Template number | Template code | Name of the template /group of templates |
111.00 | C 111.00 | Details on exposures in Low Default Portfolios by counterparty |
112.00 | C 112.00 | Details on exposures in Low Default Portfolios by counterparty by economic scenario |
113.00 | C 113.00 | Details on exposures in Low Default Portfolios by counterparty by facility |
114.00 | C 114.00 | Details on macroeconomic scenarios per GDP Area code |
115.00 | C 115.00 | Details on exposures in High Default Portfolios |
116.00 | C 116.00 | Details on exposures in High Default Portfolios by economic scenario |
117.00 | C 117.00 | Details on exposures in High Default Portfolios by staging |
118.00 | C 118.00 | Details on macroeconomic scenarios per GDP Area code |
Basic information about the reporting entity
Legal Entity Identifier (LEI code) | ||||
Name of the institution | ||||
Country (drop-down box) | ||||
Reference Date (drop-down box) | ||||
File name naming conventions: | <Reference date>_<country code of the bank>_<LEI CODE>_S<submission number>.xls | |||
Example: | 2019_12_31_AT_AAAAAAAAAAAAAAA_S1.xls | |||
In case of different LEI between the file name and cell E9 then the values in E9 will be considered. | ||||
C 111.00 – Details on exposures in Low Default Portfolios by counterparty
Counterparty Code | Number of facilities | GDP Area Code | Exposure value - IFRS 9 | Gross carrying amount | PD - 12 months - IFRS 9 | PD - IRB without conservative adjustment | LGD - IFRS 9 | ECL amount - 12 months IFRS 9 | Expected Loss Amount - IRB | LGD IFRS 9 Unsecured 12M (Hypothetical) |
0010 | 0020 | 0030 | 0040 | 0045 | 0100 | 0110 | 0200 | 0400 | 0410 | 0500 |
C 112.00 - Details on exposures in Low Default Portfolios by counterparty by economic scenario
Counterparty Code | Economic scenario ID | PD - 0 - 12 months | PD - 0 - 24 months | PD - 0 - 36 months | PD - 0 - 48 months | PD - 0 - 60 months | PD - 0 - 72 months | PD - 0 - 84 months | PD - 0 - 96 months | PD - 0 - 108 months | PD - 0 - 120 months |
0010 | 0020 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 |
C 113.00 - Details on exposures in Low Default Portfolios by counterparty by facility
Counterparty Code | facility ID | Exposure value | Impairment status | Annualised originated PD | Annualised PD at reporting date | Quantitative Stage 2 trigger (in annualised PD) | Low Credit Risk Exemption threshold (if applicable) | Qualitative Stage 2 Trigger set |
0010 | 0020 | 0100 | 0200 | 0300 | 0400 | 0500 | 0550 | 0600 |
C 114.00 – Details on macroeconomic scenarios per GDP Area code
GDP Area code | Economic scenario ID | GDP growth - 0 - 12 months | GDP growth - 12 - 24 months | GDP growth - 24 - 36 months | GDP growth - 36 - 48 months | GDP growth - 48 - 60 months | GDP growth - 60 - 72 months | GDP growth - 72 - 84 months | GDP growth - 84 - 96 months | GDP growth - 96 - 108 months | GDP growth - 108 - 120 months | Weight of the Scenarios - 0 - 12 months | Weight of the Scenarios - 12 - 24 months | Weight of the Scenarios - 24 - 36 months | Weight of the Scenarios - 36 - 48 months | Weight of the Scenarios - 48 - 60 months | Weight of the Scenarios - 60 - 72 months | Weight of the Scenarios - 72 - 84 months | Weight of the Scenarios - 84 - 96 months | Weight of the Scenarios - 96 - 108 months | Weight of the Scenarios - 108 - 120 months |
