ANNEX IVSupplementary provisions
ANNEX IV ‘ANNEX IV RESULTS SUPERVISORY BENCHMARK PORTFOLIOS PART I: GENERAL INSTRUCTIONS 2809 PART II: TEMPLATE RELATED INSTRUCTIONS 2810 C 101 – Details on Exposures in Low Default Portfolios by Counterparty 2810 C 102 – Details on Exposures in Low Default Portfolios 2814 C 103 – Details on Exposures in High Default Portfolio 2817 C 105.01 – Definition of Internal Models 2826 C 105.02 – Mapping of Internal Models to Portfolios 2828 C 105.03 – Mapping of Internal Models to Countries 2829 PART I: GENERAL INSTRUCTIONS 1. Information shall be submitted only for those counterparties and portfolios where an actual exposure exists at the reference date in the form of either an Original Exposure or an Exposure after CRM. Counterparties and portfolios for which no exposure exists at the reference date shall not be submitted. 2. Information shall be submitted only for those exposures for which the competent authority approved an internal model for the calculation of risk weighted exposure amounts (RWEA). For the benchmarking portfolios referred to in tables C102 and C103, exposures under the Standardised Approach and exposures for which the respective competent authority allowed the temporary or permanent partial use of the Standardised Approach, shall be excluded. In table C101, no exposure shall be included for counterparties with counterparty code ending with “STDA”. In the same table, for counterparties with counterparty codes other than those ending with “STDA”, exposures under the Standardised Approach shall be excluded 3. Information not required or not applicable shall not be submitted; those shall either be left blank or the indication “NULL” shall be inserted. The same applies to EAD-weighted quantities that cannot be calculated. Zero values shall be reported only where the intention is to report a quantity of zero. The cells shall not be left blank nor the indication “NULL” shall be inserted to report quantities that are zero. 4. Monetary amounts shall be reported in the same way as they are reported for calculating own funds requirements at a specific reference date as required by Article 17 of Implementing Regulation (EU) No 680/2014,. PART II: TEMPLATE RELATED INSTRUCTIONS C 101 – Details on exposures in Low Default Portfolios by counterparty Specialised lending exposures shall be excluded. Column Label Legal reference Instructions 0010 Counterparty Code Column 0010 of template 101 of Annex I The counterparty code assigned by the EBA in column 0010 of template C101 of Annex I to the counterparty included in the low default portfolio (“LDP”) samples portfolios shall be reported. That code shall be a row identifier and shall be unique for each row in the table. 0020 Exposure class Paragraph 78 of Annex II to 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. “Not applicable” shall be used where none of the answers in the list applies which is the case where a counterparty is classified in multiple exposure classes, without one being clearly predominant. 0040 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. Where a counterparty has been assigned multiple rating grades in accordance with point (e) of Article 172 (1) of Regulation (EU) No 575/2013, rating grade zero (0) shall be entered in column 0040 of template C101.00 of Annex III. 0050 Date of most recent rating of counterparty The date of the most recent rating of the counterparty shall be reported. 0060 PD Column 0010 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The PD assigned to the obligor grade or pool reported shall be based on Article 180 of Regulation (EU) No 575/2013. The PD shall be the PD used in the calculation of the RWEA, excluding the effect of measures that can be introduced in accordance with Article 458 of Regulation (EU) No 575/2013. The PD shall be expressed as a value between 0 and 1. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority. 0070 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 %. 0080 Original exposure pre-conversion factors Column 0020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported. 0090 Exposure after credit risk mitigation (CRM) substitution effects pre-conversion factors Column 0090 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The amount to which a credit conversion factor (“CCF”) is applied in order to obtain the exposure at default (EAD) shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure. 0100 CCF Second subparagraph of Article 166(8) of Regulation (EU) No 575/2013 The weighted average of the CCFs shall be reported. The weights used shall be the amounts to which the CCFs are applied to obtain the EAD. For counterparties with only facilities for items referred to in Article 166 (8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall be based on all the facilities. For counterparties with only facilities which do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the value of weighted average of the CCF shall either be left blank or the indication “NULL” shall be inserted. For counterparties with facilities for: (a) items referred to in Article 166(8) of Regulation (EU) No 575/2013; and (b) items which do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013. The weighted average of the CCF shall be based only on facilities which fall under point (a). Where the institution applies own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for those items referred to in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs shall be used. The CCF shall be expressed as a value between 0 and 1. 0110 EAD Column 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The value of exposure value shall be left blank where the institution has no IRB exposure for a given counterparty. 0120 Collateral value Columns 0150 to 0210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The market value of the collateral shall be reported. 