Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)

3.3.   CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO OWN FUNDS REQUIREMENTS (CR IRB)

3.3.1.   Scope of the CR IRB template

• 72.The scope of the CR IRB template covers:

• i. Credit risk in the banking book, among which:
• — Counterparty credit risk in the banking book;
• — Dilution risk for purchased receivables;

• ii. Counterparty credit risk in the trading book;

• iii. Free deliveries resulting from all business activities.

• 73.The scope of the template refers to the exposures for which the risk weighted exposure amounts are calculated in accordance with Part Three, Title II, Chapter 3, Articles 151 to 157 of Regulation (EU) No 575/2013 (IRB approach).

• 74.The CR IRB template does not cover the following data:

• i. Equity exposures, which are reported in the CR EQU IRB template;

• ii. Securitisation positions, which are reported in the CR SEC and/or CR SEC Details templates;

• iii. ‘Other non credit-obligation assets’, as referred to in Article 147(2), point (g), of Regulation (EU) No 575/2013. The risk weight for this exposure class has to be set at 100 % at any time except for cash in hand, equivalent cash items and exposures that are residual values of leased assets, in accordance with Article 156 of Regulation (EU) No 575/2013. The risk weighted exposure amounts for this exposure class shall be reported directly in the CA-Template;

• iv. Credit valuation adjustment risk, which is reported on the CVA Risk template; The CR IRB template does not require a geographical breakdown of IRB exposures by residence of the counterparty. This breakdown shall be reported in the template CR GB. Items i) and iii) do not apply to template CR IRB 7.

• 75.In order to clarify whether the institution uses its own estimates for LGD and/or credit conversion factors, the following information shall be provided for each reported exposure class:

‘NO’ = in case the supervisory estimates of LGD and credit conversion factors are used (Foundation IRB)

‘YES’ = in case own estimates of LGD and credit conversion factors are used (Advanced IRB). This includes all retail portfolios.

In case an institution uses own estimates of LGDs to calculate risk weighted exposure amounts for a part of its IRB exposures as well as supervisory LGDs to calculate risk weighted exposure amounts for the other part of its IRB exposures, an CR IRB Total for F-IRB positions and one CR IRB Total for A-IRB positions has to be reported.

3.3.2.   Breakdown of the CR IRB template

• 76.The CR IRB consists of seven templates. CR IRB 1 provides a general overview of IRB exposures and the different methods to calculate risk weighted exposure amounts as well as a breakdown of total exposures by exposure types. CR IRB 2 provides a breakdown of total exposures assigned to obligor grades or pools (exposures reported under row 0070 of CR IRB 1). CR IRB 3 provides all relevant parameters used for the calculation of credit risk capital requirements for IRB models. CR IRB 4 presents a flow statement explaining changes in risk weighted exposure amounts determined under the IRB approach for credit risk. CR IRB 5 provides information on the results of backtesting of PDs for the models reported. CR IRB 6 provides all relevant parameters used for the calculation of credit risk capital requirements under the slotting criteria for specialised lending. CR IRB 7 provides an overview of percentage of exposure value subject to SA or IRB approaches for each relevant exposure class. The templates CR IRB 1, CR IRB 2, CR IRB 3 and CR IRB 5 shall be reported separately for the following exposure and sub-exposure classes:

• 1) Total (The Total template must be reported for the Foundation IRB approach and, separately for the Advanced IRB approach.)

• 2) Central banks and central governments (Article 147(2), point (a), of Regulation (EU) No 575/2013)

• 3) Institutions (Article 147(2), point (b), of Regulation (EU) No 575/2013)

• 4.1) Corporate – SME (Article 147(2), point (c), of Regulation (EU) No 575/2013). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

• 4.2) Corporate – Specialised lending (Article 147(8) of Regulation (EU) No 575/2013)

• 4.3) Corporate – Other (All exposures to corporates as referred to in Article 147(2), point (c), of Regulation (EU) No 575/2013, not reported under 4.1 and 4.2).

• 5.1) Retail – Secured by immovable property SME (Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 in conjunction with Article 154(3) of that Regulation which are secured by immovable property). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

• 5.2) Retail – Secured by immovable property non-SME (Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which are secured by immovable property and not reported under 5.1). Under 5.1 and 5.2, retail exposures secured by immovable property shall be considered any retail exposures secured by immovable property recognised as collateral, regardless of the ratio of the value of collateral to the exposure or of the purpose of the loan.

• 5.3) Retail – Qualifying revolving (Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 in conjunction with Article 154(4) of that Regulation).

• 5.4) Retail – Other SME (Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 not reported under 5.1 and 5.3). For the purpose of classification to this sub-exposure class the reporting entities shall use their internal definition of SME as applied in internal risk management processes.

• 5.5) Retail – Other non – SME (Retail exposures as referred to in Article 147(2), point (d), of Regulation (EU) No 575/2013 which were not reported under 5.2 and 5.3).

3.3.3.   C 08.01 - Credit and counterparty credit risks and free deliveries: IRB approach to Capital Requirements (CR IRB 1)

3.3.3.1   Instructions concerning specific positions

Columns	Instructions
0010	INTERNAL RATING SCALE/ PD ASSIGNED TO THE OBLIGOR GRADE OR POOL (%) The PD assigned to the obligor grade or pool to be reported shall be based on the provisions laid down in Article 180 of Regulation (EU) No 575/2013. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. For figures corresponding to an aggregation of obligor grades or pools (e.g. total exposures), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. The exposure value (column 0110) shall be used for the calculation of the exposure-weighted average PD. For each individual grade or pool, the PD assigned to the specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating scale approved by the respective competent authority. It is neither intended nor desirable to have a supervisory master scale. If the reporting institution applies a unique rating scale or is able to report in accordance with an internal master scale, that scale shall be used. Otherwise, the different rating scales shall be merged and ordered in accordance with the following criteria: Obligor grades of the different rating scales shall be pooled and ordered from the lower PD assigned to each obligor grade to the higher. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. The same applies for continuous rating scales: a reduced number of grades to be reported shall be agreed with the competent authorities. Institutions shall contact their competent authority in advance if they want to report a different number of grades in comparison with the internal number of grades. The last rating grade or grades shall be dedicated for defaulted exposures with PD of 100 %. For the purposes of weighting the average PD, the exposure value reported in column 110 shall be used. The exposure weighted average PD shall be computed taking into account all exposures reported in a given row. In the row where only defaulted exposures are reported the average PD shall be of 100 %.
0020	ORIGINAL EXPOSURE PRE-CONVERSION FACTORS Institutions shall report the exposure value before taking into account any value adjustments, provisions, effects due to credit risk mitigation techniques or credit conversion factors. The original exposure value shall be reported in accordance with Article 24 of Regulation (EU) No 575/2013 and Article 166, paragraphs 1, 2, 4, 5, 6 and 7 of that Regulation. The effect resulting from Article 166(3) of Regulation (EU) No 575/2013 (effect of on balance sheet netting of loans and deposits) shall be reported separately as Funded Credit Protection and shall therefore not reduce the Original Exposure. For derivative instruments, repurchase transactions, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions subject to counterparty credit risk (Part Three, Title II, Chapter 4 or Chapter 6 of Regulation (EU) No 575/2013), the original exposure shall correspond to the exposure value arising from counterparty credit risk (see instructions to column 0130).
0030	OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the original exposure pre-conversion factor for all exposures of entities referred to in Article 142(1), points (4) and (5), of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation.
0040-0080	CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE Credit risk mitigation as defined in Article 4(1), point (57), of Regulation (EU) No 575/2013 that reduce the credit risk of an exposure or exposures via the substitution of exposures as defined below in ‘SUBSTITUTION OF THE EXPOSURE DUE TO CRM’.
0040-0050	UNFUNDED CREDIT PROTECTION Unfunded credit protection as defined in Article 4(1), point (59), of Regulation (EU) No 575/2013. Unfunded credit protection that has an effect on the exposure (e.g. used for credit risk mitigation techniques with substitution effects on the exposure) shall be capped at the exposure value.
0040	GUARANTEES: Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) of Regulation (EU) No 575/2013 shall be provided. When own estimates of LGD are used in accordance with Article 183 of Regulation (EU) No 575/2013 (except for paragraph 3), the relevant value used in the internal model shall be reported. Guarantees shall be reported in column 0040 where the adjustment is not made in the LGD. Where the adjustment is made in the LGD, the amount of the guarantee shall be reported in column 0150. Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220.
0050	CREDIT DERIVATIVES: Where own estimates of LGD are not used, the Adjusted Value (GA) as defined in Article 236(3) of Regulation (EU) No 575/2013 shall be provided. Where own estimates of LGD are used in accordance with Article 183, paragraph 3 of Regulation (EU) No 575/2013, the relevant value used in the internal modelling shall be reported. Where the adjustment is made in the LGD, the amount of the credit derivatives shall be reported in column 0160. Regarding exposures subject to the double default treatment, the value of unfunded credit protection shall be reported in column 0220.
0060	OTHER FUNDED CREDIT PROTECTION Collateral that has an effect on the PD of the exposure shall be capped at the value of the original exposure pre conversion factors. Where own estimates of LGD are not used, Article 232(1) of Regulation (EU) No 575/2013 applies. Where own estimates of LGD are used, those credit risk mitigation techniques that have effects on PD shall be reported. The relevant nominal or market value shall be reported. Where an adjustment is made in the LGD, that amount shall be reported in column 170.
0070-0080	SUBSTITUTION OF THE EXPOSURE DUE TO CRM Outflows shall correspond to the covered part of the original exposure pre-conversion factors, that is deducted from the obligor's exposure class and, where relevant, obligor grade or pool, and subsequently assigned to the guarantor's exposure class and, where relevant, obligor grade or pool. That amount shall be considered as an inflow into the guarantor's exposure class and, where relevant, obligor grades or pools. Inflows and outflows within the same exposure classes and, where relevant, obligor grades or pools, shall also be considered. Exposures stemming from possible in- and outflows from and to other templates shall be taken into account. These columns shall only be used where institutions have obtained permission from their competent authority to treat these secured exposures under the permanent partial use of the Standardised approach in accordance with Article 150 of Regulation (EU) No 575/2013 or to classify the exposures to exposure classes in accordance with the characteristic of the guarantor.
0090	EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE-CONVERSION FACTORS Exposure assigned in the corresponding obligor grade or pool and exposure class after taking into account outflows and inflows due to CRM techniques with substitution effects on the exposure.
0100, 0120	Of which: Off Balance Sheet Items See CR-SA instructions
0110	EXPOSURE VALUE The exposure values determined in accordance with Article 166 of Regulation (EU) No 575/2013 and the second sentence of Article 230(1) of that Regulation shall be reported. For the instruments referred to in Annex I, credit conversion factors and percentages in accordance with Article 166, paragraphs 8, 9 and 10 of Regulation (EU) No 575/2013 are applied, irrespective of the approach chosen by the institution. Exposure values for CCR business shall be the same as reported in column 0130.
0130	Of which: Arising from counterparty Credit Risk See the corresponding CR SA instructions in column 0210.
0140	OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the exposure value for all exposures to entities referred to in Article 142(1), points (4) and (5), of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation.
0150-0210	CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DEFAULT TREATMENT CRM techniques that have an impact on LGD estimates as a result of the application of the substitution effect of CRM techniques shall not be included in these columns. The reported collateral values shall be capped at the exposures value. Where own estimates of LGD are not used, Article 228(2), Article 230(1) and (2) and Article 231 of Regulation (EU) No 575/2013 shall be taken into account. Where own estimates of LGD are used: — Regarding unfunded credit protection, for exposures to central governments and central banks, institutions and corporates, Article 161(3) of Regulation (EU) No 575/2013 shall be taken into account. For retail exposures, Article 164(2) of Regulation (EU) No 575/2013 shall be taken into account. — Regarding funded credit protection, the collateral shall be taken into account in the LGD estimates in accordance with Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013.
0150	GUARANTEES See instructions to column 0040.
0160	CREDIT DERIVATIVES See instructions to column 0050.
0170	OWN ESTIMATES OF LGDS ARE USED: OTHER FUNDED CREDIT PROTECTION The relevant value used in the internal modelling of the institution. Those credit risk mitigants that comply with the criteria in Article 212 of Regulation (EU) No 575/2013.
0171	CASH ON DEPOSIT Article 200, point (a), of Regulation (EU) No 575/2013 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 value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure.
0172	LIFE INSURANCE POLICIES Article 200, point (b), of Regulation (EU) No 575/2013 The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure.
