{
  "url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-IV/part-2/division-2",
  "json_url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-IV/part-2/division-2.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/2",
  "kind": "division",
  "number": null,
  "heading": "C 102 – Details on exposures in Low Default Portfolios",
  "text": "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).\nFor portfolios with the regulatory approach defined as ‘ Specialised lending slotting criteria ’ , the following information may be omitted: PD (c060), LGD (c130), Maturity (c140).\nFor 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).\nColumn\nLabel\nLegal reference\nInstructions\n010\nPortfolio ID\nColumn 010 of template 102 of Annex I\nThe 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.\n040\nNumber of obligors\nColumn 300 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe number of obligors shall be reported.\n060\nPD\nColumn 010 of table 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe 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.\nAll reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the relevant competent authority.\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 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\nArticle 166(8)(e) 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 template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe exposure value shall be reported.\n120\nCollateral value\nColumns 150 to 210 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe market value of the collateral shall be reported.\n130\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 held and included in each portfolio shall be reported.\n140\nMaturity\nColumn 250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe 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 ’ .\n150\nExpected Loss\nColumn 280 of template8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe expected loss shall be reported.\n160\nProvisions defaulted exposures\nColumns 050, 055 and 060 of template 9.2 of Annex I to Implementing Regulation (EU) No 680/2014\nThe 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.\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 SME supporting factor shall be reported.\n180\nRWA Standardised\nThe 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.\nThe RWA amount calculated by applying the standardised approach for credit risk to the exposures 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/2",
    "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."
}