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)
- 7.Institutions shall disclose the information referred to in point (g) of Article 453 CRR separately for exposures under A-IRB and F-IRB by following the instructions provided below in this Annex to complete template EU CR7-A which is presented in Annex XXI to this Implementing Regulation. In case an item of funded credit protection applies to more than one exposure, the sum of the exposures considered secured by it may not exceed the value of the item of the credit protection.
| Column reference | Legal references and instructions |
|---|---|
| Column reference | Explanation |
| a | Total exposures Exposure value (post conversion factors) in accordance with Articles 166 to 167 CRR Exposures shall be disclosed in accordance with the exposure class applicable to the obligor, without taking into account any substitution effects due to the existence of a guarantee. Institutions applying the simple risk weight approach shall also consider the offsetting provisions referred to in Article 155(2) CRR. |
| b | FCP - Part of exposures covered by financial collateral (%) Percentage of exposures secured by financial collateral over total exposures as in column a of this template. Financial collateral, including cash collateral, debt securities, and gold, as listed in Articles 197 and 198 CRR, shall be included in the numerator where all the requirements laid down in Article 207 (2) to (4) CRR are met. The value of collateral disclosed shall be limited to the value of the exposure at the level of an individual exposure. When own estimates of LGD are used: financial collateral taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181 (1) CRR. The amount to be disclosed shall be the estimated market value of the collateral. |
| c | FCP - Part of exposures covered by other eligible collaterals (%) Percentage of exposures secured by other eligible collateral over total exposures as in column a of this template The values disclosed in this column shall be the sum of the values in columns d to f of this template. Where own estimates of LGD are not used: Article 199 (1) to (8) CRR and Article 229 CRR. Where own estimates of LGD are used: other collateral taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181 (1) CRR. |
| d | FCP - Part of exposures covered by immovable property collaterals (%) Percentage of exposures secured by immovable property collateral including leasing in accordance with Article 199(7) CRR over total exposures as in column a of this template Immovable property collateral shall be included in the numerator where they meet all the eligibility requirements laid down in Article 208(2) to (5) CRR. Leasing on immovable property shall be included in the numerator where they meet all the eligibility requirements laid down in Article 211 CRR. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure. |
| e | Part of exposures covered by Receivables (%) Percentage of exposures secured by receivables in accordance with Article 199 (5) CRR over total exposures as in column a of this template Receivables shall be included in the numerator where they meet all the eligibility requirements laid down in Article 209 CRR. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure |
| f | Part of exposures covered by Other physical collateral (%) Percentage of exposures secured by other physical collateral including leasing of those collaterals in accordance with Article 199 (6) and (8) CRR over total exposures as in column a of this template Other physical collateral shall be included in the numerator where they meet all the eligibility requirements laid down in Article 210 CRR. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure. |
| g | FCP - Part of exposures covered by Other funded credit protection (%) Percentage of exposures secured by other FCP over total exposures as in column a The values in this column shall be the sum of the values in columns h, i and j of this template. |
| h | FCP - Part of exposures covered by cash on deposit (%) Percentage of exposures secured by cash or cash assimilated instruments held by third party institution over total exposures as in column a of this template; in accordance with point (a) of Article 200 CRR, other funded credit protection includes cash on deposit with, or cash assimilated instruments held by third party institution in a non-custodial arrangement and pledged to the lending institution. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure. |
| i | FCP - Part of exposures covered by life insurance policies (%) Percentage of exposures secured by life insurance policies over total exposures as in column a of this template In accordance with point (b) of Article 200 CRR, other funded credit protection includes life insurance policies pledged to the lending institution. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure. |
| j | FCP - Part of exposures covered by instrument held by a third party (%) Percentage of exposures secured by collateral in the form of instruments held by a third party over total exposures as in column a of this template; part of exposures covered by instruments issued by a third party over total exposures In accordance with point (c) of Article 200 CRR, the disclosed value shall include instruments issued by a third party institution which will be repurchased by that institution on request. The value of collateral shall be limited to the value of the exposure at the level of an individual exposure. The percentage shall exclude those exposures covered by instruments held by a third party where, following Article 232 (4) CRR institutions treat instruments repurchased on request that are eligible under point (c) of Article 200 CRR as a guarantee by the issuing institution. |
| k | UFCP - Part of exposures covered by guarantees (%) Percentage of exposures secured by guarantees over total exposures as in column a of this template. The guarantees shall meet the requirement laid down in Articles 213, 214, 215 and, when relevant, 217 and 232(4) CRR. The value of guarantees shall be limited to the value of the exposure at the level of an individual exposure. |
| l | UFCP - Part of exposures covered by credit derivatives (%) Percentage of exposures secured by credit derivatives over total exposures as in column a of this template. Credit derivatives include the following: — credit default swaps — total returns swaps — credit linked notes to the extent of their cash funding. These instruments shall meet the requirement laid down in Articles 204(1) and (2), 213, 216, and when relevant, Article 217 CRR. The value of credit derivatives shall be limited to the value of the exposure at the level of an individual exposure. |
| m | RWEA without substitution effects (reduction effects only) The risk-weighted exposure amounts calculated in accordance with points (a) and (f) of Article 92(3) CRR, including any reduction of RWEA due to the existence of funded or unfunded credit protection, including where the PD and LGD or the risk weight is substituted due to the existence of unfunded credit protection. Nevertheless, in all cases, including where substitution approach is used, exposures are disclosed in the original exposure classes applicable to the obligor. |
| n | RWEA with substitution effects (both reduction and substitution effects) The risk-weighted exposure amounts calculated in accordance with Article 153 to 157 CRR, including any reduction of RWEA due to the existence of funded or unfunded credit protection. Where the PD and LGD or the risk weight is substituted due to the existence of unfunded credit protection, exposures are disclosed in the exposure class applicable to the protection provider. |
| Row reference | Legal references and instructions |
| --- | --- |
| Row reference | Explanation |
| This disclosure shall be made separately for exposures under A-IRB approach, F-IRB approach as well as specialised lending under the slotting approach and equity exposures. | |
| A-IRB | Institutions shall include the information on credit risk mitigation techniques included in this template by exposure class, in accordance with the exposure classes listed in Article 147 CRR with further breakdown for exposure class ‘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’ (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. |
| F-IRB | Institutions shall include the information on credit risk mitigation techniques included in this template by exposure class, in accordance with the exposure classes listed in Article 147 CRR with further breakdown for exposure class ‘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. |
Template EU CR8 – RWEA flow statements of credit risk exposures under the IRB approach. Fixed template.
