Foreign DTI Subsidiary (FDS) Risk Rating System Scorecard Schedules 1 - 4

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 & Self-Assessment

Supporting Worksheets
Overview Summary
Schedule 1 & 2 Schedule 3 Schedule 4
Schedule 4
Schedule 3 8. Supervisory LGD &
Front Page Self-Assessment Summary EAD Estimates (FIRB)
Schedule 4
7. Validation
Schedule 4
6. Risk Quantification
Schedule 4
5. Use of RRS
Schedule 1
Scorecard Template Schedule 4
Structure 4. CG, CRCU, IA
Schedule 4
3. RRS Operations
Schedule 4
2. RRS Design
Schedule 2 Schedule 4
RRS Portfolio Overview 1. Overall Compliance
Mandatory for Subsidiary
As Applicable
FDS RRS Scorecard Template Structure Page 2 of 34

FDS RRS Scorecard Template Structure Page 3 of 34
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 Foreign DTI Subsidiary Parent Banking Group Foreign DTI Subsidiary
(Consolidated Basis) (Sub-consloidated Basis) (Consolidated Basis) (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)
Mapping RRS to external rating agencies
Do you map RRS to external rating agencies? (Y/N)
Criteria used for RRS (key inputs)
Criteria for each rating bucket
Criteria for each rating scale (PD, LGD (as applicable))
Granularity
Retail
Parent Banking Group Foreign DTI Subsidiary Parent Banking Group Foreign DTI Subsidiary
(Consolidated Basis) (Sub-consloidated Basis) (Consolidated Basis) (Sub-consloidated Basis)
Segmentation criteria
List of titles of supporting documents
Mapping RRS to credit score
Do you map RRS to credit score? (Y/N)
FDS RRS Scorecard - RRS Portfolio Overview Page 4 of 34

Table 1.4 Methodology (Borrower/Facility)
Non Retail Type of Model Brief Description For model-based:

List of Supporting Documents
Model Name Proprietary or vendor External vendor
Borrower Dimension model
Facility Rating Dimension
Retail Type of Model Brief Description For model-based:

List of Supporting Documents
Model Name Proprietary or vendor External vendor
model
Table 1.5 Responsibility

Responsibility
(Department/ Contact Responsibility (Department/
Information) Description of Responsibilities 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
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
Use of RRS (Y/N) Description 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)

Table 1.8 RRS Overrides
Frequency of RRS overrides
Scope of overrides
Table 1.9 Implementation
Responsibilities
Foreign DTI Subsidiary (Sub-consolidated Basis)

Parent Banking Group (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
Internal Audit Work (division of responsibilities)

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 0 Completed 0 Full compliance 0 Audit work completed 0
Minor gaps 0 On Schedule 0 Substantial compliance 0 Audit work in progress 0
No gaps 0 Somewhat behind schedule 0 Partial compliance (Impl.) 0 Audit work planned 0
Significantly behind schedule 0 Non-compliance 0 No Audit work planned 0
No work has been completed 0 No internal assessment done 0
Total 0 0 0 0
Table 1.2 Self-Assessment Summary Table
# Paragraph Description Source/ Para. # Asset Class Gap Assessment Target Compliance Date Current Project Status Compliance Internal Audit
N/A
Rating 1 Rating 2 Rating 3 Audit Status
1 2 3 4 5 6 7 8 9
1 Composition of Minimum Requirements

