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)

Columns	Instructions
0010	ARITHMETIC AVERAGE PD (%) Arithmetic average of PD at the beginning of the reporting period of the obligors that fall within the bucket of the fixed PD range and counted in column 0020 (average weighted by the number of obligors)
0020	NUMBER OF OBLIGORS AT THE END OF THE PREVIOUS YEAR Number of obligors at the end of the previous year subject to reporting All obligors carrying a credit obligation at the relevant point in time shall be included. 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.
0030	OF WHICH: DEFAULTED DURING THE YEAR Number of obligors which defaulted during the year (i.e. the observation period of the default rate calculation) Defaults shall be determined in accordance with Article 178 of Regulation (EU) No 575/2013. Each defaulted obligor is 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.
0040	OBSERVED AVERAGE DEFAULT RATE (%) One-year default rate referred to in Article 4(1), point (78), of Regulation (EU) No 575/2013 Institutions shall ensure: (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 (i.e. beginning of the year prior to the reporting 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 reporting reference date). Regarding the calculation of the number of obligors see column 0300 of template C 08.01.
0050	AVERAGE HISTORICAL ANNUAL DEFAULT RATE (%) The simple average of the annual default rate of the five most recent years (obligors at the beginning of each year that are defaulted during that year/total obligors at the beginning of the year) is a minimum. The institution may use a longer historical period that is consistent with the institution’s actual risk management practices.

Rows

Instructions

PD RANGE

Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated at the beginning of the reporting period 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 %.

3.3.4.   C 08.05.1 - Credit risk and free deliveries: IRB approach to Capital Requirements: Back-testing of PD in accordance with Article 180(1), point (f), of Regulation (EU) No 575/2013 (CR IRB 5B)

3.3.4.1.   Instructions concerning specific positions

• 81.In addition to template C 08.05, institutions shall report information included in template C 08.05.1 in case that they apply Article 180(1), point (f), of Regulation (EU) No 575/2013 for PD estimation and only for PD estimates in accordance with the same Article. Instructions are the same than for template C 08.05, with the following exceptions:

Columns	Instructions
0005	PD RANGE Institutions shall report 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.
0006	EXTERNAL RATING EQUIVALENT Institutions shall report one column for each ECAI considered following Article 180(1), point (f), of Regulation (EU) No 575/2013. Institutions shall include in these columns the external rating to which their internal PD ranges are mapped.

3.3.5.   C 08.06 - Credit risk and free deliveries: IRB approach to Capital Requirements (Specialised lending slotting approach (CR IRB 6))

3.3.5.1.   General remarks

• 82.Institutions shall report the information included in this template in application of Article 438, point (e), of Regulation (EU) No 575/2013. Institutions shall report information on the following types of specialised lending exposures referred to in Table 1 of Article 153(5):

• (a) Project finance

• (b) Income-producing real estate and high volatility commercial real estate

• (c) Object finance

• (d) Commodities finance

3.3.5.2.   Instructions concerning specific positions

Columns	Instructions
0010	ORIGINAL EXPOSURE PRE CONVERSION FACTORS See CR-IRB instructions.
0020	EXPOSURE AFTER CRM SUBSTITUTION EFFECTS PRE CONVERSION FACTORS See CR-IRB instructions.
0030, 0050	OF WHICH: OFF-BALANCE SHEET ITEMS See CR-SA instructions.
0040	EXPOSURE VALUE See CR-IRB instructions.
0060	OF WHICH: ARISING FROM COUNTERPARTY CREDIT RISK See CR SA instructions.
0070	RISK WEIGHT Article 153(5) of Regulation (EU) No 575/2013 This is a fixed column for information purposes. It shall not be altered.
0080	RISK WEIGHTED EXPOSURE AMOUNT AFTER SUPPORTING FACTORS See CR-IRB instructions.
0090	EXPECTED LOSS AMOUNT See CR-IRB instructions.
0100	(-) VALUE ADJUSTMENTS AND PROVISIONS See CR-IRB instructions.

