{ "url": "https://openlegislation.uk/eu-regulation-2017-1486/annex-IV", "json_url": "https://openlegislation.uk/eu-regulation-2017-1486/annex-IV.json", "legislation": "eur/2017/1486", "legislation_title": "Commission Implementing Regulation (EU) 2017/1486 of 10 July 2017 amending Implementing Regulation (EU) 2016/2070 as regards benchmarking portfolios and reporting instructions (Text with EEA relevance)", "legislation_url": "https://openlegislation.uk/eu-regulation-2017-1486", "path": "annex/IV", "kind": "annex", "number": "IV", "heading": null, "text": "‘ANNEX IV\nRESULTS SUPERVISORY BENCHMARKING PORTFOLIOS\nPART I: GENERAL INSTRUCTIONS\n1.\nData shall be submitted only for counterparties with an exposure or valid rating.\n2.\nData shall be submitted only for those exposures for which an internal model has been approved.\n3.\nThe following shall apply to Part II:\n(a) for the absolute values, the sum of the values shall be reported;\n(b) for the percentage values, the weighted average, using the exposure at default (‘EAD’) as weight, shall be reported;\n(c) as an exception to point (b), when calculating the conversion factor (‘CCF’), the weight used shall be the ‘original exposure’, i.e. the amount to which a CCF is applied in order to obtain the EAD, after taking into account credit risk mitigation (‘CRM’) techniques with substitution effects on the exposure (column 090 in templates 101, 102 and 103).\nPART II: TEMPLATE RELATED INSTRUCTIONS\nC 101 — Details on exposures in Low Default Portfolios by counterparty\n‘Not applicable’ shall be used when none of the answers in the list is correct (e.g. for column 020, it will mean that the counterparty is classified in multiple asset classes, without one being clearly predominant).\nColumn\nLabel\nLegal reference\nInstructions\n010\nCounterparty Code\nColumn 010 of template 101 of Annex I to this Implementing Regulation\nThe counterparty code assigned by EBA to the counterparty included in the LDP samples portfolios shall be reported. The code is a row identifier and shall be unique for each row in the table.\n020\nExposure class\nParagraph 78 of Annex II to Commission Implementing Regulation (EU) No 680/2014\nEach portfolio shall be assigned to one of the following exposure classes:\n(a) Central banks and central governments;\n(b) Institutions;\n(c) Corporate — SME;\n(d) Corporate — Specialised lending;\n(e) Corporate — Other;\n(f) Retail — Secured by real estate SME;\n(g) Retail — Secured by real estate non-SME;\n(h) Retail — Qualifying revolving;\n(i) Retail — Other SME;\n(j) Retail — Other non — SME;\n(k) Not applicable.\n030\nRegulatory approach\nThe approach used for calculating own funds requirements that shall be reported shall be one of the following:\n(a) Foundation IRB approach;\n(b) Advanced IRB approach;\n(c) Specialised lending slotting criteria;\n(d) Not applicable.\nWhere more than one approach applies to the exposures of a given portfolio, the exposures shall be split and reported separately for each approach using the appropriate and uniquely defined counterparty code.\n040\nRating\nThe rank of the internal rating grade applied by the institution (from lowest risk to highest risk excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc.\n050\nDate of most recent rating of counterparty\nThe date of the most recent rating of the counterparty shall be reported.\n060\nPD\nColumn 010 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe PD assigned to the obligor grade or pool that shall be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 120) shall be used for the calculation of the exposure-weighted average PD. The PD shall be expressed as a value between 0 and 1.\nFor each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.\nIt is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, then the internal master scale shall be used. Otherwise, the different rating systems shall be merged and ordered in accordance with the following criteria:\n(a) obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher;\n(b) where the institution uses a large number of grades or pools, it may agree with the competent authorities to report a reduced number of grades or pools.\nThe institution shall contact its competent authority in advance if it wants to report a different number of grades in comparison with the internal number of grades.\n070\nDefault status\nThe default status to be reported shall be one of the following:\n(a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %;\n(b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %.\n080\nOriginal exposure pre-conversion factors\nColumn 020 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.\n090\nExposure after CRM substitution effects pre-conversion factors\nColumn 090 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe amount to which a CCF is applied in order to obtain the EAD shall be reported. The reported amount shall take into account credit risk mitigation techniques with substitution effects on the exposure.\n100\nCCF\nSecond subparagraph of Article 166(8) of Regulation (EU) No 575/2013\nFor the exposures where own estimates of CCFs are applied, the weighted average CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD.\n110\nEAD\nColumn 110 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe exposure value shall be left blank where the institution has no IRB exposure for a given counterparty.\n120\nCollateral value\nColumns 150 to 210 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe market value of the collateral shall be reported.