Professional Documents
Culture Documents
FDS Score 1 4
FDS Score 1 4
DTI Name:
Business Unit:
RRS Name:
Portfolio:
Asset Class:
Date:
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
Page 2 of 25
Page 3 of 25
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
Page 4 of 25
Type of Model
For model-based:
Brief Description
Model Name
Proprietary or vendor
model
Model Name
Proprietary or vendor
model
Borrower Dimension
External vendor
Retail
Type of Model
For model-based:
Brief Description
External vendor
Description of Responsibilities
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)
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
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)
Page 5 of 25
Page 6 of 25
Compliance Status
N/A
Major gaps
Completed
Full compliance
Minor gaps
On Schedule
Substantial compliance
No gaps
Total
Non-compliance
Paragraph Description
Source/ Para. #
Asset Class
Gap Assessment
Compliance
Internal Audit
Rating 2
Rating 3
Audit Status
N/A
Rating 1
1
1
1.1
392
All
1.2
Immateriality of non-compliance
393
All
All
396
C,B,S
397
C,B,S
399
C,B,S
SL Rating Dimension
400
C,B,S
401
402
All
No excessive Concentrations
403
C,B,S
404
C,B,S
405
C,B,S
406
C,B,S
407
C,B,S
408
C,B,S
409
2
2.1
2.2
RRS Design
Two Dimensional Rating System
Rating Structure
Page 7 of 25
Paragraph Description
Source/ Para. #
Asset Class
Gap Assessment
Compliance
Internal Audit
Rating 2
Rating 3
Audit Status
N/A
Rating 1
1
2.3
2.4
All
411
All
412
All
413
All
All
Assessment Horizon
Assessment Horizon for Borrower Ratings
414
All
415
All
416
All
403
All
All
Use of Models
Documentation of Rating System Design
3.2
410
2.6
3.1
4
All
2.5
Rating Criteria
Scope of Documentation
418
All
419
All
Model Documentation
420
All
421
All
All
RRS Operations
Coverage of Ratings
Coverage of Internal Risk Ratings
422
All
423
All
All
424
C,B,S
425
C,B,S
426
C,B,S
427
428
All
All
3.3
Overrides
3.4
Data Maintenance
Retrospective Reallocation Requirement
429
All
430
C,B,S
431
C,B,S
433
Page 8 of 25
Paragraph Description
Source/ Para. #
Asset Class
Gap Assessment
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
All
434
All
435
All
436
All
437
All
All
438
All
439
All
440
All
All
441
All
442
All
443
All
All
Use of RRS
Internal Ratings & Loss Estimates
Overall Use
444
All
445
All
All
Risk Quantification
Overall Requirements for Estimation
Estimating a PD for each grade or pool
446
All
447
All
448
All
449
All
450
All
451
All
All
Definition of Default
Alignment of Internal & Basel Definitions
452
All
453
All
454
All
Retail Considerations
455
456
All
Page 9 of 25
Paragraph Description
Source/ Para. #
Asset Class
Gap Assessment
Compliance
Internal Audit
Rating 2
Rating 3
Audit Status
N/A
Rating 1
1
2
Requirements for Defaults that 'cure'
457
All
Page 10 of 25
Paragraph Description
Source/ Para. #
Asset Class
Gap Assessment
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
All
6.7
6.8
461
C,S,B
462
C,S,B
463
C,S,B
464
465
466
467
All
Conservatism of Estimates
468
All
469
All
470
All
471
All
472
C,S,B
473
All
474
All
Conservatism of Estimates
475
All
476
All
477
All
478
C,S,B
479
Page 11 of 25
Paragraph Description
Source/ Para. #
Asset Class
Gap Assessment
Compliance
Internal Audit
Rating 2
Rating 3
Audit Status
N/A
Rating 1
1
6.9
7
7.1
All
480
All
481
All
482
All
483
All
484
All
485
All
486
All
487
All
488
All
489
C,S,B
All
Validation
Validation of Internal Estimates
Validating Rating System Accuracy, Consistency, and
Performance
500
All
501
All
502
All
503
All
504
All
8.1
C,B,S
8.2
Operational Reqirments
C,B,S
8.3
C,B,S
Page 12 of 25
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
1.1
392
All
1.2
Immateriality of non-compliance
393
All
Page 13 of 25
Paragraph Description
Source/
Para. #
Target
Compliance
Date
Measures of Success
Activities/
Initiatives/
Projects
2
2.1
2.2
2.3
2.4
Rating 1
5
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
396
C,B,S
397
C,B,S
399
C,B,S
SL Rating Dimension
400
C,B,S
401
402
Rating Structure
All
No excessive Concentrations
403
C,B,S
404
C,B,S
405
C,B,S
406
C,B,S
407
C,B,S
408
C,B,S
409
Rating Criteria
All
410
All
411
All
412
All
413
All
Assessment Horizon
All
Page 14 of 25
Paragraph Description
Source/
Para. #
Target
Compliance
Date
Measures of Success
Activities/
Initiatives/
Projects
414
All
415
All
416
All
417
All
2.5
Use of Models
2.6
Rating 1
5
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
419
All
Model Documentation
420
All
421
All
Page 15 of 25
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
422
All
423
All
All
424
C,B,S
425
C,B,S
426
C,B,S
427
428
All
3.3
Overrides
3.4
Data Maintenance
3.5
Compliance
(Division/
Individual)
N/A
All
429
All
430
C,B,S
431
C,B,S
433
All
434
All
435
All
436
All
437
All
Page 16 of 25
Page 17 of 25
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
All
438
All
439
All
440
All
All
441
All
442
All
443
All
Page 18 of 25
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
445
All
Page 19 of 25
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
446
All
447
All
448
All
449
All
450
All
451
All
Definition of Default
All
452
All
453
All
454
All
Retail Considerations
455
456
All
457
All
6.3
Re-ageing
458
All
6.4
Treatment of Overdrafts
459
All
Page 20 of 25
6.5
Definition of Loss
6.6
6.7
6.8
460
All
All
461
C,S,B
462
C,S,B
463
C,S,B
464
465
466
467
All
Conservatism of Estimates
468
All
469
All
470
All
471
All
472
C,S,B
473
All
Definition of EAD
474
All
Conservatism of Estimates
475
All
476
All
477
All
478
C,S,B
479
Page 21 of 25
6.9
All
480
All
481
All
482
All
483
All
484
All
485
All
486
All
487
All
488
All
489
C,S,B
Page 22 of 25
Page 23 of 25
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
500
All
501
All
502
All
503
All
504
All
FDS Validation
Page 24 of 25
Paragraph Description
Source/
Para. #
Asset Class
Gap
Assessment
Target
Compliance
Date
Measures of Success
Activities/
Initiatives/
Projects
Rating 1
5
Compliance
Rating 2
10
Rating 3
11
Internal Audit
Comments
(Division/
Individual)
N/A
1
Project Owner
Audit Status
12
Audit Date
13
14
8.1
507
C,B,S
8.2
509
C,B,S
8.3
511
C,B,S
Page 25 of 25