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 -->|IRB exposures| C0805["<b>C 08.05 / OF 08.05</b><br/>PD Back-Testing<br/><i>One submission per<br/>IRB exposure class</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 C0805 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

Template	CRR Name	Basel 3.1 Name	Purpose
C 07.00	CR SA	OF CR SA	SA credit risk — totals, exposure type breakdown, risk weight breakdown, memorandum items
C 08.01	CR IRB 1	OF CR IRB 1	IRB totals — exposure value, CRM, RWEA, expected loss, obligor count
C 08.02	CR IRB 2	OF CR IRB 2	IRB breakdown by obligor grade/pool — same columns as C 08.01, one row per internal rating grade
C 08.03	CR IRB 3	OF CR IRB 3	IRB breakdown by fixed PD ranges — key parameters (PD, LGD, CCF, RWEA, EL) per PD bucket
C 08.04	CR IRB 4	OF CR IRB 4	RWEA flow statements — period-over-period movement decomposition
C 08.05	CR IRB 5	OF CR IRB 5	PD back-testing — average PD vs realised default rates per fixed PD range bucket
C 08.06	CR IRB 6	OF CR IRB 6	Specialised lending slotting — by category and maturity
C 08.07	CR IRB 7	OF CR IRB 7	Scope of use of IRB and SA approaches — coverage percentages and RWEA attribution
C 09.01	CR GB 1	OF CR GB 1	Geographical breakdown of SA exposures by country of obligor residence
C 09.02	CR GB 2	OF CR GB 2	Geographical breakdown of IRB exposures by country of obligor residence

Template Naming

Under CRR the templates are prefixed C (e.g., C 07.00). Under Basel 3.1 (PRA PS1/26) they are prefixed OF (Own Funds, e.g., OF 07.00). The structure and purpose are equivalent but columns and rows differ as detailed below.

C 02.00 / OF 02.00 — Own Funds Requirements¶

C 02.00 / OF 02.00 is the master capital template — the single point at which RWEA across every risk type (credit, CCR, market, operational, CVA, securitisation, settlement) is aggregated into the firm's Total Risk Exposure Amount (TREA) and Total Own Funds Requirements. This calculator only populates the credit risk section (rows 0050–0420); all other risk-type rows are null because those risk types are outside its scope.

This is where the Basel 3.1 output floor is actually applied. The floor formula

TREA = max(U-TREA, x · S-TREA + OF-ADJ)

is evaluated row 0010 of OF 02.00, with col 0010 carrying the U-TREA components, col 0020 carrying the S-TREA components fed in from OF 02.01, and col 0030 carrying the floored result after the multiplier x and OF-ADJ are applied. See output-floor.md for the floor mechanics in detail.

Reference: CRR Art. 92 (own funds requirements); PRA PS1/26 Art. 92 para 2A / 3A / 5 (output floor); Regulation (EU) 2021/451 Annex I (CRR layout); PRA PS1/26 Annex I (OF 02.00 layout).

Row 0050 includes counterparty credit risk — and the SA row foots

Annex II names row 0050 "RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES" (Art. 92(3)(a),(f)). CCR is inside that row — C 02.00 has no sibling "Counterparty credit risk" row to hold it, unlike OF 02.01 and Pillar 3 OV1, whose row labels legitimately read "Credit risk (excluding CCR)".

Row 0050 was mislabelled "Credit risk (excluding CCR)" until the 2026-07 fix — a row that carried CCR while claiming to exclude it. Its "Of which: Standardised Approach" child (row 0060) and the Art. 112 class rows (0070–0211) now cover SA and SA-CCR, because Annex II defines the SA child as the "CR SA and SEC SA templates at the level of total exposures" — the SA row is the C 07.00 total, and C 07.00 reports CCR business. Before the fix, the Basel 3.1 template did not foot: the SA row reported 2,500,000 against a 4,060,296.72 credit-risk total, the gap being exactly the SA-CCR derivative RWEA.

Column Structure¶

CRR (C 02.00)Basel 3.1 (OF 02.00)Differences

Column	Label	Description
0010	Amount	Own Funds Requirements — single column, all approaches RWEA

Column	Label	Description
0010	All approaches (U-TREA components)	RWEA using internal models where permitted (the U-TREA inputs from Art. 92 para 3)
0020	Standardised approaches only (S-TREA components)	RWEA recalculated under standardised approaches per Art. 92 para 3A — pre-multiplier
0030	Output floor (after floor multiplier and OF-ADJ)	Floored RWEA: `x · S-TREA + OF-ADJ` per row, used in the row 0010 TREA comparison

Change	Ref	Description
Added	Col 0020	Standardised re-run column (S-TREA components) — required for output floor comparison
Added	Col 0030	Post-floor RWEA column — populated only for risk types in scope of the floor
Changed	Col 0010	Now explicitly the U-TREA components (was simply "Amount" under CRR)

OF 02.01 vs OF 02.00 col 0030 — Same number, different meaning

OF 02.01 col 0030 is U-TREA (un-floored), while OF 02.00 col 0030 is the floor-adjusted RWEA (post-multiplier, post-OF-ADJ). Same column number, distinct semantics — see output-reporting.md §1.3 for the disambiguation.

Row Structure¶

The row layout is significantly restructured under Basel 3.1 (PRA PS1/26 Annex II §1.3): F-IRB / A-IRB / Slotting are split into separate sub-sections, corporate and retail sub-class breakdowns are added, slotting is broken out by 5 SL types, and three new output-floor indicator rows are inserted.

CRR (C 02.00) — section overviewBasel 3.1 (OF 02.00) — section overview

Section	Rows	Notes
Total and Credit Risk	0010, 0040; 0050–0211	TREA (0010), Total Own Funds (0040), credit risk SA exposure-class breakdown (0050–0211)
IRB Approach	0220–0420	F-IRB (0240–0260), A-IRB (0300–0410), supervisory slotting (0410), Equity IRB (0420)
Other Risk Types	0430–0680	Settlement, securitisation, market, CVA, operational, fixed overheads — all null (out of scope)

Section	Rows	Notes
Total and Output Floor	0010, 0034, 0035, 0036, 0040	TREA (0010), output-floor indicators (new), Total Own Funds (0040)
Credit Risk — SA	0050–0211 (incl. 0131)	SA exposure-class breakdown; 0131 "of which: specialised lending" added
Credit Risk — F-IRB	0220, 0240, 0250, 0271, 0260, 0290, 0295, 0296, 0297	Adds SL-excl-slotting and corporate SME / non-SME / financial-and-large splits
Credit Risk — A-IRB	0300–0410 (incl. 0350, 0355, 0356, 0382–0385, 0410)	Adds SL-excl-slotting, corporate SME splits, retail residential/commercial SME splits
Slotting and Equity	0411–0416, 0420	Slotting broken out by PF / OF / CF / IPRE / HVCRE; row 0420 "Equity IRB" is structurally retained but always empty under Basel 3.1 (Art. 147A removes IRB equity — the whole book is standardised and reports in the SA rows 0060 / 0210)
Other Risk Types	0430–0680	Same as CRR — all null (out of scope)

New Basel 3.1 output-floor indicator rows

Three rows are inserted in the "Total and Output Floor" section:

Row	Label	Content
0034	Output floor activated	Yes/No indicator (not RWEA)
0035	Output floor multiplier	Percentage `x` from the transitional schedule (60%, 65%, 70%, 72.5%)
0036	Output floor adjustment (OF-ADJ)	Monetary value of the IRB-EL vs SA-CRA reconciliation

These rows are gated on entity-type floor applicability (Art. 92 para 2A) and are populated by _generate_c_02_00() when an OutputFloorConfig is supplied.

Null Rows — Risk Types Out of Scope

Rows 0430 (settlement), 0440 (securitisation), 0460 (market / FX / commodities), 0590 (CVA), 0640 (operational), and 0680 (fixed overheads) are always null. The credit risk pipeline does not produce these risk-type RWEAs.

Full row listing

Per-row labels and the complete row catalogue (including all ==new== Basel 3.1 sub-rows) live in src/rwa_calc/reporting/corep/templates.py (CRR_C02_00_ROW_SECTIONS and B31_C02_00_ROW_SECTIONS). See output-reporting.md §COREP Templates for the spec-level catalogue and §Missing Row IDs for the full enumeration of B31-only rows (0271, 0290, 0295–0297, 0355–0356, 0382–0385, 0411–0416, 0034–0036).

CRR vs Basel 3.1 — Output Floor Delta¶

Pre-2027 C 02.00 had no output-floor row

Under CRR, C 02.00 has a single column (0010) and contains no output-floor mechanism — TREA in row 0010 is simply the arithmetic sum of all risk-type RWEAs. PRA PS1/26 introduces:

Two new columns (0020 S-TREA components, 0030 post-floor RWEA);
Three new indicator rows (0034 / 0035 / 0036) carrying the floor activation flag, multiplier, and OF-ADJ;
The TREA in row 0010 col 0010 is recomputed via max(U-TREA, x·S-TREA + OF-ADJ) once the floor is activated — this is the only place in the COREP suite where the floor is applied (OF 02.01 only reports the inputs).

