Protected B When Completed

DTI Name:
Business Unit:

Foreign DTI Subsidiary (FDS) Risk Rating System Scorecard

Schedules 1 - 4

RRS Name:
Portfolio:
Asset Class:

Date:

Schedule 1 - FDS RRS Scorecard Template Structure

Introduction &
Overview

Self-Assessment
Summary

Schedule 1 & 2

Schedule 3

Front Page

Schedule 3
Self-Assessment Summary

Supporting Worksheets
Schedule 4
Schedule 4
8. Supervisory LGD &
EAD Estimates (FIRB)
Schedule 4
7. Validation
Schedule 4
6. Risk Quantification
Schedule 4
5. Use of RRS

Schedule 1
Scorecard Template
Structure

Schedule 4
4. CG, CRCU, IA
Schedule 4
3. RRS Operations
Schedule 4
2. RRS Design

Schedule 2
RRS Portfolio Overview

Schedule 4
1. Overall Compliance

Mandatory for Subsidiary

As Applicable

FDS RRS Scorecard Template Structure

Page 2 of 25

FDS RRS Scorecard Template Structure

Page 3 of 25

Protected B When Completed

Schedule 2 - FDS Risk Rating System Portfolio Overview

(See Self-assessment Instruction 3.4)
Table 1.1 RRS Definition
Name of RRS
Insert commentary

Table 1.2 General Overview

Parent Banking Group (Consolidated Basis)

Foreign DTI Subsidiary (Sub-consolidated Basis)

Basel II asset class

Coverage of related Basel II gross credit assets ($Billion, %)
Coverage of related Basel II RWA ($Billion, %)
Business unit/division
Products/customers covered by RRS
Country, %
Years/months in use
# of grades/buckets
# of borrowers/facilities
Level of sign off
Definition of default
Actual number of defaults (total/last 12 months)
Rating philosophy
List of names of rating guidelines/documents
Table 1.3 Criteria/Segmentation Borrower/Facility
Non-Retail

Borrower Rating Dimension

Facility Rating Dimension

Parent Banking Group

(Consolidated Basis)

Foreign DTI Subsidiary

(Sub-consloidated Basis)

Parent Banking Group

(Consolidated Basis)

Foreign DTI Subsidiary

(Sub-consloidated Basis)

Parent Banking Group

(Consolidated Basis)

Foreign DTI Subsidiary

(Sub-consloidated Basis)

Parent Banking Group

(Consolidated Basis)

Foreign DTI Subsidiary

(Sub-consloidated Basis)

Mapping RRS to industries (if applicable)

Do you map RRS to industries? (Y/N)
List of industries covered
List of supporting documents
Mapping RRS to master scale (if applicable)
Do you map RRS to master scale? (Y/N)
List of supporting documents
Mapping RRS to external rating agencies
Do you map RRS to external rating agencies? (Y/N)
List of supporting documents
Criteria used for RRS (key inputs)
Criteria for each rating bucket
Criteria for each rating scale (PD, LGD (as applicable))
Granularity
List of supporting documents
Retail

Segmentation criteria
List of titles of supporting documents
Mapping RRS to credit score
Do you map RRS to credit score? (Y/N)
List of supporting documents

FDS RRS Scorecard - RRS Portfolio Overview

Page 4 of 25

Table 1.4 Methodology (Borrower/Facility)

Non Retail

Type of Model

For model-based:

Brief Description
Model Name

Proprietary or vendor
model

Model Name

Proprietary or vendor
model

Borrower Dimension

External vendor

List of Supporting Documents

Facility Rating Dimension

Retail

Type of Model

For model-based:

Brief Description

External vendor

List of Supporting Documents

Table 1.5 Responsibility

Parent Banking Group (Consolidated Basis)
Responsibility
(Department/ Contact
Information)

Description of Responsibilities

Foreign DTI Subsidiary (Sub-consolidated Basis)

Responsibility (Department/
Contact Information)

Description of Responsibilities

Design of RRS
Validation of RRS
Operation of RRS
Assignment of initial ratings
Approval of the initial rating
Refreshment of the rating
Approval of refreshment of the rating
Org charts for each category
Table 1.6 Performance of RRS
Parent Banking Group (Consolidated Basis)

Foreign DTI Subsidiary (Sub-consolidated Basis)

