# 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), Division: C 105.01 – Definition of internal models

Extent: E+W+S+N.I.

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:
(a) PD;
(b) LGD;
(c) CCF.
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.

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Source: https://www.legislation.gov.uk/eur/2016/2070/annex/IV/part/2/division/4 (the official version)
Page: https://openlegislation.uk/eu-regulation-2016-2070/annex-IV/part-2/division-4
Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives.