6. Classification of dimensions and sub-dimensions

The dimensions and subdimensions of a subset of sectoral exposures referred to in Section 4 should include the elements specified in this section. An overview of the dimensions and correlated subdimensions and their elements that should be used to identify a specific subset of a sectoral exposure in accordance with these guidelines is included in Annex 1.

6.1. Type of debtor or counterparty sector

The dimension ‘type of debtor or counterparty sector’ should include two mutually exclusive elements:

6.1.1. legal person; or

6.1.2. natural person.

The element ‘legal person’ should include the following subelements:

6.1.1.1. non-financial corporations;

6.1.1.2. financial corporations; and

6.1.1.3. general government.

6.1.a. Economic activity

The subdimension ‘economic activity’ should include the economic activities identified by an alphabetical code in the first level (sections) of the common statistical classification of economic activities in the European Community (NACE Revision 2) as set out in Annex 1 to Regulation (EC) No 1893/200614.

6.2. Type of exposure

The dimension 'type of exposure' should include the following elements:

6.2.1. all exposures;

6.2.2. retail exposures; and

6.2.3. other than retail exposures.

A further breakdown by the following instruments may be considered, following the classification set out in Annexes II and IV to Commission Implementing Regulation (EU) No 680/201415:

• a. on-balance sheet items:
• i. equity instruments,
• ii. debt securities and
• iii. loans and advances.
• b. off-balance sheet items:
• iv. loan commitments given,
• v. financial guarantees given and
• vi. other commitments given.

The instrument 'loans and advances' should include the following breakdown:

iii.a FX loans; and

iii.b credit for consumption.

6.2.a. Risk profile

The subdimension 'risk profile’ should include the following elements:

6.2.a.1. non-performing;

6.2.a.2. risk-weight;

6.2.a.3. total debt-to-EBITDA ratio (only for legal persons);

6.2.a.4. loan-to-value (LTV) ratio;

6.2.a.5. loan-to-income ratio (only for natural persons);

6.2.a.6. debt-to-income (DTI) ratio (only for natural persons); and

6.2.a.7. debt service-to-income ratio (only for natural persons). Elements 6.2.a.4 to 6.2.a.7 should follow the methods for measuring and calculating them and definitions set out in Annexes IV and V to Recommendation ESRB/2016/14 on closing real estate data gaps as amended by the recommendation of the European Systemic Risk Board of 21 March 2019 (ESRB/2019/3).

Elements 6.2.a.1 to 6.2.a.7 should include the indication of a threshold that should or not should be exceeded when identifying a subset of exposures.

6.3. Type of collateral

The dimension ‘type of collateral’16 should include the following mutually exclusive elements:

6.3.1. secured/collateralized; and

6.3.2. unsecured.

The element ‘secured/collateralized’ should include the following breakdown:

6.3.1.1. all types of collateral;

6.3.1.2. secured by residential property (RRE);

6.3.1.3. secured by commercial immovable property (CRE); and

6.3.1.4. secured by other than immovable property.

6.3.a. Geographical area

The subdimension ‘geographical area‘ should include the following elements (territorial units), following the European common classification of territorial units for statistics (NUTS) set out in Annex I to Regulation (EC) No 1059/200317:

6.3.a.1. Member State (NUTS level 1 territorial unit¹⁸ );

6.3.a.2. region of a Member State (NUTS level 2 territorial unit); and

6.3.a.3. subregion or city of the previous territorial units (NUTS level 3 territorial unit).

¹⁸ In the cases of larger Member States, NUTS 1 refers not to the whole Member State but to regions of it. Therefore, this level is kept as an element although for some Member States this level will not be relevant.

When combining one element from the sub-dimension ‘geographical area’ with an element or subelement of the dimension ‘type of collateral’, the subdimension ‘geographical area’ should be understood as follows:

• a) when the exposure is secured by residential or commercial immovable property, the subdimension refers to the specific location of the property (region, subregion or city) within the Member State or to all exposures secured in that Member State;
• b) when the exposure is secured by other than immovable property, the subdimension refers, in the case of natural persons, to the place of residence of the debtor or counterparty (region, sub-region or city) within the Member State or to all exposures secured by other than immovable property in that Member State and, in the case of legal persons, the specific place of the registered office of the legal person (region, subregion or city) within the Member State;
• c) when the exposure is unsecured, the subdimension refers, in the case of natural persons, to the specific place of residence of the debtor or counterparty (region, subregion or city) within the Member State or to all unsecured exposures in that Member State and, in the case of legal persons, the specific place of the registered office of the legal person (region, subregion or city) within the Member State.