0173	INSTRUMENTS HELD BY A THIRD PARTY Article 200, point (c), of Regulation (EU) No 575/2013 This includes instruments issued by a third party institution, which will be repurchased by that institution on request. The value of collateral reported shall be limited to the value of the exposure at the level of an individual exposure. This column shall exclude those exposures covered by instruments held by a third party where, in accordance with Article 232(4) of Regulation (EU) No 575/2013, institutions treat instruments repurchased on request that are eligible under Article 200, point (c), of that Regulation as a guarantee by the issuing institution.
0180	ELIGIBLE FINANCIAL COLLATERAL For trading book operations, financial instruments and commodities eligible for trading book exposures in accordance with Article 299(2), points (c) to (f), of Regulation (EU) No 575/2013 shall be included. Credit linked notes and on -balance sheet netting in accordance with Part Three, Title II, Chapter 4, Section 4 of Regulation (EU) No 575/2013 shall be treated as cash collateral. Where own estimates of LGD are not used, for eligible financial collateral in accordance with Article 197 of Regulation (EU) No 575/2013, the adjusted value (Cvam) as set out in Article 223(2) of that Regulation shall be reported. Where own estimates of LGD are used, the financial collateral shall be taken into account in the LGD estimates in accordance with Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013. The amount to be reported shall be the estimated market value of the collateral.
0190-0210	OTHER ELIGIBLE COLLATERAL Where own estimates of LGD are not used, values shall be determined in accordance with Article 199, paragraphs 1 to 8 of Regulation (EU) No 575/2013 and Article 229 of that Regulation. Where own estimates of LGD are used, other collateral shall be taken into account in the LGD estimates in accordance with Article 181(1), points (e) and (f), of Regulation (EU) No 575/2013.
0190	REAL ESTATE Where own estimates of LGD are not used, values shall be determined in accordance with Article 199, paragraphs 2, 3 and 4 of Regulation (EU) No 575/2013 and shall be reported in this column. Leasing of real estate property shall also be included (see Article 199(7) of Regulation (EU) No 575/2013). See also Article 229 of Regulation (EU) No 575/2013. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value.
0200	OTHER PHYSICAL COLLATERAL Where own estimates of LGD are not used, values shall be determined in accordance with Article 199, paragraphs 6 and 8 of Regulation (EU) No 575/2013 and shall be reported in this column. Leasing of property different from real estate shall also be included (see Article 199(7) of Regulation (EU) No 575/2013). See also Article 229(3) of Regulation (EU) No 575/2013. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.
0210	RECEIVABLES Where own estimates of LGD are not used, values shall be determined in accordance with Articles 199(5) and 229(2) of Regulation (EU) No 575/2013 and shall be reported in this column. Where own estimates of LGD are used, the amount to be reported shall be the estimated market value of collateral.
0220	SUBJECT TO DOUBLE DEFAULT TREATMENT: UNFUNDED CREDIT PROTECTION Guarantees and credit derivatives covering exposures subject to the double default treatment in accordance with Article 153(3) of Regulation (EU) No 575/2013 and taking into account Article 202 and Article 217(1) of that Regulation. The values to be reported shall not exceed the value of the corresponding exposures.
0230	EXPOSURE WEIGHTED AVERAGE LGD (%) All the impact of CRM techniques on LGD values as specified in Part Three, Title II, Chapters 3 and 4 of Regulation (EU) No 575/2013 shall be considered. In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) of Regulation (EU) No 575/2013. For defaulted exposures, Article 181(1), point (h), of Regulation (EU) No 575/2013 shall be taken into account. The exposure value referred to in column 0110 shall be used for the calculation of the exposure-weighted averages. All effects shall be considered (so the effects of the floor applicable to exposures secured by immovable property in accordance with Article 164(4) of Regulation (EU) No 575/2013 shall be included in the reporting). For institutions applying the IRB approach but not using their own estimates of LGD, the risk mitigation effects of financial collateral shall be reflected in E, the fully adjusted value of the exposure, and then reflected in LGD as referred to in Article 228(2) of Regulation (EU) No 575/2013. The exposure weighted average LGD associated to each PD ‘obligor grade or pool’ shall result from the average of the prudential LGDs, assigned to the exposures of that PD grade/pool, weighted by the respective exposure value of column 0110. Where own estimates of LGD are applied, Article 175 and Article 181, paragraphs 1 and 2 of Regulation (EU) No 575/2013 shall be taken into account. In case of exposures subject to the double default treatment, the LGD to be reported shall correspond to the LGD selected in accordance with Article 161(4) of Regulation (EU) No 575/2013. The calculation of the exposure weighted average LGD shall be derived from the risk parameters really used in the internal rating scale approved by the respective competent authority. Data shall not be reported for specialised lending exposures referred to in Article 153(5) of Regulation (EU) No 575/2013. Where PD is estimated for specialised lending exposures, data shall be reported based on own estimates of LGDs or regulatory LGDs. Exposures and the respective LGDs for large regulated financial sector entities and unregulated financial entities shall not be included in the calculation of column 0230, but only be included in the calculation of column 0240.
0240	EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Exposure weighted average LGD (%) for all exposures to large financial sector entities as defined in Article 142(1), point (4) of Regulation (EU) No 575/2013 and to unregulated financial sector entities as defined in Article 142(1), point (5) of Regulation (EU) No 575/2013 subject to the higher coefficient of correlation determined in accordance with Article 153(2) of Regulation (EU) No 575/2013
0250	EXPOSURE-WEIGHTED AVERAGE MATURITY VALUE (DAYS) The value reported shall be determined in accordance with Article 162 of Regulation (EU) No 575/2013. The exposure value (column 0110) shall be used for the calculation of the exposure-weighted averages. The average maturity shall be reported in days. This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts. That means that this column shall not be filled in for the exposure class ‘retail’.
0255	RISK WEIGHTED EXPOSURE AMOUNT PRE SUPPORTING FACTORS For central governments and central banks, corporate and institutions, see Article 153, paragraphs 1, 2, 3 and 4 of Regulation (EU) No 575/2013; For retail, see Article 154(1) of Regulation (EU) No 575/2013 The SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013 shall not be taken into account.
0256	(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO SME SUPPORTING FACTOR Deduction of the difference of the risk-weighted exposure amounts for non-defaulted exposures to an SME (RWEA), which are calculated in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013, as applicable and RWEA* in accordance with Article 501 of that Regulation.
0257	(-) ADJUSTMENT TO THE RISK-WEIGHTED EXPOSURE AMOUNT DUE TO THE INFRASTRUCTURE SUPPORTING FACTOR Deduction of the difference of the risk weighted exposure amounts calculated in accordance with Part Three, Title II of Regulation (EU) No 575/2013 and the adjusted RWEA for credit risk for exposures to entities that operate or finance physical structures or facilities, systems and networks that provide or support essential public services in accordance with Article 501a of that Regulation
0260	RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS For central governments and central banks, corporate and institutions, see Article 153, paragraphs 1, 2, 3 and 4 of Regulation (EU) No 575/2013. For retail, see Article 154(1) of Regulation (EU) No 575/2013. The SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013 shall be taken into account.
0270	OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES Breakdown of the risk weighted exposure amount after SME supporting factor for all exposures to large financial sectors entities as defined in Article 142(1), point (4) of Regulation (EU) No 575/2013 and to unregulated financial sector entities as defined in Article 142(1), point (5) of that Regulation , subject to the higher coefficient of correlation determined in accordance with Article 153(2) of that Regulation.
0280	EXPECTED LOSS AMOUNT For the definition of Expected Loss, see Article 5(3) of Regulation (EU) No 575/2013 and, for the calculation of expected loss amounts, see Article 158 of that Regulation. For defaulted exposures, see Article 181(1), point (h), of Regulation (EU) No 575/2013. The expected loss amount to be reported shall be based on the risk parameters really used in the internal rating scale approved by the respective competent authority.
0290	(-) VALUE ADJUSTMENTS AND PROVISIONS Value Adjustments as well as specific and general credit risk adjustments in accordance with Article 159 of Regulation (EU) No 575/2013 shall be reported. General credit risk adjustments shall be reported by assigning the amount pro rata on the basis of the expected loss of the different obligor grades.
0300	NUMBER OF OBLIGORS Article 172, paragraphs 1 and 2 of Regulation (EU) No 575/2013. For all exposure classes, with the exception of the exposure class retail and the cases mentioned in the second sentence of Article 172(1), point (e), of Regulation (EU) No 575/2013, the institution shall report the number of legal entities/obligors which were separately rated, regardless of the number of different loans or exposures granted. Within the exposure class retail, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of Article 172(1), point (e), of Regulation (EU) No 575/2013 in other exposure classes, the institution shall report the number of exposures which were separately assigned to a certain rating grade or pool. In case Article 172(2) of Regulation (EU) No 575/2013 applies, an obligor may be considered in more than one grade. As this column deals with an element of the structure of the rating scales, it relates to the original exposures pre-conversion factor assigned to each obligor grade or pool without taking into account the effect of CRM techniques (in particular redistribution effects).
0310	PRE-CREDIT DERIVATIVES RISK WEIGHTED EXPOSURE AMOUNT Institutions shall report hypothetical risk weighted exposure amount to be calculated as the RWEA without the recognition of the eligible credit derivative as a CRM technique as specified in Article 204 of Regulation (EU) No 575/2013. The amounts shall be presented in the exposure classes relevant for the exposures to the original obligor.

Rows	Instructions
0010	TOTAL EXPOSURES
0015	of which: Exposures subject to the SME supporting factor Only exposures which meet the requirements of Article 501 of Regulation (EU) No 575/2013 shall be reported here.
0016	of which: Exposures subject to the infrastructure supporting factor Only exposures which meet the requirements of Article 501a of Regulation (EU) No 575/2013 shall be reported here.
0020-0060	BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
0020	On balance sheet items subject to credit risk Assets referred to in Article 24 of Regulation (EU) No 575/2013 shall not be included in any other category. Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 and, therefore, shall not be reported in this row. Free deliveries as referred to in Article 379(1) of Regulation (EU) No 575/2013 (if not deducted) do not constitute an on-balance sheet item, but nevertheless shall be reported in this row.
0030	Off balance sheet items subject to credit risk Off-balance sheet items shall comprise items in accordance with Article 166(8) of Regulation (EU) No 575/2013, as well as those items that are listed in Annex I of that Regulation. Exposures that are subject to counterparty credit risk shall be reported in rows 0040-0060 and, therefore, shall not be in this row.
0040-0060	Exposures / Transactions subject to counterparty credit risk See the corresponding CR SA instructions in rows 0090-0130.
0040	Securities Financing Transactions netting sets See the corresponding CR SA instructions in row 0090.
0050	Derivatives and Long Settlement Transactions netting sets See the corresponding CR SA instructions in row 0110.
0060	From Contractual Cross Product netting sets See the corresponding CR SA instructions in row 0130.
0070	EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL For exposures to corporates, institutions and central governments and central banks, see Article 142(1), point (6) and Article 170(1), point (c), of Regulation (EU) No 575/2013. For retail exposures see Article 170(3), point (b), of Regulation (EU) No 575/2013. For exposures arising from purchased receivables, see Article 166(6) of Regulation (EU) No 575/2013. Exposures for dilution risk of purchased receivables shall not be reported by obligor grades or pools and shall be reported in row 0180. Where the institution uses a large number of grades or pools, a reduced number of grades or pools to be reported may be agreed with the competent authorities. A supervisory master scale is not used. Instead, institutions shall determine the scale to be used themselves.
0080	SPECIALISED LENDING SLOTTING APPROACH: TOTAL Article 153(5) of Regulation (EU) No 575/2013. This shall only apply to the exposure classe corporate – specialised lending.
0160	ALTERNATIVE TREATMENT: SECURED BY REAL ESTATE Article 193, paragraphs 1 and 2, Article 194, paragraphs 1 to 7 and Article 230(3) of Regulation (EU) No 575/2013. This alternative is available only for institutions using Foundation-IRB approach.
0170	EXPOSURES FROM FREE DELIVERIES APPLYING RISK WEIGHTS UNDER THE ALTERNATIVE TREATMENT OR 100 % AND OTHER EXPOSURES SUBJECT TO RISK WEIGHTS Exposures arising from free deliveries for which the alternative treatment referred to in the last sentence of the Article 379(2), first subparagraph of Regulation (EU) No 575/2013 is used, or for which a 100 % risk weight is applied in accordance with the last subparagraph of Article 379(2) of Regulation (EU) No 575/2013. Unrated nth-to-default credit derivatives in accordance with Article 153(8) of Regulation (EU) No 575/2013 and any other exposure subject to risk weights not included in any other row shall be reported in this row.
0180	DILUTION RISK: TOTAL PURCHASED RECEIVABLES See Article 4(1), point (53), of Regulation (EU) No 575/2013 for a definition of dilution risk. For calculation of risk weighted exposure amounts for dilution risk see Article 157 of Regulation (EU) No 575/2013. Dilution risk shall be reported for corporate and retail purchased receivables.

3.3.4.   C 08.02 - Credit and counterparty credit risks and free deliveries: IRB approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2 template)

Column	Instructions
0005	Obligor grade (row identifier) This is a row identifier and shall be unique for each row on a particular sheet of the template. It shall follow the numerical order 1, 2, 3, etc. The first grade (or pool) to be reported is the best, then the second-best and so on. The last reported grade or grades (or pool) shall be that of exposures in default.
0010-0300	Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template.

Row

Instructions

0010-0001 – 0010-NNNN

Values reported in these rows must be filled in in the order corresponding to the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and shall not be reported in this template.

3.3.1.   C 08.03 - Credit risk and free deliveries: IRB approach to Capital Requirements (breakdown by PD ranges (CR IRB 3))

3.3.1.1.   General remarks

• 77.Institutions shall report the information included in this template in application of Article 452(g), points (i) to (v), of Regulation (EU) No 575/2013, in order to provide information on the main parameters used for the calculation of capital requirements for IRB approach. Information reported in this template shall not include data on specialised lending referred to in Article 153(5) of Regulation (EU) No 575/2013, which is included in template C 08.06. This template excludes counterparty credit risk (CCR) exposures (Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013).

3.3.1.2.   Instructions concerning specific positions

Columns	Instructions
0010	ON-BALANCE SHEET EXPOSURES Exposure value calculated in accordance with Article 166(1) to (7) of Regulation (EU) No 575/2013 without taking into account any credit risk adjustments
0020	OFF-BALANCE SHEET EXPOSURES PRE-CONVERSION FACTORS Exposure value in accordance with Article 166, paragraphs (1) to (7) of Regulation (EU) No 575/2013, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) of Regulation (EU) No 575/2013, or any percentages specified in Article 166(10) of that Regulation Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I of Regulation (EU) No 575/2013.
0030	EXPOSURE WEIGHTED AVERAGE CONVERSION FACTORS For all exposures included in each bucket of the fixed PD range, 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 reported in column 0020
0040	EXPOSURE VALUE POST CONVERSION FACTORS AND POST CRM Exposure value in accordance with Article 166 of Regulation (EU) No 575/2013 This column shall include the sum of exposure value of on-balance sheet exposures and off-balance sheet exposures post conversion factors in accordance with Article 166, paragraphs (8) to (10) of Regulation (EU) No 575/2013 and after CRM techniques.
0050	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 reported in column 0040. This column does not need to be filled in for the total of all exposures classes.
0060	NUMBER OF OBLIGORS The number of legal entities or obligors allocated to each bucket of the fixed PD range The number of obligors shall be counted in accordance with the instructions in column 0300 of template C 08.01. Joint obligors shall be treated the same as for the purpose of PD calibration.
0070	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 reported in column 0040 The LGD reported 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 LGD reported shall take into account the floors specified in Article 164(4) of Regulation (EU) No 575/2013. In the case of exposures subject to the double default treatment the LGD to be reported shall correspond to the one selected in accordance with Article 161 (4) of Regulation (EU) No 575/2013. For defaulted exposures under A-IRB approach, provisions laid down in Article 181(1), point (h), of Regulation (EU) No 575/2013 shall be considered. The LGD reported shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies. This column does not need to be filled in for the total of all exposures classes.
0080	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 reported in column 0040 The maturity value reported shall be determined in accordance with Article 162 of Regulation (EU) No 575/2013. The average maturity shall be reported in years. This data shall not be reported for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013. This means that this column shall not be filled in for the exposure class ‘retail’.
0090	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, paragraphs (1) to (4); for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 of Regulation (EU) No 575/2013 The SME and infrastructure supporting factors laid down in Articles 501 and Article 501a of Regulation (EU) No 575/2013 shall be taken into account.
0100	EXPECTED LOSS AMOUNT The expected loss amount calculated in accordance with Article 158 of Regulation (EU) No 575/2013 The expected loss amount to be reported shall be based on the actual risk parameters used in the internal rating scale approved by the respective competent authority.
0110	(-) VALUE ADJUSTMENTS AND PROVISIONS Specific and general credit risk adjustments in accordance with the Commission Delegated Regulation (EU) No 183/2014, additional value adjustments in accordance with Articles 34 and 110 of Regulation (EU) No 575/2013, 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 of Regulation (EU) No 575/2013. General provisions shall be reported by assigning the amount pro rata – in accordance with the expected loss of different obligor grades.

Rows

Instructions

PD RANGE

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). Institutions shall map exposure by exposure to the PD range provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %. {r0170, c0050} and {r0170, c0070} shall be reported for each exposure class, but not for the total of all exposures classes.

3.3.2.   C 08.04 - Credit risk and free deliveries: IRB approach to Capital Requirements (RWEA flow statements (CR IRB 4))

3.3.2.1.   General remarks

• 78.Institutions shall report the information included in this template in application of Article 438, point (h), of Regulation (EU) No 575/2013 of Regulation (EU) No 575/2013. This template excludes counterparty credit risk (CCR) exposures ( Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013).

• 79.Institutions shall report the flows of RWEA as the changes between the risk-weighted exposure amounts at the reference date and the risk-weighted exposure amounts at the prior reference date. In the case of quarterly reporting, end-of-quarter prior to the quarter of the reporting reference date shall be reported.

3.3.2.2.   Instructions concerning specific positions

Column	Instructions
0010	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 Article 501 and 501a of Regulation (EU) No 575/2013.

Rows	Instructions
0010	RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE PREVIOUS REPORTING PERIOD Risk weighted exposure amount at the end of the previous reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013
0020	ASSET SIZE (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting 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 reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.
0030	ASSET QUALITY (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting 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 reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.
0040	MODEL UPDATES (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting 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 reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.
0050	METHODOLOGY AND POLICY (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting 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 0040 Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.
0060	ACQUISITIONS AND DISPOSALS (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to acquisitions and disposals, i.e. changes in book sizes due to acquisitions and disposal of entities Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.
0070	FOREIGN EXCHANGE MOVEMENTS (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to foreign exchange movements, i.e. changes arising from foreign currency translation movements Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.
0080	OTHER (+/-) Change in the risk weighted exposure amount between the end of the previous reporting period and the end of the current reporting period, due to other drivers This category shall be used to capture changes that cannot be attributed to any other category. Increases in risk weighted exposure amounts shall be reported as a positive amount and decreases in risk weighted exposure amounts shall be reported as a negative amount.
0090	RISK WEIGHTED EXPOSURE AMOUNT AT THE END OF THE REPORTING PERIOD Risk weighted exposure amount in the reporting period after the application of the SME and infrastructure supporting factors laid down in Articles 501 and 501a of Regulation (EU) No 575/2013

3.3.3.   C 08.05 - Credit risk and free deliveries: IRB approach to Capital Requirements (Back-testing of PD (CR IRB 5))

3.3.3.1.   General remarks

• 80.Institutions shall report the information included in this template in application of Article 452, point (h), of Regulation (EU) No 575/2013. 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 reported here. This template excludes counterparty credit risk (CCR) exposures (Part Three, Title II, Chapter 6 of Regulation (EU) No 575/2013).

3.3.3.2.   Instructions concerning specific positions