0130 Hyp LGD senior unsecured without negative pledge Article 161 of Regulation (EU) No 575/2013 The hypothetical own estimates of loss given default (“LGD”) that would be applied by the institution to the counterparty shall be reported in accordance with the following: (a) The scope of exposures is the same as for the LGD value reported in column 0150; (b) The exposure is senior and unsecured; (c) No negative pledge clause is in place. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. 0140 Hyp LGD senior unsecured with 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 shall be reported in accordance with the following: (a) The scope of exposures is the same as for the LGD value reported in column 0150; (b) The exposure is senior and unsecured; (c) A negative pledge clause is in place. A negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party. 0150 LGD Columns 0230 and 0240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The EAD-weighted own estimates of LGD or the EAD-weighted regulatory LGD applied by the institution to the exposures to each counterparty shall be reported. 0160 Maturity Column 0250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The EAD-weighted maturity for the exposures to each counterparty shall be reported. It shall be expressed in number of days. 0170 RWEA Column 0260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the small- and medium-sized enterprise (“SME”) supporting factor shall be reported. C 102 – Details on exposures in Low Default Portfolios For portfolios referred to in Annex I with a collateralisation status other than “Not applicable”, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 0130), Expected Loss (column 0150) and RWEA (column 0170). For portfolios with the regulatory approach defined as “Specialised lending slotting criteria”, the following information may be omitted: PD (c060), LGD (c130) Column Label Legal reference Instructions 0010 Portfolio ID Column 0010 of template 102 of Annex I The code assigned by the EBA in column 0010 of Template C.102 of Annex I to each portfolio shall be reported. That code shall be a row identifier and shall be unique for each row in the table. The assignment of exposures to portfolio IDs is not exclusive: Exposures or parts of exposures shall be reported under each portfolio IDs that is applicable. 0040 Number of obligors The number of obligors shall be reported. It shall be based on obligors that have a strictly positive exposure value reported either in column 0080 or in column 0090. Where a full substitution is applied due to a CRM technique, the original obligor shall be added to the “Number of obligors” of its original portfolio, and the guarantor shall be added to the “Number of obligors” of the guarantor portfolio. 0060 PD Column 0010 of table 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014 The PD shall be the PD used in the calculation of the RWEA, excluding the effect of potential measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013. For portfolios corresponding to an individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs assigned to the exposures included in the aggregation shall be provided. The PD shall be expressed as a value between 0 and 1. 0080 Original exposure pre-conversion factors Column 0020 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported. 0090 Exposure after CRM substitution effects pre-conversion factors Column 0090 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The amount to which a CCF is applied to obtain the EAD shall be reported. This shall be done taking into account credit risk mitigation techniques with substitution effects on the exposure. 0100 CCF Article 166(8)(e) of Regulation (EU) No 575/2013 The weighted average of the CCFs shall be reported. The weights used shall be the amounts to which the CCFs are applied in order to obtain the EAD. For portfolios with only facilities for items referred to in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall be based on all the facilities. For portfolios with only facilities which do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the weighted average of the CCF shall either be left blank or the indication “NULL” shall be inserted. For portfolios with facilities for: (a) items referred to in Article 166(8) of Regulation (EU) No 575/2013; and (b) items which do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013. The weighted average of the CCF shall be based only on facilities which fall under point (a). Where the institution applies own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, those CCFs shall be used to calculate the weighted average of the CCFs. Where the institution does not apply own estimates of CCFs for the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the regulatory CCFs shall be used. The CCF shall be expressed as a value between 0 and 1. 0110 EAD Column 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The exposure value shall be reported. 0120 Collateral value Columns 0150 to 0210 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The market value of the collateral shall be reported. 0130 LGD Columns 0230 and 0240 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The EAD-weighted average of the LGD values of the exposures in the respective portfolio shall be reported. Based on the institution’s permission, the LGDs shall be based on the institutions’ own estimates or on regulatory values. In either case, the LGDs shall be those used for the calculation of the RWEA. Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall be included. The effect of measures introduced in accordance with Article 458 of Regulation (EU) No 575/2013 shall be excluded. The LGD shall be expressed as a value between 0 and 1. 0140 Maturity Column 0250 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The EAD-weighted maturity shall be reported. It shall be expressed in number of days. That information shall not be reported for exposures for which the maturity is not an element in the calculation of risk weighted exposure amounts. That information shall not be reported for portfolios that represent exposures of the exposure class “Retail”. 