Status: Please note you should read all Brexit changes to the FCA Handbook and BTS alongside the main FCA transitional directions. Where these directions apply the 'standstill', firms have the choice between complying with the pre-IP completion day rules, or the post-IP completion day rules. To see a full list of Handbook modules affected, please see Annex B to the main FCA transitional directions.

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

104

C 104.00

Details for hypothetical transactions in Low 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 104.00 — Details for hypothetical transactions in Low Default Portfolios

Transaction ID

Rating

PD

Original exposure pre conversion factors

CCF

Collateral value before haircut

Haircut

Collateral value after haircut

EAD

EAD unsecured

EAD secured

LGD

LGD unsecured

LGD secured

Maturity

RWA

010

020

030

040

050

060

070

080

090

100

110

120

130

140

150

160

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