COREP Reporting¶

The RWA Calculator generates COREP (COmmon REPorting) credit risk templates for regulatory submissions. These templates follow the EBA DPM taxonomy as defined in Regulation (EU) 2021/451.

Why COREP Matters¶

UK-regulated banks submit quarterly COREP returns to the PRA as part of ongoing supervisory reporting. The credit risk templates require firms to aggregate their exposure-level RWA calculations into standardised row/column formats by exposure class. Manual aggregation is error-prone and audit-unfriendly — generating templates directly from calculation results ensures consistency between the RWA engine output and the reported figures.

Template Overview¶

The calculator covers nine credit risk template families across SA, IRB, and geographical breakdowns. Each template is reported once per SA or IRB exposure class (or per country for geographical templates) — the exposure class acts as a filter, not a row dimension.

flowchart TD
    P["Pipeline Output<br/>(LazyFrame)"] --> SPLIT{"Split by<br/>approach"}

    SPLIT -->|SA exposures| C07["<b>C 07.00 / OF 07.00</b><br/>CR SA<br/><i>One submission per<br/>SA exposure class</i>"]

    SPLIT -->|IRB exposures| C0801["<b>C 08.01 / OF 08.01</b><br/>CR IRB Totals<br/><i>One submission per<br/>IRB exposure class</i>"]

    SPLIT -->|IRB exposures| C0802["<b>C 08.02 / OF 08.02</b><br/>CR IRB by Obligor Grade<br/><i>One submission per<br/>IRB exposure class</i>"]

    SPLIT -->|IRB exposures| C0803["<b>C 08.03 / OF 08.03</b><br/>CR IRB PD Ranges<br/><i>Fixed PD range buckets</i>"]

    SPLIT -->|IRB exposures| C0804["<b>C 08.04 / OF 08.04</b><br/>RWEA Flow Statements<br/><i>Period-over-period movements</i>"]

    SPLIT -->|Slotting exposures| C0806["<b>C 08.06 / OF 08.06</b><br/>Specialised Lending Slotting<br/><i>By SL type</i>"]

    SPLIT -->|All IRB| C0807["<b>C 08.07 / OF 08.07</b><br/>Scope of Use<br/><i>SA vs IRB coverage</i>"]

    SPLIT -->|SA by country| C0901["<b>C 09.01 / OF 09.01</b><br/>Geo Breakdown SA<br/><i>Per country</i>"]

    SPLIT -->|IRB by country| C0902["<b>C 09.02 / OF 09.02</b><br/>Geo Breakdown IRB<br/><i>Per country</i>"]

    C0801 -.->|"Same columns,<br/>disaggregated by<br/>obligor grade"| C0802

    C0801 -.->|"Aggregated into<br/>fixed PD bands"| C0803

    style C07 fill:#fff3e0,stroke:#fb8c00
    style C0801 fill:#e3f2fd,stroke:#1e88e5
    style C0802 fill:#e3f2fd,stroke:#1e88e5
    style C0803 fill:#e3f2fd,stroke:#1e88e5
    style C0804 fill:#e3f2fd,stroke:#1e88e5
    style C0806 fill:#e8f5e9,stroke:#43a047
    style C0807 fill:#f3e5f5,stroke:#8e24aa
    style C0901 fill:#fce4ec,stroke:#e53935
    style C0902 fill:#fce4ec,stroke:#e53935

