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 |
| Section | Topic | Threshold | Strength |
| 2.5.2 | Number of days past due used for default definition used in rating models | 90 days | Strongly recommended |
| 2.9.1 | Re-rating of customers upon the roll-out of a new and/or recalibrated rating model | 70% within 6 months 95% within 9 months | Strongly recommended |
| 3.4.6 | Minimum time period for the estimation of TTC PDs | 5 years | Strongly recommended |
| 4.1.5 | LGD floor | 5% for all collaterals, unless demonstrated otherwise. 1% for cash collateral, bank guarantees and government guarantees. | Strongly recommended |
| 5.2.2 | Minimum period of time series used for macro modelling | 5 years | Strongly recommended |
| 6.5.2 | IRRBB standard shocks | See table in the corresponding section | Strongly recommended |
Table 14: Recommended and suggested practices
| Section | Topic | Threshold | Strength |
| 2.5.2 | Number of days-past-due for default definition of low default portfolios used in rating models | 60 days | Suggested |
| 4.3.6 | Maximum period of recovery for incomplete default cases to be included in LGD estimation | 4 years | Recommended |
| 5.2.3 | Minimum size of the exposure (to total exposure) in jurisdictions where macro data should be collected. | 10% | Recommended |
| 5.11.2 | Period of macro-economic scenarios disclosed in annual reports | 3 years | Suggested |
| 5.11.8 | Maximum misalignment between the date of the portfolio and the date of the start of the macro scenarios (in ECL) | 3 months | Recommended |
| 6.3.9 | Minimum exposure (to total exposure) in a given currency, for which IRRBB metrics should be computed | 5% of gross banking book assets or liabilities | Recommended |