LegalizeCommission Implementing Regulation (EU) 2021/637 of 15 March 2021 laying down implementing technical standards with regard to public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 of the European Parliament and of the Council and repealing Commission Implementing Regulation (EU) No 1423/2013, Commission Delegated Regulation (EU) 2015/1555, Commission Implementing Regulation (EU) 2016/200 and Commission Delegated Regulation (EU) 2017/2295 (Text with EEA relevance)
| Row reference | Legal reference and instructions | Legal reference and instructions |
|---|---|---|
| Row reference | Explanation | Explanation |
| (a) | Point (a) of Article 453 CRR | When disclosing information on their netting policies and use of netting in accordance with point (a) of Article 453 CRR, institutions shall provide a clear description of CRM policies and processes concerning on-balance-sheet, off-balance-sheet netting and master netting agreements. They shall also indicate to what extent on-balance-sheet, off-balance-sheet netting and master netting agreements have been used and their importance regarding credit risk management. Institutions could especially mention details about the techniques in use as well as the positions covered by on-balance-sheet netting agreements and the financial instruments included in the master netting agreements. Furthermore, the conditions necessary to assure effectiveness of these techniques and the controls in place for legal risk could also be described. |
| (b) | Point (b) of Article 453 CRR | As part of their disclosures on the core features of their policies and processes for eligible collateral valuation and management in accordance with point (b) of Article 453 CRR, institutions shall disclose: — the basis for the assessment and evaluation of the pledged collateral including assessment of legal certainty of CRM techniques; — type of valuation (market value, mortgage lending value, other types of values); — to what extent the calculated value of collateral is reduced by a haircut; — the process, frequency and methods in place to monitor the value of mortgage collateral and other physical collateral. Additionally, institutions could also disclose if there is a system of credit exposure limits in place and the impact of accepted collateral in the quantification of those limits. |
| (c) | Point (c) of Article 453 CRR | When describing the collateral taken in accordance with point (c) of Article 453 CRR, institutions shall provide a detailed description of the main types of collateral accepted to mitigate credit risk, by type of exposures. |
| (d) | Point (d) of Article 453 CRR | The description of the main types of guarantors and counterparties in credit derivatives and their creditworthiness to be disclosed in accordance with point (d) of Article 453 CRR shall cover credit derivatives used for the purposes of reducing capital requirements, excluding those used as part of synthetic securitisation structures. Institutions could also include description of the methods used to recognise the effects of the guarantees or credit derivatives provided by the main types of guarantors and counterparties. |
| (e) | Point (e) of Article 453 CRR | When disclosing information about market or credit risk concentrations within CRM taken in accordance with point (e) of Article 453 CRR, institutions shall provide an analysis of any concentration that arises due to CRM measures and may prevent CRM instruments from being effective. Concentrations in the scope of those disclosures could include concentrations by type of instrument used as collateral, entity (concentration by guarantor type and credit derivative providers), sector, geographical area, currency, rating or other factors that potentially impact the value of the protection and thereby reduce this protection. |
Template EU CR3 – CRM techniques overview: Disclosure of the use of credit risk mitigation techniques. Fixed template.
Institution shall disclose the information referred to in point (f) of Article 453 CRR by following the instructions provided below in this Annex to complete template EU CR3 which is presented in Annex XVII to this Implementing Regulation.
This template covers all CRM techniques recognised under the applicable accounting framework regardless of whether these techniques are recognised under CRR, including, but not only, all types of collateral, financial guarantees and credit derivatives used for all secured exposures, irrespective of whether the standardised approach or the IRB approach is used for the calculation of risk weighted exposure amount (RWEA). Institutions shall supplement the template with a narrative commentary to explain any significant changes over the disclosure period and the key drivers of such changes.
| Column reference | Legal references and instructions |
|---|---|
| Column reference | Explanation |
| a | Unsecured carrying amount: The carrying amount of exposures (net of allowances/impairments) that do not benefit from any CRM technique, regardless of whether this technique is recognised under CRR In particular, it refers to exposures for which neither collateral was pledged nor financial guarantee were received. The unsecured part of a partially secured or partially guaranteed exposure shall not be included. |
| b | Secured carrying amount: Carrying amount of exposures that have at least one CRM technique (collateral, financial guarantees, credit derivatives) associated with them In case the value of collateral, financial guarantees and credit derivatives securing an exposure exceeds the carrying amount of that exposure, only the values up to the carrying amount of that exposure shall be included. In case the carrying amount of an exposure exceeds the value of collateral, financial guarantees and credit derivatives securing that exposure, the full carrying amount of that exposure shall be included. For the purpose of the following columns c, d and e, the allocation of the carrying amount of multi-secured exposures to their different CRM techniques is made by order of priority, starting with the CRM technique expected to be called first in the event of non-payment, and within the limits of the carrying amount of the secured exposures. Any part of exposure shall be included in only one of the columns c, d or e of this template. |
| c | Of which secured by collateral: This is a subset of column b of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by collateral. In case an exposure is secured by collateral and other CRM technique(s) expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by collateral is the remaining share of the exposure after consideration of the shares of the exposures already secured by other mitigation techniques, up to the carrying amount of that exposure. |
| d | Of which secured by financial guarantees: This is a subset of column b of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by guarantees. In case an exposure is secured by guarantees and other CRM techniques expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by guarantees is the remaining part of the exposure after consideration of the shares of the exposure already secured by other mitigation techniques, up to the carrying amount of that exposure. |
| e | Of which secured by credit derivatives: This is a subset of column d (financial guarantees) of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by credit derivatives. In case an exposure is secured by credit derivatives and other CRM techniques expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by credit derivatives is the remaining share of the exposure after consideration of the shares of the exposure already secured by other mitigation techniques, up to the carrying amount of that exposure. |
| Row reference | Legal references and instructions |
| --- | --- |
| Row reference | Explanation |
| 1 | Loans and advances ‘Loans and advances’ are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with Regulation (EU) 1071/2013 (‘ECB BSI Regulation’) [^E0036] as well as advances that cannot be classified as ‘loans’ in accordance with the ECB BSI Regulation, as defined in paragraph 32 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014 [^E0037]. |
| 2 | Debt securities Debt securities are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation, as defined in paragraph 31 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014. |
| 3 | Total Sum of amounts in rows 1 and 2 of this template |
| 4 | Of which non-performing exposures Non-performing exposures in accordance with Article 47a CRR |
| EU-5 | Of which defaulted Defaulted exposures in accordance with Article 178 CRR |
REGULATION (EU) No 1071/2013 OF THE EUROPEAN CENTRAL BANK of 24 September 2013 concerning the balance sheet of the monetary financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1).
COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).
ANNEX XIX
Table EU CRD – Qualitative disclosure requirements related to standardised approach
| Legal basis | Row number | Qualitative information - Free format |
|---|---|---|
| Article 444 (a) CRR | (a) | Names of the external credit assessment institutions (ECAIs) and export credit agencies (ECAs) nominated by the institution, and the reasons for any changes over the disclosure period; |
| Article 444 (b) CRR | (b) | The exposure classes for which each ECAI or ECA is used; |
| Article 444 (c) CRR | (c) | A description of the process used to transfer the issuer and issue credit ratings onto comparable assets items not included in the trading book; |
| Article 444 (d) CRR | (d) | The association of the external rating of each nominated ECAI or ECA (as referred to in row (a)) with the risk weights that correspond with the credit quality steps as set out in Chapter 2 of Title II of Part Three CRR (except where the institution complies with the standard association published by the EBA). |
Template EU CR4 – standardised approach – Credit risk exposure and CRM effects
| Exposure classes | Exposures before CCF and before CRM | Exposures before CCF and before CRM | Exposures post CCF and post CRM | Exposures post CCF and post CRM | RWAs and RWAs density | RWAs and RWAs density | |
|---|---|---|---|---|---|---|---|
| Exposure classes | On-balance-sheet exposures | Off-balance-sheet exposures | On-balance-sheet exposures | Off-balance-sheet exposures | RWAs | RWAs density (%) | |
| Exposure classes | a | b | c | d | e | f | |
| 1 | Central governments or central banks | ||||||
| 2 | Regional government or local authorities | ||||||
| 3 | Public sector entities | ||||||
| 4 | Multilateral development banks | ||||||
| 5 | International organisations | ||||||
| 6 | Institutions | ||||||
| 7 | Corporates | ||||||
| 8 | Retail | ||||||
| 9 | Secured by mortgages on immovable property | ||||||
| 10 | Exposures in default | ||||||
| 11 | Exposures associated with particularly high risk | ||||||
| 12 | Covered bonds | ||||||
| 13 | Institutions and corporates with a short-term credit assessment | ||||||
| 14 | Collective investment undertakings | ||||||
| 15 | Equity | ||||||
| 16 | Other items | ||||||
| 17 | TOTAL |
Template EU CR5 – standardised approach
| Exposure classes | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Total | Of which unrated | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Exposure classes | 0 % | 2 % | 4 % | 10 % | 20 % | 35 % | 50 % | 70 % | 75 % | 100 % | 150 % | 250 % | 370 % | 1 250 % | Others | Total | Of which unrated | |
| Exposure classes | a | b | c | d | e | f | g | h | i | j | k | l | m | n | o | p | q | |
| 1 | Central governments or central banks | |||||||||||||||||
| 2 | Regional government or local authorities | |||||||||||||||||
| 3 | Public sector entities | |||||||||||||||||
| 4 | Multilateral development banks | |||||||||||||||||
| 5 | International organisations | |||||||||||||||||
| 6 | Institutions | |||||||||||||||||
| 7 | Corporates | |||||||||||||||||
| 8 | Retail exposures | |||||||||||||||||
| 9 | Exposures secured by mortgages on immovable property | |||||||||||||||||
| 10 | Exposures in default | |||||||||||||||||
| 11 | Exposures associated with particularly high risk | |||||||||||||||||
| 12 | Covered bonds | |||||||||||||||||
| 13 | Exposures to institutions and corporates with a short-term credit assessment | |||||||||||||||||
| 14 | Units or shares in collective investment undertakings | |||||||||||||||||
| 15 | Equity exposures | |||||||||||||||||
| 16 | Other items | |||||||||||||||||
| 17 | TOTAL |
ANNEX XX
Instructions regarding disclosure of the use of the credit risk standardised approach (excluding counterparty credit risk and securitisation positions)
- 1.Instruments subject to Chapter 6 of Title II of Part Three CRR (exposures to CCR), as well as instruments to which the requirements in Chapter 5 of Title II of Part Three CRR (securitisation exposures) apply, are not covered by the templates for which instructions are provided in this Annex.
Table EU CRD – Qualitative disclosure requirements related to standardised approach. Flexible format
- 2.Institutions shall disclose the information referred to in points (a) to (d) of Article 444 of Regulation (EU) 575/2013 ([^E0038]) (‘CRR’) by following the instructions provided below in this Annex to complete table EU CRD which is presented in Annex XIX to this Implementing Regulation.
| Row reference | Legal reference and instructions | Legal reference and instructions |
|---|---|---|
| Row reference | Explanation | Explanation |
| (a) | Point (a) of Article 444 CRR | Institutions shall disclose the names of the nominated external credit assessment institutions (ECAIs) and export credit agencies (ECAs) used and the reasons for any changes in those nominations over the disclosure period. |
| (b) | Point (b) of Article 444 CRR | Institutions shall indicate the exposure classes, specified in Article 112 CRR, for which institutions calculate the risk-weighted exposure amounts in accordance with Chapter 2 of Title II of Part Three CRR using the credit assessment of the nominated ECAI or ECA. |
| (c) | Point (c) of Article 444 CRR | When an issuer or an issue credit assessment is used to determine the risk weight to be assigned to an exposure not included in the trading book in accordance with Article 139 of Chapter 2 of Title II of Part Three CRR, the institutions shall describe the process used. |
| (d) | Point (d) of Article 444 CRR | Institutions shall indicate, for each of the exposure classes specified in Article 112 CRR, the alphanumerical scale of each nominated ECAI/ECA (as referred to in row (a) of this template) with the risk weights that correspond with the credit quality steps as set out in Chapter 2 of Title II of Part Three CRR, except where the institution complies with the standard association published by the EBA |
Template EU CR4 – Credit risk exposure and CRM effects. Fixed format
- 3.Institutions calculating the risk-weighted exposure amounts for credit risk in accordance with Chapter 2 of Title II of Part Three CRR shall disclose the information referred to points (g), (h) and (i) of Article 453 CRR and of point (e) of Article 444 CRR by following the instructions provided below in this Annex to complete template EU CR4 which is presented in Annex XIX to this Implementing Regulation.
