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Appendix

NUMERICAL THRESHOLDS INCLUDED IN THE MMG
 
The MMG contains several numerical thresholds that institutions should follow.
The following table indicates the relevant Articles to facilitate their implementation.
 
Table 13: Strongly recommended practices
 
SectionTopicThresholdStrength
2.5.2Number of days past due used for default definition used in rating models90 daysStrongly recommended
2.9.1Re-rating of customers upon the roll-out of a new and/or recalibrated rating model70% within 6 months
95% within 9 months
Strongly recommended
3.4.6Minimum time period for the estimation of TTC PDs5 yearsStrongly recommended
4.1.5LGD floor5% for all collaterals, unless demonstrated otherwise.
1% for cash collateral, bank guarantees and government guarantees.
Strongly recommended
5.2.2Minimum period of time series used for macro modelling5 yearsStrongly recommended
6.5.2IRRBB standard shocksSee table in the corresponding sectionStrongly recommended

 

Table 14: Recommended and suggested practices
 
SectionTopicThresholdStrength
2.5.2Number of days-past-due for default definition of low default portfolios used in rating models60 daysSuggested
4.3.6Maximum period of recovery for incomplete default cases to be included in LGD estimation4 yearsRecommended
5.2.3Minimum size of the exposure (to total exposure) in jurisdictions where macro data should be collected.10%Recommended
5.11.2Period of macro-economic scenarios disclosed in annual reports3 yearsSuggested
5.11.8Maximum misalignment between the date of the portfolio and the date of the start of the macro scenarios (in ECL)3 monthsRecommended
6.3.9Minimum exposure (to total exposure) in a given currency, for which IRRBB metrics should be computed5% of gross banking book assets or liabilitiesRecommended