0150 Expected Loss amount Column 0280 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The expected loss amount shall be reported. 0160 Provisions defaulted exposures Columns 0050, 0055 and 0060 of template 9.2 of Annex I to Implementing Regulation (EU) No 680/2014 The provisions for defaulted exposures shall be reported. These shall include all the general and specific credit risk adjustments for defaulted assets as referred to in Article 110 of Regulation (EU) No 575/2013, irrespective of the threshold set for Template C 09.02 of Annex I to Implementing Regulation (EU) No 680/2014. 0170 RWEA Column 0260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor shall be reported. 0180 RWEA Standardised Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013. RWEA Standardised is the hypothetical RWEA amount obtained by applying the standardised approach for credit risk to the exposures instead of the IRB approach. C 103 – Details on exposures in High Default Portfolio For portfolios referred to in Annex I with a collateralisation status different from “Not applicable”, the following information may be omitted where the approved model does not accommodate distinct LGD calculations for the secured and unsecured parts of an exposure: LGD (column 0130), Expected Loss (column 0150), RWEA (column 0170), Loss rate latest year (column 0210) and Loss rate past 5 years (column 0220). Column Label Legal reference Instructions 0010 Portfolio ID The code assigned in column 0010 of Template C.103 of Annex I to each portfolio shall be reported. That code shall be a row identifier and shall be unique for each row in the table. The assignment of exposures to portfolio IDs is not exclusive: exposures or parts of exposures shall be reported under each portfolio ID that is applicable. 0040 Number of obligors The instructions for column 0040 of C 102 shall apply. 0060 PD The instructions for column 0060 of C 102 shall apply. 0080 Original exposure pre conversion factors The instructions for column 0080 of C 102 shall apply. 0090 Exposure after CRM substitution effects pre conversion factors The instructions for column 0090 of C 102 shall apply. 0100 CCF The instructions for column 0100 of C 102 shall apply. 0110 EAD The instructions for column 0110 of C 102 shall apply. 0120 Collateral value The instructions for column 0120 of C 102 shall apply. 0130 LGD The instructions for column 0130 of C 102 shall apply. 0140 Maturity The instructions for column 0140 of C 102 shall apply. 0150 Expected Loss amount The instructions for column 0150 of C 102 shall apply. 0160 Provisions defaulted exposures The instructions for column 0160 of C 102 shall apply. 0170 RWEA The instructions for column 0170 of C 102 shall apply. 0180 RWEA Standardised The instructions for column 0180 of C 102 shall apply. 0190 Default rate latest year The default rate for the most recent year shall be reported. For that purpose the default rate shall be defined as the ratio between: (a) the sum of the exposures (original exposure before applying the conversion factor measured at the reference date minus one year) that were non-defaulted exactly one year before the reference date and defaulted between the reference date minus one year and the reference date; and (b) the sum of the exposures (original exposure before applying the conversion factor measured at the reference date minus one year) that were non-defaulted at the reference date minus one year. New exposures that were generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in both the numerator and the denominator. Multiple defaults of the same obligor shall be included only once. That information shall be reported for portfolio IDs relating to non-defaulted exposures only. 0200 Default rate past 5 years The weighted average of the default rates observed in the last five years preceding the reference date shall be reported. The default rate definition in column 0190 shall apply. The weights to be used are the non-defaulted exposures used in the calculation of the default rate in accordance with column 0190. Where the institution is not able to calculate a default rate for the past five years preceding the reference date, the institution shall develop a proxy using its longest history up to five years preceding the reference date and provide the documentation detailing the calculation to its competent authority. That information shall be reported for portfolio IDs relating to “non-defaulted” exposures only. 0210 Loss rate latest year The loss rate observed in the most recent year shall be reported for portfolio IDs relating to “non-defaulted” and “defaulted” exposures only. For non-defaulted portfolios, the loss rate shall be the sum of credit risk adjustments and write-offs applied, within the year preceding the reference date, to exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date, of the exposures that were non-defaulted exactly one year before the reference date and which defaulted during the year preceding the reference date. The numerator of the loss rate shall incorporate all the credit risk adjustments and write-offs related to the exposures that defaulted within the year preceding the reference, including the credit risk adjustments applied before the default date. New exposures generated during the year preceding the reference date shall not be included. Exposures that defaulted and were cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be considered in the numerator of the loss rate. Multiple defaults of the very same obligor shall be considered only once. For defaulted portfolios, the loss rate shall be the sum of: (a) credit risk adjustments to exposures that were already in default exactly one year before the reference date in the respective portfolio; and (b) credit risk adjustments and write-offs applied within the year preceding the reference date for these exposures, divided by the sum of the EAD, measured exactly one year before the reference date, of the exposures that were defaulted exactly one year before the reference date. New defaults during the year preceding the reference date shall not be included. Exposures