Annex III
United Kingdom
‘ANNEX III
Results Supervisory Benchmarking portfolios
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 Regulatory approach 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 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 C 102.00 — Details on exposures in Low Default Portfolios
Portfolio ID Exposure class Regulatory approach Number of obligors Rating PD Default status Original exposure pre conversion factors Exposure after CRM substitution effects pre conversion factors CCF EAD Collateral value LGD Maturity Expected Loss Provisions non-performing exposures RWA RWA Standardised 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 C 103.00 — Details on exposures in High Default Portfolio
Portfolio ID Exposure class Regulatory approach Number of obligors Rating PD Default status 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 ** 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 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 010 020 030 040 050 060 070 080 090 100 110 120 C 105.02 — Mapping of internal models to portfolios
Portfolio ID Internal model ID 010 020 C 105.03 — Mapping of internal models to countries
Internal model ID Host supervisor 010 020 ’