Implementation¶

Item	Detail
Generator method	`COREPGenerator._generate_c_02_00()`
Bundle field	`COREPTemplateBundle.c_02_00`
Row section definitions	`CRR_C02_00_ROW_SECTIONS` / `B31_C02_00_ROW_SECTIONS` in `src/rwa_calc/reporting/corep/templates.py`
Column refs	`CRR_C02_00_COLUMN_REFS` / `B31_C02_00_COLUMN_REFS`
SA class → row map	`C02_00_SA_CLASS_MAP` (templates.py)
Framework	Both CRR (1 column) and Basel 3.1 (3 columns)
Output floor inputs	Optional `OutputFloorSummary` and `OutputFloorConfig` parameters drive cols 0020/0030 and rows 0034–0036
Status	Complete — credit risk rows populated; non-credit risk-type rows null (out of scope)

OF 02.01 — Output Floor Comparison (Basel 3.1 only)¶

OF 02.01 is a Basel 3.1-only template with no CRR equivalent. It provides a dedicated output floor comparison for internal-model firms, showing modelled versus standardised total risk exposure amounts side by side by risk type. The template supplies the raw comparison data consumed by C 02.00 / OF 02.00 to apply the floor multiplier.

Reference: PRA PS1/26 Art. 92 para 2A / 3A

Column Structure¶

Column	Label	Description
0010	Modelled RWA	RWEA of the portfolios calculated under modelled approaches only — F-IRB, A-IRB and supervisory slotting (Art. 153(5) is an IRB-chapter approach)
0020	Standardised RWA	RWEA of the portfolios calculated under standardised approaches only — the complement of col 0010, so SA, SA-CCR and equity all land here
0030	U-TREA	Un-floored Total Risk Exposure Amount (Art. 92 para 3) = col 0010 + col 0020
0040	S-TREA	Standardised Total Risk Exposure Amount (Art. 92 para 3A) — the SA re-computation of the row's whole population (modelled and standardised alike), calculated without IRB, SFT VaR, SEC-IRBA, IAA, IMM, or IMA

Cols 0010 and 0020 partition the book — they do not overlap

Annex II defines col 0030 as "a sum of 0010 and 0020, i.e. the complete current portfolio". That identity only holds because the two columns partition the portfolio: each exposure is counted in exactly one of them. Col 0020 is therefore the complement of the modelled set — not an allow-list of approach labels — so an approach the template does not recognise falls into the standardised side rather than into neither column.

Both columns sum the pre-floor own-approach RWA (rwa_pre_floor). Only col 0040 sums the SA-equivalent (sa_rwa), and it does so over the row's whole population — that is what S-TREA is. Equity legs bypass the SA calculator, so the aggregator populates their sa_rwa as their own pre-floor RWA (Basel 3.1 equity is standardised-only, Art. 147A); without this, col 0040 (and the equivalent C 02.00 col 0020 / CMS1/CMS2 col d) would silently drop equity's standardised-equivalent RWA.

Until the 2026-07 fix, cols 0010 and 0020 were each summed over the whole portfolio, so col 0030 reported U-TREA + S-TREA rather than U-TREA. See the changelog for the measured impact.

Row Structure¶

Row	Risk Type	Current Scope
0010	Credit risk (excluding CCR)	Populated — the SA and IRB credit book, CCR excluded
0020	Counterparty credit risk (CCR)	Populated — SA-CCR derivative netting sets, FCCM SFT legs, CCP default-fund contributions
0030	CVA	Null — CVA out of scope
0040	Securitisation	Null — securitisation out of scope
0050	Market risk	Null — market risk out of scope
0060	Operational risk	Null — operational risk out of scope
0070	Other risk	Null — no other risk types in scope
0080	Total	Populated — the whole book, and therefore the sum of rows 0010 and 0020

Scope

Rows 0010 (credit risk excl. CCR), 0020 (CCR) and 0080 (Total) are populated. Rows 0010 and 0020 partition the credit-risk book by risk_type, so row 0080 is their sum. Row 0020 is bound, not hard-coded — on a book with no derivatives, SFTs or default-fund contributions it reports 0.0, which is a claim this calculator can actually make.

The remaining rows (CVA, securitisation, market risk, operational risk, other) are null, not zero: those risk types are genuinely outside a credit-risk calculator's scope, and null is not the same claim as 0.0.

Implementation¶

Item	Detail
Generator	`reporting/corep/of02.py::generate_of_02_01` (declarative — one `TemplateSpec` through `reporting/cellspec.py`)
Bundle field	`COREPTemplateBundle.of_02_01`
Framework	Basel 3.1 only — not generated for CRR frameworks
CCR membership	Keyed by `risk_type` (`CCR_DERIVATIVE`, `CCR_SFT`, `CCR_DEFAULT_FUND`), never by the approach label — under CRR the CCR legs carry `standardised` and under Basel 3.1 `standardised_ccr` (the output-floor relabel), so an approach-based rule would no-op exactly where it matters
Output floor summary	Deliberately not read: `OutputFloorSummary.u_trea` / `.s_trea` are modelled-subset quantities, not the Art. 92 aggregates
Status	Complete

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¶

CRR (C 07.00)Basel 3.1 (OF 07.00)Differences

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

Columns 0210 / 0211 — the CCR exposure value (populated)

Column 0210 ("Of which: Arising from Counterparty Credit Risk") is the row's exposure value narrowed to its CCR legs — SA-CCR derivative netting sets, FCCM SFT legs and CCP default-fund contributions. Column 0211 narrows it further by excluding the contracts and transactions listed in Art. 301(1) (i.e. the CCP-cleared ones). Column 0200 is anchored to them: "Exposure values for CCR business shall be the same as reported in column 0210."

Both columns were hard-coded null until the 2026-07 fix. They are populated by risk_type — never by the approach label, which the output floor relabels to standardised_ccr under Basel 3.1.

Ref	Column	Group	vs CRR
0010	Original exposure pre conversion factors	Exposure
0030	(-) Value adjustments and provisions	Exposure
0035	(-) Adjustment due to on-balance sheet netting	Exposure	New
0040	Exposure net of adjustments, provisions, and netting	Exposure	Changed
0050	(-) Guarantees (adjusted values)	CRM Substitution: Unfunded
0060	(-) Credit derivatives	CRM Substitution: Unfunded
0070	(-) Financial collateral: Simple method	CRM Substitution: Funded
0080	(-) Other funded credit protection	CRM Substitution: Funded
0090	(-) Substitution outflows	CRM Substitution
0100	Substitution inflows (+)	CRM Substitution
0110	Net exposure after CRM substitution effects pre CCFs	Post-CRM
0120	Volatility adjustment to the exposure	Fin. Collateral Comprehensive
0130	(-) Financial collateral: adjusted value (Cvam)	Fin. Collateral Comprehensive
0140	(-) Of which: volatility and maturity adjustments	Fin. Collateral Comprehensive
0150	Fully adjusted exposure value (E*)	Post-CRM
0160	Off-BS by CCF: 10%	CCF Breakdown	Changed (was 0%)
0170	Off-BS by CCF: 20%	CCF Breakdown
0171	Off-BS by CCF: 40%	CCF Breakdown	New
0180	Off-BS by CCF: 50%	CCF Breakdown
0190	Off-BS by CCF: 100%	CCF Breakdown
0200	Exposure value	Final
0210	Of which: arising from CCR	Final
0211	Of which: CCR excl. CCP	Final

Columns 0210 / 0211 — the CCR exposure value (populated)

Same as CRR — see the CRR tab. Under Basel 3.1 the CCR legs carry the standardised_ccr approach label (the output-floor relabel), which is precisely why the population is keyed by risk_type: before the 2026-07 fix that relabel dropped SA-CCR derivatives out of OF 07.00 entirely, understating SA exposure value and RWEA.

Change	Ref(s)	Description
Added	0035	On-balance sheet netting — separated from original exposure
Added	0171	40% CCF bucket — new Basel 3.1 conversion factor
Added	0235	Unrated RWEA — separate reporting of exposures without ECAI
Changed	0160	CCF 0% bucket becomes 10% (minimum 10% CCF for unconditionally cancellable)
Changed	0040	Now also nets on-balance sheet netting (col 0035)
Changed	0220	No longer "after supporting factors" — factors removed
Removed	0215	RWEA pre supporting factors
Removed	0216	SME supporting factor adjustment
Removed	0217	Infrastructure supporting factor adjustment

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

CRR (C 07.00)Basel 3.1 (OF 07.00)Differences Summary

Section 1 — Total Exposures

Ref	Row
0010	TOTAL EXPOSURES
0015	of which: Defaulted exposures
0020	of which: SME
0030	of which: Exposures subject to SME-supporting factor
0035	of which: Exposures subject to infrastructure supporting factor
0040	of which: Secured by mortgages on immovable property — Residential
0050	of which: Exposures under permanent partial use of SA
0060	of which: Exposures under sequential IRB implementation

Section 2 — Breakdown by Exposure Types

Ref	Row
0070	On balance sheet exposures subject to credit risk
0080	Off balance sheet exposures subject to credit risk
0090	SFT netting sets
0100	of which: centrally cleared through a QCCP
0110	Derivatives & Long Settlement Transactions netting sets
0120	of which: centrally cleared through a QCCP
0130	From Contractual Cross Product netting sets

Rows 0090–0130 — counterparty credit risk (C 07.00 does cover CCR)

Annex II is explicit that CCR belongs here. Rows 0070 / 0080 carry the instruction: "Exposures that are subject to counterparty credit risk shall be reported in rows 0090 – 0130, and therefore shall not be reported in this row."