| Column reference | Legal references and instructions |
|---|---|
| Column reference | Explanation |
| a | Exposures before CCF and before CRM – On-balance-sheet exposures: Institutions shall disclose the on-balance-sheet exposure value under the scope of prudential consolidation in accordance with Article 111 CRR, after specific credit risk adjustments in accordance with Article 110 CRR, additional value adjustments in accordance with Articles 34 and 105 CRR, deducted amounts in accordance with point (m) of Article 36(1) CRR, other own funds reductions and write-offs (as defined in the applicable accounting framework), but before (i) the application of credit conversion factors as specified in the same Article and (ii) the application of CRM techniques specified in Chapter 4 of Title II of Part Three CRR. Exposure values for leases are subject to Article 134(7) CRR. |
| b | Exposures before CCF and before CRM – Off-balance-sheet exposures: Institutions shall disclose the off-balance-sheet exposure value under the scope of prudential consolidation, after reduction of specific credit risk adjustments and deducted amounts in accordance with point (m) of Article 36 (1) CRR, but before the application of credit conversion factors in accordance with Article 111 CRR and before the effect of CRM techniques (in application of Chapter 4 of Title II of Part Three CRR). |
| c | Exposures post CCF and post CRM – On-balance-sheet exposures: Institutions shall disclose the amount of the on-balance-sheet exposure value under the scope of prudential consolidation (in accordance with Article 111 CRR), after specific credit risk adjustments in accordance with Article 110 CRR, additional value adjustments in accordance with Article 34 and 105 CRR, deducted amounts in accordance with point (m) of Article 36(1) CRR, other own funds reductions and write-offs as defined in the applicable accounting framework, after the application of all credit risk mitigants and credit conversion factors. This is the amount to which the risk weights (in accordance with Article 113 CRR and with Section 1 of Chapter 2 of Title II of Part Three CRR) are applied. It is a net credit equivalent amount, after having applied CRM techniques and CCF. |
| d | Exposures post CCF and post CRM – Off-balance-sheet exposures: Institutions shall disclose the amount of the off-balance-sheet exposure value after taking into account specific credit risk adjustments as defined in the Commission Delegated Regulation (EU) 183/2014 [^E0039], additional value adjustments and other own funds reductions, after the application of all credit risk mitigants and credit conversion factors. This is the amount to which the risk weights (in accordance with Article 113 CRR and with Section 1 of Chapter 2 of Title II of Part Three CRR) are applied. It is a net credit equivalent amount, after having applied CRM techniques and CCF. |
| e | RWEAs The risk-weighted exposure amounts (RWEAs) calculated in accordance with Section 1 of Chapter 2 of Title II of Part Three CRR |
| f | RWEA density (Column e/Columns(c+d) of this template) The ratio shall be calculated by dividing the RWEAs of the respective exposure class (column e of this template) by the amount of the respective exposures after taking into account all credit risk mitigants and credit conversion factors (sum of amounts in columns c and d of this template). |
COMMISSION DELEGATED REGULATION (EU) No 183/2014 of 20 December 2013 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council on prudential requirements for credit institutions and investment firms, with regard to regulatory technical standards for specifying the calculation of specific and general credit risk adjustments (OJ L 57, 27.2.2014, p. 3).
| Row number | Legal references and instructions |
|---|---|
| Row number | Explanation |
| 1 - 16 | Exposure classes as defined in accordance with Article 112 CRR Exposures assigned to exposure class ‘items representing securitisation positions’ that is referred to in point (m) of Article 112 CRR are not included. |
| 16 | ‘Other items’ exposure class refers to: — assets subject to a specific risk weight set out in Article 134 CRR; — assets not deducted in application of Article 39 CRR (tax overpayments, tax loss carrybacks and deferred tax assets that do not rely on future profitability), Article 41 CRR (defined benefit pension fund assets), Article 46 CRR (non-significant investments in CET1 of financial sector entities), Article 48 CRR (deferred tax assets and direct, indirect and synthetic investments in CET1 instruments of financial sector entities up to the defined threshold), Article 49 CRR and Article 471 CRR (participations in insurance entities whether or not insurance entities are supervised under the conglomerate directive), Article 60 CRR and Article 475 CRR (non-significant and significant direct, indirect and synthetic investments in CET1, additional tier 1 (AT1) and Tier 2 (T2) instruments issued by financial sector entities), Article 70 CRR (insignificant and significant direct, indirect and synthetic holdings of T2 (T2) issued by a financial sector entity) when not allocated to other exposure classes, and to qualifying holdings outside the financial sector when they are not 1 250 % risk-weighted (in application of point (k) of Article 36 of Chapter 1 of Title I of Part Two CRR). |
Template EU CR5 – Standardised approach. Fixed format
- 4.Institutions shall disclose the information referred to in point (e) of Article 444 CRR by following the instructions provided below in this Annex to complete template EU CR5 which is presented in Annex XIX to this Implementing Regulation.
| Column reference | Legal references and instructions |
|---|---|
| Column reference | Explanation |
| a - o | Risk weight: Institutions shall disclose the information on the allocation of risk weights within the respective exposure class according to Section 2 of Chapter 2 of Title II of Part Three CRR. |
| p | Total: Total amount of on-balance-sheet and off-balance-sheet exposures under the scope of prudential consolidation: — after specific credit risk adjustments in accordance with Article 110 CRR, additional value adjustments in accordance with Articles 34 and 105 CRR, deducted amounts in accordance with point (m) of Article 36(1) CRR, other own funds reductions and write-offs (as defined in the applicable accounting framework) for on-balance-sheet exposures, in accordance with Article 111 CRR; — after reduction of specific credit risk adjustments and deducted amounts in accordance with point (m) of Article 36(1) CRR for off-balance-sheet exposures, in accordance with Article 111 CRR; — after (i) the application of conversion factors as specified in the same Article and (ii) the application of CRM techniques specified in Chapter 4 of Title II of Part Three CRR for both on-balance-sheet and off-balance-sheet exposures |
| q | Of which unrated: Exposures for which a credit assessment by a nominated ECAI is not available and that are applied specific risk weights depending on their exposure class, as specified in Article 113 to Article 134 CRR |
| Row number | Legal references and instructions |
| --- | --- |
| Row number | Explanation |
| 1 - 16 | Exposure classes in accordance with Article 112 CRR Exposures assigned to exposure class ‘items representing securitisation positions’ that is referred to in point (m) of Article 112 CRR are not included. |
| 16 | ‘Other items’ exposure class refers to: — assets subject to a specific risk weight set out in Article 134 of Chapter 4 of Title II of Part Three CRR; — assets not deducted in application of Article 39 CRR(tax overpayments, tax loss carrybacks and deferred tax assets that do not rely on future profitability), Article 41 CRR(defined benefit pension fund assets), Article 46 and Article 469 CRR (non-significant investments in CET1 of financial sector entities), Article 49 and Article 471 CRR (participations in insurance entities whether or not insurance entities are supervised under the conglomerate directive), Article 60 and Article 475 CRR (non-significant and significant direct, indirect and synthetic investments in additional tier 1 (AT1) of financial sector entities), Article 70 and Article 477 CRR (insignificant and significant direct, indirect and synthetic holdings of T2 from a financial sector entity) when not allocated to other exposure classes, and to qualifying holdings outside the financial sector when they are not 1 250 % risk-weighted (in application of point (k) of Article 36 of Chapter 1 of Title I of Part Two CRR). |
ANNEX XXI
Table EU CRE – Qualitative disclosure requirements related to IRB approach
Free format text boxes for disclosure of qualitative information
| Legal basis | Row number | Free format |
|---|---|---|
| Article 452 (a) CRR | (a) | The competent authority's permission of the approach or approved transition |
| Article 452 (c) CRR | (b) | (c) The control mechanisms for rating systems at the different stages of model development, controls and changes, which shall include information on: (i) the relationship between the risk management function and the internal audit function; (ii) the rating system review; (iii) procedure to ensure the independence of the function in charge of reviewing the models from the functions responsible for the development of the models; (iv) the procedure to ensure the accountability of the functions in charge of developing and reviewing the models |
| Article 452 (d) CRR | (c) | The role of the functions involved in the development, approval and subsequent changes of the credit risk models; |
| Article 452 (e) CRR | (d) | The scope and main content of the reporting related to credit risk models; |
| Article 452 (f) CRR | (e) | A description of the internal ratings process by exposure class, including the number of key models used with respect to each portfolio and a brief discussion of the main differences between the models within the same portfolio, covering: (i) the definitions, methods and data for estimation and validation of PD, which shall include information on how PDs are estimated for low default portfolios, whether there are regulatory floors and the drivers for differences observed between PD and actual default rates at least for the last three periods; (ii) where applicable, the definitions, methods and data for estimation and validation of LGD, such as methods to calculate downturn LGD, how LGDs are estimated for low default portfolio and the time lapse between the default event and the closure of the exposure; (iii) where applicable, the definitions, methods and data for estimation and validation of credit conversion factors, including assumptions employed in the derivation of those variables. |
Template EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range
| A-IRB | PD range | On-balance sheet exposures | Off-balance-sheet exposures pre-CCF | Exposure weighted average CCF | Exposure post CCF and post CRM | Exposure weighted average PD (%) | Number of obligors | Exposure weighted average LGD (%) | Exposure weighted average maturity (years) | Risk weighted exposure amount after supporting factors | Density of risk weighted exposure amount | Expected loss amount | Value adjust-ments and provisions |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| A-IRB | a | b | c | d | e | f | g | h | i | j | k | l | m |
| Exposure class X | |||||||||||||
| 0,00 to < 0,15 | |||||||||||||
| 0,00 to < 0,10 | |||||||||||||
| 0,10 to < 0,15 | |||||||||||||
| 0,15 to < 0,25 | |||||||||||||
| 0,25 to < 0,50 | |||||||||||||
| 0,50 to < 0,75 | |||||||||||||
| 0,75 to < 2,50 | |||||||||||||
| 0,75 to < 1,75 | |||||||||||||
| 1,75 to < 2,5 | |||||||||||||
| 2,50 to < 10,00 | |||||||||||||
| 2,5 to < 5 | |||||||||||||
| 5 to < 10 | |||||||||||||
| 10,00 to < 100,00 | |||||||||||||
| 10 to < 20 | |||||||||||||
| 20 to < 30 | |||||||||||||
| 30,00 to < 100,00 | |||||||||||||
| 100,00 (Default) | |||||||||||||
| Subtotal (exposure class) | Subtotal (exposure class) | ||||||||||||
| Total (all exposures classes) | Total (all exposures classes) | ||||||||||||
| F-IRB | PD range | On-balance sheet exposures | Off-balance-sheet exposures pre-CCF | Exposure weighted average CCF | Exposure post CCF and post CRM | Exposure weighted average PD (%) | Number of obligors | Exposure weighted average LGD (%) | Exposure weighted average maturity (years) | Risk weighted exposure amount after supporting factors | Density of risk weighted exposure amount | Expected loss amount | Value adjust-ments and provisions |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| F-IRB | a | b | c | d | e | f | g | h | i | j | k | l | m |
| Exposure class X | |||||||||||||
| 0,00 to < 0,15 | |||||||||||||
| 0,00 to < 0,10 | |||||||||||||
| 0,10 to < 0,15 | |||||||||||||
| 0,15 to < 0,25 | |||||||||||||
| 0,25 to < 0,50 | |||||||||||||
| 0,50 to < 0,75 | |||||||||||||
| 0,75 to < 2,50 | |||||||||||||
| 0,75 to < 1,75 | |||||||||||||
| 1,75 to < 2,5 | |||||||||||||
| 2,50 to < 10,00 | |||||||||||||
| 2,5 to < 5 | |||||||||||||
| 5 to < 10 | |||||||||||||
| 10,00 to < 100,00 | |||||||||||||
| 10 to < 20 | |||||||||||||
| 20 to < 30 | |||||||||||||
| 30,00 to < 100,00 | |||||||||||||
| 100,00 (Default) | |||||||||||||
| Subtotal (exposure class) | Subtotal (exposure class) | ||||||||||||
| Total (all exposures classes) | Total (all exposures classes) |
Template EU CR6-A – Scope of the use of IRB and SA approaches
| Exposure value as defined in Article 166 CRR for exposrues subject to IRB approach | Total exposure value for exposures subject to the Standardised approach and to the IRB approach | Percentage of total exposure value subject to the permanent partial use of the SA (%) | Percentage of total exposure value subject to IRB Approach (%) | Percentage of total exposurevalue subject to a roll-out plan (%) | ||
|---|---|---|---|---|---|---|
| a | b | c | d | e | ||
| 1 | Central governments or central banks | |||||
| 1,1 | Of which Regional governments or local authorities | |||||
| 1,2 | Of which Public sector entities | |||||
| 2 | Institutions | |||||
| 3 | Corporates | |||||
| 3,1 | Of which Corporates - Specialised lending, excluding slotting approach | |||||
| 3,2 | Of which Corporates - Specialised lending under slotting approach | |||||
| 4 | Retail | |||||
| 4,1 | of which Retail – Secured by real estate SMEs | |||||
| 4,2 | of which Retail – Secured by real estate non-SMEs | |||||
| 4,3 | of which Retail – Qualifying revolving | |||||
| 4,4 | of which Retail – Other SMEs | |||||
| 4,5 | of which Retail – Other non-SMEs | |||||
| 5 | Equity | |||||
| 6 | Other non-credit obligation assets | |||||
| 7 | Total |
Template EU CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques
| Pre-credit derivatives risk weighted exposure amount | Actual risk weighted exposure amount | ||
|---|---|---|---|
| a | b | ||
| 1 | Exposures under F-IRB | ||
| 2 | Central governments and central banks | ||
| 3 | Institutions | ||
| 4 | Corporates | ||
| 4,1 | of which Corporates - SMEs | ||
| 4,2 | of which Corporates - Specialised lending | ||
| 5 | Exposures under A-IRB | ||
| 6 | Central governments and central banks | ||
| 7 | Institutions | ||
| 8 | Corporates | ||
| 8,1 | of which Corporates - SMEs | ||
| 8,2 | of which Corporates - Specialised lending | ||
| 9 | Retail | ||
| 9,1 | of which Retail – SMEs - Secured by immovable property collateral | ||
| 9,2 | of which Retail – non-SMEs - Secured by immovable property collateral | ||
| 9,3 | of which Retail – Qualifying revolving | ||
| 9,4 | of which Retail – SMEs - Other | ||
| 9,5 | of which Retail – Non-SMEs- Other | ||
| 10 | TOTAL (including F-IRB exposures and A-IRB exposures) |
Template EU CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques
| A-IRB | A-IRB | Total exposures | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation methods in the calculation of RWEAs | Credit risk Mitigation methods in the calculation of RWEAs |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| A-IRB | A-IRB | Total exposures | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Unfunded credit Protection (UFCP) | Unfunded credit Protection (UFCP) | *RWEA without substitution effects* (reduction effects only) | *RWEA with substitution effects* (both reduction and sustitution effects) |
| A-IRB | A-IRB | Total exposures | Part of exposures covered by Financial Collaterals (%)**** | Part of exposures covered by Other eligible collaterals (%)**** | Part of exposures covered by Other funded credit protection (%)**** | Part of exposures covered by Guarantees (%)**** | Part of exposures covered by Credit Derivatives (%)**** | *RWEA without substitution effects* (reduction effects only) | *RWEA with substitution effects* (both reduction and sustitution effects) | ||||||
| A-IRB | A-IRB | Total exposures | Part of exposures covered by Financial Collaterals (%)**** | Part of exposures covered by Other eligible collaterals (%)**** | Part of exposures covered by Immovable property Collaterals (%)**** | Part of exposures covered by Receivables (%)**** | Part of exposures covered by Other physical collateral (%)**** | Part of exposures covered by Other funded credit protection (%)**** | Part of exposures covered by Cash on deposit (%)**** | Part of exposures covered by Life insurance policies (%)**** | Part of exposures covered by Instruments held by a third party (%)**** | Part of exposures covered by Guarantees (%)**** | Part of exposures covered by Credit Derivatives (%)**** | *RWEA without substitution effects* (reduction effects only) | *RWEA with substitution effects* (both reduction and sustitution effects) |
| A-IRB | A-IRB | a | b | c | d | e | f | g | h | i | j | k | l | m | n |
| 1 | Central governments and central banks | ||||||||||||||
| 2 | Institutions | ||||||||||||||
| 3 | Corporates | ||||||||||||||
| 3,1 | Of which Corporates – SMEs | ||||||||||||||
| 3,2 | Of which Corporates – Specialised lending | ||||||||||||||
| 3,3 | Of which Corporates – Other | ||||||||||||||
| 4 | Retail | ||||||||||||||
| 4,1 | Of which Retail – Immovable property SMEs | ||||||||||||||
| 4,2 | Of which Retail – Immovable property non-SMEs | ||||||||||||||
| 4,3 | Of which Retail – Qualifying revolving | ||||||||||||||
| 4,4 | Of which Retail – Other SMEs | ||||||||||||||
| 4,5 | Of which Retail – Other non-SMEs | ||||||||||||||
| 5 | Total | ||||||||||||||
| F-IRB | F-IRB | Total exposures | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation techniques | Credit risk Mitigation methods in the calculation of RWEAs | Credit risk Mitigation methods in the calculation of RWEAs |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
| F-IRB | F-IRB | Total exposures | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Funded credit Protection (FCP) | Unfunded credit Protection (UFCP) | Unfunded credit Protection (UFCP) | *RWEA without substitution effects* (reduction effects only) | *RWEA with substitution effects* (both reduction and sustitution effects) |
| F-IRB | F-IRB | Total exposures | Part of exposures covered by Financial Collaterals (%) | Part of exposures covered by Other eligible collaterals (%)**** | Part of exposures covered by Other funded credit protection (%)**** | Part of exposures covered by Guarantees (%)**** | Part of exposures covered by Credit Derivatives (%)**** | *RWEA without substitution effects* (reduction effects only) | *RWEA with substitution effects* (both reduction and sustitution effects) | ||||||
| F-IRB | F-IRB | Total exposures | Part of exposures covered by Financial Collaterals (%) | Part of exposures covered by Other eligible collaterals (%)**** | Part of exposures covered by Immovable property Collaterals (%)**** | Part of exposures covered by Receivables (%)**** | Part of exposures covered by Other physical collateral (%)**** | Part of exposures covered by Other funded credit protection (%)**** | Part of exposures covered by Cash on deposit (%)**** | Part of exposures covered by Life insurance policies (%)**** | Part of exposures covered by Instruments held by a third party (%)**** | Part of exposures covered by Guarantees (%)**** | Part of exposures covered by Credit Derivatives (%)**** | *RWEA without substitution effects* (reduction effects only) | *RWEA with substitution effects* (both reduction and sustitution effects) |
| F-IRB | F-IRB | a | b | c | d | e | f | g | h | i | j | k | l | m | n |
| 1 | Central governments and central banks | ||||||||||||||
| 2 | Institutions | ||||||||||||||
| 3 | Corporates | ||||||||||||||
| 3,1 | Of which Corporates – SMEs | ||||||||||||||
| 3,2 | Of which Corporates – Specialised lending | ||||||||||||||
| 3,3 | Of which Corporates – Other | ||||||||||||||
| 4 | Total |
Template EU CR8 – RWEA flow statements of credit risk exposures under the IRB approach
| Risk weighted exposure amount | ||
|---|---|---|
| a | ||
| 1 | Risk weighted exposure amount as at the end of the previous reporting period | |
| 2 | Asset size (+/–) | |
| 3 | Asset quality (+/–) | |
| 4 | Model updates (+/–) | |
| 5 | Methodology and policy (+/–) | |
| 6 | Acquisitions and disposals (+/–) | |
| 7 | Foreign exchange movements (+/–) | |
| 8 | Other (+/–) | |
| 9 | Risk weighted exposure amount as at the end of the reporting period |
Template CR9 –IRB approach – Back-testing of PD per exposure class (fixed PD scale)
A-IRB
| Exposure class | PD range | Number of obligors at the end of previous year | Number of obligors at the end of previous year | Observed average default rate (%) | Exposures weighted average PD (%) | Average PD (%) | Average historical annual default rate (%) |
|---|---|---|---|---|---|---|---|
| Exposure class | PD range | Of which number of obligors which defaulted in the year | Observed average default rate (%) | Exposures weighted average PD (%) | Average PD (%) | Average historical annual default rate (%) | |
| a | b | c | d | e | f | g | h |
| 0,00 to < 0,15 | |||||||
| 0,00 to < 0,10 | |||||||
| 0,10 to < 0,15 | |||||||
| 0,15 to < 0,25 | |||||||
| 0,25 to < 0,50 | |||||||
| 0,50 to < 0,75 | |||||||
| 0,75 to < 2,50 | |||||||
| 0,75 to < 1,75 | |||||||
| 1,75 to < 2,5 | |||||||
| 2,50 to < 10,00 | |||||||
| 2,5 to < 5 | |||||||
| 5 to < 10 | |||||||
| 10,00 to < 100,00 | |||||||
| 10 to < 20 | |||||||
| 20 to < 30 | |||||||
| 30,00 to < 100,00 | |||||||
| 100,00 (Default) |
F-IRB
| Exposure class | PD range | Number of obligors in the end of previous year | Number of obligors in the end of previous year | Observed average default rate (%) | Exposure weighted average PD (%) | Average PD (%) | Average historical annual default rate (%) |
|---|---|---|---|---|---|---|---|
| Exposure class | PD range | Of which number of obligors which defaulted in the year | Observed average default rate (%) | Exposure weighted average PD (%) | Average PD (%) | Average historical annual default rate (%) | |
| a | b | c | d | e | f | g | h |
| 0,00 to < 0,15 | |||||||
| 0,00 to < 0,10 | |||||||
| 0,10 to < 0,15 | |||||||
| 0,15 to < 0,25 | |||||||
| 0,25 to < 0,50 | |||||||
| 0,50 to < 0,75 | |||||||
| 0,75 to < 2,50 | |||||||
| 0,75 to < 1,75 | |||||||
| 1,75 to < 2,5 | |||||||
| 2,50 to < 10,00 | |||||||
| 2,5 to < 5 | |||||||
| 5 to < 10 | |||||||
| 10,00 to < 100,00 | |||||||
| 10 to < 20 | |||||||
| 20 to < 30 | |||||||
| 30,00 to < 100,00 | |||||||
| 100,00 (Default) |
Template CR9.1 –IRB approach – Back-testing of PD per exposure class (only for PD estimates according to point (f) of Article 180(1) CRR)
A-IRB
| Exposure class | PD range | External rating equivalent | Number of obligors at the end of previous year | Number of obligors at the end of previous year | Observed average default rate (%) | Average PD (%) | Average historical annual default rate (%) |
|---|---|---|---|---|---|---|---|
| Exposure class | PD range | External rating equivalent | Of which number of obligors which defaulted in the year | Observed average default rate (%) | Average PD (%) | Average historical annual default rate (%) | |
| a | b | c | d | e | f | g | h |
F-IRB
| Exposure class | PD range | External rating equivalent | Number of obligors in the end of previous year | Number of obligors in the end of previous year | Observed average default rate (%) | Average PD (%) | Average historical annual default rate (%) |
|---|---|---|---|---|---|---|---|
| Exposure class | PD range | External rating equivalent | Of which number of obligors which defaulted in the year | Observed average default rate (%) | Average PD (%) | Average historical annual default rate (%) | |
| a | b | c | d | e | f | g | h |
ANNEX XXII
Disclosure of the use of the IRB Approach to credit risk (excluding counterparty credit risk)
Table EU CRE – Qualitative disclosure requirements related to IRB Approach. Flexible table.
- 1.Institutions shall disclose the information referred to of points (a) to (f) of Article 452 of Regulation (EU) 575/2013 ([^E0040]) (‘CRR’) by following the instructions provided below in this Annex to complete table EU CRE which is presented in Annex XXI to this Implementing Regulation.
| Row reference | Legal references and instructions | Legal references and instructions |
|---|---|---|
| Row reference | Explanation | Explanation |
| (a) | Point (a) of Article 452 CRR | When disclosing information on the scope of the competent authority’s permission of approach or approved transition in accordance with point (a) of Article 452 CRR, institutions shall describe the main characteristics of the rating systems used under the IRB Approach for which the permission has been granted by a competent authority and the types of exposures covered by these rating systems. Institutions shall also describe the types of exposures for which they have permission to use permanent partial use of the Standardised Approach in accordance with Article 150 CRR and which are under their IRB roll-out plans in accordance with Article 148 CRR. The description shall be provided at the group level. |
| (b) | Point (c)(i)-(iv) of Article 452 CRR | The description of the control mechanisms for rating systems shall cover the estimation of risk parameters, including internal model development and calibration, as well as controls in the application of the models and changes to rating systems. In accordance with point (c)(i)-(iv) of Article 452 CRR the description of the role of the functions referred to above shall also include: (i) the relationships between the risk management function and the internal audit function, (ii) the processes and methods for the reviews of the rating systems, including regular reviews of estimates in accordance with point (c) of Article 179(1) CRR and validations, (iii) the procedures and organisational arrangements to ensure the independence of the function in charge of reviewing the models (validation function) from the functions responsible for model development and calibration, (iv) and the procedure to ensure the accountability of the functions in charge of developing and reviewing the models. |
| (c) | Point (d) of Article 452 CRR | Institutions shall specify the role of the functions involved in the model development, calibration, approval and subsequent changes of the rating systems. |
| (d) | Point (e) of Article 452 CRR | Institutions shall disclose the scope and main content of management reporting related to IRB models referred to in Article 189 CRR, as well as addressees and frequency of such reporting. |
| (e) | Point (f) of Article 452 CRR | The disclosure of the internal rating systems by exposure class shall include the number of key models used in each exposure class with respect different types of exposures, with a brief description of the main differences among the models within the same exposure class. It shall also include a description of the main characteristics of the key approved models, in particular: (i) the definitions, methods and data for estimation and validation of PD, including estimation and validation of PDs for low default portfolios, any applicable regulatory floors, and the drivers for differences observed between PD estimates and actual default rates at least for the last three years; (ii) where applicable, the definitions, methods and data for the estimation and validation of LGD, including estimation and validation of downturn LGD, information on how LGDs are estimated for low default portfolio, and the average time lapse between the default event and the closure of the exposure; (iii) the definitions, methods and data for estimation and validation of conversion factors, including assumptions employed in the derivation of those estimates. |
Template EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range. Fixed template.
- 2.Institutions shall disclose the information referred to in point (g)(i)-(v) of Article 452 CRR on the main parameters used for the calculation of capital requirements for IRB approach by following the instructions provided below in this Annex to complete template EU CR6 which is presented in Annex XXI to this Implementing Regulation. Information disclosed in this template shall not include data on specialised lending referred to in Article 153(4) CRR. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), securitisation exposures and equity exposures.
| Column reference | *Legal references and instruction*s |
|---|---|
| Column reference | Explanation |
| a | PD range This is a fixed PD range which shall not be altered. In case that the data on defaulted exposures in accordance with Article 178 CRR is further broken down in accordance with possible definitions for categories of defaulted exposures, the definitions and amounts for categories of defaulted exposures shall be explained in an accompanying narrative. Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). All defaulted exposures shall be included in the bucket representing PD of 100 %. |
| b | On-balance sheet exposures Exposure value calculated in accordance with Article 166(1) to (7) CRR without taking into account any credit risk adjustments and any conversion factors |
| c | Off-balance sheet exposures pre-conversion factors (CCF) Exposure value in accordance with Article 166(1) to (7) CRR, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) CRR, or any percentages specified in Article 166(10) CRR Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I to CRR. |
| d | Exposure weighted average CCF For all exposures included in each bucket of the fixed PD scale, the average conversion factor used by institutions in their calculation of risk-weighted exposure amounts, weighted by the off-balance sheet exposure pre-CCF as in column c of this template |
| e | Exposure value post CCF and post CRM Exposure value in accordance with Article 166 CRR This column includes the sum of exposure value of on-balance sheet exposures and off-balance sheet exposures post conversion factors and percentages in accordance with Article 166(8) to (10) CRR. |
| f | Exposure weighted average PD (%) For all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post-CCF and CRM as in column e of this template |
| g | Number of obligors The number of legal entities or obligors allocated to each bucket of the fixed PD range, which were separately rated, regardless of the number of different loans or exposures granted Joint obligors shall be treated the same as for the purpose of PD calibration. Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place within the retail exposure class if the definition of default is applied at the level of individual credit facility in accordance with the last sentence of Article 178(1) CRR, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR in other exposure classes. |
| h | Exposure weighted average LGD (%) For all exposures included in each bucket of the fixed PD range, the average of the LGD estimates for each exposure, weighted by the exposure value post-CCF and post-CRM as in column e of this template The disclosed LGD shall correspond to the final LGD estimate used in the calculation of risk weighted amounts obtained after considering any CRM effects and downturn conditions where relevant. For retail exposures secured by immovable properties the disclosed LGD shall take into account the floors specified in Article 164(4) CRR. In the case of exposures subject to the double default treatment the LGD to be disclosed shall correspond to the one selected in accordance with Article 161 (4) CRR. For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The disclosed LGD shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies. |
| i | Exposure-weighted average maturity (years) For all exposures included in each bucket of the fixed PD range, the average maturity of each exposure, weighted by the exposure value post-CCF as in column e of this template The disclosed value of maturity reflects Article 162 CRR. The average maturity shall be disclosed in years. This data shall not be disclosed for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts in accordance with Chapter 3 of Title II of Part Three CRR. This means that this column shall not be filled in for the exposure class ‘retail’. |
| j | Risk weighted exposure amount after supporting factors For exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with Article 153(1) to (4) CRR; for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 CRR The SME and infrastructure supporting factors in accordance with Article 501 and Article 501a CRR shall be taken into account. |
| k | Density of risk weighted exposure amounts Ratio between the sum of risk weighted exposure amounts after supporting factors as in column j of this template and the exposure value as in column e of this template |
| l | Expected loss amount The expected loss amount calculated in accordance with Article 158 CRR The expected loss amount to be disclosed shall be based on the actual risk parameters used in the internal rating system approved by the respective competent authority. |
| m | Value adjustments and provisions Specific and general credit risk adjustments in accordance with the Commission Delegated Regulation (EU) 183/2014 [^E0041], additional value adjustments in accordance with Articles 34 and 110 CRR, as well as other own funds reductions related to the exposures allocated to each bucket on the fixed PD range These value adjustments and provisions shall be those considered for the implementation of Article 159 CRR. General provisions shall be disclosed by assigning the amount pro rata – in accordance with the expected loss of different obligor grades. |
COMMISSION DELEGATED REGULATION (EU) No 183/2014 of 20 December 2013 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council on prudential requirements for credit institutions and investment firms, with regard to regulatory technical standards for specifying the calculation of specific and general credit risk adjustments (OJ L 57, 27.2.2014, p. 3).
| Row reference | Legal references and instructions |
|---|---|
| Row reference | Explanation |
| Exposure class X | Where institutions have received permission to use own LGDs and convertion factors for the calculation of risk-weighted exposure amounts, they shall disclose the information required in this template separately for the exposure classes subject to that permission (A-IRB). For the exposure classes for which the institution does not have permission to use own estimates of LGD and conversion factors (F-IRB) the institution shall disclose the information on the relevant exposures separately using the F-IRB template. |
| A-IRB | Exposure class X For each exposure class listed in Article 147(2) CRR, with the exceptions indicated above, institutions shall disclose a separate template, with a further breakdown for the following exposure classes: — within the exposure class ‘exposures to corporates’ (point (c) of Article 147(2) CRR), breakdown into:— a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies; b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR; c.exposures to corporates – other. — within the exposure class ‘retail exposures’ (point (d) of Article 147(2) and Article 147(5) CRR), breakdown into:— a.Retail exposures – SME secured by immovable property collateral (point (d) of Article 147 (2) CRR in conjunction with Article 154(2) and (3) CRR); b.Retail exposures – SME other; c.Retail exposures – non-SME secured by immovable property collateral (point (d) of Article 147 (2) CRR in conjunction with Article 154(3) CRR); d.Retail exposures – Qualifying revolving (point (d) of Article 147 (2) CRR in conjunction with Article 154(4) CRR); e.Retail exposures – non-SME other. The total exposures row shall be included at the end of each separate template per exposure class. |
| F-IRB | Exposure class X For each exposure class listed in Article 147(2) CRR, with the exceptions indicated above, institutions shall disclose a separate template, with a further breakdown for the following exposure classes: — within the exposure class ‘exposures to corporates’ (point (c) of Article 147(2) CRR), breakdown into:— a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies; b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR; c.exposures to corporates – other. |
Template EU CR6-A – IRB Approach – Scope of the use of IRB and SA approaches. Fixed template
- 3.Institutions calculating the risk-weighted exposure amounts under the IRB Approach to credit risk shall disclose information referred to in point (b) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CR6-A which is presented in Annex XXI to this Implememting Regulation.
- 4.For the purpose of this template, institutions shall allocate their exposures subject to the Standardised Approach laid down in Chapter 2 of Title II of Part Three or to the IRB Approach laid down in Chapter 3 of Title II of Part Three to the exposure classes as defined under the IRB Approach. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), and securitisation exposures.
- 5.Institutions shall explain in the accompanying narrative to the template any material difference between the exposure value as defined in Article 166 for IRB exposures as in column a of the template and the exposure value for the same exposures in accordance with Article 429(4) CRR, as in columns b and d of this template.
| Legal references and instructions | Legal references and instructions |
| Column reference | Explanation |
| a | Exposure value as defined in Article 166 CRR for exposures subject to IRB approach Institutions shall disclose in this column the exposure value as defined in Article 166 CRR, only for those exposures under the IRB approach. |
| b | Total exposure value for exposures subject to the Standardised approach and to the IRB approach Institutions shall use the exposure value in accordance with Article 429(4) CRR to disclose the total exposure value, including both the exposures under the standardized approach and the exposures under the IRB approach. |
| c | Percentage of total exposure value subject to the permanent partial use of the SA (%) Part of exposure for each exposure class subject to the Standardised Approach (exposure subject to the Standardised Approach laid down in Chapter 2 of Title II of Part Three, in accordance with the scope of permission for permanent partial use of the Standardised Approach received from a competent authority in accordance with Article 150 CRR), over the total exposure in that exposure class as in column b of this template. |
| d | Percentage of total exposure value subject to IRB Approach (%) Part of exposure for each exposure class subject to the IRB approach (exposure subject to the IRB Approach laid down in Chapter 3 of Title II of Part Three over the total exposure in that exposure class), respecting the scope of permission received from a competent authority to use the IRB Approach in accordance with Article 143 CRR, over the total exposure in that exposure class as in column b of this template. This shall include both exposures where institutions have the permission to use their own estimation of LGD and conversion factors or not (F-IRB and A-IRB), including supervisory slotting approach for specialized lending exposures and equity exposures under the simple risk weight approach. |
| e | Percentage of total exposure value subject to a roll-out plan (%) Part of exposure for each asset class subject to the sequential implementation of IRB approach pursuant to Article 148 CRR, over the total exposure in that exposure class as in column b. This shall include: — both exposures where institutions plan to apply IRB approach with or without their own estimation of LGD and conversion factors(F-IRB or A-IRB) — Immaterial equity exposures not included in columns c and d of this template — exposures already under F-IRB where an institution is planning to apply A-IRB in the future. — specialised lending exposures under the supervisory slotting approach not included in column d of this template. |
| Row number | Legal references and instructions |
| --- | --- |
| Row number | Explanation |
| Exposure classes | Institutions shall include the information in template CR 6-A by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template. |
Template EU CR7 – IRB approach – Effect on the Risk Weighted Exposure amounts of credit derivatives used as CRM techniques. Fixed template.
- 6.Institutions shall disclose information referred to in point (j) of Article 453 CRR by following instructions provided below in this Annex to complete template EU CR7 as presented in Annex XXI to this Implementing Regulation. Institutions shall supplement the template with a narrative to explain the effect of credit derivatives on risk weighted exposure amounts. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR ), securitisation exposures, other non-credit obligation assets and equity exposures.
| Column reference | Legal references and instructions |
|---|---|
| Column reference | Explanation |
| a | Pre-credit derivatives risk weighted exposure amount Hypothetical risk weighted exposure amount calculated the actual RWEA assuming only the absence of recognition of the credit derivative as a CRM technique as specified in Article 204 CRR. The amounts shall be presented in the exposure classes relevant for the exposures to the original obligor. |
| b | Actual risk weighted exposure amount Risk weighted exposure amount calculated taking into account the impact of the credit derivatives. Where institutions substitute the risk weight or the risk parameters of the obligor with the risk weight or risk parameters of the protection provider, the risk weighted exposure amounts shall be presented in the exposure class relevant for direct exposures to the protection provider. |
| Row reference | Legal references and instructions |
| --- | --- |
| Row reference | Explanation |
| 1 to 9 | Institutions shall include the breakdown of pre-credit derivatives risk weighted exposure amount and actual risk weighted exposure by exposure class, in accordance with the exposure classes listed in Article 147 CRR with further breakdown as included in the template, and separately for exposures under F-IRB approach and exposures under A-IRB approach. Institutions shall disclose under rows 1 and 6 of this template the subtotals for F-IRB exposures and for A-IRB exposures. Institutions shall disclose further breakdown for exposure class ‘exposures to corporates’ (point (c) of Article 147(2) CRR) in accordance with the below: a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies; b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR, excluding specialised lending exposures under the slotting approach; c.exposures to corporates – other. Institutions shall disclose further breakdown for exposure class ‘retail exposures’ (point (d) of Article 147(2) and Article 147(5) CRR) Institutions shall disclose further breakdown for: a.Retail exposures – SME secured by immovable property collateral (in conjunction with Article 154(2) and (3) CRR); b.Retail exposures – non-SME secured by immovable property collateral (in conjunction with Article 154(3) CRR); c.Retail exposures – Qualifying revolving (in conjunction with Article 154(4) CRR); d.Retail exposures – SME other; e.Retail exposures – non-SME other. |
| 10 | TOTAL EXPOSURES (including F-IRB exposures and A-IRB exposures) Total pre-credit derivatives risk weighted exposure amount, and total actual risk weighted exposure amount for all IRB exposures (including F-IRB and A-IRB) |
Template EU CR7-A IRB approach – Disclosure of the extent of the use of CRM techniques
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