List of tests performed to measure performance of RRS and their respective frequency of application
List of managements reports on RRS performance
Table 1.7 Use of RRS
Parent Banking Group (Consolidated Basis)
Use of RRS (Y/N)

Description

Foreign DTI Subsidiary (Sub-consolidated Basis)

Use of RRS (Y/N)

Description

Loan/Credit Approval
Reporting to senior management and the board
Loan loss reserving
Regulatory capital allocation
Economic capital allocation
Profitability analysis and pricing decisions
Risk Management and loan monitoring
Other (please specify)

FDS RRS Scorecard - RRS Portfolio Overview

Page 5 of 25

Table 1.8 RRS Overrides

Parent Banking Group (Consolidated Basis)

Foreign DTI Subsidiary (Sub-consolidated Basis)

Frequency of RRS overrides

Scope of overrides
Table 1.9 Implementation
Responsibilities
Parent Banking Group (Consolidated Basis)

Foreign DTI Subsidiary (Sub-consolidated Basis)

(If the subsidiary has responsibilities for a given section, please complete the appropriate worksheet in Schedule 4.)

Section of Minimum Requirments

Overall Compliance
RRS Design
RRS Operation
Corporate Governance
Credit Risk Control Unit (CRCU)
Use of RRS
Risk Quantification
Validation
Supervisory LGD and EAD Estimates (FIRB)
Table 1.10 Internal Audit
Responsibilities
Parent Banking Group (Consolidated Basis)

Foreign DTI Subsidiary (Sub-consolidated Basis)

Internal Audit Work (division of responsibilities)

FDS RRS Scorecard - RRS Portfolio Overview

Page 6 of 25

Protected B When Completed

Schedule 3 - FDS Self-Assessment Summary

(See Self-assessment Instructions 3.5)
Table 1.1 Overall Summary Table
Gap Assessment

Current Project Status

Compliance Status

Internal Audit Status

N/A
Major gaps

Completed

Full compliance

Audit work completed

Minor gaps

On Schedule

Substantial compliance

Audit work in progress

Audit work planned

No Audit work planned

No gaps

Total

Somewhat behind schedule

Partial compliance (Impl.)

Significantly behind schedule

Non-compliance

No work has been completed

No internal assessment done

Table 1.2 Self-Assessment Summary Table

#

Paragraph Description

Source/ Para. #

Asset Class

Gap Assessment

Target Compliance Date

Current Project Status

Compliance

Internal Audit

Rating 2

Rating 3

Audit Status

N/A
Rating 1
1
1

Composition of Minimum Requirements

1.1

Compliance with IRB requirements at the outset and ongoing basis

392

All

1.2

Immateriality of non-compliance

393

All

All

Two Dimensional Rating System

396

C,B,S

Borrower Risk Rating Dimension

397

C,B,S

Facility Risk Rating Dimension (AIRB)

