ANNEX IVSupplementary provisions
ANNEX IV RESULTS SUPERVISORY BENCHMARKING PORTFOLIOS Table of Contents PART I: GENERAL INSTRUCTIONS 1369 PART II: TEMPLATE RELATED INSTRUCTIONS 1370 C 101 — DETAILS ON EXPOSURES IN LOW DEFAULT PORTFOLIOS BY COUNTERPARTY 1370 C 102 — DETAILS ON EXPOSURES IN LOW DEFAULT PORTFOLIOS 1373 C 103 — DETAILS ON EXPOSURES IN HIGH DEFAULT PORTFOLIO 1377 C 104 — DETAILS FOR HYPOTHETICAL TRANSACTIONS IN LOW DEFAULT PORTFOLIOS 1385 C 105.01 — DEFINITION OF INTERNAL MODELS 1387 C 105.02 — MAPPING OF INTERNAL MODELS TO PORTFOLIOS 1388 C 105.03 — MAPPING OF INTERNAL MODELS TO COUNTRIES 1389 PART I: GENERAL INSTRUCTIONS 1. Data shall be submitted only for those counterparties where an actual exposure or valid rating exists. 2. Data shall be submitted only for those exposures and hypothetical transactions where an internal model has been approved. 3. The following shall apply to Part II: (a) for the absolute values, the sum of the values shall be reported; (b) for the percentage values, the weighted average, using the exposure at default (‘EAD’) as weight, shall be reported; (c) as an exception to point (b), when calculating the conversion factor (‘CCF’), the weight used shall be the ‘original exposure’, i.e. the amount to which a CCF is applied in order to obtain the EAD, after taking into account credit risk mitigation (‘CRM’) techniques with substitution effects on the exposure (column 090 in templates 101, 102 and 103). PART II: TEMPLATE RELATED INSTRUCTIONS C 101 — Details on exposures in Low Default Portfolios by counterparty Column Label Legal reference Instructions 010 Counterparty Code Column 010 of template 101 of Annex I The counterparty code assigned by the EBA to the counterparty included in the LDP samples portfolios shall be reported. This code is a row identifier and shall be unique for each row in the table. 020 Exposure class Paragraph 78 of Annex II of Commission Implementing Regulation (EU) No 680/2014 Each portfolio shall be assigned to one of the following exposure classes: (a) Central banks and central governments; (b) Institutions; (c) Corporate — SME; (d) Corporate — Specialised lending; (e) Corporate — Other; (f) Retail — Secured by real estate SME; (g) Retail — Secured by real estate non-SME; (h) Retail — Qualifying revolving; (i) Retail — Other SME; (j) Retail — Other non — SME; (k) Not applicable ( 1 ) . 030 Regulatory approach The approach used for calculating own funds requirements that shall be reported shall be one of the following: (a) Foundation IRB approach: if exposures under the Foundation IRB approach represent 50 % or more of the IRB exposures to the counterparty; (b) Advanced IRB approach: if exposures under the Advanced IRB approach represent 50 % or more of the IRB exposures to the counterparty; (c) Specialised lending slotting criteria: if exposures under the slotting criteria represent 50 % or more of the IRB exposures to the counterparty; (d) IRB approach: if none of the conditions in points (a) to (c) is met and the institution applies IRB approaches to the exposures to the counterparty; (e) Not applicable. 040 Rating The rank of the internal rating grade applied by the institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc. 050 Date of most recent rating of counterparty The date of the most recent rating of the counterparty shall be reported. 060 PD Column 010 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The PD assigned to the obligor grade or pool that shall be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 120) shall be used for the calculation of the exposure-weighted average PD. The PD shall be expressed as a value between 0 and 1. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale shall be used. Otherwise, the different rating systems shall be merged and ordered according to the following criteria: (a) obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher; (b) where the institution uses a large number of grades or pools, it may agree to report with the competent authorities to report a reduced number of grades or pools. The institution shall contact its competent authority in advance if it wants to report a different number of grades in comparison with the internal number of grades. 070 Default status The default status to be reported shall be one of the following: (a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %; (b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %. 080 Original exposure pre-conversion factors Column 020 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The original exposure value before taking into account any value adjustments, specific credit risk adjustments, effects due to credit risk mitigation techniques or conversion factors shall be reported. 090 Exposure after CRM substitution effects pre-conversion factors Column 090 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The amount to which a CCF is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure. 100 CCF Second subparagraph of Article 166(8) of Regulation (EU) No 575/2013 For the exposures where own estimates of CCFs are applied, the weighted average CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD. 110 EAD Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure value shall be left blank if the institution has no IRB exposure for a given counterparty. 