Compliance with IRB requirements at the outset and on-
1.1 392 All 0 0 0 0 0
going basis
1.2 Immateriality of non-compliance 393 All 0 0 0 0 0
2 RRS Design
2.1 Two Dimensional Rating System All 0 0 0 0 0
Two Dimensional Rating System 396 C,B,S 0 0 0 0 0
Borrower Risk Rating Dimension 397 C,B,S 0 0 0 0 0
Facility Risk Rating Dimension (AIRB) 399 C,B,S 0 0 0 0 0
SL Rating Dimension 400 C,B,S 0 0 0 0 0
Two Dimensional Rating System 401 R 0 0 0 0 0
Requirements for (Retail) Pooling 402 R 0 0 0 0 0
2.2 Rating Structure All 0 0 0 0 0
No excessive Concentrations 403 C,B,S 0 0 0 0 0
Minimum Number of Borrower Grades 404 C,B,S 0 0 0 0 0
Specified & Distinct Rating Criteria 405 C,B,S 0 0 0 0 0
Controlling for Undue Concentrations 406 C,B,S 0 0 0 0 0
Minimum Number of Facility Grades 407 C,B,S 0 0 0 0 0
Minimum Number of SL Grades 408 C,B,S 0 0 0 0 0
Minimum Number of (Retail) Pools 409 R 0 0 0 0 0
FDS Self-Assessment Summary Page 7 of 34

N/A
1 2 3 4 5 6 7 8 9
2.3 Rating Criteria All 0 0 0 0 0
Replicable Rating Grade Criteria 410 All 0 0 0 0 0
Use of all relevant and material information 411 All 0 0 0 0 0
SL Ratings & Supervisory Slotting Criteria 412 All 0 0 0 0 0
Mapping Process to SL Slotting Criteria 413 All 0 0 0 0 0
2.4 Assessment Horizon All 0 0 0 0 0
Assessment Horizon for Borrower Ratings 414 All 0 0 0 0 0
Reflecting Adverse Economic Conditions 415 All 0 0 0 0 0
Conservative View of Projected Information 416 All 0 0 0 0 0
2.5 Use of Models 403 All 0 0 0 0 0
2.6 Documentation of Rating System Design All 0 0 0 0 0
Scope of Documentation 418 All 0 0 0 0 0
Documenting Default & Loss Definitions 419 All 0 0 0 0 0
Model Documentation 420 All 0 0 0 0 0
Bank Responsibility for Model Documentation 421 All 0 0 0 0 0
3 RRS Operations
3.1 Coverage of Ratings All 0 0 0 0 0
Coverage of Internal Risk Ratings 422 All 0 0 0 0 0
Rating of Separate Legal Entities & Connection Rules 423 All 0 0 0 0 0
3.2 Integrity of Rating Process All 0 0 0 0 0
Independence of Rating Assignment Process 424 C,B,S 0 0 0 0 0
Refreshing Risk Ratings 425 C,B,S 0 0 0 0 0

Updating Relevant & Material Information for Risk
426 C,B,S 0 0 0 0 0
Ratings
Review of Pool Assignment & Loss Characteristics 427 R 0 0 0 0 0
3.3 Overrides 428 All 0 0 0 0 0
3.4 Data Maintenance All 0 0 0 0 0
Retrospective Reallocation Requirement 429 All 0 0 0 0 0
Data Retention of Rating & Loss Histories 430 C,B,S 0 0 0 0 0
LGD & EAD Data Retention Requirements 431 C,B,S 0 0 0 0 0
Retail Data Retention Requirements 433 R 0 0 0 0 0