399

C,B,S

SL Rating Dimension

400

C,B,S

Two Dimensional Rating System

401

Requirements for (Retail) Pooling

402

All

No excessive Concentrations

403

C,B,S

Minimum Number of Borrower Grades

404

C,B,S

Specified & Distinct Rating Criteria

405

C,B,S

Controlling for Undue Concentrations

406

C,B,S

Minimum Number of Facility Grades

407

C,B,S

Minimum Number of SL Grades

408

C,B,S

Minimum Number of (Retail) Pools

409

2
2.1

2.2

RRS Design
Two Dimensional Rating System

Rating Structure

FDS Self-Assessment Summary

Page 7 of 25

Paragraph Description

Source/ Para. #

Asset Class

Gap Assessment

Target Compliance Date

Current Project Status

Compliance

Internal Audit

Rating 2

Rating 3

Audit Status

N/A
Rating 1
1
2.3

2.4

All

Use of all relevant and material information

411

All

SL Ratings & Supervisory Slotting Criteria

412

All

Mapping Process to SL Slotting Criteria

413

All

All

Assessment Horizon
Assessment Horizon for Borrower Ratings

414

All

Reflecting Adverse Economic Conditions

415

All

Conservative View of Projected Information

416

All

403

All

All

Use of Models
Documentation of Rating System Design

3.2

410

2.6

3.1

4
All

Replicable Rating Grade Criteria

2.5

Rating Criteria

Scope of Documentation

418

All

Documenting Default & Loss Definitions

419

All

Model Documentation

420

All

Bank Responsibility for Model Documentation

421

All

All

RRS Operations
Coverage of Ratings
Coverage of Internal Risk Ratings

422

All

Rating of Separate Legal Entities & Connection Rules

423

All

All

Integrity of Rating Process

Independence of Rating Assignment Process

424

C,B,S

Refreshing Risk Ratings

425

C,B,S

Updating Relevant & Material Information for Risk Ratings

426

C,B,S

Review of Pool Assignment & Loss Characteristics

427

428

All

All

3.3

Overrides

3.4

Data Maintenance
Retrospective Reallocation Requirement

429

All

Data Retention of Rating & Loss Histories

430

C,B,S

LGD & EAD Data Retention Requirements

431

C,B,S

Retail Data Retention Requirements

433

FDS Self-Assessment Summary

Page 8 of 25

Paragraph Description

Source/ Para. #

Asset Class

Gap Assessment

Target Compliance Date

Current Project Status

Compliance

Internal Audit

Rating 2

Rating 3

Audit Status

N/A
Rating 1
1
3.5

4
4.1

4.2

4.3
5
5.1

6
6.1

6.2

Stress Tests & Capital Adequacy

All

Stress Testing Processes for Capital Adequacy

434

All

Credit Risk Stress Testing for IRB

435

All

Considering 3 Sources of Information

436

All

Stress Testing Across the Majority of Exposures

437

All

All

Corporate Governance and Oversight

Corporate Governance
Board & Senior Management Responsibilities

438

All

Senior Management Responsibilities

439

All

Reports to Board & Senior Management

440

All

Credit Risk Control Unit (CRCU)

All

CRCU Independence and Responsibilities

441

All

CRCU & Rating Models

442

All

Internal & External Audit (IA)

443

All

All

Use of RRS
Internal Ratings & Loss Estimates
Overall Use

444

All

Track Record in Using Internal Ratings (AIRB)

445

All

All

Risk Quantification
Overall Requirements for Estimation
Estimating a PD for each grade or pool

446

All

Long-run average of 1-yr realised default rates

447

All

Use of all relevant, material and available information

448

All

Estimates should be relevant

449

All

Estimates should be representative

450

All

Estimates should be conservative

451

All

All

Definition of Default
Alignment of Internal & Basel Definitions

452

All

Indicators of Unlikeliness to Pay

453

All

Monitoring of Definition Elements

454

All

Retail Considerations

455

Consistent use of Definition in Estimation

456

All

FDS Self-Assessment Summary

Page 9 of 25

Paragraph Description

Source/ Para. #

Asset Class

Gap Assessment

Target Compliance Date

Current Project Status

Compliance

Internal Audit

Rating 2

Rating 3

Audit Status

N/A
Rating 1
1

2
Requirements for Defaults that 'cure'

FDS Self-Assessment Summary

457

All

Page 10 of 25

Paragraph Description

Source/ Para. #

Asset Class

Gap Assessment

Target Compliance Date

Current Project Status

Compliance

Internal Audit

Rating 2

Rating 3

Audit Status

N/A
Rating 1
1

6.3

Re-ageing

458

All

6.4

Treatment of Overdrafts

459

All

6.5

Definition of Loss

460

All

6.6

Requirements Specific to PD Estimation

All

6.7

6.8

Appropriate use of available techniques

461

C,S,B

Requirements for Data and Models Used

462

C,S,B

Minimum of 5-year Observation Period

463

C,S,B

Primary Use of Internal Data for Retail

464

Use of total losses

465

Minimum of 5-year Observation Period

466

Accounting for Seasonality in Estimates

467

Requirements Specific to own-LGD Estimates

All

Conservatism of Estimates

468

All

Dependence between borrower risk and collateral

469

All

Estimates Grounded in Historical Recovery Rates

470

All

Treatment of Facilities in Default

471

All

Minimum 7-year Observation Period (Wholesale)

472

C,S,B

Minimum 5-year Observation Period (Retail)

473

All

Requirements Specific to own-EAD Estimates

Definition of EAD

474

All

Conservatism of Estimates

475

All

EAD Estimates and Their Drivers

476

All

Account Monitoring & Payment Processing Drivers

477

All

Minimum 7-year Observation Period (Wholesale)

