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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 )

Type Implementing Regulation
Publication 2016-12-02
Last updated 2025-04-01
State In force
Department European Commission
Source EUR-Lex
articles 7
Reform history JSON API

Article 1

Reporting by the institutions for the purposes of Article 78(2) of Directive 2013/36/EU on an individual and consolidated basis

For the purposes of Article 78(2) of Directive 2013/36/EU, an institution referred to in paragraph 1 of that Article shall submit to its competent authority all the information referred to in Articles 2 and 3 on an individual and consolidated basis.

Article 2

Reporting of information for credit risk

For internal approaches for credit risk, an institution shall submit to its competent authority the following information:

  • (a) the information specified in template 101 of Annex III, for the counterparties referred to in template 101 of Annex I, in accordance with the instructions referred to in Tables C 101 of Annex II and Annex IV respectively;
  • (b) the information specified in template 102 of Annex III, for the portfolios referred to in template 102 of Annex I, in accordance with the instructions referred to in Tables C 102 of Annex II and Annex IV respectively;
  • (c) the information specified in template 103 of Annex III, for the portfolios referred to in template 103 of Annex I, in accordance with the instructions referred to in Tables C 103 of Annex II and Annex IV respectively;
  • (e) the information specified in template 105 of Annex III in relation to the name and characteristics of the internal approaches used for the computation of the results provided in templates 102 to 104 of Annex III, in accordance with the instructions referred to in Table C 105 of Annex IV;
  • (f) the information specified in template 111.00 of Annex VIII, for the counterparties referred to in template 101 of Annex I, in accordance with the instructions referred to in Tables C101 and C 111.00 of Annex II and Annex IX respectively;
  • (g) the information specified in template 112.00 of Annex VIII, for the counterparties referred to in template 101 of Annex I, in accordance with the instructions referred to in Tables C101 and C 112.00 of Annex II and Annex IX respectively;
  • (h) the information specified in template 113.00 of Annex VIII, for the counterparties referred to in template 101 of Annex I, in accordance with the instructions referred to in Tables C101 and C 113.00 of Annex II and Annex IX respectively;
  • (i) the information specified in template 114.00 of Annex VIII, for all the geographical areas of the counterparties referred to in template 101 of Annex I, in accordance with the instructions referred to in Tables C101 and C114.00 of Annex II and Annex IX respectively;
  • (j) the information specified in template 115.00 of Annex VIII, for the counterparties referred to in template 104 of Annex I, in accordance with the instructions referred to in Tables C104 and C 115.00 of Annex II and Annex IX, respectively;
  • (k) the information specified in template 116.00 of Annex VIII, for the counterparties referred to in template 104 of Annex I, in accordance with the instructions referred to in Tables C104 and C 116.00 of Annex II and Annex IX, respectively;
  • (l) the information specified in template 117.00 of Annex VIII, for the counterparties referred to in template 104 of Annex I, in accordance with the instructions referred to in Tables C104 and C 117.00 of Annex II and Annex IX, respectively;
  • (m) the information specified in template 118.00 of Annex VIII, for the counterparties referred to in template 104 of Annex I, in accordance with the instructions referred to in Tables C104 and C 118.00 of Annex II and Annex IX, respectively.

Article 3

Reporting of information for market risk
1.

For internal approaches for market risk, an institution shall submit to its competent authority the information specified in the templates of Annex VII, in accordance with the portfolio definitions and instructions contained in Annexes V, VI and X.

2.

As a derogation from paragraph 1, an institution shall not be required to submit the information referred to in paragraph 1 for an individual portfolio in any of the following cases:

  • (a) the institution does not have the permission from its competent authority to model the relevant instruments or risk factors that are included in the portfolio;
  • (b) there is no internal approval by the management of that institution to operate in one or more instruments or in the underlying assets included in the relevant portfolios;
  • (c) one or more of the instruments included in the portfolios incorporate underlying risks or modelling features that are not contemplated in the institution's risk metrics.
3.

An institution that meets the conditions of paragraph 2 and has decided not to submit the information referred to in paragraph 1 on one or more portfolios shall:

  • (a) report those portfolios and indicate which of the reasons listed in paragraph 2 is the cause thereof.

Article 4

Reference and remittance dates
1.

An institution shall submit to its competent authority the information referred to in Article 1 on the following reporting reference dates:

  • (a) the information referred to in Article 2 shall be submitted as it stands on 31 December of each year;
  • (b) the information referred to in Article 3 shall be submitted as it stands on the reporting reference dates specified in the instructions laid down in Annexes V and VI.
2.

An institution shall submit to its competent authority the information referred to in Article 2 by 11 April of each year. An institution shall submit to its competent authority the information referred to in Articles 3 by the remittance dates specified in Annex V.

3.

Where the date referred to in paragraph 2 is not a working day in the Member State of the competent authority to which the information is to be submitted, the information shall be submitted on the following working day.

4.

An institution shall submit to its competent authority any corrections to the submitted information without undue delay.

Article 5

Initial market valuation for market risk

For portfolios other than those reported in accordance with point (a) of Article 3(3), an institution shall report to its competent authority an initial market valuation of those portfolios or of individual instruments included in those portfolios, as applicable, at the precise date specified in the instructions set out in Annex VI.

Article 6

IT solutions for the reporting

When submitting information in accordance with Article 1, an institution shall use the IT solution developed for the purposes of the supervisory reporting in accordance with Article 17 of Implementing Regulation (EU) No 680/2014.

Article 8

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

ANNEX I

Definition of Supervisory Benchmarking portfolios for IRB and IFRS9 benchmarking
HDP and LDP EXPOSURES TEMPLATES HDP and LDP EXPOSURES TEMPLATES HDP and LDP EXPOSURES TEMPLATES HDP and LDP EXPOSURES TEMPLATES HDP and LDP EXPOSURES TEMPLATES HDP and LDP EXPOSURES TEMPLATES
Sheet Number BM Type Template for data to be collected Annex Name of the template /group of templates Short name
101 IRB C 101.00 Annex III Definition of Low Default Portfolio counterparties LDP Counterparties_IRB_IFRS9
101 IFRS9 C 111.00, C 112.00, C 113.00, C 114.00 Annex VIII Definition of Low Default Portfolio counterparties LDP Counterparties_IRB_IFRS9
102 IRB C 102.00 Annex III Definition of Low Default Portfolios LDP Portfolios_IRB
103 IRB C 103.00 Annex III Definition of High Default Portfolios HDP Portfolios_IRB
104 IFRS9 C 115.00, C 116.00, C 117.00, C 118.00 Annex VIII Definition of High Default Portfolios for IFRS 9 templates HDP Portfolios_IFRS9

C 101.00 -   Definition of Low Default Portfolio counterparties

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