ANNEX IIISupplementary provisions
ANNEX III ‘ANNEX III Results Supervisory Benchmarking 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 0010 0020 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 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 Amount Provisions defaulted exposures RWA RWA Standardised 0010 0040 0060 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 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 defaulted 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++ 0010 0040 0060 0080 0090 0100 0110 0120 0130 0140 0150 0160 0170 0180 0190 0200 0210 0220 0250 0260 0270 0280 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 0010 0020 0030 0040 0050 0060 0070 0080 0090 0100 0110 0120 0130 C 105.02 – Mapping of internal models to portfolios Portfolio ID Internal model ID EAD RWA 0010 0020 0030 0040 C 105.03 - Mapping of internal models to countries Row ID Internal model ID Location of institution 0005 0010 0020’