ANNEX IV
RESULTS SUPERVISORY BENCHMARK PORTFOLIOS
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PART I: |
GENERAL INSTRUCTIONS |
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PART II: |
TEMPLATE RELATED INSTRUCTIONS |
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C 101 – |
Details on exposures in Low Default Portfolios by counterparty |
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C 102 – |
Details on exposures in Low Default Portfolios |
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C 103 – |
Details on exposures in High Default Portfolio |
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C 105.01 – |
Definition of internal models |
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C 105.02 – |
Mapping of internal models to portfolios |
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C 105.03 – |
Mapping of internal models to countries |
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 credit risk mitigation. 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 has approved an internal model for the calculation of risk weighted exposure amounts (RWA). In table C 101, counterparty codes ending with ‘STDA’ shall not be reported. For the remaining counterparty codes of table C 101 of Annex I and for the benchmarking portfolios referred to in tables C 102 and C 103, exposures under the standardised approach and exposures for which the respective competent authority has permitted the temporary or permanent partial use of the standardised approach, shall be excluded.
3. The fields collecting non-applicable/ill-defined information shall either be left blank or the indication ‘NULL’ shall be inserted; this also applies to exposure at default (EAD)-weighted quantities or parameters that cannot be calculated. Likewise, data fields whose reporting is not mandatory may be left blank or submitted as ‘NULL’. Zero values shall be reported only where the intention is to report a quantity or parameter of zero. Neither of the indications “blank” or ‘NULL’ shall be used to report quantities or parameters 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 in accordance with Implementing Regulation (EU) 2021/451.
PART II: TEMPLATE RELATED INSTRUCTIONS
C 101 – Details on exposures in Low Default Portfolios by counterparty
Specialised lending exposures shall be excluded.
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Column |
Label |
Legal reference |
Instructions |
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0010 |
Counterparty Code |
Table C 101, column 0010 of Annex I |
The counterparty code of column 0010 of table C 101 of Annex I, defining the counterparty included in the low default portfolio (‘LDP’) samples portfolios shall be reported. This code shall be a row identifier and shall be unique for each row in the template. |
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0020 |
Exposure class |
Point 76 of Annex II to Implementing Regulation (EU) 2021/451 |
Each counterparty shall be assigned to one of the following exposure classes: (a) Central banks and central governments; (b) Institutions; (c) Corporate – SME (small- and medium-sized enterprise); (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 points (a) to (j) applies, which is the case where the exposures to a counterparty are classified in multiple exposure classes without one being clearly predominant. |
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0040 |
Rating |
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The rank of the internal rating grade assigned to the counterparty within the institution’s applicable internal rating scale shall be reported. It shall follow the numerical order 1, 2, 3, etc., from lowest risk to highest risk excluding defaults with PD corresponding to 100 %. Where an institution uses a continuous rating scale in accordance with Article 169(3) of Regulation (EU) No 575/2013, the rating grades as reported in column 0005 of template C 08.02 of Annex I to Implementing Regulation (EU) 2021/451 shall be used. Where exposures to a counterparty have been assigned to multiple rating grades in accordance with Article 172(1), point (e)(i) or (iii), of Regulation (EU) No 575/2013, the rating grade zero (0) shall be reported. |
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0050 |
Date of most recent rating of counterparty |
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The date of the most recent rating of the counterparty shall be reported. |
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0060 |
PD |
Template C 08.01, column 0010, of Annex I to Implementing Regulation (EU) 2021/451 |
The PD assigned to the counterparty shall be reported. The PD shall be the PD used in the calculation of the RWA excluding the effect of measures in accordance with Article 458 of Regulation (EU) No 575/2013. The PD shall be expressed as a value between 0 and 1. |
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0070 |
Default status |
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The default status of the counterparty shall be reported. It shall be one of the following in accordance with Article 178 of Regulation (EU) No 575/2013: (a) Defaulted; (b) Non-defaulted. |
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0080 |
Original exposure pre-conversion factors |
Template C 08.01, column 0020, of Annex I to Implementing Regulation (EU) 2021/451 |
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. |
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0090 |
Exposure after CRM substitution effects pre-conversion factors |
Template C 08.01, column 0090, of Annex I to Implementing Regulation (EU) 2021/451 |
The amount to which conversion factors (‘CCFs’) are applied in order to obtain the EAD (column 0110) shall be reported. This shall be done by taking into account credit risk mitigation techniques with substitution effects on the exposure. |
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0100 |
CCF |
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 whose facilities exclusively correspond to items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based on all facilities. For counterparties whose facilities do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the CCF shall either be left blank or the indication ‘NULL’ shall be inserted. For counterparties with both of the following facilities: (a) facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013; (b) facilities that do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCF shall be based only on the facilities under point (a). In particular, facilities corresponding to items referred to in Article 166(10) of Regulation (EU) No 575/2013 shall not be considered in the calculation. 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 given in Article 166(8) of Regulation (EU) No 575/2013 shall be used. The CCF shall be expressed as a value between 0 and 1. |
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0110 |
EAD |
Template C 08.01, column 0110, of Annex I to Implementing Regulation (EU) 2021/451 |
The exposure value shall be reported. |
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0120 |
Collateral value |
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The Collateral Value for a benchmarking portfolio is the sum of the market values of the collateral relevant to the exposure in the portfolio. Where own estimates of LGD are not used (i.e. the FIRB is applied), Article 228(2), Article 230(1) and (2) and Article 231 of Regulation (EU) No 575/2013 shall be taken into account for the identification of the relevant collateral. Where own estimates of LGD are used: — Regarding unfunded credit protection, for exposures to central governments and central banks, institutions and corporates, Article 161(3) of Regulation (EU) No 575/2013 shall be taken into account. For retail exposures, Article 164(2) of that Regulation shall be taken into account for the identification of relevant collateral. — Regarding funded credit protection, collateral that is eligible and applicable in accordance with Article 181(1), points (e) and (f), of that Regulation shall be reported. |
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0130 |
Hyp LGD senior unsecured without negative pledge |
The hypothetical own estimates of loss given default (‘LGD’) that would be applied by the institution to the exposures to the counterparty shall be reported in accordance with the following: (a) the scope of the exposures is the same as for the LGD value reported in column 0150; (b) the exposures are 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. |
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0140 |
Hyp LGD senior unsecured with negative pledge |
The hypothetical own estimates of LGD that would be applied by the institution to the exposures to the counterparty shall be reported in accordance with the following: (a) the scope of the exposures is the same as for the LGD value reported in column 0150; (b) the exposures are 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. |
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0150 |
LGD |
Template C 08.01, columns 0230 and 0240, of Annex I to Implementing Regulation (EU) 2021/451 |
The EAD-weighted average of the LGD values of the exposures to the counterparty shall be reported. The LGDs shall be those used for the calculation of the RWA. Specifically, where the institution has obtained permission from its competent authority to use own estimates for LGDs, the LGDs shall be based on the institution’s own estimates, otherwise the LGDs shall be based on the regulatory LGD values taking into account the applicable risk mitigation. 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. |
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0160 |
Maturity |
Template C 08.01, column 0250, of Annex I to Implementing Regulation (EU) 2021/451 |
The EAD-weighted maturity for the exposures to the counterparty shall be reported. It shall be expressed in number of days. |
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0170 |
RWA |
Template C 08.01, Column 0260, of Annex I to Implementing Regulation (EU) 2021/451 |
The RWA after supporting factors (SME and infrastructure supporting factors) shall be reported. The RWA shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013. |
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), LGD without supervisory measures (column 0131), LGD without margin of conservatism (MoC) and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150) and RWA (column 0170).
For portfolios with the regulatory approach defined as “Specialised lending slotting criteria”, the following information shall be omitted: PD (column 0060), PD without supervisory measures (column 0061), PD without MoC and supervisory measures (column 0062), LGD (column 0130), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133).
The information in columns 0061-0062 and 0131-0132 may be omitted where institutions are not able to isolate the relevant conservative adjustments to the PDs and LGDs used for the RWA calculation due to ongoing model changes.