120 Collateral value Columns 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The market value of the collateral shall be reported. 130 Hyp LGD senior unsecured without negative pledge Article 161 of Regulation (EU) No 575/2013 The hypothetical own estimates of LGD that would be applied by the institution to the counterparty for senior unsecured exposures without a negative pledge clause shall be reported. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. 140 Hyp LGD senior unsecured with negative pledge Article 161 of Regulation (EU) No 575/2013 The hypothetical own estimated LGD that would be applied by the institution to the counterparty for senior unsecured exposures with a negative pledge clause shall be reported. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. 150 LGD Column 230 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted own estimates of LGD or the exposure-weighted regulatory LGD applied by the institution to the exposures to each counterparty shall be reported. 160 Maturity Column 250 of template8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted maturity for the exposures to each counterparty shall be reported. It shall be expressed in number of days. 170 RWA Column 260 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor shall be reported. C 102 — Details on exposures in Low Default Portfolios 4. An institution shall complete the columns below in accordance with the following rules: (a) if the institution has no IRB exposure for the portfolio, the EAD shall be left blank; (b) the PD shall be filled in for the entire rating scale; (c) if the institution has no IRB exposure for a given rating/segment, the EAD shall be 0 and the other columns shall be blank (except the PD for the rating scale). Column Label Legal reference Instructions 010 Portfolio ID Column 010 of template 102 of Annex I The code assigned by the EBA to each portfolio shall be reported. This code is a row identifier and shall be unique for each row in the table. 020 Exposure class Paragraph 78 of Annex II of Commission Implementing Regulation (EU) No 680/2014 Each portfolio shall be assigned to one of the following exposure classes: (a) Central banks and central governments; (b) Institutions; (c) Corporate — SME; (d) Corporate — Specialised lending; (e) Corporate — Other; (f) Retail — Secured by real estate SME; (g) Retail — Secured by real estate non-SME; (h) Retail — Qualifying revolving; (i) Retail — Other SME; (j) Retail — Other non — SME; (k) Not applicable. 030 Regulatory approach The approach used for calculating own funds requirements that shall be reported shall be one of the following: (a) Foundation IRB approach: if exposures under the Foundation IRB approach represent 50 % or more of the IRB exposures in the portfolio; (b) Advanced IRB approach: if exposures under the Advanced IRB approach represent 50 % or more of the IRB exposures in the portfolio; (c) Specialised lending slotting criteria: if exposures under the slotting criteria represent 50 % or more of the exposures in the portfolio that are under the IRB approach; (d) IRB approach: if none of the conditions in points (a) to (c) is met and the institution applies IRB approaches to the exposures in the portfolio; (e) Not applicable. 040 Number of obligors Column 300 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The number of obligors shall be reported. 050 Rating The rank of the internal rating grade applied by the institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc. This information shall only be reported for portfolios defined in Annex I that consist of exposures to a single rating grade, otherwise this cell shall be left blank. 060 PD Column 010 of table 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the expo-sure-weighted average PD. The PD shall be expressed as a value between 0 and 1. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale shall be used. Otherwise, the different rating systems shall be merged and ordered according to the following criteria: (a) obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher; (b) where the institution uses a large number of grades or pools, it may agree with the competent authorities to report a reduced number of grades or pools. The institution shall contact its competent authority in advance if it wants to report a different number of grades in comparison with the internal number of grades. 070 Default status The default status to be reported shall be one of the following: (a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %. (b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %. 080 Original exposure pre-conversion factors Column 020 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The original exposure value before taking into account any value adjustments, specific credit risk adjustments, effects due to credit risk mitigation techniques or conversion factors shall be reported. 090 Exposure after CRM substitution effects pre-conversion factors Column 090 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The amount to which a CCF is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure. 100 CCF Article 166(8) of Regulation (EU) No 575/2013 For the exposures where own estimates of CCFs are applied, the weighted average CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD. 110 EAD Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure value shall be reported. 120 Collateral value Columns 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The market value of the collateral shall be reported. 130 LGD Column 230 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted own estimates of LGD or the exposure-weighted regulatory LGD applied by the institution to the exposures held and included in each portfolio shall be reported. 140 Maturity Column 250 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted maturity shall be reported. It shall be expressed in number of days. 150 Expected Loss Column 280 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The expected loss shall be reported. 160 Provisions non-performing exposures Columns 050 and 060 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The specific credit risk adjustments for non-performing exposures shall be reported. 170 RWA Column 260 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor shall be reported. 180 RWA Standardised Row 900 of template 4 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported. C 103 — Details on exposures in High Default Portfolio Column Label Legal reference Instructions 010 Portfolio ID Column 010 of template 103 of Annex I The code assigned by the EBA to each portfolio shall be reported. This code is a row identifier and shall be unique for each row in the table. 020 Exposure class Paragraph 78 of Annex II of Commission Implementing Regulation (EU) No 680/2014 Each portfolio shall be assigned to one of the following exposure classes: (a) Corporate — SME; (b) Corporate — Specialised lending; (c) Corporate — Other; (d) Retail — Secured by real estate SME; (e) Retail — Secured by real estate non-SME; (f) Retail — Qualifying revolving; (g) Retail — Other SME; (h) Retail — Other non — SME; (i) Not applicable. 030 Regulatory approach The regulatory approach used for calculating own funds requirements that shall be reported shall be one of the following: (a) Foundation IRB approach: if exposures under the Foundation IRB approach represent 50 % or more of the IRB exposures in the portfolio; (b) Advanced IRB approach: if exposures under the Advanced IRB approach represent 50 % or more of the IRB exposures in the portfolio; (c) Specialised lending slotting criteria: if exposures under the slotting criteria represent 50 % or more of the exposures in the portfolio that are under the IRB approach; (d) IRB approach: if none of the conditions in points (a) to (c) and (e) to (j) is met and the institution applies IRB approaches to the exposures in the portfolio; (e) PD/LGD approach: for equity exposures; (f) Simple risk-weight approach: for equity exposures; (g) Internal models approach: for equity exposures; (h) Ratings based method: for securitisation exposures; (i) Supervisory formula method: for securitisation exposures; (j) Internal assessment approach: for securitisation exposures; (k) Not applicable. 040 Number of obligors Column 300 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The number of obligors shall be reported. 050 Rating The internal rating grade applied by the institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc. This information shall only be reported for portfolios defined in Annex I that consist of exposures to a single rating grade, otherwise this cell shall be left blank. 060 PD Column 010 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD. The PD shall be expressed as a value between 0 and 1. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report according to an internal master scale, this scale shall be used. Otherwise, the different rating systems shall be merged and ordered according to the following criteria: (a) Obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher; (b) where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. The institution shall contact its competent authority in advance if it wants to report a different number of grades in comparison with the internal number of grades. 070 Default status The default status shall be one of the following: (a) Defaulted: Those are the exposures assigned to the rating grade(s) with a PD of 100 %; (b) Non-defaulted: Those are the exposures assigned to rating grades with a PD lower than 100 %. 080 Original exposure pre conversion factors Column 020 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The original exposure value before taking into account any value adjustments, specific credit risk adjustments, effects due to credit risk mitigation techniques or conversion factors shall be reported. 090 Exposure after CRM substitution effects pre conversion factors Column 090 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The amount to which a conversion factor is applied in order to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure. 100 CCF Article 166(8) of Regulation (EU) No 575/2013 For the exposures where own estimates of CCFs are applied, the weighted average CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD. 110 EAD Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure value shall be reported. 120 Collateral value Column 150 to 210 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The market value of the collateral shall be reported. 130 LGD Column 230 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted own estimates of LGD or exposure-weighted regulatory LGD applied by the institution to the exposures to each portfolio shall be reported. 140 Maturity Column 250 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted maturity shall be reported. It shall be expressed in number of days. 150 Expected Loss Column 280 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The expected loss shall be reported. 160 Provisions non-performing exposures Columns 050 and 060 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The specific credit risk adjustments for non-performing exposures shall be reported. 170 RWA Column 260 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor shall be reported. 180 RWA Standardised Row 900 of template 4 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported. 190 Default rate latest year Columns 010, 030 and 040 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The default rate for the latest year shall be reported. The default rate is defined as the observed new defaults for the last year (column 040 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014) divided by the amount of the non-defaulted assets existing 1 year before the reference date (the difference between column 010 and column 030 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014). 200 Default rate past 5 years Columns 010, 030 and 040 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted average of the default rates observed in the last 5 years shall be reported. For the definition of default rate see column 190. If the institution is not able to calculate a default rate for the past 5 years it shall develop a proxy using its longest history up to 5 years and provide the documentation detailing the calculation to its competent authority. 210 Loss rate latest year Columns 040 and 070 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 and Commission Delegated Regulation (EU) No 183/2014 The loss rate observed in the latest year shall be reported. The loss rate is defined as the sum of credit risk adjustments and write-offs for the exposures that were classified as ‘defaulted exposures’ in the latest year (column 070 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014) divided by the amount of the observed new defaults in the last year (column 040 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014). 220 Loss rate past 5 years Columns 040 and 070 of template 9.2 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted average of the loss rates observed in the last 5 years shall be reported. For the definition of loss rate see column 210. If the institution is not able to calculate a loss rate for the past 5 years it shall develop a proxy using its longest history up to 5 years and provide documentation detailing the calculation to its competent authority. 230 RWA* Institutions shall calculate and report RWA* for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 and are identified with the following portfolio ID: (a) CORP0007; (b) SMEC0008; (c) SMER0008; (d) MORT0010; (e) CORP0007<Risk type code>; (f) SMEC0008<Risk type code>; (g) SMER0008<Risk type code>; (h) MORT0010<Risk type code>; (i) <Country Code>CORP0007; (j) <Country Code>SMEC0008; (k) <Country Code>SMER0008; (l) <Country Code>MORT0010; (m) <Country Code>CORP0007<Risk type code>; (n) <Country Code>SMEC0008<Risk type code>; (o) <Country Code>SMER0008<Risk type code>; (p) <Country Code>MORT0010<Risk type code>. The risk-weighted exposure amount, after applying the SME supporting factor, that would result from the application of PD* instead of the original PD on the rating grade level shall be reported. No compensation between rating grades shall be taken into account. PD* is the smallest PD estimate for which the one-sided binomial test (based on normal approximation of binomial distribution with confidence level of 97,5 %) would be passed. PD* = min PD* so that: With: PD* = the probability of default for the rating grade; Φ – 1 = the inverse function of the standard normal distribution; q = the confidence level; DR 1y = the case-weighted default rate of the latest year for the rating grade; n = the number of non-defaulted debtors at the beginning of the period. An institution using continuous PD shall first determine the PD* for the average PD of each rating class and subsequently apply by rating class the same relative deviation between PD and PD* at counterpart level as for the average PD and PD* at rating grade level. If the prohibition from taking into account compensation between rating grades leads to a situation where, for a given rating grade, PD* is less than PD then for that rating grade the PD shall be used in the calculation of the risk-weighted exposure amount. 