N/A
1 2 3 4 5 6 7 8 9
3.5 Stress Tests & Capital Adequacy All 0 0 0 0 0
Stress Testing Processes for Capital Adequacy 434 All 0 0 0 0 0
Credit Risk Stress Testing for IRB 435 All 0 0 0 0 0
Considering 3 Sources of Information 436 All 0 0 0 0 0
Stress Testing Across the Majority of Exposures 437 All 0 0 0 0 0
4 Corporate Governance and Oversight
4.1 Corporate Governance All 0 0 0 0 0
Board & Senior Management Responsibilities 438 All 0 0 0 0 0
Senior Management Responsibilities 439 All 0 0 0 0 0
Reports to Board & Senior Management 440 All 0 0 0 0 0
4.2 Credit Risk Control Unit (CRCU) All 0 0 0 0 0
CRCU Independence and Responsibilities 441 All 0 0 0 0 0
CRCU & Rating Models 442 All 0 0 0 0 0
4.3 Internal & External Audit (IA) 443 All 0 0 0 0 0
5 Use of RRS
5.1 Internal Ratings & Loss Estimates All 0 0 0 0 0
Overall Use 444 All 0 0 0 0 0
Track Record in Using Internal Ratings (AIRB) 445 All 0 0 0 0 0
6 Risk Quantification
6.1 Overall Requirements for Estimation All 0 0 0 0 0
Estimating a PD for each grade or pool 446 All 0 0 0 0 0
Long-run average of 1-yr realised default rates 447 All 0 0 0 0 0
Use of all relevant, material and available information 448 All 0 0 0 0 0
Estimates should be relevant 449 All 0 0 0 0 0
Estimates should be representative 450 All 0 0 0 0 0
Estimates should be conservative 451 All 0 0 0 0 0
6.2 Definition of Default All 0 0 0 0 0
Alignment of Internal & Basel Definitions 452 All 0 0 0 0 0
Indicators of Unlikeliness to Pay 453 All 0 0 0 0 0
Monitoring of Definition Elements 454 All 0 0 0 0 0
Retail Considerations 455 R 0 0 0 0 0
Consistent use of Definition in Estimation 456 All 0 0 0 0 0

N/A
1 2 3 4 5 6 7 8 9
Requirements for Defaults that 'cure' 457 All 0 0 0 0 0

N/A
1 2 3 4 5 6 7 8 9
6.3 Re-ageing 458 All 0 0 0 0 0
6.4 Treatment of Overdrafts 459 All 0 0 0 0 0
6.5 Definition of Loss 460 All 0 0 0 0 0
6.6 Requirements Specific to PD Estimation All 0 0 0 0 0
Appropriate use of available techniques 461 C,S,B 0 0 0 0 0
Requirements for Data and Models Used 462 C,S,B 0 0 0 0 0
Minimum of 5-year Observation Period 463 C,S,B 0 0 0 0 0
Primary Use of Internal Data for Retail 464 R 0 0 0 0 0
Use of total losses 465 R 0 0 0 0 0
Minimum of 5-year Observation Period 466 R 0 0 0 0 0
Accounting for Seasonality in Estimates 467 R 0 0 0 0 0
6.7 Requirements Specific to own-LGD Estimates All 0 0 0 0 0
Conservatism of Estimates 468 All 0 0 0 0 0
Dependence between borrower risk and collateral 469 All 0 0 0 0 0
Estimates Grounded in Historical Recovery Rates 470 All 0 0 0 0 0
Treatment of Facilities in Default 471 All 0 0 0 0 0
Minimum 7-year Observation Period (Wholesale) 472 C,S,B 0 0 0 0 0
Minimum 5-year Observation Period (Retail) 473 R 0 0 0 0 0
6.8 Requirements Specific to own-EAD Estimates All 0 0 0 0 0
Definition of EAD 474 All 0 0 0 0 0
Conservatism of Estimates 475 All 0 0 0 0 0
EAD Estimates and Their Drivers 476 All 0 0 0 0 0
Account Monitoring & Payment Processing Drivers 477 All 0 0 0 0 0
Minimum 7-year Observation Period (Wholesale) 478 C,S,B 0 0 0 0 0
Minimum 5-year Observation Period (Retail) 479 R 0 0 0 0 0

N/A
1 2 3 4 5 6 7 8 9
6.9 Guarantees & Credit Derivatives All 0 0 0 0 0
A Consistent Adjustment for Guarantees 480 All 0 0 0 0 0
Rating Requirements for Both Borrowers and Guarantors 481 All 0 0 0 0 0
Treatment of Borrower and Guarantor 482 All 0 0 0 0 0

Require Specified Criteria to Recognise Guarantors for
483 All 0 0 0 0 0
IRB
Qualifying an Eligible Guarantee 484 All 0 0 0 0 0
Specifying Adjustment Criteria for Guarantees 485 All 0 0 0 0 0
Adjustment Criteria Must Reflect Key Drivers 486 All 0 0 0 0 0
Accounting for All Relevant Available Information 487 All 0 0 0 0 0
Qualifying Standards for Credit Derivatives 488 All 0 0 0 0 0

