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Annex III Results Supervisory Benchmark portfoliosF1

United Kingdom

Original text. Later amendments are not shown.

Template number Template code Name of the template /group of templates
101 C 101.00 Details on exposures in Low Default Portfolios by counterparty
102 C 102.00 Details on exposures in Low Default Portfolios
103 C 103.00 Details on exposures in High Default Portfolios
105,01 C 105.01 Definition of internal models
105,02 C 105.02 Mapping of internal models to portfolios
105,03 C 105.03 Mapping of internal models to countries

C 101.00 - Details on exposures in Low Default Portfolios by counterparty

Counterparty Code Exposure class Rating Date of most recent rating of counterparty PD Default status Original exposure pre conversion factors Exposure after CRM substitution effects pre conversion factors CCF EAD Collateral value Hyp LGD senior unsecured without negative pledge Hyp LGD senior unsecured with negative pledge LGD Maturity RWA
010 020 040 050 060 070 080 090 100 110 120 130 140 150 160 170

C 102.00 - Details on exposures in Low Default Portfolios

Portfolio ID Number of obligors PD Original exposure pre conversion factors Exposure after CRM substitution effects pre conversion factors CCF EAD Collateral value LGD Maturity Expected Loss Provisions defaulted exposures RWA RWA Standardised
010 040 060 080 090 100 110 120 130 140 150 160 170 180

C 103.00 - Details on exposures in High Default Portfolio

Portfolio ID Number of obligors PD Original exposure pre conversion factors Exposure after CRM substitution effects pre conversion factors CCF EAD Collateral value LGD Maturity Expected Loss amount Provisions non-performing exposures RWA RWA Standardised Default rate latest year Default rate past 5 years Loss rate latest year Loss rate past 5 years RWA- RWA+ RWA-- RWA++
010 040 060 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 250 260 270 280

C 105.01 - Definition of internal models

Internal model ID Model name IRBA Risk parameter EAD EAD weighted average default rate for calibration Case weighted average default rate for calibration Long-run PD Cure rate for defaulted assets Recovery rate of the foreclosed assets for not cured defaults Recovery period of the foreclosed assets for not cured defaults Joint decision Consolidating supervisor RWA
010 020 030 040 050 060 070 080 090 100 110 120 130

C 105.02 - Mapping of internal models to portfolios

Portfolio ID Internal model ID EAD RWA
010 020 030 040

C 105.03 - Mapping of internal models to countries

Internal model ID Location of institution
010 020

Annotations

Textual amendments

F1

Substituted by Commission Implementing Regulation (EU) 2019/439 of 15 February 2019 amending Implementing Regulation (EU) 2016/2070 as regards benchmark portfolios, reporting templates and reporting instructions to be applied in the Union for the reporting referred to in Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance).