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 |
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C 102.00 - Details on exposures in Low Default Portfolios
|
Portfolio ID |
Number of obligors |
PD |
PD without supervisory measures |
PD without MoC and supervisory measures |
Original exposure pre conversion factors |
Exposure after CRM substitution effects pre conversion factors |
CCF |
EAD |
Collateral value |
LGD |
LGD without supervisory measures |
LGD without MoC and without supervisory measures |
LGD without MoC, supervisory measures and downturn component, |
Maturity |
Expected Loss Amount |
Provisions defaulted exposures |
RWA |
RWA Standardised |
|
0010 |
0040 |
0060 |
0061 |
0062 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0131 |
0132 |
0133 |
0140 |
0150 |
0160 |
0170 |
0180 |
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C 103.00 - Details on exposures in High Default Portfolio
|
Portfolio ID |
Number of obligors |
PD |
PD without supervisory measures |
PD without MoC and supervisory measures |
Original exposure pre conversion factors |
Exposure after CRM substitution effects pre conversion factors |
CCF |
EAD |
Collateral value |
LGD |
LGD without supervisory measures |
LGD without MoC and supervisory measures |
LGD without MoC, supervisory measures and downturn component |
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 |
0061 |
0062 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0131 |
0132 |
0133 |
0140 |
0150 |
0160 |
0170 |
0180 |
0190 |
0200 |
0210 |
0220 |
0250 |
0260 |
0270 |
0280 |
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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 |
RWA Add-ons |
|
0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0140 |
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C 105.02 – Mapping of internal models to portfolios
|
Portfolio ID |
Internal model ID |
EAD |
RWA |
|
0010 |
0020 |
0030 |
0040 |
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C 105.03 - Mapping of internal models to countries
|
Row ID |
Internal model ID |
Location of institution |
|
0005 |
0010 |
0020 |
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