Assessment of Credit Derivative Payout Structure and
489 C,S,B 0 0 0 0 0
Residual Risk
7 Validation
7.1 Validation of Internal Estimates All 0 0 0 0 0

Validating Rating System Accuracy, Consistency, and
500 All 0 0 0 0 0
Performance
Backtesting Internal Estimates and Its Documentation 501 All 0 0 0 0 0
Use of Other Quantitative Validation Tools 502 All 0 0 0 0 0
Changes in Validation Methods and Data 503 All 0 0 0 0 0
Internal Standards for Deviations from Expectations 504 All 0 0 0 0 0
8 Supervisory LGD and EAD Estimates
8.1 Definition of eligibility of CRE and RRE as collateral C,B,S 0 0 0 0
8.2 Operational Reqirments C,B,S 0 0 0 0
8.3 Requirements for Recognition of Financial Receivables C,B,S 0 0 0 0

Schedule 4 - Section 1: FDS Overall Compliance
1. Overall Compliance Self-assessment Scorecard

Table 1 (See Self-assessment Instructions 3.6.3.1)
Target Activities/
Source/ Para. Current Project
# Paragraph Description Asset Class Gap Assessment Compliance Measures of Success Initiatives/ Project Owner
# Status
Date Projects
(Division/
N/A
Individual)
Rating 1 Rating 2
1 2 3 4 5 6 7 8 9 10
1 Composition of Minimum Requirements
Compliance with IRB requirements at the outset and on-

1.1 392 All
going basis
1.2 Immateriality of non-compliance 393 All
2. Description of Assessment Work Completed

(See Self-assessment Instructions 3.6.3.2)
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

FDS Overall Compliance Page 13 of 34

Compliance Internal Audit Comments
Rating 3 Audit Status Audit Date

11 12 13 14

Schedule 4 - Section 2: FDS Risk Rating System Design
1. RRS Design Self-Assessment Scorecard

Target Activities/
Source/ Para.
# Paragraph Description Asset Class Gap Assessment Compliance Measures of Success Initiatives/ Project Owner Current Project Status Compliance Internal Audit Comments
#
Date Projects
(Division/
N/A
Individual)
Rating 1 Rating 2 Rating 3 Audit Status Audit Date
1 2 3 4 5 6 7 8 9 10 11 12 13 14
2 RRS Design
2.1 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 R
Requirements for (Retail) Pooling 402 R
2.2 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 R
2.3 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
2.4 Assessment Horizon All
FDS Risk Rating System Design Page 17 of 34

Target Activities/
Source/ Para.
# Paragraph Description Asset Class Gap Assessment Compliance Measures of Success Initiatives/ Project Owner Current Project Status Compliance Internal Audit Comments
#
Date Projects
(Division/
N/A
Individual)
1 2 3 4 5 6 7 8 9 10 11 12 13 14
Assessment Horizon for Borrower Ratings 414 All
Reflecting Adverse Economic Conditions 415 All
Conservative View of Projected Information 416 All
2.5 Use of Models 417 All
2.6 Documentation of Rating System Design All
Scope of Documentation 418 All
Documenting Default & Loss Definitions 419 All
Model Documentation 420 All
Bank Responsibility for Model Documentation 421 All

Table 2.2 Other

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

FDS Risk Rating System Design Page 18 of 34

Schedule 4 - Section 3: FDS Risk Rating System Operations
1. RRS Operations Self-Assessment Scorecard

Target Activities/
Source/ Para. Gap
# Paragraph Description Asset Class Compliance Measures of Success Initiatives/ Project Owner Current Project Status Compliance Internal Audit Comments
# Assessment
Date Projects
(Division/
N/A
Individual)
1 2 3 4 5 6 7 8 9 10 11 12 13 14
3 RRS Operations
3.1 Coverage of Ratings All
Coverage of Internal Risk Ratings 422 All
Rating of Separate Legal Entities & Connection Rules 423 All
3.2 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 R
3.3 Overrides 428 All
3.4 Data Maintenance 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 R
3.5 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 19 of 34

Table 2.2 Other


FDS Risk Rating System Operations Page 20 of 34

Schedule 4 - Section 4: FDS Corporate Governance, CRCU, & Internal Audit
1. CG, CRCU, IA Self-Assessment Scorecard

Target Activities/
Source/ Para. Gap Current Project
# Paragraph Description Asset Class Compliance Measures of Success Initiatives/ Project Owner Compliance Internal Audit Comments
# Assessment Status
Date Projects
(Division/
N/A
Individual)
1 2 3 4 5 6 7 8 9 10 11 12 13 14
4 Corporate Governance and Oversight
4.1 Corporate Governance All
Board & Senior Management Responsibilities 438 All
Senior Management Responsibilities 439 All
Reports to Board & Senior Management 440 All
4.2 Credit Risk Control Unit (CRCU) All
CRCU Independence and Responsibilities 441 All
CRCU & Rating Models 442 All
4.3 Internal & External Audit (IA) 443 All

Table 2.2 Other


FDS Corporate Governance, CRCU, Internal Audit Page 21 of 34

Schedule 4 - Section 5: FDS Use of Risk Rating System
1. Use of RRS Self-Assessment Scorecard

Target Activities/
Source/ Para. Gap Current Project
# Paragraph Description Asset Class Compliance Measures of Success Initiatives/ Project Owner Compliance
# Assessment Status
Date Projects
(Division/
N/A
Individual)
Rating 1 Rating 2 Rating 3
1 2 3 4 5 6 7 8 9 10 11
5 Use of RRS
5.1 Internal Ratings & Loss Estimates All
Overall Use 444 All
Track Record in Using Internal Ratings (AIRB) 445 All

Table 2.2 Other


FDS Use of Risk Rating System Page 22 of 34

Internal Audit Comments
Audit Status Audit Date

12 13 14

Schedule 4 - Section 6: FDS Risk Quantification
1. Risk Quantification Self-Assessment Scorecard

Target Activities/
Source/ Para. Gap Project Current Project
# Paragraph Description Asset Class Compliance Measures of Success Initiatives/ Compliance Internal Audit Comments
# Assessment Owner Status
Date Projects
(Division/
N/A
Individual)
1 2 3 4 5 6 7 8 9 10 11 12 13 14
6 Risk Quantification
6.1 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
6.2 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 R
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 26 of 34

6.5 Definition of Loss 460 All
6.6 Requirements Specific to PD Estimation 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 R
Use of total losses 465 R
Minimum of 5-year Observation Period 466 R
Accounting for Seasonality in Estimates 467 R
6.7 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 R
6.8 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 R

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 IR 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

489 C,S,B
Residual Risk

Table 2.2 Other



Schedule 4 - Section 7: FDS Validation
1. Validation Self-Assessment Scorecard

Target Activities/
Source/ Para. Gap Project Current Project
# Paragraph Description Asset Class Compliance Measures of Success Initiatives/ Compliance Internal Audit Comments
# Assessment Owner Status
Date Projects
(Division/
N/A
Individual)

1 2 3 4 5 6 7 8 9 10 11 12 13 14
7 Validation
7.1 Validation of Internal Estimates All
Validating Rating System Accuracy, Consistency, and

500 All
Performance
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

Table 2.2 Other


FDS Validation Page 30 of 34

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

Target Activities/
Source/ Gap
# Paragraph Description Asset Class Compliance Measures of Success Initiatives/ Project Owner Current Project Status
Para. # Assessment
Date Projects
(Division/
N/A
Individual)
Rating 1 Rating 2
1 2 3 4 5 6 7 8 9 10
8 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

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.