- 8.Institutions shall disclose the information referred to in point (h) of Article 438 CRR by following the instructions provided below in this Annex to complete template EU CR8 which is presented in Annex XXI to this Implementing Regulation. The information in this template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).
- 9.Institutions shall disclose the flows of RWEA as the changes between the risk-weighted exposure amounts at the end of the disclosure reference period (as specified below in row 9 of this template) and the weighted exposure amounts at end of the prior disclosure reference period (as specified below in row 1 of this template; in the case of quarterly disclosures, end-of-quarter prior to the quarter of the disclosure reference period). Institutions may complement their Pillar 3 disclosures by disclosing the same information for the three previous quarters.
- 10.Institutions shall supplement the template with a narrative commentary to explain figures in row 8 of this template, i.e. any other drivers that contribute significantly to RWEA variations.
| Column reference | Legal references and instructions |
|---|---|
| Column reference | Explanation |
| a | Risk weighted exposure amount Total risk weighted exposure amount for credit risk calculated under the IRB Approach, taking into account supporting factors in accordance with Articles 501 and 501a CRR. |
| Row number | Legal references and instructions |
| --- | --- |
| Row number | Explanation |
| 1 | Risk weighted exposure amount at the end of the previous disclosure period |
| 2 | Asset size (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to asset size, i.e. organic changes in book size and composition (including the origination of new businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount. |
| 3 | Asset quality (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to asset quality, i.e. changes in the assessed quality of the institution’s assets due to changes in borrower risk, such as rating grade migration or similar effects Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount. |
| 4 | Model updates (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to model updates, i.e. changes due to implementation of new models, changes in the models, changes in model scope, or any other changes intended to address model weaknesses Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount. |
| 5 | Methodology and policy (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to methodology and policy i.e. changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations, excluding changes in models, which are included in row 4 of this template Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount. |
| 6 | Acquisitions and disposals (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to acquisitions and disposals, i.e. changes in book sizes due to acquisitions and/or disposals Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount. |
| 7 | Foreign exchange movements (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to foreign exchange movements, i.e. changes arising from foreign currency translation movements Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount. |
| 8 | Other (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to other drivers This category shall be used to capture changes that cannot be attributed to any other category. Institutions shall further describe any other material drivers of risk weighted amounts movements over the disclosure period included in this row in the accompanying narrative for this template. Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount. |
| 9 | Risk weighted exposure amount at the end of the disclosure period |
Template EU CR9 – IRB approach – Back-testing of PD per exposure class. Fixed template.
- 11.Institutions shall disclose information referred to in point (h) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CR9 which is presented in Annex XXI to this Implementing Regulation. When an institution makes use of both F-IRB approach and A-IRB approach, it shall disclose two separate sets of templates, one for F-IRB and one for A-IRB, with one template per exposure class in each set.
- 12.Institution shall consider the models used within each exposure class and they shall explain the percentage of risk weighted exposure amount of the relevant exposure class covered by the models for which back-testing results are disclosed here.
- 13.Institutions shall explain, in the accompanying narrative, the total number of obligors with short-term contracts at the disclosure date, indicating which exposure classes feature a larger number short-term contract obligors. Short-term contracts refer to contracts whose residual maturity is less than 12 months. Institutions shall also explain if there are overlapping windows in the calculation of long run average PD rates.
- 14.This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), securitisation positions, other non credit-obligation assets and equity exposures.
| Column reference | Legal references and instructions |
|---|---|
| Column reference | Explanation |
| a (A-IRB) | Exposure classes For each exposure class listed in Article 147(2) CRR, 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 – non-SME secured by immovable property collateral (point (d) of Article 147 (2) CRR in conjunction with Article 154(3) CRR); c.Retail exposures – Qualifying revolving (point (d) of Article 147 (2) CRR in conjunction with Article 154(4) CRR); d.Retail exposures – SME other; e.Retail exposures – non-SME other. |
| a (F-IRB) | Exposure classes For each exposure class listed in Article 147(2) CRR, 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. |
| b | PD range This is a fixed PD range that shall not be altered. Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated at the beginning of the disclosure period 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 %. |
| c, d | Number of obligors at the end of the previous year Institutions shall disclose the following two sets of information: (i) the number of obligors at the end of the previous year (column C of this template); Number of obligors at the end of the year subject to disclosure In both cases all obligors carrying a credit obligation at the relevant point in time shall be included. Institutions shall disclose the number of legal entities or obligors allocated to each bucket of the fixed PD range by the end of the previous year, 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, where the definition of default is applied at the level of individual credit facility in accordance with the last sentence of Article 178(1) CRR. Such situation can also take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with second sentence of point (e) of Article 172(1) CRR in other exposure classes. (ii) of which number of obligors that defaulted during the year preceding the disclosure date (column d of this template) This shall be a subset of column C of this template and represent the number of obligors that defaulted during the year. Defaults shall be determined in accordance with Article 178 CRR. Each defaulted obligor shall be counted only once in the numerator and denominator of the one-year default rate calculation, even if the obligor defaulted more than once during the relevant one-year period. |
| e | Observed average default rate Arithmetic average of one-year default rates as defined in point (78) of Article 4(1) CRR, observed within the available dataset. When calculating one-year default rates institutions shall ensure both of the following: (a) that the denominator consists of the number of non-defaulted obligors with any credit obligation observed at the beginning of the one-year observation period (beginning of the previous disclosure period, i.e. beginning of the year prior to the disclosure reference date); in this context a credit obligation refers to both of the following: (i) any on-balance sheet item, including any amount of principal, interest and fees; (ii) any off-balance sheet items, including guarantees issued by the institution as a guarantor. (b) that the numerator includes all those obligors considered in the denominator that had at least one default event during the one-year observation period (year prior to the disclosure reference date). Institutions shall choose an appropriate approach between an approach based on overlapping one-year time windows, and an approach based on non-overlapping one-year time windows, to calculate the observed average default rate. |
| f | Exposure weighted average PD (%) Exposure weighted average PD (%) as in column f of template EU CR6; 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 template EU CR6 |
| g | Average PD at the disclosure date (%) Arithmetic average of PD at the beginning of the disclosure period of the obligors that fall within the bucket of the fixed PD range and counted in d (average weighted by the number of obligors) |
| h | Average historical annual default rate (%) The simple average of the annual default rate of at least five most recent years (obligors at the beginning of each year that are defaulted during that year/total number of obligors at the beginning of the year) The institution may use a longer historical period that is consistent with the institution’s actual risk management practices. If the institution uses a longer historical period they shall explain and clarify this in the accompanying narrative to the template. |
Template EU CR9.1 – IRB approach– Back-testing of PD per exposure class (only for PD estimates in accordance with point (f) of Article 180(1) CRR
- 15.In addition to template EU CR9, institutions shall disclose information in template EU CR9.1 in case where they apply point (f) of Article 180(1) CRR for PD estimation and only for PD estimates in accordance with the same Article. Instructions are the same as for template EU CR9, with the following exceptions:
- a. Under column b of this template institutions shall disclose the PD ranges in accordance with their internal grades that they map to the scale used by the external ECAI, instead of a fixed external PD range;
- b. Institutions shall disclose one column for each ECAI considered following point (f) of Article 180(1) CRR. Institutions shall include in these columns the external rating to which their internal PD ranges are mapped.
ANNEX XXIII
Template EU CR10 – Specialised lending and equity exposures under the simple riskweighted approach
Template EU CR10.1
| Specialised lending: Project finance (Slotting approach) | Specialised lending: Project finance (Slotting approach) | Specialised lending: Project finance (Slotting approach) | Specialised lending: Project finance (Slotting approach) | Specialised lending: Project finance (Slotting approach) | Specialised lending: Project finance (Slotting approach) | Specialised lending: Project finance (Slotting approach) | Specialised lending: Project finance (Slotting approach) |
| Regulatory categories | Remaining maturity | On-balancesheet exposure | Off-balancesheet exposure | Risk weight | Exposure value | Risk weighted exposure amount | Expected loss amount |
| Regulatory categories | Remaining maturity | a | b | c | d | e | f |
| Category 1 | Less than 2.5 years | 50 % | |||||
| Category 1 | Equal to or more than 2.5 years | 70 % | |||||
| Category 2 | Less than 2.5 years | 70 % | |||||
| Category 2 | Equal to or more than 2.5 years | 90 % | |||||
| Category 3 | Less than 2.5 years | 115 % | |||||
| Category 3 | Equal to or more than 2.5 years | 115 % | |||||
| Category 4 | Less than 2.5 years | 250 % | |||||
| Category 4 | Equal to or more than 2.5 years | 250 % | |||||
| Category 5 | Less than 2.5 years | — | |||||
| Category 5 | Equal to or more than 2.5 years | — | |||||
| Total | Less than 2.5 years | ||||||
| Total | Equal to or more than 2.5 years |
Template EU CR10.2
| Specialised lending: Income-producing real estate and high volatility commercial real estate (Slotting approach) | Specialised lending: Income-producing real estate and high volatility commercial real estate (Slotting approach) | Specialised lending: Income-producing real estate and high volatility commercial real estate (Slotting approach) | Specialised lending: Income-producing real estate and high volatility commercial real estate (Slotting approach) | Specialised lending: Income-producing real estate and high volatility commercial real estate (Slotting approach) | Specialised lending: Income-producing real estate and high volatility commercial real estate (Slotting approach) | Specialised lending: Income-producing real estate and high volatility commercial real estate (Slotting approach) | Specialised lending: Income-producing real estate and high volatility commercial real estate (Slotting approach) |
| Regulatory categories | Remaining maturity | On-balancesheet exposure | Off-balancesheet exposure | Risk weight | Exposure value | Risk weighted exposure amount | Expected loss amount |
| Regulatory categories | Remaining maturity | a | b | c | d | e | f |
| Category 1 | Less than 2.5 years | 50 % | |||||
| Category 1 | Equal to or more than 2.5 years | 70 % | |||||
| Category 2 | Less than 2.5 years | 70 % | |||||
| Category 2 | Equal to or more than 2.5 years | 90 % | |||||
| Category 3 | Less than 2.5 years | 115 % | |||||
| Category 3 | Equal to or more than 2.5 years | 115 % | |||||
| Category 4 | Less than 2.5 years | 250 % | |||||
| Category 4 | Equal to or more than 2.5 years | 250 % | |||||
| Category 5 | Less than 2.5 years | — | |||||
| Category 5 | Equal to or more than 2.5 years | — | |||||
| Total | Less than 2.5 years | ||||||
| Total | Equal to or more than 2.5 years |
Template EU CR10.3
| Specialised lending: Object finance (Slotting approach) | Specialised lending: Object finance (Slotting approach) | Specialised lending: Object finance (Slotting approach) | Specialised lending: Object finance (Slotting approach) | Specialised lending: Object finance (Slotting approach) | Specialised lending: Object finance (Slotting approach) | Specialised lending: Object finance (Slotting approach) | Specialised lending: Object finance (Slotting approach) |
| Regulatory categories | Remaining maturity | On-balancesheet exposure | Off-balancesheet exposure | Risk weight | Exposure value | Risk weighted exposure amount | Expected loss amount |
| Regulatory categories | Remaining maturity | a | b | c | d | e | f |
| Category 1 | Less than 2.5 years | 50 % | |||||
| Category 1 | Equal to or more than 2.5 years | 70 % | |||||
| Category 2 | Less than 2.5 years | 70 % | |||||
| Category 2 | Equal to or more than 2.5 years | 90 % | |||||
| Category 3 | Less than 2.5 years | 115 % | |||||
| Category 3 | Equal to or more than 2.5 years | 115 % | |||||
| Category 4 | Less than 2.5 years | 250 % | |||||
| Category 4 | Equal to or more than 2.5 years | 250 % | |||||
| Category 5 | Less than 2.5 years | — | |||||
| Category 5 | Equal to or more than 2.5 years | — | |||||
| Total | Less than 2.5 years | ||||||
| Total | Equal to or more than 2.5 years |
Template EU CR10.4
| Specialised lending: Commodities finance (Slotting approach) | Specialised lending: Commodities finance (Slotting approach) | Specialised lending: Commodities finance (Slotting approach) | Specialised lending: Commodities finance (Slotting approach) | Specialised lending: Commodities finance (Slotting approach) | Specialised lending: Commodities finance (Slotting approach) | Specialised lending: Commodities finance (Slotting approach) | Specialised lending: Commodities finance (Slotting approach) |
| Regulatory categories | Remaining maturity | On-balancesheet exposure | Off-balancesheet exposure | Risk weight | Exposure value | Risk weighted exposure amount | Expected loss amount |
| Regulatory categories | Remaining maturity | a | b | c | d | e | f |
| Category 1 | Less than 2.5 years | 50 % | |||||
| Category 1 | Equal to or more than 2.5 years | 70 % | |||||
| Category 2 | Less than 2.5 years | 70 % | |||||
| Category 2 | Equal to or more than 2.5 years | 90 % | |||||
| Category 3 | Less than 2.5 years | 115 % | |||||
| Category 3 | Equal to or more than 2.5 years | 115 % | |||||
| Category 4 | Less than 2.5 years | 250 % | |||||
| Category 4 | Equal to or more than 2.5 years | 250 % | |||||
| Category 5 | Less than 2.5 years | — | |||||
| Category 5 | Equal to or more than 2.5 years | — | |||||
| Total | Less than 2.5 years | ||||||
| Total | Equal to or more than 2.5 years |
Template EU CR10.5
| Equity exposures under the simple risk-weighted approach | Equity exposures under the simple risk-weighted approach | Equity exposures under the simple risk-weighted approach | Equity exposures under the simple risk-weighted approach | Equity exposures under the simple risk-weighted approach | Equity exposures under the simple risk-weighted approach | Equity exposures under the simple risk-weighted approach |
| Categories | On-balancesheet exposure | Off-balancesheet exposure | Risk weight | Exposure value | Risk weighted exposure amount | Expected loss amount |
| Categories | a | b | c | d | e | f |
| Private equity exposures | 190 % | |||||
| Exchange-traded equity exposures | 290 % | |||||
| Other equity exposures | 370 % | |||||
| Total |
ANNEX XXIV
Disclosure of specialised lending and equity exposures under the simple risk weight approach
Template EU CR10 – Specialised lending and equity exposures under the simple risk-weighted approach. Fixed template.
- 1.Institutions shall disclose the information referred to in point (e) of Article 438 of Regulation (EU) 575/2013 ([^E0042]) (‘CRR’) by following the instructions provided below in this Annex to complete template EU CR10 which is presented in Annex XXIII to this Implementing Regulation. Institutions shall disclose:
- a. information on the following types of specialised lending exposures referred to in Table 1 of Article 153(5):
- — ‘Project finance’ in template EU CR10.1;
- — ‘Income-producing real estate and high volatility commercial real estate’ in template EU CR10.2;
- — ‘Object finance’ in template EU CR10.3;
- — ‘Commodities finance’ in template EU CR 10.4;
- b. information on equity exposures under the simple risk-weighted approach in template EU CR10.5.