478

C,S,B

Minimum 5-year Observation Period (Retail)

479

FDS Self-Assessment Summary

Page 11 of 25

Paragraph Description

Source/ Para. #

Asset Class

Gap Assessment

Target Compliance Date

Current Project Status

Compliance

Internal Audit

Rating 2

Rating 3

Audit Status

N/A
Rating 1
1
6.9

7
7.1

Guarantees & Credit Derivatives

All

A Consistent Adjustment for Guarantees

480

All

Rating Requirements for Both Borrowers and Guarantors

481

All

Treatment of Borrower and Guarantor

482

All

Require Specified Criteria to Recognise Guarantors for

IRB

483

All

Qualifying an Eligible Guarantee

484

All

Specifying Adjustment Criteria for Guarantees

485

All

Adjustment Criteria Must Reflect Key Drivers

486

All

Accounting for All Relevant Available Information

487

All

Qualifying Standards for Credit Derivatives

488

All

Assessment of Credit Derivative Payout Structure and

Residual Risk

489

C,S,B

All

Validation
Validation of Internal Estimates
Validating Rating System Accuracy, Consistency, and
Performance

500

All

Backtesting Internal Estimates and Its Documentation

501

All

Use of Other Quantitative Validation Tools

502

All

Changes in Validation Methods and Data

503

All

Internal Standards for Deviations from Expectations

504

All

Supervisory LGD and EAD Estimates

8.1

Definition of eligibility of CRE and RRE as collateral

C,B,S

8.2

Operational Reqirments

C,B,S

8.3

Requirements for Recognition of Financial Receivables

C,B,S

FDS Self-Assessment Summary

Page 12 of 25

Protected B When Completed

Schedule 4 - Section 1: FDS Overall Compliance

1. Overall Compliance Self-assessment Scorecard
Table 1 (See Self-assessment Instructions 3.6.3.1)
#

Paragraph Description

Source/
Para. #

Asset Class

Gap Assessment

Target
Compliance
Date

Measures of Success

Activities/
Initiatives/
Projects

Rating 1
5

Current Project
Status

Compliance

Rating 2
10

Rating 3
11

Internal Audit

Comments

(Division/
Individual)

N/A
1

Project Owner

Audit Status
12

Audit Date
13

14

Composition of Minimum Requirements

1.1

Compliance with IRB requirements at the outset and ongoing basis

392

All

1.2

Immateriality of non-compliance

393

All

2. Description of Assessment Work Completed

(See Self-assessment Instructions 3.6.3.2)
Table 2.1 Internal Audit
Please describe the work done and rationale for assigning the rating scale as per columns 12 & 13.

Table 2.2 Other

Please describe the work done and rationale for assigning the rating status as per columns 10 & 11.

3. Names of Supporting Documents

Table 3 (See Self-assessment Instructions 3.6.3.3)

FDS Overall Compliance

Page 13 of 25

Protected B When Completed

Schedule 4 - Section 2: FDS Risk Rating System Design

1. RRS Design Self-Assessment Scorecard
Table 1 (See Self-assessment Instructions 3.6.3.1)
#

Paragraph Description

Source/
Para. #

Asset Class Gap Assessment

Target
Compliance
Date

Measures of Success

Activities/
Initiatives/
Projects

2
2.1

2.2

2.3

2.4

Rating 1
5

Current Project Status

Compliance

Rating 2
10

Rating 3
11

Internal Audit

Comments

(Division/
Individual)

N/A
1

Project Owner

Audit Status
12

Audit Date
13

14

RRS Design
Rating Dimensions

All

Two Dimensional Rating System

396

C,B,S

Borrower Risk Rating Dimension

397

C,B,S

Facility Risk Rating Dimension (AIRB)