Row	Population
0090	SFT netting sets — the FCCM SFT legs
0100	of which: cleared through a QCCP — the "of which" subset of row 0090
0110	Derivatives & long settlement transaction netting sets — the additive parent: every derivative netting set, including the QCCP-cleared ones
0120	of which: cleared through a QCCP — the "of which" subset of row 0110
0130	Contractual cross-product netting sets (Art. 295(c)) — null: not modelled. There is no input carrier for a cross-product netting agreement. This is a scope limitation, not "we checked and found none"

Rows 0110 / 0120 were inert until the 2026-07 fix, and under Basel 3.1 derivatives were dropped from C 07.00 altogether. Row 0110 is deliberately not written as "derivative AND NOT QCCP": that would make 0120 a sibling rather than an "of which", and the breakdown would stop footing to row 0010.

C 07.00 and C 34 are not alternatives

C 34 analyses counterparty credit risk by CCR approach (SA-CCR / IMM); C 07.00 risk-weights those same exposures under the SA. A derivative belongs in both, and no roll-up sums the two — C 02.00, OF 02.01 and Pillar 3 OV1 each read the calculation ledger directly. The earlier claim that "SA-CCR derivatives report under C 34, not C 07.00" was not a scope decision; it rationalised a defect.

Section 3 — Breakdown by Risk Weights

Ref	Risk Weight
0140	0%
0150	2%
0160	4%
0170	10%
0180	20%
0190	35%
0200	50%
0210	70%
0220	75%
0230	100%
0240	150%
0250	250%
0260	370%
0270	1,250%
0280	Other risk weights

Section 4 — Breakdown by CIU Approach

Ref	Row
0281	Look-through approach
0282	Mandate-based approach
0283	Fall-back approach

Section 5 — Memorandum Items

Ref	Row
0290	Exposures secured by mortgages on commercial immovable property
0300	Exposures in default subject to RW of 100%
0310	Exposures secured by mortgages on residential immovable property
0320	Exposures in default subject to RW of 150%

Section 1 — Total Exposures

Ref	Row	vs CRR
0010	TOTAL EXPOSURES
0015	of which: Defaulted exposures
0020	of which: SME
0021	of which: Specialised lending — Object finance	New
0022	of which: Specialised lending — Commodities finance	New
0023	of which: Specialised lending — Project finance	New
0024	of which: pre-operational phase	New
0025	of which: operational phase	New
0026	of which: high quality operational phase	New
0330	of which: Regulatory residential RE	New
0331	of which: not materially dependent on property cash flows	New
0332	of which: materially dependent on property cash flows	New
0340	of which: Regulatory commercial RE	New
0341	of which: not materially dependent (non-SME)	New
0343	of which: SME (non-materially dependent)	New
0342	of which: materially dependent	New
0344	of which: SME (materially dependent)	New
0350	of which: Other real estate	New
0351-0354	Residential/Commercial x cash-flow dependency splits	New
0360	of which: Land ADC exposures	New
0050	of which: Exposures under permanent partial use of SA
0060	of which: Exposures under sequential IRB implementation

Removed Rows

Rows 0030 (SME supporting factor) and 0035 (infrastructure supporting factor) are removed — these factors no longer exist under Basel 3.1. Row 0040 (secured by residential mortgages) is replaced by the detailed 0330-0360 real estate structure.

Section 2 — Breakdown by Exposure Types

Identical to CRR (rows 0070-0130), and populated identically — rows 0090/0100 (SFT netting sets and their QCCP subset) and 0110/0120 (derivative netting sets and their QCCP subset) carry the CCR book; row 0130 (cross-product netting) is null because it is not modelled. See the CRR tab.

Basel 3.1 was the material case

Under Basel 3.1 the CCR legs are relabelled standardised_ccr so the output floor can route them, and OF 07.00 used to filter on the standardised label — so derivatives fell out of the template entirely, understating SA exposure value and RWEA. They are now admitted by risk_type, which is regime-independent. Under CRR the legs already carried standardised and reached the total row incidentally; what was missing there was only the 0110 / 0120 exposure-type breakdown.

Section 3 — Breakdown by Risk Weights

Ref	Risk Weight	vs CRR
0140	0%
0150	2%
0160	4%
0170	10%
0171	15%	New
0180	20%
0181	25%	New
0182	30%	New
0190	35%
0191	40%	New
0192	45%	New
0200	50%
0201	60%	New
0202	65%	New
0210	70%
0220	75%
0221	80%	New
0222	85%	New
0230	100%
0231	105%	New
0232	110%	New
0233	130%	New
0234	135%	New
0240	150%
0250	250%
0261	400%	New (replaces 370%)
0270	1,250%
0280	Other risk weights

Section 4 — Breakdown by CIU Approach

Ref	Row	vs CRR
0281	Look-through approach
0284	of which: exposures to relevant CIUs	New
0282	Mandate-based approach
0285	of which: exposures to relevant CIUs	New
0283	Fall-back approach

Section 5 — Memorandum Items

Ref	Row	vs CRR
0300	Exposures in default subject to RW of 100%
0320	Exposures in default subject to RW of 150%
0371	Equity transitional: SA higher risk	New
0372	Equity transitional: SA other equity	New
0373	Equity transitional: IRB higher risk	New
0374	Equity transitional: IRB other equity	New
0380	Retail and RE: subject to currency mismatch multiplier	New

Removed Memorandum Rows

Rows 0290 (secured by commercial RE) and 0310 (secured by residential RE) are removed — replaced by the detailed real estate breakdown in Section 1 (rows 0330-0360).

Area	CRR	Basel 3.1
"Of which" rows	8 rows (0015-0060)	26+ rows — adds specialised lending (0021-0026), detailed RE breakdown (0330-0360)
Risk weight rows	15 rows (0%-1250% + Other)	29 rows — adds 15 new granular weights, removes 370%
CIU approach	3 rows	5 rows — adds "relevant CIUs" sub-rows
Memorandum items	4 rows	7 rows — adds equity transitional, currency mismatch; removes RE mortgage rows
Removed rows	—	0030 (SME factor), 0035 (infra factor), 0040 (residential mortgages), 0290, 0310

Row Mapping — Source Code

The SA exposure class to row mapping used by the calculator's COREP generator:

# Shared label / group / section constants (DRY — referenced by multiple templates)
# =============================================================================

# --- SA exposure-class labels ---
_LBL_SA_CENTRAL_GOVT = "Central governments or central banks"
_LBL_IRB_CENTRAL_GOVT = "Central governments and central banks"
_LBL_SA_RGLA = "Regional governments or local authorities"
_LBL_SA_PSE = "Public sector entities"
_LBL_SA_MDB = "Multilateral development banks"
_LBL_SA_INTL_ORG = "International organisations"
_LBL_SA_MORTGAGES = "Secured by mortgages on immovable property"
_LBL_SA_DEFAULTED = "Exposures in default"
_LBL_SA_COVERED_BOND = "Covered bonds"
_LBL_SA_OTHER = "Other items"

# --- Common column / row labels ---

Column Definitions — Source Code

_LBL_COL_OBSERVED_DEFAULTS = "Observed new defaults for the period"
_LBL_COL_GEN_CRA = "General credit risk adjustments"
_LBL_COL_SPEC_CRA = "Specific credit risk adjustments"
_LBL_COL_CRA_WRITEOFFS = "Credit risk adjustments/write-offs for observed new defaults"
_LBL_ROW_TOTAL_EXPOSURES_UC = "TOTAL EXPOSURES"
_LBL_ROW_TOTAL_EXPOSURES_MC = "Total exposures"
_LBL_ROW_SFT_NETTING = "SFT netting sets"
_LBL_ROW_OF_WHICH_QCCP = "  of which: centrally cleared through a QCCP"
_LBL_ROW_DERIV_LST_NETTING = "Derivatives & Long Settlement Transactions netting sets"
_LBL_ROW_CCP_NETTING = "From Contractual Cross Product netting sets"
# Correct ONLY where a sibling "Counterparty credit risk" row exists (OF 02.01, OV1).
_LBL_ROW_CREDIT_RISK_EXCL_CCR = "Credit risk (excluding CCR)"
# C 02.00 / OF 02.00 row 0050 has no such sibling — CCR is INSIDE it (Annex II wording).
_LBL_ROW_CREDIT_CCR_DILUTION_FREE_DELIV = (
    "RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS "
    "AND FREE DELIVERIES"
)
_LBL_ROW_OP_RISK = "Operational risk"
_LBL_ROW_CIU = "Collective investment undertakings (CIU)"
_LBL_ROW_OF_WHICH_SME_LC = "  of which: SME"

# --- Common group labels ---
_GRP_CRM_SUBST_UNFUNDED = "CRM Substitution: Unfunded"
_GRP_CRM_SUBST_FUNDED = "CRM Substitution: Funded"
_GRP_CRM_SUBST = "CRM Substitution"
_GRP_FIN_COLL_COMP = "Fin. Collateral Comprehensive"
_GRP_CCF_BREAKDOWN = "CCF Breakdown"
_GRP_EXPOSURE_VALUE = "Exposure Value"
_GRP_INTERNAL_RATING = "Internal Rating"
_GRP_CRM_LGD_UNFUNDED = "CRM in LGD: Unfunded"

