Division C 105.01 – Definition of internal modelsF1
United Kingdom
| Column | Label | Legal reference | Instructions |
|---|---|---|---|
| 010 | Internal model ID | The internal model ID assigned by the reporting institution shall be reported. This internal model ID is a row identifier that shall be unique for each row in the table. | |
| 020 | Model name | The model name assigned by the reporting institution shall be reported. | |
| 030 | IRBA Risk parameter | The IRB approach risk parameter shall be one of the following:
| |
| 040 | EAD | Column 110 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. |
| 050 | 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. | |
| 060 | Case weighted average default rate for calibration | The 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. | |
| 070 | 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. | |
| 080 | 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, in accordance with the definition provided. The institution shall report the use of a proxy to the competent authority. This information shall be completed only for LGD models. | |
| 090 | Recovery rate for not cured defaults | 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. An institution that does not have a specific recovery rate 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. This information shall be completed only for LGD models. | |
| 100 | Recovery period for not cured defaults | 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. It shall be expressed in number of days. 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. This information shall be completed only for LGD models. | |
| 110 | Joint decision | Article 20(2)(a) of Regulation (EU) No 575/2013 | The institution shall report whether or not a joint decision on prudential requirements does exist between the consolidating and the other (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. |
| 120 | Consolidating supervisor | Article 20 of Regulation (EU) No 575/2013 | The country ISO code of the country of origin of the competent authority reponsible for the consolidated supervision of the institution using an IRB approach shall be reported. |
| 130 | RWA | Column 260 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. |