240 RWA** Institutions shall calculate and report RWA** for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in Annex I, template 103 and are identified with the following portfolio ID: (a) CORP0007; (b) SMEC0008; (c) SMER0008; (d) MORT0010; (e) CORP0007<Risk type code>; (f) SMEC0008<Risk type code>; (g) SMER0008<Risk type code>; (h) MORT0010<Risk type code>; (i) <Country Code>CORP0007; (j) <Country Code>SMEC0008; (k) <Country Code>SMER0008; (l) <Country Code>MORT0010; (m) <Country Code>CORP0007<Risk type code>; (n) <Country Code>SMEC0008<Risk type code>; (o) <Country Code>SMER0008<Risk type code>; (p) <Country Code>MORT0010<Risk type code>. The risk-weighted exposure amount, after applying the SME supporting factor, that would result from the application of PD** instead of the original PD on the rating grade level shall be reported. No compensation between rating grades shall be taken into account. PD** is the smallest PD estimate for which the one-sided binomial test (based on normal approximation of binomial distribution with confidence level of 97,5 %) would be passed. The rating grade shall be the following PD** = min PD** so that: With: PD** = the probability of default for the rating grade; Φ – 1 = the inverse function of the standard normal distribution; q = the confidence level; DR 5y = the case-weighted default rate of the 5 latest year for the rating grade; n = the number of non-defaulted debtors at the beginning of the period. An institution using continuous PD shall determine first the PD** for the average PD of each rating class and subsequently apply by rating class the same relative deviation between PD and PD** at counterpart level as for the average PD and PD** at rating grade level. If the prohibition from taking into account compensation between rating grades leads to a situation where, at rating grade level, PD** is less than PD then for that rating grade the PD shall be used in the calculation of the risk-weighted exposure amount. C 104 — Details for hypothetical transactions in Low Default Portfolios Column Label Legal reference Instructions 010 Transaction ID Column 010 of template 101 of Annex I The code assigned by the EBA to the hypothetical transaction included in the LDP samples shall be reported. This code is a row identifier and shall be unique for each row in the table. 020 Rating The rank of the internal rating grade of each institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %). It shall follow the numerical order 1, 2, 3 etc. 030 PD The PD corresponding to the internal rating grade assigned by the institution to the hypothetical transaction shall be reported. The PD shall be expressed as a value between 0 and 1. 040 Original exposure pre conversion factors Column 020 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The amount to which a CCF is applied in order to obtain the EAD of the hypothetical transaction shall be reported. 050 CCF Article 166(8) of Regulation (EU) No 575/2013 The CCF applied by the institutions to the hypothetical transaction shall be reported. 060 Collateral value before haircut The market value of the collateral before the application of the haircut shall be reported. 070 Haircut The conservative adjustment applied by the institution to the market value of the collateral shall be reported. 080 Collateral value after haircut The market value of the collateral (see column 060) after the application of the haircut (see column 070) shall be reported. 090 EAD Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure value of the hypothetical transaction shall be reported. 100 EAD unsecured The exposure value of an unsecured hypothetical transaction shall be reported. If the hypothetical transaction is only partly secured and if the institution splits, in accordance with a regular practice, such exposures into fully secured and unsecured parts, the exposure value of the unsecured part shall be reported. 110 EAD secured The exposure value of a fully secured hypothetical transaction shall be reported. If the hypothetical transaction is only partly secured and if the institution splits, in accordance with a regular practice, such exposures into fully secured and unsecured parts, the exposure value of the fully secured part(s) shall be reported. 120 LGD Column 230 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The exposure-weighted own estimates of LGD or the exposure-weighted regulatory LGD applied by the institutions to the hypothetical transaction shall be reported. 130 LGD unsecured The own estimate of LGD applied by the institution to an unsecured hypothetical transactions shall be reported. If the hypothetical transaction is only partly secured and if the institution splits, in accordance with a regular practice, such exposures into fully secured and unsecured parts, the own estimate of LGD that would be applied by the institution to the unsecured part shall be reported. 140 LGD secured The own estimate of LGD applied by the institution to a fully secured hypothetical transaction. If the hypothetical transaction is only partly secured and if the institution splits, in accordance with regular practice, such exposures into fully secured and unsecured parts, the own estimate of LGD that would be applied by the institution to the fully secured part(s) shall be reported. 