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Column |
Label |
Legal reference |
Instructions |
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0010 |
Portfolio ID |
Table C 102, column 0010 of Annex I |
The portfolio ID in column 0010 of table C 102 of Annex I, defining the portfolio shall be reported. This ID shall be a row identifier and shall be unique for each row in the template. 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. |
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0040 |
Number of obligors |
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The number of obligors shall be reported. It shall be based on obligors that have a strictly positive value reported either in column 0080 or in column 0090. Where a full substitution is applied due to a credit risk mitigation 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’s portfolio. |
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0060 |
PD |
Template C 08.01, column 0010 of Annex I to Implementing Regulation (EU) 2021/451 |
The PD shall be the PD used in the calculation of the RWA 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. |
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0061 |
PD without supervisory measures |
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The PD without supervisory measures shall be the PD based on the provisions laid down in Articles 179 and 180 of Regulation (EU) No 575/2013 that includes the MoC added by the institution but excludes measures (multipliers, add-ons, floors or similar measures that directly increase the PD) that have been imposed by the competent authorities. For portfolios corresponding to an individual grade or pool, the PD for that grade that includes the MoC but is net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the PDs of the respective exposures that include the MoC but are net of the supervisory measures, shall be provided. The PD without supervisory measures shall be expressed as a value between 0 and 1. |
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0062 |
PD without MoC and supervisory measures |
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The PD without MoC and supervisory measures shall be the PD that neither includes the MoC added by the institution in accordance with Article 179(1), point (f), and Article 180(1), point (e), of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the PD). For portfolios corresponding to an individual grade or pool, the PD for that grade that is net of the MoC and net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the PDs of the respective exposures that are net of the MoC and net of supervisory measures, shall be reported. The PD without MoC and supervisory measures shall be expressed as a value between 0 and 1. |
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0080 |
Original exposure pre-conversion factors |
Template C 08.01, column 0020, of Annex I to Implementing Regulation (EU) 2021/451 |
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. |
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0090 |
Exposure after CRM substitution effects pre-conversion factors |
Template C 08.01, column 0090, of Annex I to Implementing Regulation (EU) 2021/451 |
The amount to which CCFs are applied in order to obtain the EAD (column 0110) shall be reported. This shall be done by taking into account credit risk mitigation techniques with substitution effects on the exposure. |
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0100 |
CCF |
The weighted average of CCFs shall be reported. The weights used shall be the amounts to which the CCFs are applied to obtain the EAD. For portfolios that include facilities exclusively corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based on all facilities. For portfolios for which none of the included facilities fall under the items referred to in Article 166 of Regulation (EU) No 575/2013, the CCF shall either be left blank or the indication ‘NULL’ shall be inserted. For portfolios that include both of the following facilities: (a) facilities corresponding to items referred to in Article 166(8) of Regulation (EU) No 575/2013; (b) facilities that do not fall under the items referred to in Article 166(8) of Regulation (EU) No 575/2013, the reported weighted average of the CCFs shall be based only on the facilities under point (a). In particular, facilities corresponding to items referred to in Article 166(10) of Regulation (EU) No 575/2013 shall not be considered in the calculation. 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 given in Article 166(8) of Regulation (EU) No 575/2013 shall be used. The CCF shall be expressed as a value between 0 and 1. |
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0110 |
EAD |
Template C 08.01, column 0110, of Annex I to Implementing Regulation (EU) 2021/451 |
The exposure value shall be reported. |
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0120 |
Collateral value |
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The instructions for table C 101, column 0120 shall apply. |
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0130 |
LGD |
Template C 08.01, columns 0230 and 0240, of Annex I to Implementing Regulation (EU) 2021/451 |
The EAD-weighted average of the LGD values of the exposures in the respective portfolio shall be reported. The LGDs shall be those used for the calculation of the RWA. Specifically, where the institution has obtained permission from its competent authority to use own estimates for LGDs, the LGDs shall be based on the institutions’ own estimates, otherwise the LGDs shall be based on the regulatory LGD values taking into account the applicable risk mitigation. 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. |