Rows	Instructions
0010-0120	Exposures shall be allocated to the appropriate category and maturity in accordance with Article 153(5), table 1 of Regulation (EU) No 575/2013.

3.3.6.   C 08.07 - Credit risk and free deliveries: IRB approach to Capital Requirements (Scope of use of IRB and SA approaches (CR IRB 7))

3.3.6.1.   General remarks

• 83.For the purpose of this template, institutions calculating the risk-weighted exposure amounts under the IRB approach to credit risk shall allocate their exposures subject to Standardised approach laid down in Part Three, Title II, Chapter 2 of Regulation (EU) No 575/2013 or to the IRB approach laid down in Part Three, Title II, Chapter 3 of that Regulation, as well as the part of each exposure class subject to a roll-out plan. Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.

• 84.Columns 0030 to 0050 should cover the full spectrum of exposures, so the sum of each row for those three columns should be 100 % of all exposure classes except of securitisation positions and deducted positions.

3.3.6.2.   Instructions concerning specific positions

Columns	Instructions
0010	TOTAL EXPOSURE VALUE AS DEFINED IN ART 166 OF REGULATION (EU) No 575/2013 Institutions shall use the exposure value before CRM in accordance with Article 166 of Regulation (EU) No 575/2013.
0020	TOTAL EXPOSURE VALUE SUBJECT TO SA AND IRB Institutions shall use the exposure value before CRM in accordance with Article 429(4) of Regulation (EU) No 575/2013 to report the total exposure value, including both the exposures under the standardized approach and the exposures under the IRB approach.
0030	PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO PERMANENT PARTIAL USE OF SA (%) Part of exposure for each exposure class subject to the Standardised approach (exposure subject to the Standardised approach before CRM over the total exposure in that exposure class in column 0020), respecting the scope of permission for permanent partial use of the Standardised approach received from a competent authority in accordance with Article 150 of Regulation (EU) No 575/2013.
0040	PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO A ROLL-OUT PLAN (%) Part of exposure for each exposure class subject to the sequential implementation of IRB approach pursuant to Article 148 of Regulation (EU) No 575/2013. This shall include: — both exposures where institutions plan to apply IRB approach with or without their own estimation of LGD and conversion factors (F-IRB and A-IRB); — immaterial equity exposures not included in columns 0020 or 0040; — exposures already under F-IRB where an institution is planning to apply A-IRB in the future; — specialised lending exposures under the supervisory slotting approach not included in column 0040.
0050	PERCENTAGE OF TOTAL EXPOSURE VALUE SUBJECT TO IRB APPROACH (%) Part of exposure for each exposure class subject to the IRB approach (exposure subject to the IRB approach before CRM over the total exposure in that exposure class), respecting the scope of permission received from a competent authority to use the IRB Approach in accordance with Article 143 of Regulation (EU) No 575/2013. This shall include both exposures where institutions have the permission to use their own estimation of LGD and conversion factors or not (F-IRB and A-IRB), including supervisory slotting approach for specialised lending exposures and equity exposures under the simple risk weight approach, as well as those exposures reported in row 0170 of template C 08.01.

Rows	Instructions
EXPOSURE CLASSES	Institutions shall include the information in this template by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.

3.4.   CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: INFORMATION WITH GEOGRAPHICAL BREAKDOWN

• 85.All institutions shall submit information aggregated at a total level. Additionally, institutions fulfilling the threshold set in Article 5(5) of this Implementing Regulation shall submit information broken down by country regarding the domestic country as well as any non-domestic country. The threshold shall be considered only in relation to the CR GB 1 and CR GB 2 templates. Exposures to supranational organisations shall be assigned to the geographical area ‘other countries’.

• 86.The term ‘residence of the obligor’ refers to the country of incorporation of the obligor. This concept can be applied on an immediate-obligor basis and on an ultimate-risk basis. Hence, CRM techniques with substitution effects can change the allocation of an exposure to a country. Exposures to supranational organisations shall not be assigned to the country of residence of the institution but to the geographical area ‘Other countries’, irrespective of the exposure class where the exposure to supranational organisations is assigned.

