PART II: TEMPLATE RELATED INSTRUCTIONS C 101 Details on exposures in Low Default Portfolios by counterparty – Column Label Legal reference Instructions 010 Counterparty Column 010 of The counterparty code assigned by the EBA to the counterparty included in the LDP samples portfolios shall be Code template 101 of reported. This code is a row identifier and shall be unique for each row in the table. Annex I 020 Exposure class Paragraph 78 of Each portfolio shall be assigned to one of the following exposure classes: Annex 2 of (a) Central banks and central governments; Commission (b) Institutions; Implementing (c) Corporate SME; – Regulation (EU) (d) Corporate Specialised lending; – No 680/2014 (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 non SME; – – (k) Not applicable applicable’ be used where none of the answers in the list is correct which is the case when a counterparty is ‘Not classified in multiple asset classes, without one being clearly predominant 040 Rating The rank of the internal rating 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 The date of the most recent rating of the counterparty shall be reported. recent rating of counterparty 060 PD Column 010 of The PD assigned to the obligor grade or pool that shall be reported shall be based on the provisions laid down in template 8.1 of Article 180 of Regulation (EU) No 575/2013. The PD shall be the PD used in the calculation of the RWA, excluding Annex 1 of the effect of potential measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 (‘CRR’). Commission The PD shall be expressed as a value between 0 and 1. Implementing Regulation (EU) All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by No 680/2014 the respective competent authority.
PART II: TEMPLATE RELATED INSTRUCTIONS C 101 – Details on exposures in Low Default Portfolios by counterparty Column Label Legal reference Instructions 010 Counterparty Code Column 010 of template 101 of Annex I The counterparty code assigned by the EBA to the counterparty included in the 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 2 of Commission 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 – non – SME; (k) Not applicable ‘Not applicable’ 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 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 1 of Commission 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 (‘CRR’). 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.
Annex+4+%28Credit+risk+reporting+instructions%29.docx