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0131 |
LGD without supervisory measures |
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The LGD without supervisory measures shall be the LGD based on the provisions laid down in Articles 179 and 181 of Regulation (EU) No 575/2013 that includes the MoC added by the institution but excludes measures (multipliers, add-ons, floors or similar measures that directly increase the LGD) that have been imposed by the competent authorities. For portfolios corresponding to an individual grade or pool, the LGD for that grade that includes the MoC but is net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pools, the EAD-weighted average of the LGDs of the respective exposures that include the MoCs but are net of the supervisory measures, shall be provided. The LGD without supervisory measures shall be expressed as a value between 0 and 1. |
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0132 |
LGD without MoC and without supervisory measures |
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The LGD without MoC and supervisory measures shall be the LGD that neither includes the MoC added by the institution in line with Article 179(1), point (f), and Article 181 of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the LGD). For portfolios corresponding to an individual grade or pool, the LGD for that grade that is net of the MoC and net of the supervisory measures shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the LGDs of the respective exposures that are net of the MoC and net of supervisory measures, shall be reported. The LGD without MoC and supervisory measures shall be expressed as a value between 0 and 1. |
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0133 |
LGD without MoC, supervisory measures and downturn component, |
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The LGD without MoC, supervisory measures and downturn component shall be the LGD that neither includes the MoC added by the institution in line with Article 179(1) point (f) and Article 181 of Regulation (EU) No 575/2013 nor the effect of measures imposed by the competent authorities (multipliers, add-ons, floors or similar measures that directly increase the LGD) nor the downturn component as required by Article 181(1) point (b) of that Regulation. For portfolios corresponding to an individual grade or pool, the LGD for that grade that is net of the MoC and net of the supervisory measures and net of the downturn component shall be reported. For portfolios corresponding to an aggregation of obligors of different grades or pool, the EAD-weighted average of the LGDs of the respective exposures that are net of the MoC, net of supervisory measures and net of the downturn component, shall be reported. The LGD without MoC, supervisory measures and downturn component shall be expressed as a value between 0 and 1. |
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0140 |
Maturity |
Template C 08.01, column 0250, of Annex I to Implementing Regulation (EU) 2021/451 |
The EAD-weighted maturity shall be reported. It shall be expressed in number of days. This information shall not be reported for exposures for which the maturity is not an element in the calculation of RWA. In particular, the maturity shall not be reported for portfolios that represent exposures of the exposure class ‘Retail’. |
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0150 |
Expected Loss amount |
Template C 08.01, column 0280, of Annex I to Implementing Regulation (EU) 2021/451 |
The expected loss amount shall be reported. |
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0160 |
Provisions defaulted exposures |
Template C 09.02, columns 0050, 0055 and 0060, of Annex I to Implementing Regulation (EU) 2021/451 |
The provisions for defaulted exposures shall be reported. These shall include all general and specific credit risk adjustments on exposures in default as referred to in Article 110 of Regulation (EU) No 575/2013. (One-off) Credit risk adjustments that an institution applies in connection with the changes in the implementation of the definition of default (DoD) shall be reported as recorded in the institution’s database. |
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0170 |
RWA |
Template C 08.01, column 0260, of Annex I to Implementing Regulation (EU) 2021/451 |
The RWA after supporting factors (SME and infrastructure supporting factors) shall be reported. The RWA shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013. |
|
0180 |
RWA Standardised |
Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013 |
RWA Standardised is the hypothetical RWA 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), LGD without supervisory measures (column 0131), LGD without MoC and supervisory measures (column 0132), LGD without MoC, supervisory measures and downturn component (column 0133), Expected Loss Amount (column 0150), RWA (column 0170), Loss rate latest year (column 0210) and Loss rate past 5 years (column 0220).
The information in columns 0061-0062 and 0131-0132 may be omitted, where institutions are not able to isolate the relevant conservative adjustments in its PDs and LGDs used for the RWA calculation due to ongoing model changes.