• 87.Data regarding ‘original exposure pre-conversion factors’ shall be reported referring to the country of residence of the immediate obligor. Data regarding ‘exposure value’ and ‘Risk weighted exposure amounts’ shall be reported as of the country of residence of the ultimate obligor.

3.4.1.   C 09.01 – Geographical breakdown of exposures by residence of the obligor: SA exposures (CR GB 1)

3.4.1.1.   Instructions concerning specific positions

3.4.2.   C 09.02 – Geographical breakdown of exposures by residence of the obligor: IRB exposures (CR GB 2)

3.4.2.1.   Instructions concerning specific positions

3.4.3.   C 09.04 – Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate (CCB)

3.4.3.1.   General remarks

• 88.This template aims at receiving more information regarding the elements of the institution-specific countercyclical capital buffer. The information required refers to the own funds requirements determined in accordance with Part Three, Title II and Title IV of Regulation (EU) No 575/2013 and the geographical location for credit exposures, securitisation exposures and trading book exposures relevant for the calculation of the institution-specific countercyclical capital buffer (CCB) in accordance with Article 140 of Directive 2013/36/EU (relevant credit exposures).

• 89.Information in template C 09.04 shall be reported for the ‘Total’ of relevant credit exposures across all jurisdictions where those exposures are located and individually for each of the jurisdictions in which relevant credit exposures are located. The total figures as well as the information of each jurisdiction shall be reported in a separate dimension.

• 90.The threshold set in Article 5(5) of this Implementing Regulation shall not apply for the reporting of this breakdown.

• 91.In order to determine the geographical location, the exposures shall be allocated on an immediate obligor basis as provided for in Commission Delegated Regulation (EU) No 1152/2014 (²⁰). Therefore, CRM techniques shall not change the allocation of an exposure to its geographical location for the purpose of reporting information set out in this template.

3.4.3.2.   Instructions concerning specific positions

3.5.   C 10.01 AND C 10.02 – EQUITY EXPOSURES UNDER THE INTERNAL RATINGS BASED APPROACH (CR EQU IRB 1 AND CR EQU IRB 2)

3.5.1.   General remarks

• 92.The CR EQU IRB template consists of two templates: CR EQU IRB 1 provides a general overview of IRB exposures of the equity exposure class and the different methods to calculate total risk exposure amounts. CR EQU IRB 2 provides a breakdown of total exposures assigned to obligor grades in the context of the PD/LGD approach. ‘CR EQU IRB’ refers to both ‘CR EQU IRB 1’ and ‘CR EQU IRB 2’ templates, as applicable, in the following instructions.

• 93.The CR EQU IRB template provides information on the calculation of risk weighted exposure amounts for credit risk (Article 92(3), point (a), of Regulation (EU) No 575/2013) in accordance with Part Three, Title II, Chapter 3 of Regulation (EU) No 575/2013 for equity exposures as referred to in of Article 147(2), point (e), of that Regulation.

• 94.In accordance with Article 147(6) of Regulation (EU) No 575/2013, the following exposures shall be assigned to the equity exposure class:

• (a) non-debt exposures conveying a subordinated, residual claim on the assets or income of the issuer;

• (b) debt exposures and other securities, partnerships, derivatives, or other vehicles, the economic substance of which is similar to the exposures specified in point (a).

• 95.Collective investment undertakings treated in accordance with the simple risk weight approach as referred to in Article 152(4), point (a), of Regulation (EU) No 575/2013 or treated in accordcnace with the fall-back approach of Article 152(6) of that Regulation shall also be reported in the CR EQU IRB template.

• 96.In accordance with Article 151(1) of Regulation (EU) No 575/2013, institutions shall provide the CR EQU IRB template when applying one of the three approaches referred to in Article 155 of Regulation (EU) No 575/2013:

• — the Simple Risk Weight approach;

• — the PD/LGD approach;

• — the Internal Models approach.

• In accordance with Article 155 of Regulation (EU) No 575/2013, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally.