150 Maturity Column 250 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The maturity applied by the institution to the hypothetical transaction shall be reported. It shall be expressed in number of days. 160 RWA Column 260 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The risk-weighted amount calculated by the institution for the hypothetical transaction shall be reported. C 105.01 — Definition of internal models Column Label Legal reference Instructions 010 Internal model ID The internal model ID assigned by the reporting institution shall be reported. This internal model ID is a row identifier that shall be unique for each row in the table. 020 Model name The model name assigned by the reporting institution shall be reported. 030 IRBA Risk parameter The IRBA risk parameter shall be one of the following: (a) PD; (b) LGD; (c) CCF. 040 EAD Column 110 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014 The aggregate exposure value of the transactions included in each portfolio (see column 060) treated with the specific model shall be reported. 050 EAD weighted average default rate for calibration The EAD-weighted average of the annual default rates used in the calibration of the PD models shall be reported. 060 Case weighted average default rate for calibration The case-weighted average of the annual default rates used in the calibration of the PD models shall be reported. 070 Long-run PD The central tendency used by the institution in the calibration of the models that incorporates any prudent adjustment to the case-weighted average of the annual default rates used in the calibration of the PD models shall be reported. 080 Cure rate defaulted asset The cure rate defaulted asset is the percentage of defaulted assets outstanding that returns in ‘non-defaulted’ status over a 12 months period. An institution that does not calculate cure rates for a given model shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. 090 Recovery rate of the foreclosed assets for not cured defaults The case-weighted average recovery rate of the foreclosed assets for not cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. An institution that does not have a specific recovery rate of the foreclosed assets for no cured defaults shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. 100 Recovery period of the foreclosed assets for not cured defaults The case-weighted average length of the recovery period (from the start of the default status to the completion date of the recovery procedures) for the non-cured defaults included in the time series used by the institution for the calibration of the LGD models on non-defaulted assets shall be reported. It shall be expressed in number of days. An institution that does not have a specific recovery period length of the foreclosed assets for no cured defaults shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. 110 Joint decision Article 20(2)(a) of Regulation (EU) No 575/2013 The institution shall report whether or not a joint decision on prudential requirements does exist between the consolidating and the other (host) competent authority regarding the permission to use the IRB approach for the calculation of the prudential requirements for the exposures held by the subsidiaries of the institutions in the reported benchmarking portfolios. 120 Consolidating supervisor Article 20 of Regulation (EU) No 575/2013 The country ISO code of the country of origin of the competent authority responsible for the consolidated supervision of the institution using an IRB approach shall be reported. C 105.02 — Mapping of internal models to portfolios Column Label Legal reference Instructions 010 Portfolio ID Column 010 of templates 102 and 103 The code assigned by the EBA to the portfolio for which the institution reports the results of the calculation shall be reported. 020 Internal model ID Column 010 of template 105.01 The internal model ID assigned by the reporting institution shall be reported. C 105.03 — Mapping of internal models to countries Column Label Legal reference Instructions 010 Internal model ID Column 010 of template 105.01 The internal model ID assigned by the reporting institution shall be reported. Where one internal model ID is associated with several countries, separate rows shall be reported for each combination of ‘Internal model ID’ and ‘Host supervisor’. Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table. 020 Host supervisor Article 20 of Regulation (EU) No 575/2013 The country ISO code of the country of origin of the competent authority responsible for the supervision of the subsidiary on an individual basis for each institution where the IRB exposures reported for each benchmarking portfolio are booked shall be reported (irrespective of the existence of any permission granted by the host supervisor to apply an IRB approach). ( 1 ) ‘Not applicable’ shall be used when none of the answers in the list is correct (e.g. for column 020, it will mean that the counterparty is classified in multiple asset classes, without one being clearly predominant).