ANNEX IIISupplementary provisions
ANNEX III ‘ANNEX III Results Supervisory Benchmark portfolios Template number Template code Name of the template /group of templates 101 C 101.00 Details on exposures in Low Default Portfolios by counterparty 102 C 102.00 Details on exposures in Low Default Portfolios 103 C 103.00 Details on exposures in High Default Portfolios 105,01 C 105.01 Definition of internal models 105,02 C 105.02 Mapping of internal models to portfolios 105,03 C 105.03 Mapping of internal models to countries C 101.00 - Details on exposures in Low Default Portfolios by counterparty Counterparty Code Exposure class Rating Date of most recent rating of counterparty PD Default status Original exposure pre conversion factors Exposure after CRM substitution effects pre conversion factors CCF EAD Collateral value Hyp LGD senior unsecured without negative pledge Hyp LGD senior unsecured with negative pledge LGD Maturity RWA 010 020 040 050 060 070 080 090 100 110 120 130 140 150 160 170 C 102.00 - Details on exposures in Low Default Portfolios Portfolio ID Number of obligors PD Original exposure pre conversion factors Exposure after CRM substitution effects pre conversion factors CCF EAD Collateral value LGD Maturity Expected Loss Provisions defaulted exposures RWA RWA Standardised 010 040 060 080 090 100 110 120 130 140 150 160 170 180 C 103.00 - Details on exposures in High Default Portfolio Portfolio ID Number of obligors PD Original exposure pre conversion factors Exposure after CRM substitution effects pre conversion factors CCF EAD Collateral value LGD Maturity Expected Loss amount Provisions non-performing exposures RWA RWA Standardised Default rate latest year Default rate past 5 years Loss rate latest year Loss rate past 5 years RWA- RWA+ RWA-- RWA++ 010 040 060 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 250 260 270 280 C 105.01 - Definition of internal models Internal model ID Model name IRBA Risk parameter EAD EAD weighted average default rate for calibration Case weighted average default rate for calibration Long-run PD Cure rate for defaulted assets Recovery rate of the foreclosed assets for not cured defaults Recovery period of the foreclosed assets for not cured defaults Joint decision Consolidating supervisor RWA 010 020 030 040 050 060 070 080 090 100 110 120 130 C 105.02 - Mapping of internal models to portfolios Portfolio ID Internal model ID EAD RWA 010 020 030 040 C 105.03 - Mapping of internal models to countries Internal model ID Location of institution 010 020 ’