{
  "url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-IV/part-2/division-4",
  "json_url": "https://openlegislation.uk/eu-regulation-2016-2070/annex-IV/part-2/division-4.json",
  "legislation": "eur/2016/2070",
  "legislation_title": "Commission Implementing Regulation (EU) 2016/2070 of 14 September 2016 laying down implementing technical standards for templates, definitions and IT-solutions to be used by institutions when reporting to the European Banking Authority and to competent authorities in accordance with Article 78(2) of Directive 2013/36/EU of the European Parliament and of the Council (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2016-2070",
  "path": "annex/IV/part/2/division/4",
  "kind": "division",
  "number": null,
  "heading": "C 105.01 – Definition of internal models",
  "text": "Column\nLabel\nLegal reference\nInstructions\n010\nInternal model ID\nThe 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.\n020\nModel name\nThe model name assigned by the reporting institution shall be reported.\n030\nIRBA Risk parameter\nThe IRB approach risk parameter shall be one of the following:\n(a) PD;\n(b) LGD;\n(c) CCF.\n040\nEAD\nColumn 110 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe aggregate exposure value of the transactions in the scope of application of the specific model shall be reported.\n050\nEAD weighted average default rate for calibration\nThe 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.\n060\nCase weighted average default rate for calibration\nThe 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.\n070\nLong-run PD\nThe 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.\n080\nCure rate defaulted asset\nThe cure rate defaulted asset shall be the percentage of defaulted outstanding that returns in ‘ non-defaulted ’ status over a 12 months period.\nAn 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.\n090\nRecovery rate for not cured defaults\nThe 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.\nAn 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.\n100\nRecovery period for not cured defaults\nThe 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.\nAn 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.\n110\nJoint decision\nArticle 20(2)(a) of Regulation (EU) No 575/2013\nThe 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.\n120\nConsolidating supervisor\nArticle 20 of Regulation (EU) No 575/2013\nThe 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.\n130\nRWA\nColumn 260 of template 8.1 of Annex I to Implementing Regulation (EU) No 680/2014\nThe 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.",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [
    {
      "type": "F",
      "label": "F1",
      "text": "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)."
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2016/2070/annex/IV/part/2/division/4",
    "retrieved_at": "2026-11-01T14:45:20.126201+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}