• Moreover, institutions applying the IRB approach shall also report in the CR EQU IRB template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the Standardised approach for credit risk), e.g. equity exposures attracting a risk-weight of 250 % in accordance with Article 48(4) of Regulation (EU) No 575/2013, respectively a risk-weight of 370 % in accordance with Article 471(2) of the Regulation.

• 97.The following equity claims shall not be reported in the CR EQU IRB template:

• — Equity exposures in the trading book (where institutions are not exempted from calculating own funds requirements for trading book positions (Article 94 of Regulation (EU) No 575/2013)).

• — Equity exposures subject to the partial use of the Standardised approach (Article 150 of Regulation (EU) No 575/2013), including:

• — Equity exposures grandfathered in accordance with Article 495(1) of Regulation (EU) No 575/2013;

• — Equity exposures to entities the credit obligations of which are assigned a 0 % risk weight under the Standardised approach, including those publicly sponsored entities where a 0 % risk weight can be applied (Article 150(1), point (g), of Regulation (EU) No 575/2013),

• — Equity exposures incurred under legislated programmes to promote specified sectors of the economy that provide significant subsidies for the investment to the institution and involve some form of government oversight and restrictions on the equity investments (Article 150(1), point (h), of Regulation (EU) No 575/2013),

• — Equity exposures to ancillary services undertakings the risk weighted exposure amounts of which may be calculated in accordance with the treatment of ‘other non credit-obligation assets’ (Article 155(1) of Regulation (EU) No 575/2013),

• — Equity claims deducted from own funds in accordance with Articles 46 and 48 of Regulation (EU) No 575/2013.

3.5.2.   Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)

• 98.[Deleted]

3.6.   C 11.00 – SETTLEMENT/DELIVERY RISK (CR SETT)

3.6.1.   General remarks

• 99.This template requests information on both trading and non-trading book transactions which are unsettled after their due delivery dates, and their corresponding own funds requirements for settlement risk as referred to in Article 92(3), point (c)(ii) and Article 378 of Regulation (EU) No 575/2013.

• 100.Institutions shall report in the CR SETT template information on the settlement/delivery risk in connection with debt instruments, equities, foreign currencies and commodities held in their trading or non-trading book.

• 101.In accordance with Article 378 of Regulation (EU) No 575/2013, repurchase transactions, securities or commodities lending and securities or commodities borrowing in connection with debt instruments, equities, foreign currencies and commodities are not subject to own funds requirements for settlement/delivery risk. Note however that, derivatives and long settlement transactions unsettled after their due delivery dates shall nevertheless be subject to own funds requirements for settlement/delivery risk as determined in Article 378 of Regulation (EU) No 575/2013.

• 102.In case of unsettled transactions after the due delivery date, institutions shall calculate the price difference to which they are exposed. That is the difference between the agreed settlement price for the debt instrument, equity, foreign currency or commodity in question and its current market value, where the difference could involve a loss for the institution.

• 103.Institutions shall multiply that difference by the appropriate factor of Article 378, Table 1 of Regulation (EU) No 575/2013 to determine the corresponding own funds requirements.

• 104.In accordance with Article 92(4), point (b), of Regulation (EU) No 575/2013, the own funds requirements for settlement/delivery risk shall be multiplied by 12,5 to calculate the risk exposure amount.

• 105.Note that own funds requirements for free deliveries as laid down in Article 379 of Regulation (EU) No 575/2013 are not within the scope of the CR SETT template. Those own funds requirements shall be reported in the credit risk templates (CR SA, CR IRB).

3.6.2.   Instructions concerning specific positions

3.7.   C 13.01 - CREDIT RISK – SECURITISATIONS (CR SEC)

3.7.1.   General remarks

• 106.Where institution acts as originator, the information in this template shall be required for all securitisations for which a significant risk transfer is recognised. Where the institution acts as investor, all exposures shall be reported.

• 107.The information to be reported shall be contingent on the role of the institution in the securitisation process. As such, specific reporting items shall be applicable for originators, sponsors and investors.

• 108.This template shall gather joint information on both traditional and synthetic securitisations held in the banking book.

3.7.2.   Instructions concerning specific positions