Division C 102 – Details on exposures in Low Default PortfoliosF1
United Kingdom
For portfolios defined in Annex I with a collateralisation status other than ‘ Not applicable ’ , the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 130), Expected Loss (column 150) and RWA (column 170).
For portfolios with the regulatory approach defined as ‘ Specialised lending slotting criteria ’ , the following information may be omitted: PD (c060), LGD (c130), Maturity (c140).
For portfolios defined in Annex I template 102 the following information may be omitted where institutions do not calculate own funds in accordance with Part Three, Title II, Chapter 2: RWA Standardised (c180).
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Portfolio ID | Column 010 of template 102 of Annex I | The code assigned by the EBA to each portfolio shall be reported. This code is a row identifier and shall be unique for each row in the table. |
| 040 | Number of obligors | Column 300 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The number of obligors shall be reported. |
| 060 | PD | Column 010 of table 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 | The PD assigned to the obligor 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. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools the EAD-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. 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 relevant competent authority. |
| 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 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 | Article 166(8)(e) 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 template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The exposure value shall be reported. |
| 120 | Collateral value | Columns 150 to 210 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The market value of the collateral shall be reported. |
| 130 | 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 held and included in each portfolio shall be reported. |
| 140 | Maturity | Column 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The EAD-weighted maturity shall be reported. It shall be expressed in number of days. This information shall not be reported for exposures for which the maturity is not an element in the calculation of risk weighted exposure amounts. This information shall not be reported for portfolios that represent exposures of the exposure class ‘ Retail ’ . |
| 150 | Expected Loss | Column 280 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014 | The expected loss shall be reported. |
| 160 | Provisions defaulted exposures | Columns 050, 055 and 060 of template 9.2 of Annex I to Implementing Regulation (EU) No 680/2014 | The provisions for defaulted exposures shall be reported. These include all the general and specific credit risk adjustments for defaulted assets as defined in Article 110 of Regulation (EU) No 575/2013. |
| 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 SME supporting factor shall be reported. |
| 180 | RWA Standardised | The amount of own funds that the institution would be required to hold under Article 92 calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013. | The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported. |