Scope of the pre-application (counterparty credit risk) Scope of the pre-application at legal entity level. Changes in Changes Estimated the Changes Changes Changes affecting List of Solo or Rating Changes Portfolio RWAs RWA EADs transactions regarding regarding regarding capital legal system regarding description covered impact of covered covered by variation initial unmargined other than entities basis description netting the change the internal margin margin exposure credit risk model. capital Please give a Please indicate precise description Please indicate Please indicate whether the model of the Please indicate Please indicate whether the whether the request or calculation counterparties whether the request Please provide Please indicate Please give a Please indicate whether the request request includes a includes a change of changes covered by netting sets/ Please provide a includes a change in a precise list of whether the precise description Please estimate the whether the request includes a change of change in the the modelling of this request will also portfolios (e.g. Please provide a precise list of the the collateral / the legal approval process of the rating system RWA impact of the includes a change in the netting logic in consideration of unmargined EEPE or affect the large number of obligors precise list of RWAs EADs (i.e. exposure variation margin entities concerns the solo as defined in change at all levels the transaction types the EEPE initial margin in the in the calculation of exposure or central and, if applicable, covered. value and EEPE) logic in the EEPE covered by the or consolidated Article 142(1)(1) of consolidation. covered by the calculation and EEPE calculation EEPE counterparty capital “pre-margin” exposure value / covered. calculation and request. level. CRR. internal model estimate the EEPE and estimate the and estimate the requirements due to effective expected estimate the EEPE and RWA impact. EEPE and RWA EEPE and RWA the change of the positive exposure and RWA impact. impact. impact. counterparty credit (EEPE) covered by risk exposure value. the request.
Scope of the pre-application (counterparty credit risk) Scope of the pre-application at legal entity level. List of legal entities Solo or basis Rating system description Portfolio description RWAs covered Estimated RWA impact of the change EADs covered Changes in the transactions covered by the internal model. Changes regarding netting Changes regarding variation margin Changes regarding initial margin Changes regarding unmargined exposure Changes affecting capital other than credit risk capital Please provide a precise list of the legal entities covered by the request. Please indicate whether the approval process concerns the solo or consolidated level. Please give a precise description of the rating system as defined in Article 142(1)(1) CRR. Please give a precise description of the counterparties netting sets/ portfolios (e.g. number of obligors and, if applicable, exposure value / effective expected positive exposure (EEPE) covered by the request. Please provide a precise list of RWAs covered. Please estimate the RWA impact of the change at all levels of consolidation. Please provide a precise list of the EADs (i.e. exposure value and EEPE) covered. Please indicate whether the request includes a change in the transaction types covered by the internal model Please indicate whether the request includes a change of the netting logic in the EEPE calculation and estimate the EEPE and RWA impact. Please indicate whether the request includes a change in the collateral / variation margin logic in the EEPE calculation and estimate the EEPE and RWA impact. Please indicate whether the request includes a change in the consideration of initial margin in the EEPE calculation and estimate the EEPE and RWA impact. Please indicate whether the request includes a change of the modelling of unmargined EEPE or in the calculation of “pre-margin” EEPE and estimate the EEPE and RWA impact. Please indicate whether the model or calculation changes covered by this request will also affect the large exposure or central counterparty capital requirements due to the change of the counterparty credit risk exposure value.