399

C,B,S

SL Rating Dimension

400

C,B,S

Two Dimensional Rating System

401

Requirements for (Retail) Pooling

402

Rating Structure

All

No excessive Concentrations

403

C,B,S

Minimum Number of Borrower Grades

404

C,B,S

Specified & Distinct Rating Criteria

405

C,B,S

Controlling for Undue Concentrations

406

C,B,S

Minimum Number of Facility Grades

407

C,B,S

Minimum Number of SL Grades

408

C,B,S

Minimum Number of (Retail) Pools

409

Rating Criteria

All

Replicable Rating Grade Criteria

410

All

Use of all relevant and material information

411

All

SL Ratings & Supervisory Slotting Criteria

412

All

Mapping Process to SL Slotting Criteria

413

All

Assessment Horizon

FDS Risk Rating System Design

All

Page 14 of 25

Paragraph Description

Source/
Para. #

Asset Class Gap Assessment

Target
Compliance
Date

Measures of Success

Activities/
Initiatives/
Projects

Assessment Horizon for Borrower Ratings

414

All

Reflecting Adverse Economic Conditions

415

All

Conservative View of Projected Information

416

All

417

All

2.5

Use of Models

2.6

Documentation of Rating System Design

Rating 1
5

Current Project Status

Compliance

Rating 2
10

Rating 3
11

Internal Audit

Comments

(Division/
Individual)

N/A
1

Project Owner

Audit Status
12

Audit Date
13

14

All

Scope of Documentation

418

All

Documenting Default & Loss Definitions

419

All

Model Documentation

420

All

Bank Responsibility for Model Documentation

421

All

2. Description of Assessment Work Completed

(See Self-assessment Instructions 3.6.3.2)
Table 2.1 Internal Audit
Please describe the work done and rationale for assigning the rating status as per columns 12 & 13.

Table 2.2 Other

Please describe the work done and rationale for assigning the rating status as per columns 10 &11.

3. Names of Supporting Documents

Table 3 (See Self-assessment Instructions 3.6.3.3)

FDS Risk Rating System Design

Page 15 of 25

Protected B When Completed

Schedule 4 - Section 3: FDS Risk Rating System Operations

1. RRS Operations Self-Assessment Scorecard
Table 1 (See Self-assessment Instructions 3.6.3.1)
#

Paragraph Description

Source/
Para. #

Asset Class

Gap
Assessment

Target
Compliance
Date

Measures of Success

Activities/
Initiatives/
Projects

Project
Owner

Rating 1

3
3.1

3.2

Internal Audit

Comments

Rating 2

Rating 3

Audit Status

Audit Date

10

11

12

13

14

RRS Operations
Coverage of Ratings

All

Coverage of Internal Risk Ratings

422

All

Rating of Separate Legal Entities & Connection Rules

423

All

Integrity of Rating Process

All

Independence of Rating Assignment Process

424

C,B,S

Refreshing Risk Ratings

425

C,B,S

Updating Relevant & Material Information for Risk Ratings

426

C,B,S

Review of Pool Assignment & Loss Characteristics

427

428

All

3.3

Overrides

3.4

Data Maintenance

3.5

Compliance

(Division/
Individual)

N/A

Current Project Status

All

Retrospective Reallocation Requirement

429

All

Data Retention of Rating & Loss Histories

430

C,B,S

LGD & EAD Data Retention Requirements

431

C,B,S

Retail Data Retention Requirements

433

Stress Tests & Capital Adequacy

All

Stress Testing Processes for Capital Adequacy

434

All

Credit Risk Stress Testing for IRB

435

All

Considering 3 Sources of Information

436

All

Stress Testing Across the Majority of Exposures

437

All

FDS Risk Rating System Operations

Page 16 of 25

2. Description of Assessment Work Completed

(See Self-assessment Instructions 3.6.3.2)
Table 2.1 Internal Audit
Please describe the work done and rationale for assigning the rating status as per columns 12 & 13.

Table 2.2 Other

Please describe the work done and rationale for assigning the rating status as per columns 10 & 11.

3. Names of Supporting Documents

Table 3 (See Self-assessment Instructions 3.6.3.3)

FDS Risk Rating System Operations

Page 17 of 25

Protected B When Completed

Schedule 4 - Section 4: FDS Corporate Governance, CRCU, & Internal Audit

1. CG, CRCU, IA Self-Assessment Scorecard
Table 1 (See Self-assessment Instructions 3.6.3.1)
#

Paragraph Description

Source/
Para. #

Asset Class

Gap
Assessment

Target
Compliance
Date

Measures of Success

Activities/
Initiatives/
Projects

4
4.1

4.2

4.3

Rating 1
5

Current Project
Status

Compliance

Rating 2
10

Rating 3
11

Internal Audit

Comments

(Division/
Individual)

N/A
1

Project Owner

Audit Status
12

Audit Date
13

14

Corporate Governance and Oversight

Corporate Governance

All

Board & Senior Management Responsibilities

438

All

Senior Management Responsibilities

439

All

Reports to Board & Senior Management

440

All

Credit Risk Control Unit (CRCU)

All

CRCU Independence and Responsibilities

441

All

CRCU & Rating Models

442

All

Internal & External Audit (IA)

443

All

2. Description of Assessment Work Completed

(See Self-assessment Instructions 3.6.3.2)
Table 2.1 Internal Audit
Please describe the work done and rationale for assigning the rating status as per columns 12 & 13.