\n130\nHyp LGD senior unsecured without negative pledge\nArticle 161 of Regulation (EU) No 575/2013\nThe hypothetical own estimates of LGD that would be applied by the institution to the counterparty for senior unsecured exposures without a negative pledge clause shall be reported.\nA negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party.\n140\nHyp LGD senior unsecured with negative pledge\nArticle 161 of Regulation (EU) No 575/2013\nThe hypothetical own estimated LGD that would be applied by the institution to the counterparty for senior unsecured exposures with a negative pledge clause shall be reported.\nA negative pledge clause is a clause stating that the borrower or debt issuer will not pledge any of its assets to another party.\n150\nLGD\nColumn 230 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe exposure-weighted own estimates of LGD or the exposure-weighted regulatory LGD applied by the institution to the exposures to each counterparty shall be reported.\n160\nMaturity\nColumn 250 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe exposure-weighted maturity for the exposures to each counterparty shall be reported. It shall be expressed in number of days.\n170\nRWA\nColumn 260 of template 8.1 of Annex I of Commission Implementing Regulation (EU) No 680/2014\nThe risk-weighted exposure amount after applying the SME supporting factor shall be reported.\nC 102 — Details on exposures in Low Default Portfolios\n4.\nFor portfolios that are defined with a specific rating grade, information on the PD shall be reported for the entire rating scale, even if the bank has no exposure for each rating grade. In that case, the EAD shall be reported as zero and the other columns shall be left blank.\n5.\nPortfolios that are defined without a specific rating grade shall be left out of a data submission if no IRB exposure exists for the respective portfolio at the reporting reference date.\nColumn\nLabel\nLegal reference\nInstructions\n010\nPortfolio ID\nColumn 010 of template 102 of Annex I to this Implementing Regulation\nThe code assigned by EBA to each portfolio shall be reported. That code is a row identifier and shall be unique for each row in the table.\n020\nExposure class\nParagraph 78 of Annex II to Commission Implementing Regulation (EU) No 680/2014\nEach portfolio shall be assigned to one of the following exposure classes:\n(a) Central banks and central governments;\n(b) Institutions;\n(c) Corporate — SME;\n(d) Corporate — Specialised lending;\n(e) Corporate — Other;\n(f) Retail — Secured by real estate SME;\n(g) Retail — Secured by real estate non-SME;\n(h) Retail — Qualifying revolving;\n(i) Retail — Other SME;\n(j) Retail — Other non — SME;\n(k) Not applicable.\n030\nRegulatory approach\nThe approach used for calculating own funds requirements that shall be reported shall be one of the following:\n(a) Foundation IRB approach;\n(b) Advanced IRB approach;\n(c) Specialised lending slotting criteria;\n(e) Not applicable.\nWhere more than one approach applies to the exposures of a given portfolio, the exposures shall be split and reported separately for each approach, using the appropriate and uniquely defined portfolio identifier.\n040\nNumber of obligors\nColumn 300 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe number of obligors shall be reported.\n050\nRating\nThe rank of the internal rating grade applied by the institution (from lowest risk to highest risk, excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc. The information shall only be reported for portfolios defined in Annex I to this Implementing Regulation that consist of exposures to a single rating grade, otherwise this cell shall be left blank.\n060\nPD\nColumn 010 of table 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures) the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the expo-sure-weighted average PD. The PD shall be expressed as a value between 0 and 1.\nFor each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.\nIt is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, then the internal master scale shall be used. Otherwise, the different rating systems shall be merged and ordered in accordance with the following criteria:\n(a) obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher;\n(b) where the institution uses a large number of grades or pools, it may agree with the competent authorities to report a reduced number of grades or pools.\nThe institution shall contact its competent authority in advance if it wants to report a different number of grades in comparison with the internal number of grades.\n070\nDefault status\nThe default status to be reported shall be one of the following:\n(a) Defaulted: exposures assigned to the rating grade(s) with a PD of 100 %.\n(b) Non-defaulted: exposures assigned to rating grades with a PD lower than 100 %.\n080\nOriginal exposure pre-conversion factors\nColumn 020 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.\n090\nExposure after CRM substitution effects pre-conversion factors\nColumn 090 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe amount to which a CCF is applied in order to obtain the EAD shall be reported. The reported amount shall take into account credit risk mitigation techniques with substitution effects on the exposure.\n100\nCCF\nArticle 166(8) of Regulation (EU) No 575/2013\nFor the exposures where own estimates of CCFs are applied, the weighted average CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD.\n110\nEAD\nColumn 110 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe exposure value shall be reported.\n120\nCollateral value\nColumns 150 to 210 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe market value of the collateral shall be reported.\n130\nLGD\nColumn 230 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe exposure-weighted own estimates of LGD or the exposure-weighted regulatory LGD applied by the institution to the exposures held and included in each portfolio shall be reported.\n140\nMaturity\nColumn 250 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe exposure-weighted maturity shall be reported. It shall be expressed in number of days.\n150\nExpected Loss\nColumn 280 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe expected loss shall be reported.\n160\nProvisions non-performing exposures\nColumns 050, 055 and 060 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe provisions for non-performing exposures shall be reported. These include all the general and specific credit risk adjustments for defaulted assets as defined in Article 110 of Regulation (EU) No 575/2013.\n170\nRWA\nColumn 260 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe risk-weighted exposure amount after applying the SME supporting factor shall be reported.\n180\nRWA Standardised\nRow 900 of template 4 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported.\nC 103 — Details on exposures in High Default Portfolio\nColumn\nLabel\nLegal reference\nInstructions\n010\nPortfolio ID\nColumn 010 of template 103 of Annex I to this Implementing Regulation\nThe code assigned by the EBA to each portfolio shall be reported. That code is a row identifier and shall be unique for each row in the table.\n020\nExposure class\nParagraph 78 of Annex II to Commission Implementing Regulation (EU) No 680/2014\nEach portfolio shall be assigned to one of the following exposure classes:\n(a) Corporate — SME;\n(b) Corporate — Specialised lending;\n(c) Corporate — Other;\n(d) Retail — Secured by real estate SME;\n(e) Retail — Secured by real estate non-SME;\n(f) Retail — Qualifying revolving;\n(g) Retail — Other SME;\n(h) Retail — Other non — SME;\n(i) Not applicable.\n030\nRegulatory approach\nThe regulatory approach used for calculating own funds requirements that shall be reported shall be one of the following:\n(a) Foundation IRB approach;\n(b) Advanced IRB approach;\n(c) Specialised lending slotting criteria;\n(d) Not applicable.\nWhere more than one approach applies to the exposures of a given portfolio, the exposures shall be split and reported separately for each approach, using the appropriate and uniquely defined portfolio identifier.\n040\nNumber of obligors\nColumn 300 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe number of obligors shall be reported.\n050\nRating\nThe internal rating grade applied by the institution (from lowest risk to highest risk, excluding defaults with PD corresponding to 100 %) shall be reported. It shall follow the numerical order 1, 2, 3 etc. The information shall only be reported for portfolios defined in Annex I to this Implementing Regulation that consist of exposures to a single rating grade, otherwise this cell shall be left blank.\n060\nPD\nColumn 010 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure-weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 110) shall be used for the calculation of the exposure-weighted average PD. The PD shall be expressed as a value between 0 and 1.\nFor each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.\nIt is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating system or is able to report in accordance with an internal master scale, that scale shall be used. Otherwise, the different rating systems shall be merged and ordered in accordance with the following criteria:\n(a) obligor grades of the different rating systems shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher;\n(b) where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities.\nThe institution shall contact its competent authority in advance if it wants to report a different number of grades in comparison with the internal number of grades.\n070\nDefault status\nThe default status shall be one of the following:\n(a) Defaulted: Those are the exposures assigned to the rating grade(s) with a PD of 100 %;\n(b) Non-defaulted: Those are the exposures assigned to rating grades with a PD lower than 100 %.\n080\nOriginal exposure pre conversion factors\nColumn 020 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe original exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or conversion factors shall be reported.\n090\nExposure after CRM substitution effects pre conversion factors\nColumn 090 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe amount to which a conversion factor is applied in order to obtain the EAD shall be reported. The information reported shall take into account credit risk mitigation techniques with substitution effects on the exposure.\n100\nCCF\nArticle 166(8)(e) of Regulation (EU) No 575/2013\nFor the exposures where own estimates of CCFs are applied, the weighted average CCFs shall be reported. The weights that shall be used shall be the amounts to which the CCFs are applied in order to obtain the EAD.\n110\nEAD\nColumn 110 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe exposure value shall be reported.