Risk Weight Band Definitions — Source Code

            COREPRow("0331", "  of which: not materially dependent on property cash flows"),
            COREPRow("0332", "  of which: materially dependent on property cash flows"),
            COREPRow("0340", "of which: Regulatory commercial RE"),
            COREPRow("0341", "  of which: not materially dependent (non-SME)"),
            COREPRow("0342", "  of which: materially dependent"),
            COREPRow("0343", "  of which: SME (non-materially dependent)"),
            COREPRow("0344", "  of which: SME (materially dependent)"),
            COREPRow("0350", "of which: Other real estate"),
            COREPRow("0351", "  of which: Residential (not mat. dependent)"),
            COREPRow("0352", "  of which: Residential (mat. dependent)"),
            COREPRow("0353", "  of which: Commercial (not mat. dependent)"),
            COREPRow("0354", "  of which: Commercial (mat. dependent)"),
            COREPRow("0360", "of which: Land ADC exposures"),
            # 0040 removed: replaced by detailed RE breakdown above
            COREPRow("0050", "of which: Exposures under permanent partial use of SA"),
            COREPRow("0060", "of which: Exposures under sequential IRB implementation"),
        ],

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¶

CRR (C 08.01)Basel 3.1 (OF 08.01)Differences Summary

Ref	Column	Group
0010	PD assigned to obligor grade or pool (%)	Internal Rating
0020	Original exposure pre conversion factors	Exposure
0030	Of which: large financial sector entities	Exposure
0040	(-) Guarantees	CRM Substitution: Unfunded
0050	(-) Credit derivatives	CRM Substitution: Unfunded
0060	(-) Other funded credit protection	CRM Substitution: Funded
0070	(-) Substitution outflows	CRM Substitution
0080	Substitution inflows (+)	CRM Substitution
0090	Exposure after CRM substitution pre CCFs	Post-CRM
0100	Of which: off balance sheet	Post-CRM
0110	Exposure value	Exposure Value
0120	Of which: off balance sheet	Exposure Value
0130	Of which: arising from CCR	Exposure Value
0140	Of which: large financial sector entities	Exposure Value

Null Columns — CCR and Off-BS Breakdown

Column 0130 ("Of which: arising from CCR") is always null. Not because CCR is out of scope — the engine computes counterparty credit risk and reports it in C 07.00 rows 0090–0130 — but because the engine risk-weights CCR under SA-CCR, so no CCR exposure value reaches an IRB template. The column carries no binding: an IRB-routed CCR exposure (an IRB-permissioned counterparty, whose derivative takes the SA-CCR EAD into the IRB risk-weight function) would not be broken out here. Column 0120 ("Of which: off balance sheet" under Exposure Value) is also null (implementation Phase 2B). Column 0030 ("Of which: large financial sector entities") is null (Phase 2F).

Ref	Column	Group	vs CRR
~~0010~~	~~PD assigned to obligor grade or pool~~		Removed (PD only in OF 08.02)
0020	Original exposure pre conversion factors	Exposure
0030	Of which: large financial sector entities	Exposure
0035	(-) Adjustment due to on-balance sheet netting	Exposure	New
0040	(-) Guarantees	CRM Substitution: Unfunded
0050	(-) Credit derivatives	CRM Substitution: Unfunded
0060	(-) Other funded credit protection	CRM Substitution: Funded
0070	(-) Substitution outflows	CRM Substitution
0080	Substitution inflows (+)	CRM Substitution
0090	Exposure after CRM substitution pre CCFs	Post-CRM
0100	Of which: off balance sheet	Post-CRM
0101	Volatility adjustment to the exposure (Slotting)	Fin. Collateral Comprehensive	New
0102	(-) Financial collateral adjusted value Cvam (Slotting)	Fin. Collateral Comprehensive	New
0103	(-) Of which: volatility and maturity adj (Slotting)	Fin. Collateral Comprehensive	New
0104	Exposure after all CRM pre CCFs (Slotting)	Fin. Collateral Comprehensive	New
0110	Exposure value	Exposure Value
0120	Of which: off balance sheet	Exposure Value
0125	Of which: defaulted	Exposure Value	New
0130	Of which: arising from CCR	Exposure Value
0140	Of which: large financial sector entities	Exposure Value

Null Columns — CCR and Off-BS Breakdown

Columns 0120 (off-BS EAD), 0130 (CCR EAD), and 0030 (LFSE) are always null — same as CRR, and for the same reason: the CCR book is SA-risk-weighted and reports in OF 07.00, not in an IRB template. See CRR tab. Additionally, B31-only columns 0101–0104 (slotting FCCM) and 0275–0276 (output floor SA-equivalent) are null (Phase 3A/2D).

Change	Ref(s)	Description
Added	0035	On-balance sheet netting (same as OF 07.00)
Added	0101-0104	Financial Collateral Comprehensive Method columns for slotting approach
Added	0125, 0265	"Of which: defaulted" for exposure value and RWEA
Added	0251-0254	Post-model adjustment columns (pre-adj RWEA, post-model adj, mortgage RW floor, unrecognised exposure adj)
Added	0275-0276	Output floor columns (SA-equivalent exposure value and RWEA)
Added	0281-0282	Post-model adjustments to expected loss
Removed	0010	PD column — moved to OF 08.02 only
Removed	0220	Double default treatment (removed in Basel 3.1)
Removed	0255-0257	Supporting factor columns (SME and infrastructure factors removed)

Row Structure¶

CRR (C 08.01)Basel 3.1 (OF 08.01)Differences Summary

Ref	Row
0010	TOTAL EXPOSURES
0015	of which: Exposures subject to SME-supporting factor
0016	of which: Exposures subject to infrastructure supporting factor
	BREAKDOWN BY EXPOSURE TYPES
0020	On balance sheet items subject to credit risk
0030	Off balance sheet items subject to credit risk
0040	SFT netting sets
0050	Derivatives & Long Settlement Transactions netting sets
0060	From Contractual Cross Product netting sets

Null Rows — CCR reports under C 07.00, not here

Rows 0040–0060 (SFT netting sets, derivatives and long settlement transactions, cross-product netting) are always null. The pipeline does produce counterparty credit risk exposure data — it risk-weights it under SA-CCR, so it lands in C 07.00 rows 0090–0130, the SA template. Only rows 0020 (on-BS) and 0030 (off-BS) are populated here. These three rows carry no binding, so an IRB-routed CCR exposure would not be broken out; IRB CCR would also be reported in OF 34.07, which is not yet implemented.

| | CALCULATION APPROACHES | | 0070 | Exposures assigned to obligor grades or pools: Total | | 0080 | Specialised lending slotting approach: Total | | 0160 | Alternative treatment: Secured by real estate | | 0170 | Exposures from free deliveries (alternative RW treatment or 100%) | | 0180 | Dilution risk: Total purchased receivables |

Ref	Row	vs CRR
0010	TOTAL EXPOSURES
0017	of which: revolving loan commitments	New
	BREAKDOWN BY EXPOSURE TYPES
0020	On balance sheet items subject to credit risk
0030	Off balance sheet items subject to credit risk
0031-0035	Breakdown of off-BS by CCF buckets	New
0040	SFT netting sets
0050	Derivatives & Long Settlement Transactions netting sets
0060	From Contractual Cross Product netting sets

Null Rows — CCR and CCF Buckets

Rows 0040–0060 are null — the CCR book is SA-risk-weighted and reports in OF 07.00 rows 0090–0130 (see CRR tab). Additionally, rows 0031–0035 (off-BS breakdown by CCF buckets) are null — CCF bucket data exists in the pipeline but is not yet disaggregated for C 08.01 (available in C 07.00 only).

| | CALCULATION APPROACHES | | | 0070 | Exposures assigned to obligor grades or pools: Total | | | 0080 | Specialised lending slotting approach: Total | | | ~~0160~~ | ~~Alternative treatment: Secured by real estate~~ | Removed | | 0170 | Exposures from free deliveries | | | 0175 | Purchased receivables | New | | 0180 | Dilution risk: Total purchased receivables | | | 0190 | Corporates without ECAI | New | | 0200 | of which: investment grade | New |

Why rows 0190 / 0200 exist — output floor only (Art. 122(6)–(8))

These rows are not a general SA reporting requirement. They exist solely to enable the output-floor S-TREA leg for IRB firms that have unrated exposures in the financial corporates and large corporates exposure subclass (Art. 147(2)(c)(ii), cross-ref Art. 147A(1)(e); the "large corporate" definition is annual revenue above GBP 440 million per Art. 147(4C)(b)(ii)).

Under PRA PS1/26 Art. 122(8), an IRB firm computing the output floor must, for IRB exposures within the corporate exposure class without an ECAI assessment, either:

(a) assign a flat 100% SA risk weight (the Art. 122(5) default), or
(b) apply the Art. 122(6) split — provided the firm has the prior PRA permission required by Art. 122(6) and gives notice to the PRA before electing this option:
- 65% for exposures the firm has assessed as investment grade (Art. 122(6)(a), conditions in Art. 122(9)–(10))
- 135% for exposures assessed as not investment grade (Art. 122(6)(b))

Row 0190 captures the total IRB carrying value of unrated corporates routed into the SA leg of the floor; row 0200 ("of which: investment grade") isolates the 65%-weighted subset so supervisors can verify the 0.65 × IG + 1.35 × non-IG split versus the flat-100% alternative.

These rows feed the S-TREA term in the output floor formula max(U-TREA, x · S-TREA + OF-ADJ) (see OF 02.01 — Output Floor Comparison), where x phases from 60% in 2027 to 72.5% from 2030 per Art. 92(5).

Details: Risk-weight values are sourced from the canonical SA risk weights — additional Basel 3.1 corporate treatments. Do not duplicate the table here.

Removed Rows

Rows 0015 (SME factor), 0016 (infrastructure factor), and 0160 (alternative RE treatment) are removed under Basel 3.1.