Table 2.2 Other

Please describe the work done and rationale for assigning the rating status as per columns 10 & 11.

3. Names of Supporting Documents

Table 3 (See Self-assessment Instructions 3.6.3.3)

FDS Corporate Governance, CRCU, Internal Audit

Page 18 of 25

Protected B When Completed

Schedule 4 - Section 5: FDS Use of Risk Rating System

1. Use of RRS Self-Assessment Scorecard
Table 1 (See Self-assessment Instructions 3.6.3.1)
#

Paragraph Description

Source/
Para. #

Asset Class

Gap
Assessment

Target
Compliance
Date

Measures of Success

Activities/
Initiatives/
Projects

5
5.1

Rating 1
5

Current Project
Status

Compliance

Rating 2
10

Rating 3
11

Internal Audit

Comments

(Division/
Individual)

N/A
1

Project Owner

Audit Status
12

Audit Date
13

14

Use of RRS
Internal Ratings & Loss Estimates

All

Overall Use

444

All

Track Record in Using Internal Ratings (AIRB)

445

All

2. Description of Assessment Work Completed

(See Self-assessment Instructions 3.6.3.2)
Table 2.1 Internal Audit
Please describe the work done and rationale for assigning the rating status as per columns 12 & 13.

Table 2.2 Other

Please describe the work done and rationale for assigning the rating status as per columns 10 & 11.

3. Names of Supporting Documents

Table 3 (See Self-assessment Instructions 3.6.3.3)

FDS Use of Risk Rating System

Page 19 of 25

Protected B When Completed

Schedule 4 - Section 6: FDS Risk Quantification

1. Risk Quantification Self-Assessment Scorecard
Table 1 (See Self-assessment Instructions 3.6.3.1)
#

Paragraph Description

Source/
Para. #

Asset Class

Gap
Assessment

Target
Compliance
Date

Measures of Success

Activities/
Initiatives/
Projects

6
6.1

6.2

Rating 1
5

Current Project
Status

Compliance

Rating 2
10

Rating 3
11

Internal Audit

Comments

(Division/
Individual)

N/A
1

Project
Owner

Audit Status
12

Audit Date
13

14

Risk Quantification
Overall Requirements for Estimation

All

Estimating a PD for each grade or pool

446

All

Long-run average of 1-yr realised default rates

447

All

Use of all relevant, material and available information

448

All

Estimates should be relevant

449

All

Estimates should be representative

450

All

Estimates should be conservative

451

All

Definition of Default

All

Alignment of Internal & Basel Definitions

452

All

Indicators of Unlikeliness to Pay

453

All

Monitoring of Definition Elements

454

All

Retail Considerations

455

Consistent use of Definition in Estimation

456

All

Requirements for Defaults that 'cure'

457

All

6.3

Re-ageing

458

All

6.4

Treatment of Overdrafts

459

All

FDS Risk Quantification

Page 20 of 25

6.5

Definition of Loss

6.6

Requirements Specific to PD Estimation

6.7

6.8

460

All

All

Appropriate use of available techniques

461

C,S,B

Requirements for Data and Models Used

462

C,S,B

Minimum of 5-year Observation Period

463

C,S,B

Primary Use of Internal Data for Retail

464

Use of total losses

465

Minimum of 5-year Observation Period

466

Accounting for Seasonality in Estimates

467

Requirements Specific to own-LGD Estimates

All

Conservatism of Estimates

468

All

Dependence between borrower risk and collateral

469

All

Estimates Grounded in Historical Recovery Rates

470

All

Treatment of Facilities in Default

471

All

Minimum 7-year Observation Period (Wholesale)

472

C,S,B

Minimum 5-year Observation Period (Retail)