0010 | 0020 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0199 | 0201 | 0202 | 0203 | 0204 | 0205 | 0206 | 0207 | 0208 | 0209 |
C 115.00 - Details on exposures in High Default Portfolios
Portfolio ID | Number of obligors | GDP Area Code | Exposure value - IFRS 9 Stage 1 | Exposure value - IFRS 9 Stage 2 | Exposure value - IFRS 9 Stage 3 | Gross carrying amount | PD - 12 months - IFRS 9 | PD - 12 months - IFRS 9 without overlays | PD - 12 months - IFRS 9 TTC/Unconditional | PD - 12 months - IFRS 9 - Stage 1 | PD - 12 months - IFRS 9 - Stage 2 | Collateral value | LGD - IFRS 9 | LGD - IFRS 9 without overlays | Residual maturity | ECL amount IFRS 9 Stage 1 | ECL amount IFRS 9 Stage 2 | ECL amount IFRS 9 Stage 3 | ECL amount IFRS 9 without overlays Stage 1 | ECL amount IFRS 9 without overlays Stage 2 | ECL amount IFRS 9 without overlays Stage 3 | Expected Loss amount- Stage 1 | Expected Loss amount- Stage 2 | Expected Loss amount- Stage 3 |
0010 | 0040 | 0045 | 0050 | 0051 | 0052 | 0055 | 0100 | 0105 | 0106 | 0107 | 0108 | 0120 | 0130 | 0133 | 0140 | 0145 | 0146 | 0147 | 0148 | 0149 | 0150 | 0160 | 0161 | 0162 |
C 116.00 - Details on exposures in High Default Portfolios by economic scenario
Portfolio ID | Economic scenario ID | PD - 0 - 12 months | PD - 0 - 24 months | PD - 0 - 36 months | PD - 0 - 48 months | PD - 0 - 60 months | PD - 0 - 72 months | PD - 0 - 84 months | PD - 0 - 96 months | PD - 0 - 108 months | PD - 0 - 120 months | ECL amount IFRS 9 Stage 1 | ECL amount IFRS 9 Stage 2 | ECL amount IFRS 9 Stage 3 |
0010 | 0020 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0200 | 0201 | 0202 |
C 117.00 - Details on exposures in High Default Portfolios by staging
Portfolio ID | Stage 1 exposures under Low credit risk exemption | Low credit risk exemption threshold | Stage 1 exposures with more than a three- fold increase in PD | Exposures in stage 2 due to quantitative triggers | Exposures in stage 2 due to qualitative or backstop indicators | Additional ECL amount in case of transfer to stage 2 | Transition rate from stage 1 to stage 3 | Transition rate from stage 2 to stage 3 | Total transfers to stage 3 | Transfers from stage 1 directly to stage 3 |
0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0080 | 0120 | 0130 | 0140 | 0150 |
C 118.00 – Details on macroeconomic scenarios per GDP Area code
GDP Area code | Economic scenario ID | GDP growth - 0 - 12 months | GDP growth - 12 - 24 months | GDP growth - 24 - 36 months | GDP growth - 36 - 48 months | GDP growth - 48 - 60 months | GDP growth - 60 - 72 months | GDP growth - 72 - 84 months | GDP growth - 84 - 96 months | GDP growth - 96 - 108 months | GDP growth - 108 - 120 months | Weight of the Scenarios - 0 - 12 months | Weight of the Scenarios - 12 - 24 months | Weight of the Scenarios - 24 - 36 months | Weight of the Scenarios - 36 - 48 months | Weight of the Scenarios - 48 - 60 months | Weight of the Scenarios - 60 - 72 months | Weight of the Scenarios - 72 - 84 months | Weight of the Scenarios - 84 - 96 months | Weight of the Scenarios - 96 - 108 months | Weight of the Scenarios - 108 - 120 months |
0010 | 0020 | 0100 | 0110 | 0120 | 0130 | 0140 | 0150 | 0160 | 0170 | 0180 | 0190 | 0199 | 0201 | 0202 | 0203 | 0204 | 0205 | 0206 | 0207 | 0208 | 0209 |