| Column reference | Legal references and instructions |
|---|---|
| Column reference | Explanation |
| a | On-balance-sheet exposures Institutions shall disclose the exposure value of on-balance sheet exposures in accordance with Article 166(1) to (7) and Article 167(1) CRR. |
| b | Off-balance-sheet exposure Institutions shall disclose the exposure value of off-balance sheet exposures in accordance with Articles 166 and 167 (2) CRR without taking into account any conversion factors specified in Article 166(8) or (9) 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 CRR. |
| c | Risk weight This is a fixed column. It shall not be altered. This column has been specified in accordance with Article 153(5) CRR for templates EU CR10.1 to EU CR10.4 and in accordance with Article 155(2) CRR for template EU CR10.5. |
| d | Exposure value Exposure value in accordance with Article 166 or Article 167 CRR This column shall include the sum of exposure value of on-balance sheet exposures and exposure value of off-balance sheet exposures post conversion factors and percentages in accordance with Article 166(8) to (10) CRR. |
| e (templates EU CR10.1 to EU CR10.4) | Risk-weighted exposure amount (specialised lending exposures under the slotting approach) The risk-weighted exposure amount calculated in accordance with Article 153 (5) CRR, after supporting factors in accordance with Article 501 and 501a CRR, where relevant |
| e (template EU CR10.5) | Risk-weighted exposure amount (equity exposures under the simple risk weight approach) The risk-weighted exposure amount calculated in accordance with Article 155(2) CRR |
| f (templates EU CR10.1 to EU CR10.4) | Expected loss amount (specialised lending exposures under the slotting approach) Amount of expected loss calculated in accordance with Article 158 (6) CRR |
| f (template EU CR10.5) | Expected loss amount (equity exposures under the simple risk weight approach) Amount of expected loss calculated in accordance with Article 158(7) CRR |
| Row number | Legal references and instructions |
| --- | --- |
| Row number | Explanation |
| Regulatory category | Templates EU CR10.1 – EU CR10.4 Regulatory categories applicable to specialised lending under the slotting approach for each class of specialised lending exposures; as specified in Article 153(5) CRR and in the final draft RTS on slotting approach |
| Categories | Template EU CR10.5 Regulatory categories applicable to equities under the simple risk-weight approach in accordance with Article 155(2) CRR |
ANNEX XXV
Table EU CCRA – Qualitative disclosure related to CCR
| Flexible format disclosure | ||
|---|---|---|
| (a) | Article 439 (a) CRR Description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties | |
| (b) | Article 439 (b) CRR Description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves | |
| (c) | Article 439 (c) CRR Description of policies with respect to Wrong-Way risk as defined in Article 291 of the CRR | |
| (d) | Article 431 (3) and (4) CRR Any other risk management objectives and relevant policies related to CCR | |
| (e) | Article 439 (d) CRR The amount of collateral the institution would have to provide if its credit rating was downgraded |
Template EU CCR1 – Analysis of CCR exposure by approach
Fixed format
| a | b | c | d | e | f | g | h | ||
|---|---|---|---|---|---|---|---|---|---|
| Replacement cost (RC) | Potential future exposure (PFE) | EEPE | Alpha used for computing regulatory exposure value | Exposure value pre-CRM | Exposure value post-CRM | Exposure value | RWEA | ||
| EU-1 | EU - Original Exposure Method (for derivatives) | 1,4 | |||||||
| EU-2 | EU - Simplified SA-CCR (for derivatives) | 1,4 | |||||||
| 1 | SA-CCR (for derivatives) | 1,4 | |||||||
| 2 | IMM (for derivatives and SFTs) | ||||||||
| 2a | Of which securities financing transactions netting sets | ||||||||
| 2b | Of which derivatives and long settlement transactions netting sets | ||||||||
| 2c | Of which from contractual cross-product netting sets | ||||||||
| 3 | Financial collateral simple method (for SFTs) | ||||||||
| 4 | Financial collateral comprehensive method (for SFTs) | ||||||||
| 5 | VaR for SFTs | ||||||||
| 6 | Total |
Template EU CCR2 – Transactions subject to own funds requirements for CVA risk
Fixed format
| a | b | ||
|---|---|---|---|
| Exposure value | RWEA | ||
| 1 | Total transactions subject to the Advanced method | ||
| 2 | (i) VaR component (including the 3× multiplier) | ||
| 3 | (ii) stressed VaR component (including the 3× multiplier) | ||
| 4 | Transactions subject to the Standardised method | ||
| EU-4 | Transactions subject to the Alternative approach (Based on the Original Exposure Method) | ||
| 5 | Total transactions subject to own funds requirements for CVA risk |
Template EU CCR3 – Standardised approach – CCR exposures by regulatory exposure class and risk weights
Fixed format
| Exposure classes | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | Risk weight | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Exposure classes | a | b | c | d | e | f | g | h | i | j | k | l | |
| Exposure classes | 0 % | 2 % | 4 % | 10 % | 20 % | 50 % | 70 % | 75 % | 100 % | 150 % | Others | Total exposure value | |
| 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 | Institutions and corporates with a short-term credit assessment | ||||||||||||
| 10 | Other items | ||||||||||||
| 11 | Total exposure value |
Template EU CCR4 – IRB approach – CCR exposures by exposure class and PD scale
Fixed format
| a | b | c | d | e | f | g | |||
|---|---|---|---|---|---|---|---|---|---|
| PD scale | Exposure value | Exposure weighted average PD (%) | Number of obligors | Exposure weighted average LGD (%) | Exposure weighted average maturity (years) | RWEA | Density of risk weighted exposure amounts | ||
| 1 … x | Exposure class X | ||||||||
| 1 | 0,00 to < 0,15 | ||||||||
| 2 | 0,15 to < 0,25 | ||||||||
| 3 | 0,25 to < 0,50 | ||||||||
| 4 | 0,50 to < 0,75 | ||||||||
| 5 | 0,75 to < 2,50 | ||||||||
| 6 | 2,50 to < 10,00 | ||||||||
| 7 | 10,00 to < 100,00 | ||||||||
| 8 | 100,00 (Default) | ||||||||
| x | Sub-total (Exposure class X) | ||||||||
| y | Total (all CCR relevant exposure classes) | Total (all CCR relevant exposure classes) |
Template EU CCR5 – Composition of collateral for CCR exposures
Fixed columns
| a | b | c | d | e | f | g | h | ||
|---|---|---|---|---|---|---|---|---|---|
| Collateral used in derivative transactions | Collateral used in derivative transactions | Collateral used in derivative transactions | Collateral used in derivative transactions | Collateral used in SFTs | Collateral used in SFTs | Collateral used in SFTs | Collateral used in SFTs | ||
| Collateral type | Fair value of collateral received | Fair value of collateral received | Fair value of posted collateral | Fair value of posted collateral | Fair value of collateral received | Fair value of collateral received | Fair value of posted collateral | Fair value of posted collateral | |
| Collateral type | Segregated | Unsegregated | Segregated | Unsegregated | Segregated | Unsegregated | Segregated | Unsegregated | |
| 1 | Cash – domestic currency | ||||||||
| 2 | Cash – other currencies | ||||||||
| 3 | Domestic sovereign debt | ||||||||
| 4 | Other sovereign debt | ||||||||
| 5 | Government agency debt | ||||||||
| 6 | Corporate bonds | ||||||||
| 7 | Equity securities | ||||||||
| 8 | Other collateral | ||||||||
| 9 | Total |
Template EU CCR6 – Credit derivatives exposures
Fixed
| a | b | ||
|---|---|---|---|
| Protection bought | Protection sold | ||
| Notionals | Notionals | ||
| 1 | Single-name credit default swaps | ||
| 2 | Index credit default swaps | ||
| 3 | Total return swaps | ||
| 4 | Credit options | ||
| 5 | Other credit derivatives | ||
| 6 | Total notionals | ||
| Fair values | Fair values | ||
| 7 | Positive fair value (asset) | ||
| 8 | Negative fair value (liability) |
Template EU CCR7 – RWEA flow statements of CCR exposures under the IMM
Fixed format
| a | ||
|---|---|---|
| RWEA | ||
| 1 | RWEA as at the end of the previous reporting period | |
| 2 | Asset size | |
| 3 | Credit quality of counterparties | |
| 4 | Model updates (IMM only) | |
| 5 | Methodology and policy (IMM only) | |
| 6 | Acquisitions and disposals | |
| 7 | Foreign exchange movements | |
| 8 | Other | |
| 9 | RWEA as at the end of the current reporting period |
Template EU CCR8 – Exposures to CCPs
Fixed format
| a | b | ||
|---|---|---|---|
| Exposure value | RWEA | ||
| 1 | Exposures to QCCPs (total) | ||
| 2 | Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which | ||
| 3 | (i) OTC derivatives | ||
| 4 | (ii) Exchange-traded derivatives | ||
| 5 | (iii) SFTs | ||
| 6 | (iv) Netting sets where cross-product netting has been approved | ||
| 7 | Segregated initial margin | ||
| 8 | Non-segregated initial margin | ||
| 9 | Prefunded default fund contributions | ||
| 10 | Unfunded default fund contributions | ||
| 11 | Exposures to non-QCCPs (total) | ||
| 12 | Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which | ||
| 13 | (i) OTC derivatives | ||
| 14 | (ii) Exchange-traded derivatives | ||
| 15 | (iii) SFTs | ||
| 16 | (iv) Netting sets where cross-product netting has been approved | ||
| 17 | Segregated initial margin | ||
| 18 | Non-segregated initial margin | ||
| 19 | Prefunded default fund contributions | ||
| 20 | Unfunded default fund contributions |
ANNEX XXVI
Counterparty credit risk disclosure tables and templates: Instructions
- 1.Institutions shall disclose the information referred to Article 439 CRR regarding their exposure to counterparty credit risk as referred to in Chapter 6 of Title II of Part Three of Regulation (EU) 575/2013 ([^E0043]) (‘CRR’) by following the instructions provided in this Annex to complete tables and templates which are presented in Annex XXV to this Implementing Regulation.
- Table EU CCRA - Qualitative disclosure related to counterparty credit risk (CCR): Free format text boxes
- 2.Institutions shall disclose information referred to in points (a) to (d) of Article 439 CRR by following the instructions provided below in this Annex to complete table EU CCRA which is presented in Annex XXV to this Implementing Regulation.
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| (a) | When disclosing information required in point (a) of Article 439 CRR, institutions shall provide a description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties. |
| (b) | When disclosing information required in point (b) of Article 439 CRR, institutions shall provide a description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves. |
| (c) | When disclosing information required in point (c) of Article 439 CRR, institutions shall provide a description of policies with respect to Wrong-Way risk as defined in Article 291 CRR. |
| (d) | In accordance with Article 431 (3) and (4) CRR institutions shall complement the above information by any other risk management objectives and relevant policies related to CCR. |
| (e) | When disclosing information required in point (d) of Article 439 CRR institutions shall provide the amount of collateral the institutions would have to provide if their credit rating was downgraded. Where the central bank of a Member State undertakes liquidity assistance in the form of collateral swap transactions, the competent authority may exempt institutions to provide this information where it deems that the disclosure of the information referred to therein could reveal the provision of emergency liquidity assistance. For these purposes, the competent authority shall set out appropriate thresholds and objective criteria. |
Template EU CCR1 - Analysis of CCR exposure by approach: Fixed format
- 3.Institutions shall disclose information referred to in points (f), (g), and (k) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR1 which is presented in Annex XXV to this Implementing Regulation.
- 4.This template excludes own funds requirements for CVA risk (Title VI of Part Three CRR) and exposures to a central counterparty (Section 9 of Chapter 6 of Title II of Part Three CRR) as defined for the purpose of template EU CCR8. For securities financing transactions, it includes the exposure values before and after the effect of credit risk mitigation as determined under the methods set out in Chapters 4 and 6 of Title II of Part Three CRR, whichever method is used, in accordance with Article 439 (g) CRR, and the associated risk exposure amounts broken down by applicable method.
- 5.Institutions using the methods set out in Sections 4 to 5 of Chapter 6 of Title II of Part Three CRR shall indicate, in the narrative accompanying the template, the size of their on- and off-balance-sheet derivative business as calculated in accordance with Article 273a(1) or (2) CRR, as applicable, in application of point (m) of Article 439 CRR.