473

Requirements Specific to own-EAD Estimates

All

Definition of EAD

474

All

Conservatism of Estimates

475

All

EAD Estimates and Their Drivers

476

All

Account Monitoring & Payment Processing Drivers

477

All

Minimum 7-year Observation Period (Wholesale)

478

C,S,B

Minimum 5-year Observation Period (Retail)

479

FDS Risk Quantification

Page 21 of 25

6.9

Guarantees & Credit Derivatives

All

A Consistent Adjustment for Guarantees

480

All

Rating Requirements for Both Borrowers and Guarantors

481

All

Treatment of Borrower and Guarantor

482

All

Require Specified Criteria to Recognise Guarantors for IRB

483

All

Qualifying an Eligible Guarantee

484

All

Specifying Adjustment Criteria for Guarantees

485

All

Adjustment Criteria Must Reflect Key Drivers

486

All

Accounting for All Relevant Available Information

487

All

Qualifying Standards for Credit Derivatives

488

All

Assessment of Credit Derivative Payout Structure and

Residual Risk

489

C,S,B

2. Description of Assessment Work Completed

(See Self-assessment Instructions 3.6.3.2)
Table 2.1 Internal Audit
Please describe the work done and rationale for assigning the rating status as per columns 12 & 13.

Table 2.2 Other

Please describe the work done and rationale for assigning the rating status as per columns 10 & 11.

3. Names of Supporting Documents

Table 3 (See Self-assessment Instructions 3.6.3.3)

FDS Risk Quantification

Page 22 of 25

FDS Risk Quantification

Page 23 of 25

Protected B When Completed

Schedule 4 - Section 7: FDS Validation

1. Validation Self-Assessment Scorecard
Table 1 (See Self-assessment Instructions 3.6.3.1)
#

Paragraph Description

Source/
Para. #

Asset Class

Gap
Assessment

Target
Compliance
Date

Measures of Success

Activities/
Initiatives/
Projects

7
7.1

Rating 1
5

Current Project
Status

Compliance

Rating 2
10

Rating 3
11

Internal Audit

Comments

(Division/
Individual)

N/A

Project
Owner

Audit Status
12

Audit Date
13

14

Validation
Validation of Internal Estimates

All

Validating Rating System Accuracy, Consistency, and

Performance

500

All

Backtesting Internal Estimates and Its Documentation

501

All

Use of Other Quantitative Validation Tools

502

All

Changes in Validation Methods and Data

503

All

Internal Standards for Deviations from Expectations

504

All

2. Description of Assessment Work Completed

(See Self-assessment Instructions 3.6.3.2)
Table 2.1 Internal Audit
Please describe the work done and rationale for assigning the rating status as per columns 12 & 13.

Table 2.2 Other

Please describe the work done and rationale for assigning the rating status as per columns 10 & 11.

3. Names of Supporting Documents

Table 3 (See Self-assessment Instructions 3.6.3.3)

FDS Validation

Page 24 of 25

Schedule 4 - Section 8: FDS Supervisory LGD and EAD Estimates (FIRB)

1. Supervisory LGD and EAD Estimates (FIRB) Scorecard
Table 1 (See Self-assessment Instructions 3.6.3.1)
#

Paragraph Description

Source/
Para. #

Asset Class

Gap
Assessment

Target
Compliance
Date

Measures of Success

Activities/
Initiatives/
Projects

Rating 1
5

Current Project Status

Compliance

Rating 2
10

Rating 3
11

Internal Audit

Comments

(Division/
Individual)

N/A
1

Project Owner

Audit Status
12

Audit Date
13

14

Supervisory LGD and EAD Estimates

8.1

Definition of Eligibility of CRE and RRE as Collateral

507

C,B,S

8.2

Operational Requirements for Eligible CRE/RRE

509

C,B,S

8.3

Requirements for Recognition of Financial Receivables

511

C,B,S

2 Description of Assessment Work Completed

(See Self-assessment Instructions 3.6.3.2)
Table 2.1 Internal Audit
Please describe the work done and rational for assigning the rating grade as per columns 12 & 13.

Table 2.2 Other

Please describe the work done and rational for assigning the rating grade as per column 10 & 11.

3. Names of Supporting Documents

Table 3 (See Self-assessment Instructions 3.6.3.3)

FDS Supervisory LGD and EAD Estimates (FIRB)

Page 25 of 25