C 07.00 / OF 07.00 — CR SA¶

Column Structure¶

The SA template has a wide column layout covering the full credit risk waterfall from original exposure through CRM to final RWEA. The column derivation flows left to right:

flowchart LR
    A["<b>0010</b><br/>Original<br/>Exposure"] --> B["<b>0030</b><br/>(-) Provisions"]
    B --> C["<b>0040</b><br/>Net Exposure"]
    C --> CRM["CRM Substitution<br/>Effects"]
    CRM --> D["<b>0050-0060</b><br/>Unfunded:<br/>Guarantees,<br/>Credit Derivs"]
    CRM --> E["<b>0070-0080</b><br/>Funded:<br/>Fin. Collateral,<br/>Other FCP"]
    CRM --> F["<b>0090/0100</b><br/>Substitution<br/>Out/Inflows"]
    F --> G["<b>0110</b><br/>Net After<br/>CRM Subst."]
    G --> FCCM["Fin. Collateral<br/>Comprehensive"]
    FCCM --> H["<b>0120</b><br/>Volatility Adj"]
    FCCM --> I["<b>0130</b><br/>(-) Cvam"]
    I --> J["<b>0150</b><br/>Fully Adjusted<br/>Exposure (E*)"]
    J --> K["<b>0160-0190</b><br/>Off-BS by CCF"]
    J --> L["<b>0200</b><br/>Exposure Value"]
    L --> M["<b>0220</b><br/>RWEA"]

    style A fill:#e8f5e9,stroke:#43a047
    style M fill:#fff3e0,stroke:#fb8c00

Full Column Reference¶

Row Structure¶

Each SA template submission (per exposure class) contains five row sections:

flowchart TD
    T["C 07.00 / OF 07.00<br/>Row Structure"] --> S1["<b>Section 1</b><br/>Total Exposures<br/><i>+ 'of which' breakdowns</i>"]
    T --> S2["<b>Section 2</b><br/>Breakdown by<br/>Exposure Types<br/><i>On-BS, Off-BS, CCR</i>"]
    T --> S3["<b>Section 3</b><br/>Breakdown by<br/>Risk Weights<br/><i>0% to 1250%</i>"]
    T --> S4["<b>Section 4</b><br/>Breakdown by<br/>CIU Approach"]
    T --> S5["<b>Section 5</b><br/>Memorandum<br/>Items"]

    style S1 fill:#fff3e0,stroke:#fb8c00
    style S3 fill:#e8f5e9,stroke:#43a047

    "central_govt_central_bank": ("0010", "Central governments or central banks"),
    "rgla": ("0020", "Regional governments or local authorities"),
    "pse": ("0030", "Public sector entities"),
    "mdb": ("0040", "Multilateral development banks"),
    "international_org": ("0050", "International organisations"),
    "institution": ("0060", "Institutions"),
    "corporate": ("0070", "Corporates"),
    "corporate_sme": ("0071", "  Of which: SME corporates"),
    "retail_mortgage": ("0080", "Secured by mortgages on immovable property"),
    "retail_other": ("0090", "Retail"),
    "retail_qrre": ("0091", "  Of which: Qualifying revolving"),
    "defaulted": ("0100", "Exposures in default"),
    "covered_bond": ("0105", "Covered bonds"),
    "equity": ("0110", "Equity exposures"),
    "other": ("0120", "Other items"),
}

CRR_C07_COLUMNS: list[COREPColumn] = [
    COREPColumn("0010", "Original exposure pre conversion factors", "Exposure"),
    COREPColumn("0030", "(-) Value adjustments and provisions", "Exposure"),
    COREPColumn("0040", "Exposure net of value adjustments and provisions", "Exposure"),
    COREPColumn("0050", "(-) Guarantees", "CRM Substitution: Unfunded"),
    COREPColumn("0060", "(-) Credit derivatives", "CRM Substitution: Unfunded"),
    COREPColumn("0070", "(-) Financial collateral: Simple method", "CRM Substitution: Funded"),
    COREPColumn("0080", "(-) Other funded credit protection", "CRM Substitution: Funded"),
    COREPColumn("0090", "(-) Substitution outflows", "CRM Substitution"),
    COREPColumn("0100", "Substitution inflows (+)", "CRM Substitution"),
    COREPColumn("0110", "Net exposure after CRM substitution effects pre CCFs", "Post-CRM"),
    COREPColumn("0120", "Volatility adjustment to the exposure", "Fin. Collateral Comprehensive"),
    COREPColumn(
        "0130",
        "(-) Financial collateral: adjusted value (Cvam)",
        "Fin. Collateral Comprehensive",
    ),
    COREPColumn(
        "0140",
        "(-) Of which: volatility and maturity adjustments",
        "Fin. Collateral Comprehensive",
    ),
    COREPColumn("0150", "Fully adjusted exposure value (E*)", "Post-CRM"),
    COREPColumn("0160", "Off-BS by CCF: 0%", "CCF Breakdown"),
    COREPColumn("0170", "Off-BS by CCF: 20%", "CCF Breakdown"),
    COREPColumn("0180", "Off-BS by CCF: 50%", "CCF Breakdown"),
    COREPColumn("0190", "Off-BS by CCF: 100%", "CCF Breakdown"),
    COREPColumn("0200", "Exposure value", "Final"),
    COREPColumn("0210", "Of which: arising from CCR", "Final"),
    COREPColumn("0211", "Of which: CCR excl. CCP", "Final"),