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| EU-1 | Original Exposure Method (for derivatives) Derivatives and long settlement transactions for which the institutions have chosen to calculate the exposure value as alpha*(RC+PFE) with α = 1,4, RC and PFE computed in accordance with Article 282 of Section 5 of Chapter 6 of Title II of Part Three CRR This simplified method for calculating the exposure value of derivative positions can only be used by institutions meeting the conditions laid down in Article 273a (2) or (4) of Chapter 6 of Title II of Part Three CRR. |
| EU-2 | Simplified Standardised Approach for CCR (Simplified SA-CCR for derivatives) Derivatives and long settlement transactions for which the institutions have chosen to calculate the exposure value as alpha*(RC+PFE) with α = 1,4, RC and PFE computed in accordance with Article 281 of Section 4 of Chapter 6 of Title II of Part Three CRR This simplified standardised approach for calculating the exposure value of derivative positions can only be used by institutions meeting the conditions laid down in Article 273a (1) or (4) of Chapter 6 of Title II of Part Three CRR. |
| 1 | Standardised Approach for CCR (SA-CCR for derivatives) Derivatives and long settlement transactions for which the institutions have chosen to calculate the exposure value as alpha*(RC+PFE) with α = 1,4, RC and PFE computed in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR |
| 2 | IMM (for derivatives and SFTs) Derivatives and long settlement transactions and SFTs for which institutions have been permitted to calculate the exposure value using the Internal Model Method (IMM) in accordance with Section 6 of Chapter 6 of Title II of Part Three CRR |
| EU-2a | Of which securities financing transactions netting sets Netting sets containing only SFTs, as defined in point (139) of Article 4(1) CRR, for which institutions have been permitted to determine the exposure value using the IMM |
| EU-2b | Of which derivatives and long settlement transactions netting sets Netting sets containing only derivative instruments listed in Annex II to CRR and long settlement transactions as defined in point (2) of Article 272 CRR, for which institutions have been permitted to determine the exposure value using the IMM |
| EU-2c | Of which from contractual cross-product netting sets Netting sets containing transactions of different product categories (point (11) of Article 272 CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in point (25) of Article 272 CRR exists and for which institutions have been permitted to determine the exposure value using the IMM |
| 3, 4 | Financial collateral simple method (for SFTs) and Financial collateral comprehensive method (for SFTs) Repurchase transactions, securities or commodities lending or borrowing transactions and margin lending transactions for which institutions have chosen to determine the exposure value in accordance with Articles 222 and 223 of Chapter 4 of Title II of Part Three CRR, as opposed to Article 271(2) of Chapter 6 of Title II of Part Three CRR |
| 5 | VaR for SFTs Repurchase transactions, securities or commodities lending or borrowing transactions, margin lending transactions, or other capital market-driven transactions other than derivative transactions for which (in accordance with Article 221 CRR) the exposure value is calculated using an internal model approach (IMA) that takes into account correlation effects between security positions subject to the master netting agreement, as well as the liquidity of the instruments concerned |
| 6 | Total |
| Column letter | Explanation |
| a, b | Replacement cost (RC) and Potential future exposure (PFE) RC and PFE shall be computed: — in accordance with Article 282 (3) and (4) of Section 5 of Chapter 6 of Title II of Part Three CRR for the Original Exposure Method (row EU-1 of this template), — in accordance with Article 281 of Section 5 of Chapter 6 of Title II of Part Three CRR for the Simplified SA-CCR (row EU-2 of this template), — in accordance with Articles 275 and 278 of Sections 4 and 5 of Chapter 6 of Title II of Part Three CRR for the SA-CCR (row 1 of this template) Institutions shall disclose the sum of the replacement costs for all netting sets in the corresponding rows. |
| c | Effective expected positive exposure (EEPE) The EEPE per netting set is defined in point (22) of Article 272 CRR and shall be calculated in accordance with Article 284(6) CRR. The EEPE to be disclosed here shall be the one applied for the determination of own funds requirements in accordance with Article 284 (3) CRR, i.e. either the EEPE calculated using current market data, or the EEPE calculated using a stress calibration, whichever leads to a higher own funds requirement. Institutions shall specify in the narrative accompanying this template which EEPE has been inserted. |
| d | Alpha used for computing regulatory exposure value The value of α is fixed as 1,4 in rows EU-1, EU-2 and 1 of this template in accordance with Articles 282(2), 281(1) and 274(2) CRR For IMM purposes, the value of α can either be the default of 1,4 or different when competent authorities require a higher α in accordance with Article 284(4) CRR or permit institutions to use their own estimates in accordance with Article 284(9) of Section 6 of Chapter 6 of Title II of Part Three CRR. |
| e | Exposure value pre-CRM The exposure value pre-CRM for CCR business shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR taking into account the effect of netting, but disregarding any other credit risk mitigation techniques (e.g. through margin collateral). In the case of SFTs the security leg shall not be considered in the determination of the exposure value pre-CRM when collateral is received and therefore shall not decrease the exposure value. On the contrary, the SFTs security leg shall be considered in the determination of the exposure value pre-CRM in the regular way when collateral is posted. Furthermore, collateralised business shall be handled as uncollateralised, i.e. no margining effects apply. For transactions where specific wrong way risk has been identified, the exposure value pre-CRM must be determined in accordance with Article 291 CRR. The exposure value pre-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) CRR. The institution shall disclose the sum of all exposure values pre-CRM in the respective row. |
| f | Exposure value (post-CRM) The exposure value post-CRM for CCR business shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR For transactions where specific wrong way risk has been identified, the exposure value shall be determined in accordance with Article 291 CRR. In accordance with Article 273(6) CRR, the incurred CVA loss shall not be deducted from the exposure value post-CRM. The institution shall disclose the sum of all exposure values post-CRM in the respective row. |
| g | Exposure value Exposure value for CCR business calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, which is the relevant amount for the own funds requirement calculation, i.e. having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss in accordance with Article 273 (6) CRR The exposure value for transactions where specific wrong way risk has been identified shall be determined in accordance with Article 291 CRR. For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in each CCR approach reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty. The institution shall disclose the sum of all exposure values post-CRM in the respective row. |
| h | RWEA Risk weighted exposure amounts as defined in Article 92 (3) and (4) CRR calculated in accordance with Article 107 CRR, for elements whose risk weights are estimated on the basis of the requirements in Chapters 2 and 3 of Title II of Part Three CRR and for which the exposure value for CCR business is calculated in accordance with Chapters 4 and 6 of Title II of Part Three CRR |
Template EU CCR2 – Transactions subject to own funds requirements for CVA risk: Fixed format
- 6.Institutions shall disclose information referred to in point (h) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR2 which is presented in Annex XXV to this Implementing Regulation.
