to Implementing Regulation (EU) No 680/2014\nEach portfolio shall be assigned to one of the following exposure classes:\n(a) Central banks and central governments;\n(b) Institutions;\n(c) Corporate – SME;\n(d) Corporate – Specialised lending;\n(e) Corporate – Other;\n(f) Retail – Secured by real estate SME;\n(g) Retail – Secured by real estate non-SME;\n(h) Retail – Qualifying revolving;\n(i) Retail – Other SME;\n(j) Retail – Other non – SME;\n(k) Not applicable\n‘ 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\n040\nRating\nThe 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.\n050\nDate of most recent rating of counterparty\nThe date of the most recent rating of the counterparty shall be reported.\n060\nPD\nColumn 010 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe 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.\nAll reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.\n070\nDefault status\nThe default status to be reported shall be one of the following:\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 %.\n080\nOriginal exposure pre-conversion factors\nColumn 020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.\n090\nExposure after CRM substitution effects pre-conversion factors\nColumn 090 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe 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.\n100\nCCF\nSecond subparagraph of Article 166(8) of Regulation (EU) No 575/2013\nThe 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.\n110\nEAD\nColumn 110 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe exposure value shall be left blank where the institution has no IRB exposure for a given counterparty.\n120\nCollateral value\nColumns 150 to 210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe market value of the collateral shall be reported.\n130\nHyp LGD senior unsecured without negative pledge\nArticle 161 of Regulation (EU) No 575/2013\nThe 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:\nThe scope of exposures is the same as for the LGD value reported in column 150;\nThe exposure is senior and unsecured;\nNo negative pledge clause is in place.\nA negative pledge clause states that the borrower or debt issuer will not pledge any of its assets to another party.\n140\nHyp LGD senior unsecured with negative pledge\nArticle 161 of Regulation (EU) No 575/2013\nThe hypothetical own estimates of LGD that would be applied by the institution to the counterparty shall be reported in accordance with the following:\nThe scope of exposures is the same as for the LGD value reported in column 150;\nThe exposure is senior and unsecured;\nA negative pledge clause is in place.\nA negative pledge clause states that the borrower or debt issuer will not pledge any of its assets to another party.\n150\nLGD\nColumns 230 and 240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe 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.\n160\nMaturity\nColumn 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe EAD-weighted maturity for the exposures to each counterparty shall be reported. It shall be expressed in number of days.\n170\nRWA\nColumn 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe risk-weighted exposure amount after applying the small- and medium-sized enterprise ( ‘ SME ’ ) supporting factor shall be reported.",
  "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/IV/part/2/division/1",
    "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."
}