Change	Ref(s)	Description
Added	0017	Revolving loan commitments breakdown
Added	0031-0035	Off-balance sheet CCF bucket breakdown rows
Added	0175	Purchased receivables (explicit row)
Added	0190, 0200	Corporates without ECAI / investment grade (output floor)
Removed	0015	SME supporting factor
Removed	0016	Infrastructure supporting factor
Removed	0160	Alternative treatment: Secured by real estate

IRB Row Mapping — Source Code

_LBL_COL_CREDIT_DERIVS = "(-) Credit derivatives"
_LBL_COL_OTHER_FUNDED = "(-) Other funded credit protection"
_LBL_COL_SUBST_OUTFLOWS = "(-) Substitution outflows"
_LBL_COL_SUBST_INFLOWS = "Substitution inflows (+)"
_LBL_COL_EXPOSURE_VALUE_LC = "Exposure value"
_LBL_COL_RWEA_PRE_SF = "RWEA pre supporting factors"
_LBL_COL_SME_SF_ADJ = "(-) SME supporting factor adjustment"
_LBL_COL_INFRA_SF_ADJ = "(-) Infrastructure supporting factor adjustment"
_LBL_COL_RWEA_POST_SF = "RWEA after supporting factors"
_LBL_COL_OF_WHICH_ECAI = "Of which: with ECAI credit assessment"
_LBL_COL_RWEA_HYPHEN = "Risk-weighted exposure amount"

Column Definitions — Source Code

            # 0015, 0016 removed: supporting factors don't exist under Basel 3.1
        ],
    ),
    RowSection(
        _SEC_BREAKDOWN_EXPOSURE_TYPES,
        [
            COREPRow("0020", "On balance sheet items subject to credit risk"),
            COREPRow("0030", "Off balance sheet items subject to credit risk"),
            COREPRow("0031", "  of which: off-BS by CCF 10%"),  # New in B3.1
            COREPRow("0032", "  of which: off-BS by CCF 20%"),
            COREPRow("0033", "  of which: off-BS by CCF 40%"),
            COREPRow("0034", "  of which: off-BS by CCF 50%"),
            COREPRow("0035", "  of which: off-BS by CCF 100%"),
            COREPRow("0040", _LBL_ROW_SFT_NETTING),

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.

Dynamic Rows

Unlike C 07.00 and C 08.01, this template has no pre-defined data rows. Each row represents one PD grade or pool from the firm's internal rating system. Rows are ordered from best to worst credit quality, with defaulted obligors last. The number of rows varies by firm and exposure class.

Structure¶

CRR (C 08.02)Basel 3.1 (OF 08.02)Differences Summary

Column 0005: Obligor grade row identifier
Columns 0010-0310: Identical to C 08.01 (including PD in column 0010)
Rows ordered by PD: best credit quality first, defaulted (PD = 100%) last
Excludes exposures subject to the alternative RE collateral treatment

Column 0005: Obligor grade row identifier
Columns 0020-0310: Identical to OF 08.01 (PD column 0010 is retained here, unlike OF 08.01)
New columns 0001, 0101-0105: Off-balance sheet CCF breakdown columns per obligor grade
PD ordering uses PDs without input floor adjustments
Excludes slotting approach exposures (slotting has its own template OF 08.03)

Change	Description
PD column	Retained in OF 08.02 (removed from OF 08.01 totals only)
CCF breakdown	New columns 0001, 0101-0105 for off-BS items by CCF bucket
PD ordering	Basel 3.1 uses PDs without input floor adjustments
Slotting excluded	Slotting exposures reported separately (new OF 08.03)
Alt RE removed	CRR exclusion for alternative RE treatment no longer applies
Double default	Column 0220 removed (same as OF 08.01)
Supporting factors	Columns 0255-0257 removed (same as OF 08.01)
Post-model adj	New columns 0251-0254, 0281-0282 (same as OF 08.01)
Output floor	New columns 0275-0276 (same as OF 08.01)

PD Band Definitions — Source Code

The calculator groups obligor grades into standardised PD bands for aggregation:

    COREPColumn("0300", _LBL_COL_NUM_OBLIGORS, "Memorandum"),
    COREPColumn("0310", "Pre-credit derivatives RWEA", "Memorandum"),
]


# =============================================================================
# C 08.01 / OF 08.01 — IRB ROW SECTIONS
# =============================================================================

CRR_IRB_ROW_SECTIONS: list[RowSection] = [
    RowSection(
        "Total and Supporting Factors",

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¶

CRR (C 08.03)Basel 3.1 (OF 08.03)Differences

Ref	Column	Group
0010	On-balance sheet exposures	Exposure
0020	Off-balance sheet exposures pre conversion factors	Exposure
0030	Exposure weighted average conversion factors	Parameters
0040	Exposure value post conversion factors and post CRM	Exposure Value
0050	Exposure weighted average PD (%)	Parameters
0060	Number of obligors	Parameters
0070	Exposure weighted average LGD (%)	Parameters
0080	Exposure-weighted average maturity (years)	Parameters
0090	Risk-weighted exposure amount after supporting factors	RWEA
0100	Expected loss amount	Memorandum
0110	Value adjustments and provisions	Memorandum

Ref	Column	Group	vs CRR
0010	On-balance sheet exposures	Exposure
0020	Off-balance sheet exposures pre conversion factors	Exposure
0030	Exposure weighted average conversion factors	Parameters
0040	Exposure value post conversion factors and post CRM	Exposure Value
0050	Exposure weighted average PD (post input floor) (%)	Parameters	Changed
0060	Number of obligors	Parameters
0070	Exposure weighted average LGD (%)	Parameters	Changed (includes input floors, downturn)
0080	Exposure-weighted average maturity (years)	Parameters
0090	Risk-weighted exposure amount	RWEA	Changed (no supporting factors)
0100	Expected loss amount	Memorandum
0110	Value adjustments and provisions	Memorandum

Change	Ref(s)	Description
Changed	0050	PD now explicitly labelled "post input floor" — reflects new PD floors (Art 160(1), 163(1))
Changed	0070	LGD explicitly includes CRM effects, input floors, and downturn conditions
Changed	0090	"RWEA" — no longer "after supporting factors" (Art 501/501a removed)

Row Structure¶

The PD scale is hierarchical, not a partition. Rows 0010, 0070, 0100 and 0130 are parent bands that repeat their span as the finer sub-breakdown indented beneath them, so a parent row overlaps its children and equals their sum. The published validation rules assert exactly that — EBA v09753–v09756 / BoE boe_b0767–boe_b0770, e.g. {r0070} = {r0080} + {r0090}. Summing every emitted row therefore double-counts; aggregate over the leaf bands only.

CRR (C 08.03)Basel 3.1 (OF 08.03)Differences Summary

Ref	PD Range
0010	0.00 to < 0.15
0020	0.00 to < 0.10
0030	0.10 to < 0.15
0040	0.15 to < 0.25
0050	0.25 to < 0.50
0060	0.50 to < 0.75
0070	0.75 to < 2.50
0080	0.75 to < 1.75
0090	1.75 to < 2.50
0100	2.50 to < 10.00
0110	2.50 to < 5.00
0120	5.00 to < 10.00
0130	10.00 to < 100.00
0140	10.00 to < 20.00
0150	20.00 to < 30.00
0160	30.00 to < 100.00
0170	100.00 (Default)

Ref	PD Range	vs CRR
0010	0.00 to < 0.15
0015	0.00 to < 0.05	New — CRR row 0020 is split at 0.05%
0025	0.05 to < 0.10	New — the other half of CRR row 0020
0030	0.10 to < 0.15
0040	0.15 to < 0.25
0050	0.25 to < 0.50
0060	0.50 to < 0.75
0070	0.75 to < 2.50
0080	0.75 to < 1.75
0090	1.75 to < 2.50
0100	2.50 to < 10.00
0110	2.50 to < 5.00
0120	5.00 to < 10.00
0130	10.00 to < 100.00
0140	10.00 to < 20.00
0150	20.00 to < 30.00
0160	30.00 to < 100.00
0170	100.00 (Default)

PD Range Allocation

In Basel 3.1, exposures are allocated to PD range buckets using the PD estimate without input floor adjustments (pre-floor PD). The weighted average PD reported in column 0050 uses the post-floor PD. Slotting exposures are excluded from this template and reported in OF 08.06.

18 rows, not 17

OF 08.03 splits the CRR 0.00 to < 0.10 child band at 0.05%, replacing row 0020 with rows 0015 and 0025. That is the only row-axis change from C 08.03, and it takes the template to 18 rows. Pillar 3 template UKB CR6 does not follow — it keeps 0.00 to < 0.10 in both regimes.

Area	CRR	Basel 3.1
PD column	"Average PD"	"Average PD (post input floor)" — explicitly reflects PD floors
LGD column	Final LGD after CRM and downturn	Same, plus explicitly includes input floors
RWEA	"After supporting factors"	"RWEA" — supporting factors removed
PD allocation	PD-based bucket assignment	Uses pre-input-floor PD for bucket allocation
Slotting	Excluded (in C 08.06)	Excluded (in OF 08.06)

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¶

CRR (C 08.04)Basel 3.1 (OF 08.04)Differences

Ref	Column
0010	Risk-weighted exposure amount (after supporting factors)

Ref	Column	vs CRR
0010	Risk-weighted exposure amount	Changed (no supporting factors)

Change	Ref(s)	Description
Changed	0010	"RWEA" — no longer references supporting factors (Art 501/501a removed)

Row Structure¶

CRR (C 08.04)Basel 3.1 (OF 08.04)Differences Summary

Ref	Row
0010	RWEA at the end of the previous reporting period
0020	Asset size (+/-)
0030	Asset quality (+/-)
0040	Model updates (+/-)
0050	Methodology and policy (+/-)
0060	Acquisitions and disposals (+/-)
0070	Foreign exchange movements (+/-)
0080	Other (+/-)
0090	RWEA at the end of the reporting period

Identical row structure to CRR. All 9 rows (0010–0090) are unchanged.