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Column |
Label |
Legal reference |
Instructions |
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0010 |
Portfolio ID |
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The portfolio ID of column 0010 of table C of Annex I, defining the portfolio shall be reported. This ID shall be a row identifier and shall be unique for each row in the template. 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. |
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0040 |
Number of obligors |
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The instructions for table C 102, column 0040 shall apply. |
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0060 |
PD |
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The instructions for table C 102, column 0060 shall apply. |
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0061 |
PD without supervisory measures |
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The instructions for table C 102, column 0061 shall apply. |
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0062 |
PD without MoC and supervisory measures |
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The instructions for table C 102, column 0062 shall apply. |
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0080 |
Original exposure pre conversion factors |
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The instructions for table C 102, column 0080 shall apply. |
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0090 |
Exposure after CRM substitution effects pre conversion factors |
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The instructions for table C 102, column 0090 shall apply. |
|
0100 |
CCF |
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The instructions for table C 102, for column 0100 shall apply. |
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0110 |
EAD |
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The instructions for table C 102, column 0110 shall apply. |
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0120 |
Collateral value |
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The instructions for table C 101, column 0120 shall apply. |
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0130 |
LGD |
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The instructions for table C 102, column 0130 shall apply. |
|
0131 |
LGD without supervisory measures |
|
The instructions for table C 102, column 0131 shall apply. |
|
0132 |
LGD without MoC and without supervisory measures |
|
The instructions for table C 102, column 0132 shall apply. |
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0133 |
LGD without MoC, supervisory measures and downturn component |
|
The instructions for table C 102, column 0133 shall apply. |
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0140 |
Maturity |
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The instructions for table C 102, column 0140 shall apply. |
|
0150 |
Expected Loss amount |
|
The instructions for table C 102, column 0150 shall apply. |
|
0160 |
Provisions defaulted exposures |
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The instructions for table C 102, column 0160 shall apply. |
|
0170 |
RWA |
|
The instructions for table C 102, column 0170 shall apply. |
|
0180 |
RWA Standardised |
|
The instructions for table C 102, column 0180 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, column 0080, 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, column 0080, 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. This information shall be reported for portfolio IDs relating to non-defaulted exposures only and it shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used. |
|
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 referred to 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 required to calculate a default rate for the past five years preceding the reference date under Article 180(1), point (h), or Article 180(2), point (e), of Regulation (EU) No 575/2013, 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. This information shall be reported for portfolio IDs relating to “non-defaulted” exposures only and it shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used. |
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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 consider exposures that were in default exactly one year before the reference date. It shall be the sum of: (a) credit risk adjustments to these exposures one year before the reference date, and (b) credit risk adjustments and write-offs applied within the year preceding the reference date, divided by the sum of the EAD, measured exactly one year before the reference date of the exposures under consideration. 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 same obligor shall be included only once. The loss rate shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used. |
|
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 rate past five years shall be based on the annual loss rates of the past five years, where these annual loss rates are defined in analogy to the definition of the loss rate of column 0210; in particular, the annual loss rates shall not include additional changes in credit risk adjustments and write offs that have occurred after the observation horizon (calendar year) of each annual loss rate. Where the institution is not required to use data for the past five years preceding the reference date under Article 181(2), last subparagraph, of Regulation (EU) No 575/2013, 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. The loss rate shall be expressed as a value between 0 and 1. Defaults and default dates shall be used as recorded under the implementation of the DoD applicable at the time of the event, i.e., an institution shall consider a default to have occurred with respect to the DoD that was applied by the institution at the time the event was recorded. Changes in the DoD shall be considered only prospectively from their date of implementation, while the retrospective application of changes of the DoD after the default event under consideration (backward simulation) shall not be used. |
|
0250 |
RWA- |
|
Institutions shall calculate and report RWA- for portfolios that are referred to in table C 103 of Annex I with the following portfolio IDs: 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 RWA- shall be the hypothetical RWA, after supporting factors, 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) 2021/451 shall be used (see Annex II, template C 08.01 column 0010 and template C 08.02, to that Regulation, for instructions)., For each obligor grade,
Here,
q = the confidence level set at 90 %; DR1y = 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
|
|
0260 |
RWA+ |
|
Institutions shall calculate and report RWA+ for the portfolios that are referred to in table C 103 of Annex I 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 RWA+ shall be the hypothetical RWA, after supporting factors, 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 Annex I, template C 08.02, column 0005, to Implementing Regulation (EU) 2021/451 shall be used (see Annex II, template C 08.01 column 0010 and template C 08.02, to that Regulation, for instructions). For each obligor grade,
where:
q = the confidence level set at 90 %; DR1y = 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
|
|
0270 |
RWA— |
|
Institutions shall calculate and report RWA— for the portfolios that are referred to in table C 103 of Annex I 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 RWA— shall be the hypothetical RWA, after supporting factors, 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) 2021/451 shall be used (see Annex II, template C 08.01 column 0010 and template C 08.02, to that Regulation, for instructions). For each obligor grade,
Here,
q = the confidence level set at 90 %; DR5y = 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
|
|
0280 |
RWA++ |
|
Institutions shall calculate and report RWA++ for the portfolios that are referred to in table C 103 of Annex Iwith 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 RWA++ shall be the hypothetical RWA, after supporting factors, 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) 2021/451 shall be used (see Annex II, template C 08.01 column 0010, and template C 08.02, to that Regulation for instructions). For each obligor grade,
where:
q = the confidence level set at 90 %; DR5y = 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
|
C 105.01 – Definition of internal models
The information in column 0140 may be omitted.