SA_RISK_WEIGHT_BANDS: list[tuple[float, str]] = [
    (0.00, "0%"),
    (0.02, "2%"),
    (0.04, "4%"),
    (0.10, "10%"),
    (0.20, "20%"),
    (0.35, "35%"),
    (0.50, "50%"),
    (0.70, "70%"),
    (0.75, "75%"),
    (1.00, "100%"),
    (1.50, "150%"),
    (2.50, "250%"),
    (3.70, "370%"),
    (12.50, "1250%"),
]

C 08.01 / OF 08.01 — CR IRB Totals¶

The IRB totals template is filtered by IRB exposure class and by own estimates of LGD/CCF (Foundation vs Advanced IRB). It covers the full IRB waterfall: original exposure, CRM substitution effects, CRM in LGD estimates (with detailed collateral breakdown), exposure value, LGD, maturity, RWEA, and memorandum items (expected loss, provisions, obligor count).

Column Structure¶

Row Structure¶

IRB_EXPOSURE_CLASS_ROWS: dict[str, tuple[str, str]] = {
    "central_govt_central_bank": ("0010", "Central governments and central banks"),
    "institution": ("0020", "Institutions"),
    "corporate": ("0030", "Corporates - Other"),
    "corporate_sme": ("0040", "Corporates - SME"),
    "specialised_lending": ("0050", "Corporates - Specialised lending"),
    "retail_mortgage": ("0060", "Retail - Secured by immovable property"),
    "retail_qrre": ("0070", "Retail - Qualifying revolving (QRRE)"),
    "retail_other": ("0080", "Retail - Other"),
}

    COREPColumn("020", "Original exposure pre conversion factors"),
    COREPColumn("030", "(-) Value adjustments and provisions"),
    COREPColumn("040", "Exposure value (EAD)"),
    COREPColumn("050", "Exposure-weighted average LGD (%)"),
    COREPColumn("060", "Exposure-weighted average maturity (years)"),
    COREPColumn("070", "Risk weighted exposure amount (RWEA)"),
    COREPColumn("080", "Expected loss amount"),
    COREPColumn("090", "(-) Provisions allocated"),
    COREPColumn("100", "Number of obligors"),
    COREPColumn("110", "EL shortfall (-)  / excess (+)"),
]

# Old C 08.02 columns (same as old C 08.01)
C08_02_COLUMNS: list[COREPColumn] = C08_01_COLUMNS

C 08.02 / OF 08.02 — CR IRB by Obligor Grade¶

C 08.02 disaggregates C 08.01 by individual obligor grade or pool from the firm's internal rating system. It uses the same column structure as C 08.01 with the addition of an obligor grade identifier column.

Structure¶

    (0.0015, 0.0025, "0.15% - 0.25%"),
    (0.0025, 0.005, "0.25% - 0.50%"),
    (0.005, 0.0075, "0.50% - 0.75%"),
    (0.0075, 0.025, "0.75% - 2.50%"),
    (0.025, 0.10, "2.50% - 10.00%"),
    (0.10, 0.9999, "10.00% - 99.99%"),
    (0.9999, float("inf"), "Default (100%)"),
]

# C 08.02 uses the same columns as C 08.01 with addition of 0005 (obligor grade).
# The column set depends on the framework.
CRR_C08_02_COLUMNS: list[COREPColumn] = [

C 08.03 / OF 08.03 — CR IRB PD Ranges¶

C 08.03 aggregates IRB exposures into fixed PD range buckets for disclosure under Article 452(g). It provides a standardised view of key risk parameters (PD, LGD, CCF, RWEA, EL) across comparable PD bands. This template excludes slotting exposures (reported in C 08.06) and CCR exposures.

Column Structure¶

Row Structure¶

C 08.04 / OF 08.04 — CR IRB RWEA Flow Statements¶

C 08.04 reports quarter-over-quarter movements in IRB RWEA, decomposed into seven standardised driver categories. This template excludes CCR exposures. It is submitted once per IRB exposure class.

Column Structure¶

Row Structure¶

C 08.06 / OF 08.06 — CR IRB Specialised Lending Slotting¶

C 08.06 reports specialised lending exposures subject to the supervisory slotting criteria under Article 153(5). Exposures are broken down by slotting category (1–5) and remaining maturity (< 2.5 years / ≥ 2.5 years). One submission covers all SL types; the SL type (project finance, object finance, etc.) acts as a filter dimension.

Column Structure¶

Row Structure¶

C 08.07 / OF 08.07 — CR IRB Scope of Use¶

C 08.07 reports the split of a firm's exposures between SA and IRB approaches, showing what proportion of each exposure class (CRR) or roll-out class (Basel 3.1) is subject to each approach. Significantly expanded in Basel 3.1 with detailed RWEA attribution by reason for SA use and materiality thresholds.

Column Structure¶

Row Structure¶

C 09.01 / OF 09.01 — CR GB 1 (Geographical Breakdown SA)¶

C 09.01 provides a geographical breakdown of SA exposures by country of obligor residence. It is submitted once at total level and once per material country (threshold defined in Art 5(5) of the Reporting (CRR) Part).

Original exposure pre-conversion factors is reported by country of the immediate obligor. Exposure value and RWEA are reported by country of the ultimate obligor (after CRM substitution effects).

Column Structure¶

Row Structure¶

C 09.02 / OF 09.02 — CR GB 2 (Geographical Breakdown IRB)¶

C 09.02 provides a geographical breakdown of IRB exposures by country of obligor residence, including PD, LGD, and expected loss parameters. Submitted once at total level and once per material country.

Column Structure¶

Row Structure¶

Overall CRR vs Basel 3.1 Template Comparison¶

Usage¶

Generate from Pipeline Results¶

from rwa_calc.reporting import COREPGenerator

generator = COREPGenerator()

# From a LazyFrame of calculation results
bundle = generator.generate_from_lazyframe(results, framework="CRR")

# From a CalculationResponse (uses cached Parquet)
bundle = generator.generate(response)

# Access templates as DataFrames
print(bundle.c07_00)      # C 07.00 SA credit risk
print(bundle.c08_01)      # C 08.01 IRB totals
print(bundle.c08_02)      # C 08.02 IRB by PD grade
print(bundle.c07_rw_breakdown)  # C 07.00 risk weight breakdown

Export to Excel¶

from pathlib import Path
from rwa_calc.reporting import COREPGenerator

generator = COREPGenerator()
bundle = generator.generate_from_lazyframe(results)

# Export multi-sheet Excel workbook
result = generator.export_to_excel(bundle, Path("corep_templates.xlsx"))
# Creates sheets: "C 07.00", "C 07.00 RW Breakdown", "C 08.01", "C 08.02"

print(result.format)      # "corep_excel"
print(result.row_count)   # Total rows across all sheets

Regulatory References¶