Ref	Row
0010	RWEA at the end of the previous reporting period
0020	Asset size (+/-)
0030	Asset quality (+/-)
0040	Model updates (+/-)
0050	Methodology and policy (+/-)
0060	Acquisitions and disposals (+/-)
0070	Foreign exchange movements (+/-)
0080	Other (+/-)
0090	RWEA at the end of the reporting period

Transitional Arrangements

Any RWEA changes arising from transitional arrangements (Chapter 4 of the Credit Risk: General Provisions (CRR) Part) are reported in row 0050 (Methodology and policy).

Area	CRR	Basel 3.1
RWEA column	"After supporting factors"	"RWEA" — supporting factors removed
Rows	9 rows (0010–0090)	Identical — no changes
Overall	Virtually identical between frameworks

Implementation Notes¶

C 08.04 / OF 08.04 is implemented in v0.1.169. The pipeline provides current-period data only, so:

Row 0090 (closing RWEA) is populated from rwa_final per exposure class
Row 0010 (opening RWEA) and rows 0020–0080 (movement drivers) are null — they require prior-period comparison data that a single pipeline run cannot produce
Slotting exposures are excluded (C 08.06 covers specialised lending separately)
Template definitions: CRR_C08_04_COLUMNS, B31_C08_04_COLUMNS, C08_04_ROWS
Generator: _generate_all_c08_04(), _generate_c08_04_for_class()
Bundle field: COREPTemplateBundle.c08_04: dict[str, pl.DataFrame]

To populate the full flow statement, callers can supply prior-period RWEA externally and merge it with the generated template.

C 08.05 / OF 08.05 — CR IRB PD Back-Testing¶

C 08.05 reports PD model back-testing per IRB exposure class — comparing model-assigned PDs against realised one-year default rates across the same fixed PD range buckets used in C 08.03. This template is the supervisory back-testing view that supports IRB model validation under CRR Art. 180. One submission is filed per IRB exposure class. Slotting and CCR exposures are excluded.

The B31 column 0010 label is explicit that the reported average PD is after the PD input floors (Art. 160(1) / 163(1)) and any exposure-level risk weight floors (Art. 161(3) / 164(5)). PD-bucket allocation, however, uses the pre-input-floor PD — the same convention as OF 08.03.

Pillar III equivalent

UKB CR9 is the public-disclosure counterpart of C 08.05 / OF 08.05. They cover the same back-testing concept but are not column-for-column equivalent: UKB CR9 has 8 columns (a–h) including a PD-range column, an external rating equivalent column, an obligor-weighted PD-at-disclosure-date column, and the exposure-class designator; C 08.05 / OF 08.05 has 5 columns (0010–0050). See Disclosure Differences — CR9 for the full UKB CR9 column structure and the CR9 vs C 08.05 mapping.

Column Structure¶

CRR (C 08.05)Basel 3.1 (OF 08.05)DifferencesColumn Definitions (PRA PS1/26 Annex II §3.3.7)

Ref	Column	Group
0010	Arithmetic average PD (%)	PD
0020	Number of obligors at end of previous year	Obligors
0030	Of which: defaulted during the year	Defaults
0040	Observed average default rate (%)	Default Rate
0050	Average historical annual default rate (%)	Historical Rate

Ref	Column	Group	vs CRR
0010	Arithmetic average PD (post-input floor) (%)	PD	Renamed — explicit "post-input floor"
0020	Number of obligors at end of previous year	Obligors
0030	Of which: defaulted during the year	Defaults
0040	Observed average default rate (%)	Default Rate
0050	Average historical annual default rate (%)	Historical Rate

Change	Ref(s)	Description
Renamed	0010	"Arithmetic average PD (post-input floor) (%)" — Basel 3.1 explicitly clarifies the average uses PD after Art. 160(1) / 163(1) input floors and Art. 161(3) / 164(5) RW floors
Allocation rule	rows	Basel 3.1 allocates exposures to PD-range rows using pre-input-floor PD (matches OF 08.03); CRR uses the floored PD

0010 Arithmetic average PD (%) — arithmetic average (weighted by number of obligors) of the PD at the beginning of the reporting period for obligors falling within the bucket. Basel 3.1: post-input floor; CRR: pre any floor description.
0020 Number of obligors at end of previous year — count of obligors with any credit obligation. Joint-obligor treatment matches PD calibration; obligor count method matches OF 08.01 col 0300.
0030 Of which: defaulted during the year — count of obligors that defaulted (per Art. 178) during the one-year observation period. Each defaulted obligor is counted only once even if multiple defaults occurred.
0040 Observed average default rate (%) — Art. 4(1)(78) one-year default rate. Denominator: non-defaulted obligors with any credit obligation at the start of the observation period. Numerator: those obligors that had at least one default event during the period.
0050 Average historical annual default rate (%) — simple average of the five most recent annual default rates (or a longer period consistent with the institution's risk-management practice).

Row Structure¶

The PD range buckets are identical to C 08.03 / OF 08.03 — the same hierarchical scale, and the same Basel 3.1 split of the first sub-band into rows 0015 / 0025 (17 rows under CRR, 18 under Basel 3.1). Defaulted exposures are assigned to the 100% bucket (row 0170).

CRR (C 08.05)Basel 3.1 (OF 08.05)Differences Summary

Ref	PD Range
0010	0.00 to < 0.15
0020	0.00 to < 0.10
0030	0.10 to < 0.15
0040	0.15 to < 0.25
0050	0.25 to < 0.50
0060	0.50 to < 0.75
0070	0.75 to < 2.50
0080	0.75 to < 1.75
0090	1.75 to < 2.50
0100	2.50 to < 10.00
0110	2.50 to < 5.00
0120	5.00 to < 10.00
0130	10.00 to < 100.00
0140	10.00 to < 20.00
0150	20.00 to < 30.00
0160	30.00 to < 100.00
0170	100.00 (Default)

Identical row structure to OF 08.03 (18 PD range buckets: 0010–0170 with the 0015 / 0025 split replacing CRR's row 0020). Allocation uses pre-input-floor PD — see PRA PS1/26 Annex II §3.3.7 "PD RANGE (PRE-INPUT FLOOR) (%)".

Floor convention asymmetry

Row allocation: pre-input-floor PD. Column 0010 reported value: post-input-floor average PD. This asymmetry is deliberate: it lets supervisors back-test the model's unfloored predictions while still showing the floored PD that drives capital.

Area	CRR	Basel 3.1
Columns	5 (0010–0050)	5 (0010–0050) — col 0010 renamed
PD column	"Arithmetic average PD"	"Arithmetic average PD (post-input floor)"
Bucket allocation	Floored PD	Pre-input-floor PD (matches OF 08.03)
Rows	17 PD range buckets	Identical
Scope	F-IRB and A-IRB; excludes slotting and CCR	Identical

Implementation Notes¶

C 08.05 / OF 08.05 is implemented in the generator. The template requires multi-year historical data that a single pipeline run cannot produce, so two columns fall back to current-period approximations when historical inputs are absent:

Col 0010 (arithmetic average PD): populated from irb_pd_floored per PD bucket. CRR uses the floored PD for both reporting and allocation; Basel 3.1 uses irb_pd_original for allocation and irb_pd_floored for the col 0010 value.
Col 0020 (prior-year obligor count): falls back to current-period obligor count (counterparty_reference.n_unique()) when prior_year_obligor_count is not provided.
Col 0030 (defaulted during year): obligor-level count from is_defaulted, falling back to PD ≥ 1.0 when the default flag is absent.
Col 0040 (observed default rate): col 0030 / col 0020.
Col 0050 (historical annual default rate): falls back to col 0040 (current-period observed rate) when historical_annual_default_rate is not provided.
Slotting exposures excluded (covered by C 08.06); CCR exposures excluded (covered by C 34.07 / OF 34.07).
Template definitions: CRR_C08_05_COLUMNS, B31_C08_05_COLUMNS in src/rwa_calc/reporting/corep/templates.py.
Generator: _generate_all_c08_05(), _generate_c08_05_for_class(), _compute_c08_05_values() in src/rwa_calc/reporting/corep/generator.py.
Bundle field: COREPTemplateBundle.c08_05: dict[str, pl.DataFrame] (one entry per IRB exposure class).
Excel sheet prefix: C 08.05 (CRR) / OF 08.05 (Basel 3.1), one sheet per exposure class.

To populate cols 0020 and 0050 with true multi-year data, callers can supply the optional prior_year_obligor_count and historical_annual_default_rate columns on the input LazyFrame; the generator will use them in preference to the single-period fallbacks.

OF 08.05.1 (ECAI variant) not implemented

PRA PS1/26 Annex II §3.3.8 defines a second back-testing template, OF 08.05.1 (CR IRB 5B), required where Art. 180(1)(f) ECAI-based PD estimation is used. It extends OF 08.05 with col 0005 (firm-defined PD ranges instead of fixed buckets) and col 0006 (one column per ECAI considered). This calculator does not currently generate OF 08.05.1 — see output-reporting.md for the missing-templates list.

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¶

CRR (C 08.06)Basel 3.1 (OF 08.06)Differences

Ref	Column	Group
0010	Original exposure pre conversion factors	Exposure
0020	Exposure after CRM substitution effects pre conversion factors	Post-CRM
0030	Of which: off-balance sheet items (original)	Exposure
0040	Exposure value	Exposure Value
0050	Of which: off-balance sheet items (exposure value)	Exposure Value
0060	Of which: arising from counterparty credit risk	Exposure Value
0070	Risk weight	Parameters
0080	Risk-weighted exposure amount after supporting factors	RWEA
0090	Expected loss amount	Memorandum
0100	(-) Value adjustments and provisions	Memorandum

Ref	Column	Group	vs CRR
0010	Original exposure pre conversion factors	Exposure
0020	Exposure after CRM substitution effects pre conversion factors	Post-CRM
0030	Of which: off-balance sheet items (original)	Exposure
0031	(-) Change in exposure due to FCCM	Fin. Collateral Comprehensive	New
0040	Exposure value	Exposure Value
0050	Of which: off-balance sheet items (exposure value)	Exposure Value
0060	Of which: arising from counterparty credit risk	Exposure Value
0070	Risk weight	Parameters
0080	Risk-weighted exposure amount	RWEA	Changed (no supporting factors)
0090	Expected loss amount	Memorandum
0100	(-) Value adjustments and provisions	Memorandum

Change	Ref(s)	Description
Added	0031	(-) Change in exposure due to FCCM — Financial Collateral Comprehensive Method adjustment for slotting
Changed	0080	"RWEA" — no longer "after supporting factors" (Art 501/501a removed)

Row Structure¶

CRR (C 08.06)Basel 3.1 (OF 08.06)Differences Summary

SL types: Project finance, IPRE and HVCRE (combined), Object finance, Commodities finance.

Ref	Category	Maturity	Risk Weight
0010	Category 1 (Strong)	< 2.5 years	50%
0020	Category 1 (Strong)	≥ 2.5 years	70%
0030	Category 2 (Good)	< 2.5 years	70%
0040	Category 2 (Good)	≥ 2.5 years	90%
0050	Category 3 (Satisfactory)	< 2.5 years	115%
0060	Category 3 (Satisfactory)	≥ 2.5 years	115%
0070	Category 4 (Weak)	< 2.5 years	250%
0080	Category 4 (Weak)	≥ 2.5 years	250%
0090	Category 5 (Default)	< 2.5 years	Deducted
0100	Category 5 (Default)	≥ 2.5 years	Deducted
0110	Total	< 2.5 years
0120	Total	≥ 2.5 years

SL types expanded to 5: Object finance, Project finance, Commodities finance, IPRE, HVCRE (HVCRE separated from IPRE).

Ref	Category	Maturity	Risk Weight	vs CRR
0010	Category 1 (Strong)	< 2.5 years	50%
0015	Category 1 (Strong) — substantially stronger	≥ 2.5 years	50%	New
0020	Category 1 (Strong)	≥ 2.5 years	70%
0030	Category 2 (Good)	< 2.5 years	70%
0025	Category 2 (Good) — substantially stronger	≥ 2.5 years	70%	New
0040	Category 2 (Good)	≥ 2.5 years	90%
0050	Category 3 (Satisfactory)	< 2.5 years	115%
0060	Category 3 (Satisfactory)	≥ 2.5 years	115%
0070	Category 4 (Weak)	< 2.5 years	250%
0080	Category 4 (Weak)	≥ 2.5 years	250%
0090	Category 5 (Default)	< 2.5 years	Deducted
0100	Category 5 (Default)	≥ 2.5 years	Deducted
0110	Total	< 2.5 years
0120	Total	≥ 2.5 years

Substantially Stronger

Exposures in the "strong" category meeting both the "substantially stronger" criteria and the 2.5 years maturity condition are reported in both row 0015 (or 0025) and the parent category row.

Area	CRR	Basel 3.1
Columns	10 (0010–0100)	11 — adds 0031 (FCCM adjustment)
RWEA	"After supporting factors"	"RWEA" — supporting factors removed
SL types	4 (PF, IPRE/HVCRE combined, OF, CF)	5 — HVCRE separated from IPRE
Rows	12 (categories 1–5 × 2 maturities + totals)	14 — adds "substantially stronger" sub-rows (0015, 0025)

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¶

CRR (C 08.07)Basel 3.1 (OF 08.07)Differences

Ref	Column	Group
0010	Total exposure value subject to IRB (Art 166)	Exposure
0020	Total exposure value subject to SA and IRB	Exposure
0030	% of total exposure value subject to permanent partial use of SA (%)	Coverage
0040	% of total exposure value subject to a roll-out plan (%)	Coverage
0050	% of total exposure value subject to IRB approach (%)	Coverage

Ref	Column	Group	vs CRR
0010	Total exposure value subject to IRB (Art 166A–166D)	Exposure
0020	Total exposure value subject to SA and IRB	Exposure
0030	% subject to permanent partial use of SA (%)	Coverage
0040	% subject to a roll-out plan (%)	Coverage
0050	% subject to IRB approach (%)	Coverage
0060	Total RWEA for exposures subject to SA or IRB	RWEA	New
0070	RWEA for SA: connected counterparties (Art 150(1)(e))	RWEA: SA Breakdown	New
0080	RWEA for SA: all exposures in roll-out classes — SA does not result in significantly lower capital	RWEA: SA Breakdown	New
0090	RWEA for SA: all exposures in roll-out classes — cannot reasonably model	RWEA: SA Breakdown	New
0100	RWEA for SA: all exposures in roll-out classes — immaterial	RWEA: SA Breakdown	New
0110	RWEA for SA: all exposures in types — cannot reasonably model	RWEA: SA Breakdown	New
0120	RWEA for SA: all exposures in types — immaterial in aggregate	RWEA: SA Breakdown	New
0130	RWEA for SA: due to roll-out plan	RWEA: SA Breakdown	New
0140	RWEA for SA: other	RWEA: SA Breakdown	New
0150	RWEA for exposures subject to IRB	RWEA	New
0160	Materiality of roll-out class (Art 150(1A)(c))	Materiality	New
0170	% subject to permanent partial use (type of exposures) (%)	Materiality	New
0180	% subject to permanent partial use (immaterial in aggregate) (%)	Materiality	New

Change	Ref(s)	Description
Added	0060	Total RWEA for all exposures (SA + IRB)
Added	0070–0140	RWEA breakdown for SA exposures by reason: connected counterparties, roll-out class reasons (3 sub-categories), type reasons (2 sub-categories), roll-out plan, other
Added	0150	RWEA for IRB exposures
Added	0160–0180	Materiality thresholds for permanent partial use permissions
Overall	—	Expanded from 5 columns (CRR) to 18 columns (Basel 3.1)

Row Structure¶

CRR (C 08.07)Basel 3.1 (OF 08.07)Differences Summary

Ref	Row
0010	Central governments or central banks
0020	Of which: regional governments or local authorities
0030	Of which: public sector entities
0040	Institutions
0050	Corporates
0060	Of which: corporates — specialised lending, excluding slotting
0070	Of which: corporates — specialised lending, including slotting
0080	Of which: corporates — SMEs
0090	Retail
0100	Of which: retail — secured by RE SMEs
0110	Of which: retail — secured by RE non-SMEs
0120	Of which: retail — qualifying revolving
0130	Of which: retail — other SMEs
0140	Of which: retail — other non-SMEs
0150	Equity
0160	Other non-credit obligation assets
0170	Total

Rows restructured from exposure classes (Art 147(2)) to roll-out classes (Art 147B).

Ref	Row	vs CRR
0180–0250	Roll-out classes (per Art 147B)	Restructured
0260	Total	New
0270	% subject to permanent partial use (immateriality in aggregate)	New

Structural Change

The CRR rows (0010–0170) by exposure class are replaced by roll-out class rows (0180–0250) in Basel 3.1. Roll-out classes are defined in Art 147B and broadly correspond to exposure classes but have a different regulatory basis. The CRM substitution effects do not change the roll-out class assignment.

Area	CRR	Basel 3.1
Columns	5 (0010–0050)	18 — adds total RWEA, SA RWEA breakdown by reason, IRB RWEA, materiality thresholds
Row basis	17 rows by exposure class (Art 147(2))	Roll-out classes (Art 147B) with total and materiality rows
RWEA detail	No RWEA columns	Full RWEA decomposition (cols 0060–0150)
Materiality	Not reported	Cols 0160–0180 report materiality thresholds for SA permissions

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).

C 09.01 shares C 07.00's population — CCR included

The geographical breakdown of the SA book is taken over the same population as C 07.00: the standardised book plus both counterparty-credit-risk populations, admitted by risk_type. So an SA-CCR derivative appears in its counterparty's country sheet, under the counterparty's Art. 112 class row (a bank counterparty under row 0060, Institutions). That shared population is why the Basel 3.1 institution row now populates: the derivative netting sets used to be dropped by the standardised_ccr output-floor relabel and reached neither template.