that cured again during the year preceding the reference date shall be included in the denominator of the loss rate and credit risk adjustments and write-offs on those exposures shall be included in the numerator of the loss rate. Multiple defaults of the very same obligor shall be included only once. 0220 Loss rate past 5 years The EAD-weighted average of the loss rates observed in the last five years preceding the reference date shall be reported for portfolio IDs relating to “non-defaulted” and “defaulted” exposures only. The definition of loss rate in column 0210 shall apply. The loss ratio of past five years shall not include changes in credit risk adjustments and write offs that occur after the first year of default. An institution that is not able to calculate a loss rate for the previous five years shall develop a proxy using its longest history up to five years and provide to its competent authority documentation detailing the calculation. 0250 RWEA- Institutions shall calculate and report RWEA- for portfolios that are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT_****_**_***_ALL SMEC_ALL_0106_CT_****_**_ ***_ALL MORT_ALL_0094_CT_****_**_ ***_ALL SMOT_ALL_0106_CT_****_**_***_ALL RSMS_ALL_0106_CT_****_**_***_ALL RETO_ALL_0094_CT_****_**_***_ALL RQRR_ALL_0094_CT_****_**_***_ALL RWEA- shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD- values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD- shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of Template C 08.02 of Annex I to Implementing Regulation (EU) No 680/2014 shall be used (see Annex II to that Regulation, C 08.01 column 0010 and C 08.02 for instructions). For each obligor grade, p – shall be the smallest positive value satisfying the equation and p – = 0 where DR 1y = 0 where, Φ –1 = the inverse function of the standard normal (cumulative) distribution; q = the confidence level set at 90 %; DR 1y = the case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted during the most recent year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date; n = the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date. For each obligor, PD- shall be equal to p – , where p – shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor. 0260 RWEA+ Institutions shall calculate and report RWEA+ for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT_****_**_***_ALL SMEC_ALL_0106_CT_****_**_***_ALL MORT_ALL_0094_CT_****_**_***_ALL SMOT_ALL_0106_CT_****_**_***_ALL RSMS_ALL_0106_CT_****_**_***_ALL RETO_ALL_0094_CT_****_**_***_ALL RQRR_ALL_0094_CT_****_**_***_ALL RWEA+ shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD+ values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD+ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of Template C 08.02 of Annex I to Implementing Regulation (EU) No 680/2014 shall be used (see Annex II to that Regulation, C 08.01 column 0010 and C 08.02 for instructions). For each obligor grade, P + shall be the largest positive value satisfying the equation In this equation, Φ –1 = the inverse function of the standard normal (cumulative) distribution; q = the confidence level set at 90 %; DR 1y = the case weighted default rate of the year preceding the reference date, i.e., the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date and which defaulted during the most recent year, divided by the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the reference date; n = the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD+ shall be equal to p + , where p + shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor. 0270 RWEA- - Institutions shall calculate and report RWEA- - for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT_****_**_***_ALL SMEC_ALL_0106_CT_****_**_***_ALL MORT_ALL_0094_CT_****_**_***_ALL SMOT_ALL_0106_CT_****_**_***_ALL RSMS_ALL_0106_CT_****_**_***_ALL RETO_ALL_0094_CT_****_**_***_ALL RQRR_ALL_0094_CT_****_**_***_ALL RWEA- - shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD- - values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD- - shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of Template C 08.02 of Annex I to Implementing Regulation (EU) No 680/2014 shall be used (see Annex II to that Regulation, C 08.01 column 0010 and C 08.02 for instructions). For each obligor grade, p - - shall be the smallest positive value satisfying the equation and p – : = 0 where DR 5y = 0, where, Φ –1 = the inverse function of the standard normal (cumulative) distribution; q = the confidence level set at 90 %; DR 5y = the default rate of the 5 latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates; n = the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD- - shall be equal to p – – , where p – – shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor. 0280 RWEA++ Institutions shall calculate and report RWEA++ for the portfolios that are referred to in Annex I, template 103 with the following portfolio ID: CORP_ALL_0086_CT_****_**_***_ALL SMEC_ALL_0106_CT_****_**_***_ALL MORT_ALL_0094_CT_****_**_***_ALL SMOT_ALL_0106_CT_****_**_***_ALL RSMS_ALL_0106_CT_****_**_***_ALL RETO_ALL_0094_CT_****_**_***_ALL RQRR_ALL_0094_CT_****_**_***_ALL RWEA++ shall be the hypothetical risk-weighted exposure amount, after applying the SME supporting factor, which results from the application of the PD++ values instead of the institution’s PD values, for each exposure. The remaining parameters needed in the computation shall not be subject to changes. PD++ shall be based on a calculation performed separately for each obligor grade. The obligor grades as reported in column 0005 of Template C 08.02 of Annex I to Implementing Regulation (EU) No 680/2014 shall be used (see Annex II to that Regulation, C 08.01 column 0010 and C 08.02 for instructions). For each obligor grade, p ++ shall be the largest positive value satisfying the equation where, Φ –1 = the inverse function of the standard normal (cumulative) distribution; q = the confidence level set at 90 %; DR 5y = the default rate of the five latest years for the obligor grade, calculated as the simple average of five 1-year case-weighted default rates; n = the number of obligors that were not in default and assigned the obligor grade under consideration exactly one year before the references date. For each obligor, PD++ shall be equal to p ++ , where p ++ shall be calculated in accordance with the formula set out in the fourth subparagraph for the obligor grade assigned to the obligor. C 105.01 – Definition of internal models Column Label Legal reference Instructions 0010 Internal model ID The internal model ID assigned by the reporting institution shall be reported. That internal model ID shall be a row identifier and shall be unique for each row in the table. 0020 Model name The model name assigned by the reporting institution shall be reported. 0030 IRBA Risk parameter The IRB approach risk parameter shall be one of the following: (a) PD; (b) LGD; (c) CCF. 0040 EAD Column 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The aggregate exposure value of the transactions in the scope of application of the specific model shall be reported. 0050 EAD weighted average default rate for calibration The EAD-weighted average of the annual default rates, where used in the calibration of the PD models, shall be reported. That information shall be completed only for PD models. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. 0060 Case weighted average default rate for calibration The simple average of the annual case-weighted default rates used in the calibration of the PD models shall be reported. That information shall be completed only for PD models. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. 0070 Long-run PD The central tendency used by the institution in the calibration of the models that incorporates any prudent adjustment to the simple case weighted average of the annual default rates used in the calibration of the PD models shall be reported. That information shall be completed only for PD models. 0080 Cure rate defaulted asset The cure rate defaulted asset shall be the percentage of defaulted 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 for cure rates as the percentage of defaulted outstanding that returns in “non-defaulted” status over a 12 months period. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models. 0090 Recovery rate not cured foreclosed assets The case-weighted average recovery rate 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. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. An institution that does not have a specific recovery rate for non-cured defaults due to an incomplete recovery procedure, shall calculate a proxy taking into account observed recoveries as well as the estimations of recoveries for incomplete workout. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models. 0100 Recovery period length not cured foreclosed assets 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 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. The case-weighted average length shall be expressed in number of days. The data used in the calibration of the model parameters shall be used. If no internal data exists and the calibration is based on external data, then the external data shall be reported. An institution that does not have a specific recovery period length for not cured defaults, due to an incomplete recovery procedure, shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority. That information shall be completed only for LGD models. 0110 Joint decision Article 20(2), point (a) of Regulation (EU) No 575/2013 The institution shall report whether or not a joint decision on prudential requirements exists between the consolidating and the 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. 0120 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. 0130 RWEA Column 0260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor for all transactions in the scope of application of the specific model shall be reported. C 105.02 – Mapping of internal models to portfolios Column Label Legal reference Instructions 0010 Portfolio ID Column 0010 of templates 102 and 103 The code assigned to the portfolio in accordance with Annex II for which the institution reports the results of the calculation shall be reported. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in the table. 0020 Internal model ID Column 0010 of template 105.01 The internal model ID assigned by the reporting institution shall be reported. 0030 EAD Column 0110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The exposure value of the transactions in the scope of application of the specific model in accordance with column 0020 for the specific portfolio in accordance with column 0010 shall be reported. Where all transactions of a given portfolio are treated with one specific model, the exposure value shall be identical to the amount reported for the same portfolio in column 0110 of template 102 or 103, as applicable. 0040 RWEA Column 0260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014 The risk-weighted exposure amount after applying the SME supporting factor for the transactions in the scope of application of the specific model, in accordance with column 0020, for the specific portfolio in accordance with column 0010, shall be reported. Where all transactions of a given portfolio are treated with one specific model, the amount shall be identical to the amount reported for the same portfolio in column 0170 of template 102 or 103, as applicable. C 105.03 – Mapping of internal models to countries Column Label Legal reference Instructions 0005 Row ID This code shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc. 0010 Internal model ID Column 0010 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 “Location of institution”. Columns 0010 and 0020 are a composite row identifier and their combination shall be unique for each row in the table. 0020 Location of institution Article 20 of Regulation (EU) No 575/2013 The country ISO code of the legal residence of each subsidiary 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.’