FDS Supervisory LGD and EAD Estimates (FIRB) Page 31 of 34

Compliance Internal Audit Comments
Rating 3 Audit Status Audit Date

11 12 13 14


Foreign DTI Subsidiary (FDS) Risk Rating System Scorecard Schedules 1 - 4

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Foreign DTI Subsidiary (FDS) Risk Rating System Scorecard Schedules 1 - 4

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Protected B When Completed

Foreign DTI Subsidiary (FDS) Risk Rating System Scorecard

Introduction & Self-Assessment

Mandatory for Subsidiary

FDS RRS Scorecard Template Structure Page 2 of 34

Schedule 2 - FDS Risk Rating System Portfolio Overview

Table 1.1 RRS Definition

Table 1.2 General Overview

Table 1.3 Criteria/Segmentation Borrower/Facility

Non-Retail Borrower Rating Dimension Facility Rating Dimension

FDS RRS Scorecard - RRS Portfolio Overview Page 4 of 34

Non Retail Type of Model Brief Description For model-based:

Facility Rating Dimension

Retail Type of Model Brief Description For model-based:

Table 1.5 Responsibility

Table 1.6 Performance of RRS

List of managements reports on RRS performance

Table 1.7 Use of RRS

FDS RRS Scorecard - RRS Portfolio Overview Page 5 of 34

Table 1.9 Implementation

Foreign DTI Subsidiary (Sub-consolidated Basis)

Table 1.10 Internal Audit

FDS RRS Scorecard - RRS Portfolio Overview Page 6 of 34

Major gaps 0 Completed 0 Full compliance 0 Audit work completed 0

Minor gaps 0 On Schedule 0 Substantial compliance 0 Audit work in progress 0

Significantly behind schedule 0 Non-compliance 0 No Audit work planned 0

No work has been completed 0 No internal assessment done 0

Table 1.2 Self-Assessment Summary Table

Rating 1 Rating 2 Rating 3 Audit Status

1 Composition of Minimum Requirements

2.1 Two Dimensional Rating System All 0 0 0 0 0

Two Dimensional Rating System 396 C,B,S 0 0 0 0 0

Borrower Risk Rating Dimension 397 C,B,S 0 0 0 0 0

Facility Risk Rating Dimension (AIRB) 399 C,B,S 0 0 0 0 0

SL Rating Dimension 400 C,B,S 0 0 0 0 0

Two Dimensional Rating System 401 R 0 0 0 0 0

Requirements for (Retail) Pooling 402 R 0 0 0 0 0

2.2 Rating Structure All 0 0 0 0 0

No excessive Concentrations 403 C,B,S 0 0 0 0 0

Minimum Number of Borrower Grades 404 C,B,S 0 0 0 0 0

Specified & Distinct Rating Criteria 405 C,B,S 0 0 0 0 0

Controlling for Undue Concentrations 406 C,B,S 0 0 0 0 0

Minimum Number of Facility Grades 407 C,B,S 0 0 0 0 0

Minimum Number of SL Grades 408 C,B,S 0 0 0 0 0

Minimum Number of (Retail) Pools 409 R 0 0 0 0 0

FDS Self-Assessment Summary Page 7 of 34

Rating 1 Rating 2 Rating 3 Audit Status

2.3 Rating Criteria All 0 0 0 0 0

Replicable Rating Grade Criteria 410 All 0 0 0 0 0

Use of all relevant and material information 411 All 0 0 0 0 0

SL Ratings & Supervisory Slotting Criteria 412 All 0 0 0 0 0

Mapping Process to SL Slotting Criteria 413 All 0 0 0 0 0

2.4 Assessment Horizon All 0 0 0 0 0

Assessment Horizon for Borrower Ratings 414 All 0 0 0 0 0

Reflecting Adverse Economic Conditions 415 All 0 0 0 0 0

Conservative View of Projected Information 416 All 0 0 0 0 0

2.5 Use of Models 403 All 0 0 0 0 0

2.6 Documentation of Rating System Design All 0 0 0 0 0

Scope of Documentation 418 All 0 0 0 0 0

Documenting Default & Loss Definitions 419 All 0 0 0 0 0

Model Documentation 420 All 0 0 0 0 0

Bank Responsibility for Model Documentation 421 All 0 0 0 0 0

3.1 Coverage of Ratings All 0 0 0 0 0