- 7.This template shall be filled with regulatory CVA information for all transactions subject to own funds requirements for CVA risk (Title VI of Part Three CRR).
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 1 | Total transactions subject to the Advanced method Transactions subject to the advanced method to calculate own funds requirements for CVA risk in accordance with Article 383 CRR |
| 2 | VaR component (including the 3 × multiplier) Transactions subject to own funds requirements for CVA risk for which the risk weighed exposure amounts are obtained via the formula in Article 383 CRR, using VaR calculation based on internal models for market risk (with current parameter calibrations for expected exposure as set out in the first subparagraph of Article 292 (2) CRR). The calculation shall includes the use of a multiplier that is at least 3 (set by the supervisor). |
| 3 | Stressed VaR component (including the 3 × multiplier) Transactions subject to own funds requirements for CVA risk for which the risk weighted exposure amounts are obtained via the formula in Article 383 CRR using stressed VaR calculation based on internal models for market risk (with stressed parameters for the calibration of the formula as set out in the first subparagraph of Article 292 (2) CRR). The calculation shall include the use of a multiplier that is at least 3 (set by the supervisor). |
| 4 | Transactions subject to the Standardised method Transactions subject to the standardised method to calculate own funds requirements for CVA risk in accordance with Article 384 CRR |
| EU-4 | Transactions subject to the Alternative approach (Based on the Original Exposure Method) Transactions subject to the alternative approach to calculate own funds requirements for CVA risk, in accordance with Article 385 CRR |
| 5 | Total transactions subject to own funds requirements for CVA risk |
| Column letter | Explanation |
| a | Exposure value Exposure value that is determined in accordance with Chapter 6 of Title II of Part Three CRR (or in the case of transactions in the scope of Article 271(2) CRR, in accordance with Chapter 4 of Title II of Part Three CRR) for transactions that are in the scope of Title VI of Part Three CRR The exposure value shall be the value used in the calculation of own funds requirements for CVA risk considering mitigation effects in accordance with Title VI of Part Three CRR. For transactions treated under the Original Exposure Method (alternative approach), the exposure value shall be the value that has been used for computing risk weighted exposure amounts. |
| b | RWEA Risk weighted exposure amounts in accordance with point (d) of Article 438 and with point (d) of Article 92 (3) CRR, i.e. own funds requirements for CVA risk calculated via the chosen method multiplied by 12.5 in accordance with point (b) of Article 92(4) CRR |
Template EU CCR3 - Standardised approach – CCR exposures by regulatory exposure class and risk weights: Fixed format
- 8.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 CCR3 which is presented in Annex XXV to this Implementing Regulation.
- 9.Institutions using the credit risk standardised approach to compute risk weighted exposure amounts (excluding those derived from own funds requirements for CVA risk and for exposures cleared through a CCP) for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure values in accordance with Chapters 4 and 6 of Title II of Part Three CRR, shall disclose the following information.
- 10.If an institution deems that the information requested in this template is not meaningful because the exposure and risk weighted exposure amounts are not material, the institution may choose not to disclose the template. The institution is, however, required to explain in a narrative commentary why it considers the information not to be meaningful, including a description of the exposures in the portfolios concerned and the aggregate total of risk weighted exposures amounts from such exposures.
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 1-9 | Exposure classes These rows refer to the regulatory exposure classes as defined in Article 112 to Article 134 of Chapter 4 of Title II of Part Three CRR. In each line, the corresponding exposure values (see definition provided in column g of template EU CCR1) shall be disclosed. |
| 10 | Other items This refers to assets subject to a specific risk weight set out in Article 134 of Chapter 4 of Title II of Part Three CRR and any other items not covered in rows 1 to 9 of this template. It also refers to assets not deducted in the 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 indirect and investments in AT1 of financial sector entities), Article 70 and Article 477 CRR (insignificant and significant 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 the application of point (k) of Article 36 of Chapter 2 of Title I of Part Two CRR. |
| 11 | Total exposure value |
| Column letter | Explanation |
| a-k | These columns refer to the credit risk quality steps/risk weights as set out in Chapter 2 of Title II of Part Three CRR for which the corresponding exposure values (see definition provided in column g of template EU CCR1) shall be disclosed. |
| l | Total exposure value |
Template EU CCR4 - IRB approach – CCR exposures by exposure class and PD scale: Fixed format
- 11.Institutions shall disclose the information referred to in point (g) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CCR4 which is presented in Annex XXV to this Implementing Regulation.
- 12.Institutions using either the advanced or the foundation IRB approach to compute risk weighted exposure amounts (excluding those derived from own funds requirements for CVA risk and for exposures cleared through a CCP) for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure value in accordance with Chapters 4 and 6 of Title II of Part Three CRR shall disclose the following information.
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