|
Column |
Label |
Legal reference |
Instructions |
|
0010 |
Internal model ID |
|
The internal model ID assigned by the reporting institution shall be reported. The internal model ID shall uniquely refer to an internal model approved by the competent authority and used for the calculation of RWA. It shall be a row identifier and shall be unique for each row in the template. |
|
0020 |
Model name |
|
The model name assigned to the internal model 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. For an internal model for Corporate – Specialised Lending exposures under Article 153(5) of Regulation (EU) No 575/2013 (“Specialised lending slotting criteria”), the field shall be left blank or ‘NULL’ shall be inserted. |
|
0040 |
EAD |
Template C 08.01, column 0110, of Annex I to Implementing Regulation (EU) 2021/451 |
The aggregate exposure value of the exposures within the range of application of the rating 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. This 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. This 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. This 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-month period. An institution that does not calculate cure rates for a given model shall calculate a proxy for cure rates, in accordance with 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. |
|
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 |
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 |
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 |
RWA |
Template C 08.01, column 0260, of Annex I to Implementing Regulation (EU) 2021/451 |
The aggregate RWA after supporting factors (SME and infrastructure supporting factors) of the exposures within the range of application of the rating model shall be reported. |
|
0150 |
RWA add-ons |
|
The RWA add-ons shall be a sub-position (“of which”) of the RWA (column 0130 of template C 105.01) and shall include: (a) the RWA that is added to the RWA resulting from the application of the model’s risk parameter(s) due to additional internal measures of conservatism directly applied on the RWA, if any; (b) the RWA that is added to the RWA resulting from the application of the model’s risk parameter(s) due to supervisory measures directly applied on the RWA, if any. The amounts under points (a) and (b) shall not include measures that are already reflected in the PD (column 0060 of templates C 102 and C 103), CCF (column 0100 of templates C 102 and C 103) or LGD (column 0130 of templates C 102 and C 103), but shall be restricted to measures that are directly applied on the RWA and, if relevant, in addition to the margins of conservatism and supervisory measures (multipliers, add-ons, floors or similar measures) that increase the risk parameters. The RWA add-ons shall not include the effect of potential measures under Article 458 of Regulation (EU) No 575/2013. |
C 105.02 – Mapping of internal models to portfolios
|
Column |
Label |
Legal reference |
Instructions |
|
0010 |
Portfolio ID |
Tables C 102 and C 103, column 0010 |
The portfolio ID uniquely identifying the portfolio in accordance with tables C 102 and 103 of Annex I, shall be reported. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in template C 105.02. |
|
0020 |
Internal model ID |
Template C 105.01, column 0010 |
The internal model ID assigned by the reporting institution shall be reported. Columns 0010 and 0020 are a composite row identifier and together shall be unique for each row in template C 105.02. |
|
0030 |
EAD |
Template C 08.01, column 0110, of Annex I to Implementing Regulation (EU) 2021/451 |
The aggregate exposure value of the exposures that are included in the portfolio defined by column 0010 and within the range of application of the rating model defined by column 0020 shall be reported. Where all exposures 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 tables C 102 or C 103, column 0110, as applicable. |
|
0040 |
RWA |
Template C 08.01, column 0260, of Annex I to Implementing Regulation (EU) 2021/451 |
The aggregate RWA after supporting factors for the exposures that are included in the portfolio defined by column 0010 and within the range of application of the rating model defined by column 0020 shall be reported. Where all exposures of a given portfolio are treated with one specific model, the RWA shall be identical to the amount reported for the same portfolio in tables C 102 or C 103, column 0170, 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 |
template C 105.01, column 0010 |
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 template. |
|
0020 |
Location of institution |
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. |