Division C 103 – Details on exposures in High Default PortfolioF1

United Kingdom

For portfolios defined in Annex I with a collateralisation status different from ‘ 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), RWA (column 170), Loss rate latest year (column 210) and Loss rate past 5 years (column 220).

Column	Label	Legal reference	Instructions
010	Portfolio ID	Column 010 of template 103 of Annex I	The code assigned by 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 Implementing Regulation (EU) No 680/2014	The number of obligors 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 to 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. 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 (e.g. total exposures), 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 template8.1 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 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) 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	Column 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	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 EAD-weighted regulatory LGD applied by the institution to the exposures to each portfolio shall be reported. The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded.
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 means that this information shall not be reported for portfolios that represent exposures of the exposure class ‘ Retail ’ .
150	Expected Loss	Column 280 of template 8.1 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 1 of Commission 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 exposures 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.
190	Default rate latest year		The default rate for the latest year shall be reported. For this purpose the default rate shall be defined as the ratio between i) the sum of the exposures (original exposure before applying the conversion factor measured at the reference date minus one year) that were non-defaulted exactly one year before the reference date defaulted between the reference date minus one year and the reference date and ii) the sum of the exposures (original exposure before applying the conversion factor measured at the reference date minus one year) that were non-defaulted at the reference date minus one year. New exposures that were generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in both the numerator and the denominator. Multiple defaults of the same obligor shall be included only once. This information shall be reported for portfolio IDs relating to non-defaulted exposures only.
200	Default rate past 5 years		The weighted average of the default rates observed in the last five years preceding the reference date shall be reported. The default rate definition referred to in column 190 shall apply. The weights to be used are the non-defaulted exposures used in the calculation of the default rate in accordance with column 190. Where the institution is not able to calculate a default rate for the past five years preceding the reference date, the institution shall develop a proxy using its longest history up to five years preceding the reference date and provide the documentation detailing the calculation to its competent authority. This information shall be reported for portfolio IDs relating to ‘ non-defaulted ’ exposures only.
210	Loss rate latest year		The loss rate observed in the latest year shall be reported. For non-defaulted portfolios, the loss rate shall be the sum of credit risk adjustments and write-offs applied, within the year preceding the reference date, to exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date, of the exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference date. New exposures generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be considered in the numerator of the loss rate. Multiple defaults of the very same obligor shall be considered only once. For defaulted portfolios, the loss rate shall be the sum of (i) credit risk adjustments to exposures that were already in default exactly one year before the reference date in the respective portfolio and (ii) credit risk adjustments and write-offs applied within the year preceding the reference date for these exposures, divided by the sum of the EAD, measured exactly one year before the reference date, of the exposures that were defaulted exactly one year before the reference date. New defaults during the year preceding the reference date shall not be included. Exposures that cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be included in the numerator of the loss rate. Multiple defaults of the very same obligor shall be included only once.
220	Loss rate past 5 years		The EAD-weighted average of the loss rates observed in the last five years preceding the reference date shall be reported. The definition of loss rate referred to in column 210 shall apply. Where the institution is not able to calculate a loss rate for the past five years it shall develop a proxy using its longest history up to 5 years and provide documentation detailing the calculation to its competent authority.
250	RWA-		Institutions shall calculate and report RWA- for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 with the following portfolio ID, respectively: CORP_ALL_0086____Rx0 SMEC_ALL_0106____Rx0 SMER_ALL_0106____Rx0 MORT_ALL_0094____Rx0 RWA- shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD- values instead of the institution's PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I of Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) shall be used (see Annex II of Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions). For each obligor grade, p ^– shall be the smallest positive value satisfying the equation $p^{-} + Φ^{- 1} (q) \times \sqrt{\frac{p^{-} \times (1 - p^{-})}{n}} \geq {DR}_{1y}$ , where DR _1y > 0 and p ^– : = 0 where DR _1y = 0, where, Φ ^{– 1} the inverse function of the standard normal (cumulative) distribution; q the confidence level set at 90 %; DR ₁ _y the case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted during the latest year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date; n the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD- shall be equal to p ^– , where p ^– shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor.
260	RWA+		Institutions shall calculate and report RWA+ for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 with the following portfolio ID, respectively: CORP_ALL_0086____Rx0 SMEC_ALL_0106____Rx0 SMER_ALL_0106____Rx0 MORT_ALL_0094____Rx0 RWA+ shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD+ values instead of the institution's PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD+ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I of Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) shall be used (see Annex II of Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions). For each obligor grade, p ⁺ shall be the largest positive value satisfying the equation $p^{+} - Φ^{- 1} (q) \times \sqrt{\frac{p^{+} \times (1 - p^{+})}{n}} \leq {DR}_{1y}$ , where DR _5y > 0 and p ^– : = 0 where DR _5y = 0, In this equation, Φ ^{– 1} the inverse function of the standard normal (cumulative) distribution; q the confidence level set at 90 %; DR ₁ _y the case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted during the latest year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date; n the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD+ shall be equal to p ⁺ , where p ⁺ shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor.
270	RWA--		Institutions shall calculate and report RWA-- for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 with the following portfolio ID, respectively: CORP_ALL_0086____Rx0 SMEC_ALL_0106____Rx0 SMER_ALL_0106____Rx0 MORT_ALL_0094____Rx0 RWA-- shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD-- values instead of the institution's PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD-- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I of Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) shall be used (see Annex II of Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions). For each obligor grade, p ^–– shall be the smallest positive value satisfying the equation $p^{- -} + Φ^{- 1} (q) \times \sqrt{\frac{p^{- -} \times (1 - p^{- -})}{n}} \geq {DR}_{5y}$ where, Φ ^{– 1} the inverse function of the standard normal (cumulative) distribution; q the confidence level set at 90 %; DR ₅ _y the default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates; n the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD-- shall be equal to p ^–– , where p ^–– shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor.
280	RWA++		Institutions shall calculate and report RWA++ for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 with the following portfolio ID, respectively: CORP_ALL_0086____Rx0 SMEC_ALL_0106____Rx0 SMER_ALL_0106____Rx0 MORT_ALL_0094____Rx0 RWA++ shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD++ values instead of the institution's PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD++ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 005 of Template C 08.02 of Annex I of Regulation (EU) No 680/2014 (cf. Q&A 2016_2782) shall be used (see Annex II of Regulation (EU) No 680/2014, C 08.01 column 010 and C 08.02 for instructions). For each obligor grade, p ⁺⁺ shall be the largest positive value satisfying the equation $p^{+ +} - Φ^{- 1} (q) \times \sqrt{\frac{p^{+ +} \times (1 - p^{+ +})}{n}} \leq {DR}_{5y}$ where, Φ ^{– 1} the inverse function of the standard normal (cumulative) distribution; q the confidence level set at 90 %; DR ₅ _y the default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates; n the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD++ shall be equal to p ⁺⁺ , where p ⁺⁺ shall be calculated in accordance with the above formula for the obligor grade assigned to the obligor.

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).