\n120\nCollateral value\nColumn 150 to 210 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe market value of the collateral shall be reported.\n130\nLGD\nColumn 230 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe exposure-weighted own estimates of LGD or exposure-weighted regulatory LGD applied by the institution to the exposures to each portfolio shall be reported.\n140\nMaturity\nColumn 250 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe exposure-weighted maturity shall be reported. It shall be expressed in number of days.\n150\nExpected Loss\nColumn 280 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe expected loss shall be reported.\n160\nProvisions non-performing exposures\nColumns 050, 055 and 060 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe provisions for non-performing exposures shall be reported. These include all the general and specific credit risk adjustments for defaulted assets as referred to in Article 110 of Regulation (EU) No 575/2013.\n170\nRWA\nColumn 260 of template 8.1 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe risk-weighted exposure amount after applying the SME supporting factor shall be reported.\n180\nRWA Standardised\nRow 900 of template 4 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe RWA amount calculated by applying the standardised approach for credit risk to the exposures shall be reported.\n190\nDefault rate latest year\nColumns 010, 030 and 040 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe default rate for the latest year shall be reported. The default rate means the observed new defaults for the last year (column 040 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014) divided by the amount of the non-defaulted assets existing one year before the reference date (the difference between column 010 and column 030 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014).\n200\nDefault rate past 5 years\nColumns 010, 030 and 040 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe exposure-weighted average of the default rates observed in the last 5 years shall be reported. For the definition of default rate see column 190.\nWhere the institution is not able to calculate a default rate for the past 5 years, it shall develop a proxy using its longest history up to 5 years and provide its competent authority with the documentation detailing the calculation.\n210\nLoss rate latest year\nColumns 040 and 70 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014;\nCommission Delegated Regulation (EU) No 183/2014\nThe loss rate observed in the latest year shall be reported. The loss rate means the sum of credit risk adjustments and write-offs for the exposures that were classified as ‘defaulted exposures’ in the latest year (column 070 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014) divided by the amount of the observed new defaults in the last year (column 040 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014).\n220\nLoss rate past 5 years\nColumns 040 and 070 of template 9.2 of Annex I to Commission Implementing Regulation (EU) No 680/2014\nThe exposure-weighted average of the loss rates observed in the last 5 years shall be reported. For the definition of loss rate see column 210.\nIf the institution is not able to calculate a loss rate for the past 5 years it shall develop a proxy using its longest history up to 5 years and provide documentation detailing the calculation to its competent authority.\n230\nRWA*\nInstitutions shall calculate and report RWA* for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. The portfolios are defined in template 103 of Annex I to this Implementing Regulation and are identified with the following portfolio ID:\n(a) CORP0007;\n(b) SMEC0008;\n(c) SMER0008;\n(d) MORT0010;\n(e) CORP0007;\n(f) SMEC0008;\n(g) SMER0008;\n(h) MORT0010;\n(i) CORP0007;\n(j) SMEC0008;\n(k) SMER0008;\n(l) MORT0010;\n(m) CORP0007;\n(n) SMEC0008;\n(o) SMER0008;\n(p) MORT0010.\nThe risk-weighted exposure amount, after applying the SME supporting factor, that would result from the application of PD* instead of the original PD on the rating grade level shall be reported. No compensation between rating grades shall be taken into account.\nPD* is the smallest PD estimator for which the one-sided binomial test (based on normal approximation of binomial distribution with confidence level of 97,5 %) would be passed.\nPD* = min PD* so that:\nPD * + Φ − 1 q × PD * × 1 − PD * n > DR 1 y With:\nPD* the probability of default for the rating grade;\nφ– 1 the inverse function of the standard normal distribution;\nq the confidence level;\nDR1 y the case-weighted default rate of the latest year for the rating grade;\nn the number of non-defaulted debtors at the beginning of the period.\nAn institution using continuous PD shall first determine the PD* for the average PD of each rating class and subsequently apply by rating class the same relative deviation between PD and PD* at counterpart level as for the average PD and PD* at rating grade level.\nIf the prohibition from taking into account compensation between rating grades leads to a situation where, for a given rating grade, PD* is less than PD than for that rating grade, the PD shall be used in the calculation of the risk-weighted exposure amount.\n240\nRWA**\nInstitutions shall calculate and report RWA** for the portfolios Corporate, Corporate SME, Retail SME and Retail secured by real estate at a total portfolio and a country level. These portfolios are defined in template 103 of Annex I to this Implementing Regulation and are identified with the following portfolio ID:\n(a) CORP0007;\n(b) SMEC0008;\n(c) SMER0008;\n(d) MORT0010;\n(e) CORP0007;\n(f) SMEC0008;\n(g) SMER0008;\n(h) MORT0010;\n(i) CORP0007;\n(j) SMEC0008;\n(k) SMER0008;\n(l) MORT0010;\n(m) CORP0007;\n(n) SMEC0008;\n(o) SMER0008;\n(p) MORT0010.