ANNEX VIII - Results Supervisory Benchmarking portfolios

Template
Template code
number
111.01 C 111.01
111.02 C 111.02
111.03 C 111.03
111.04 C 111.04
 EN
ANNEX VIII
ts Supervisory Benchmarking portfolios

Name of the template /group of templates

Details on exposures in Low Default Portfolios by counterparty

Details on exposures in Low Default Portfolios by counterparty by economic scenario
Details on exposures in Low Default Portfolios by counterparty by facility
Details on macroeconomic scenarios per country
Basic information about the reporting entity
Legal Entity Identifier (LEI code)
Name of the institution
Country (drop-down box)
ut the reporting entity
C 111.01 - Details on exposures in Low Default Portfolios by counterparty

Counterparty Code Number of facilities PD - 12 months - IFRS 9

010 020 100

Portfolios by counterparty

PD - IRB without LGD - IFRS 9 Exposure value - IFRS 9 ECL amount - 12

conservative months IFRS 9
adjustment

110 200 300 400

Expected Loss - IRB

410
C 111.02 - Details on exposures in Low Default Portfolios by counterparty by e

Counterparty Economic PD - 0 - 12 PD - 0 - 24 PD - 0 - 36
Code scenario ID months months months
010 020 100 110 120
by counterparty by economic scenario

PD - 0 - 48 PD - 0 - 60 PD - 0 - 72 PD - 0 - 84 PD - 0 - 96
months months months months months
130 140 150 160 170
PD - 0 - 108 PD - 0 - 120
months months
180 190
C 111.03 - Details on exposures in Low Default Portfolios by counterparty by f

Counterparty facility ID Exposure value Stage

Code
010 020 100 200
ortfolios by counterparty by facility

Annualised Annualised PD at reporting Quantitative Stage 2 trigger (in

originated PD date annualised PD)
300 400 500
LCR exemption threshold (if Qualitative Stage 2
applicable) Trigger set
550 600
C 111.04 - Details on macroeconomic scenarios per country

Country Code Economic scenario GDP growth - 0 - GDP growth - 12 -

ID 12 months 24 months
010 020 100 110
per country

GDP growth - 24 - GDP growth - 36 - GDP growth - 48 - GDP growth - 60 - GDP growth - 72 -
36 months 48 months 60 months 72 months 84 months
120 130 140 150 160
GDP growth - 84 - GDP growth - 96 - GDP growth - 108 Weight of the
96 months 108 months - 120 months scenario
170 180 190 200