Instruction No. 11/2016 amending Instruction No. 21/2008 on the Credit Obligations Central

Instruction No. 11/2016
BO No. 9 • 15-09-2016
..................................................................................................................................................................................................
Topics
Credit Obligations • Credit Obligations Central Mod. 99999911/T – 01/14 Index Text of the Instruction Text of the Instruction Subject: Regulation of the Credit Obligations Central The Bank of Portugal, under Article 17 of its Organic Law, by means of this Instruction, amends Instruction No. 21/2008, published in Official Bulletin No. 1/2009 of 15 January, as follows:

1. A new point 5.5 is added, with the heading “Communication of the probability of default of debtors” and the following wording:

5.5. Communication of the probability of default of debtors
Banks, Caixa Central, and mutual agricultural credit unions and economic savings banks resident in the national economic territory must additionally communicate monthly the following information regarding debtors who are resident legal entities, in the format defined in Annex IV:
a) Probability of default of the debtor, determined using the Internal Ratings Based (IRB) method approved by the Bank of Portugal for the purpose of calculating own funds requirements. In the event that there is personal credit guarantee, the probability of default of the debtor must be reported, ignoring said guarantee. b) In cases where the participating entity does not have IRB rating systems recognized by the competent supervisory authority, the probability of default determined by the rating systems used internally (where applicable) must be reported. c) The reference date of the accounting elements used to determine the respective probability of default. d) The date of assignment/review of the probability of default. e) Model/risk segment.

Instruction No. 11/2016 BO No. 9 • 15-09-2016
Topics Credit Obligations • Credit Obligations Central
..................................................................................................................................................................................................
Mod. 99999911/T – 01/14

2. Paragraph a) of point 8, Information covered by centralization, is amended to read as follows:
   a) The information communicated by participating entities, regarding credit obligation balances, in accordance with this Instruction.

3. In paragraph a) of point 9.1, Use of the BPnet system, the Instruction referenced is updated, now reading as follows:
   a) Communications and requests for information sent by participating entities to the Bank of Portugal shall be made exclusively through the BPnet electronic communication system (regulated by Instruction No. 5/2016, published on 15 April 2016).

4. Paragraph b) of point 10.2, Deadlines for rectifying centralized information, is deleted, and its paragraph a) is amended to read as follows:
   a) The rectification of obligations related to periods covered by this Instruction, i.e., from January 2009 inclusive, must be carried out within a maximum period of 5 business days.

5. Point 11.4, Period for keeping information, is amended to read as follows:
   Monthly data on credit obligations of debtors, communicated under this Instruction, are archived for a period of five years.

6. In Annex I, Table 9, Special characteristic, the Instruction referenced in the description of code 013, Credit restructured due to client financial difficulties, is updated. Table 9 is now as follows:

Table 9 – Special characteristic
Code Description
005 Syndicated credit
006 Credit secured by mortgage bonds
007 Credit secured by public sector bonds
008 Credit associated with emigrant savings accounts for the acquisition of properties 009 Credit associated with emigrant savings accounts for other purposes 010 Credit for protection of permanent own home – Decree-Law 103/2009 011 Loan delivered as collateral for Eurosystem credit operations 012 Loan characterized with identification code (IEB) 013 Credit restructured due to client financial difficulties (Instruction 32/2013) 014 Credit at risk (Instruction 16/2004) Credit integrated into an Extrajudicial Procedure for Regularization of Default Situations (PERSI) (DL 227/2012) or an Extraordinary Regime (Law 58/2012) Credit assigned in a securitization operation not derecognized with the intervention of a resident financial vehicle Credit assigned in a securitization operation not derecognized with the intervention of a non-resident financial vehicle Credit assigned in a securitization operation derecognized with the intervention of a resident financial vehicle Credit assigned in a securitization operation derecognized with the intervention of a non-resident financial vehicle

7. A new Annex IV, “Communication of the probability of default of debtors,” is introduced with the following content:

Annex IV
COMMUNICATION OF THE PROBABILITY OF DEFAULT OF DEBTORS The communication to the Bank of Portugal of the probability of default of debtors, in accordance with point 5.5 of this Instruction, must be carried out through the secure electronic mail functionality of the BPnet electronic communication system (regulated by Instruction No. 5/2016, published on 15 April 2016). The communication of the information must be carried out by sending a file in CSV format (with the field separator being a semicolon and the decimal separator being a period), and the variables to be reported must follow the following specifications:

Variable Name	Specification	Format/Range
Legal Entity Identification Number of the Debtor	Numeric	9 positions (Free, without line breaks) Probability of default of the debtor (Determined for the purpose of calculating own funds requirements according to the IRB method)

8. This Instruction enters into force on the date of its publication. The communication of information to the Bank of Portugal under this Instruction begins on 1 November 2016, with the reporting of credit obligation balances and probabilities of default referring to October 2016.