\nThe risk-weighted exposure amount, after applying the SME supporting factor, that would result from the application of PD** instead of the original PD on the rating grade level shall be reported. No compensation between rating grades shall be taken into account.\nPD** is the smallest PD estimator for which the one-sided binomial test (based on normal approximation of binomial distribution with confidence level of 97,5 %) would be passed.\nThe rating grade shall be the following\nPD** = min PD** so that:\nPD ** + Φ − 1 q × PD ** × 1 − PD ** n > DR 5 y With:\nPD** the probability of default for the rating grade;\nφ– 1 the inverse function of the standard normal distribution;\nq the confidence level;\nDR5 y the case-weighted default rate of the 5 latest years for the rating grade, calculated as the average of five 1-year default rates;\nn the number of non-defaulted debtors at the beginning of the period.\nAn institution using continuous PD shall determine first the PD** for the average PD of each rating class and subsequently apply by rating class the same relative deviation between PD and PD** at counterpart level as for the average PD and PD** at rating grade level.\nIf the prohibition from taking into account compensation between rating grades leads to a situation where, at rating grade level, PD** is less than PD then for that rating grade the PD shall be used in the calculation of the risk-weighted exposure amount.\nC 105.01 — Definition of internal models\nColumn\nLabel\nLegal reference\nInstructions\n010\nInternal model ID\nThe internal model ID assigned by the reporting institution shall be reported. The 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 IRBA 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 of Commission Implementing Regulation (EU) No 680/2014\nThe aggregate exposure value of the transactions included in each portfolio (see column 060) treated with the specific model shall be reported.\n050\nEAD weighted average default rate for calibration\nThe EAD-weighted average of the annual default rates used in the calibration of the PD models shall be reported.\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.\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.\n080\nCure rate defaulted asset\nThe cure rate defaulted asset is 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 taking into account the definition provided. The institution shall report the use of a proxy to the competent authority.\n090\nRecovery rate of the foreclosed assets for not cured defaults\nThe case-weighted average recovery rate of the foreclosed assets 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 of the foreclosed assets for no cured defaults shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority.\n100\nRecovery period of the foreclosed assets 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 non-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 of the foreclosed assets for no cured defaults shall calculate a proxy taking into account the definition provided. The institution shall report the use of a proxy to the competent authority.\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 responsible for the consolidated supervision of the institution using an IRB approach shall be reported.\nC 105.02 — Mapping of internal models to portfolios\nColumn\nLabel\nLegal reference\nInstructions\n010\nPortfolio ID\nColumn 010 of templates 102 and 103\nThe code assigned by the EBA to the portfolio for which the institution reports the results of the calculation shall be reported.\n020\nInternal model ID\nColumn 010 of template 105.01\nThe internal model ID assigned by the reporting institution shall be reported.\nC 105.03 — Mapping of internal models to countries\nColumn\nLabel\nLegal reference\nInstructions\n010\nInternal model ID\nColumn 010 of template 105.01\nThe internal model ID assigned by the reporting institution shall be reported. Where one internal model ID is associated with several countries, separate rows shall be reported for each combination of ‘Internal model ID’ and ‘Host supervisor’. Columns 010 and 020 are a composite row identifier and together must be unique for each row in the table.\n020\nHost supervisor\nArticle 20 of Regulation (EU) No 575/2013\nThe country ISO code of the country of origin of the competent authority responsible for the supervision of the subsidiary on an individual basis for each institution where the IRB exposures reported for each benchmarking portfolio are booked shall be reported (irrespective of the existence of any permission granted by the host supervisor to apply an IRB approach).\n’", "extent": "E+W+S+N.I.", "status": null, "version": "current", "annotations": [ { "type": "footnote", "label": "f1", "text": "‘Not applicable’ shall be used when none of the answers in the list is correct (e.g. for column 020, it will mean that the counterparty is classified in multiple asset classes, without one being clearly predominant)." } ], "outstanding_effects": [], "provenance": { "source": "legislation.gov.uk", "source_url": "https://www.legislation.gov.uk/eur/2017/1486/annex/IV", "retrieved_at": "2026-11-01T14:44:41.414803+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." }