Column Structure¶

CRR (C 09.01)Basel 3.1 (OF 09.01)Differences

Ref	Column	Group
0010	Original exposure pre conversion factors	Exposure
0020	Defaulted exposures	Exposure
0040	Observed new defaults for the period	Defaults
0050	General credit risk adjustments	Provisions
0055	Specific credit risk adjustments	Provisions
0060	Write-offs	Provisions
0061	Additional value adjustments and other own funds reductions	Provisions
0070	Credit risk adjustments/write-offs for observed new defaults	Provisions
0075	Exposure value	Exposure Value
0080	RWEA pre supporting factors	RWEA
0081	(-) SME supporting factor adjustment	RWEA
0082	(-) Infrastructure supporting factor adjustment	RWEA
0090	RWEA after supporting factors	RWEA

Ref	Column	Group	vs CRR
0010	Original exposure pre conversion factors	Exposure
0020	Defaulted exposures	Exposure
0040	Observed new defaults for the period	Defaults
0050	General credit risk adjustments	Provisions
0055	Specific credit risk adjustments	Provisions
0060	Write-offs	Provisions
0061	Additional value adjustments and other own funds reductions	Provisions
0070	Credit risk adjustments/write-offs for observed new defaults	Provisions
0075	Exposure value	Exposure Value
~~0080~~	~~RWEA pre supporting factors~~		Removed
~~0081~~	~~(-) SME supporting factor adjustment~~		Removed
~~0082~~	~~(-) Infrastructure supporting factor adjustment~~		Removed
0090	Risk-weighted exposure amount	RWEA	Changed (no supporting factors)

Change	Ref(s)	Description
Removed	0080	RWEA pre supporting factors
Removed	0081	(-) SME supporting factor adjustment
Removed	0082	(-) Infrastructure supporting factor adjustment
Changed	0090	"RWEA" — no longer "after supporting factors"

Row Structure¶

CRR (C 09.01)Basel 3.1 (OF 09.01)Differences Summary

Ref	Row
0010	Central governments or central banks
0020	Regional governments or local authorities
0030	Public sector entities
0040	Multilateral development banks
0050	International organisations
0060	Institutions
0070	Corporates
0075	of which: SME
0080	Retail
0085	of which: SME
0090	Secured by mortgages on immovable property
0095	of which: SME
0100	Exposures in default
0110	Items associated with particularly high risk
0120	Covered bonds
0130	Claims on institutions and corporates with a short-term credit assessment
0140	Collective investment undertakings (CIU)
0141	Look-through approach
0142	Mandate-based approach
0143	Fall-back approach
0150	Equity exposures
0160	Other exposures
0170	Total exposures

Ref	Row	vs CRR
0010	Central governments or central banks
0020	Regional governments or local authorities
0030	Public sector entities
0040	Multilateral development banks
0050	International organisations
0060	Institutions
0070	Corporates
0075	of which: SME
0071	of which: specialised lending — object finance	New
0072	of which: specialised lending — commodities finance	New
0073	of which: specialised lending — project finance	New
0080	Retail
0085	of which: SME
0090	Real estate exposures	Changed (was "Secured by mortgages")
0095	of which: SME
0091	of which: regulatory residential real estate	New
0092	of which: regulatory commercial real estate	New
0093	of which: other real estate	New
0094	of which: land acquisition, development and construction	New
0100	Exposures in default
0110	Exposures associated with particularly high risk
0120	Eligible covered bonds
~~0130~~	~~Claims on institutions and corporates with a short-term credit assessment~~	Removed
0140	Collective investment undertakings (CIU)
0141	Look-through approach
0142	Mandate-based approach
0143	Fall-back approach
0150	Subordinated debt, equity and other own funds instruments	Changed (was "Equity exposures")
0160	Other items
0170	Total exposures

Area	CRR	Basel 3.1
Columns	13 (0010–0090)	10 — removes 3 supporting factor columns (0080–0082)
RWEA	Pre/post supporting factors	Single RWEA column (no factors)
Corporate sub-rows	SME only	Adds specialised lending sub-rows (0071–0073)
RE rows	"Secured by mortgages" (1 row + SME)	"Real estate exposures" with 4 sub-rows (0091–0094)
Removed rows	—	0130 (short-term credit assessment)
Renamed rows	—	0090 (RE), 0150 (subordinated debt/equity)

How the Basel 3.1 real-estate and SL rows are keyed

Row 0090 (Real estate exposures) and its of-which sub-rows key the Basel 3.1 real-estate reporting classes — retail_mortgage (retail residential RE) plus the SA loan-splitter's residential_mortgage / commercial_mortgage secured legs — so RE exposure lands in a class row rather than surviving only in the country Total. The sub-rows split that class: 0091/0092 (regulatory residential / commercial RE) by property_type and the qualifying-RE flag, 0093 (other RE) for non-qualifying exposures, 0094 (land ADC) by the ADC flag, and 0095 the SME of-which. Income-producing commercial RE that classifies as corporate stays in the corporate parent row 0070 (as it does under CRR), keeping row 0090 a clean class partition. The specialised-lending rows 0071–0073 split the corporate parent row 0070 by sl_type (object / commodities / project finance) — SL remains a corporate sub-type under SA (Art. 112(1)(g)), so this adds granularity only. CRR C 09.01 is unaffected — its rows key retail_mortgage / corporate directly and never reach the RE/SL branch.

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¶

CRR (C 09.02)Basel 3.1 (OF 09.02)Differences

Ref	Column	Group
0010	Original exposure pre conversion factors	Exposure
0030	Of which: defaulted	Exposure
0040	Observed new defaults for the period	Defaults
0050	General credit risk adjustments	Provisions
0055	Specific credit risk adjustments	Provisions
0060	Write-offs	Provisions
0070	Credit risk adjustments/write-offs for observed new defaults	Provisions
0080	PD assigned to the obligor grade or pool (%)	Parameters
0090	Exposure weighted average LGD (%)	Parameters
0100	Of which: defaulted (LGD)	Parameters
0105	Exposure value	Exposure Value
0110	RWEA pre supporting factors	RWEA
0120	Of which: defaulted (RWEA)	RWEA
0121	(-) SME supporting factor adjustment	RWEA
0122	(-) Infrastructure supporting factor adjustment	RWEA
0125	RWEA after supporting factors	RWEA
0130	Expected loss amount	Memorandum

Ref	Column	Group	vs CRR
0010	Original exposure pre conversion factors	Exposure
0030	Of which: defaulted	Exposure
0040	Observed new defaults for the period	Defaults
0050	General credit risk adjustments	Provisions
0055	Specific credit risk adjustments	Provisions
0060	Write-offs	Provisions
0070	Credit risk adjustments/write-offs for observed new defaults	Provisions
0080	PD assigned to the obligor grade or pool (%)	Parameters
0090	Exposure weighted average LGD (%)	Parameters
0100	Of which: defaulted (LGD)	Parameters
0105	Exposure value	Exposure Value
0107	Of which: defaulted (exposure value)	Exposure Value	New
~~0110~~	~~RWEA pre supporting factors~~		Removed
0120	Of which: defaulted (RWEA)	RWEA
~~0121~~	~~(-) SME supporting factor adjustment~~		Removed
~~0122~~	~~(-) Infrastructure supporting factor adjustment~~		Removed
0125	Risk-weighted exposure amount	RWEA	Changed (no supporting factors)
0130	Expected loss amount	Memorandum

Change	Ref(s)	Description
Added	0107	Of which: defaulted — defaulted exposure value (complements existing LGD and RWEA defaulted columns)
Removed	0110	RWEA pre supporting factors
Removed	0121	(-) SME supporting factor adjustment
Removed	0122	(-) Infrastructure supporting factor adjustment
Changed	0125	"RWEA" — no longer "after supporting factors"

Row Structure¶

CRR (C 09.02)Basel 3.1 (OF 09.02)Differences Summary

Ref	Row
0010	Central governments or central banks
0020	Institutions
0030	Corporates
0042	Of which: specialised lending (excl. slotting approach)
0045	Of which: specialised lending under the slotting approach
0050	Of which: SME
0060	Retail
0070	Secured by immovable property
0080	SME
0090	Non-SME
0100	Qualifying revolving
0110	Other retail
0120	SME
0130	Non-SME
0140	Equity
0150	Total exposures

Ref	Row	vs CRR
0010	Central governments or central banks
0020	Institutions
0030	Corporates
0042	Of which: specialised lending (excl. slotting approach)
0045	Of which: specialised lending under the slotting approach
0048	Of which: financial corporates and large corporates (Art 147(4C))	New
0049	Of which: purchased receivables (Art 157)	New
0050	Of which: other general corporates — SME (Art 147(4E)(c))	Changed (was "Of which: SME")
0055	Of which: other general corporates — non-SME (Art 147(4E))	New
0060	Retail
0071	Secured by residential immovable property — SME	New (replaces 0070/0080)
0072	Secured by residential immovable property — non-SME	New
0073	Secured by commercial immovable property — SME	New
0074	Secured by commercial immovable property — non-SME	New
0100	Qualifying revolving
0105	Purchased receivables (Art 157)	New
0120	Other retail — SME
0130	Other retail — non-SME
~~0140~~	~~Equity~~	Removed
0150	Total exposures

Removed Row

Row 0140 (Equity) is removed — equity is no longer an IRB exposure class under Basel 3.1. Total exposures (0150) equals the sum of rows 0020, 0030, and 0060.

Area	CRR	Basel 3.1
Columns	17 (0010–0130)	15 — removes 3 supporting factor columns, adds 0107 (defaulted exp value)
Corporate sub-rows	SL excl. slotting, SL slotting, SME	Adds financial/large corporates (0048), purchased receivables (0049), non-SME (0055); renames SME to "other general corporates — SME"
Retail RE rows	Single "secured by immovable property" with SME/non-SME	Split into residential RE (0071/0072) and commercial RE (0073/0074), each with SME/non-SME
Retail other rows	Adds purchased receivables (0105)
Equity	Row 0140	Removed — no longer an IRB exposure class

Overall CRR vs Basel 3.1 Template Comparison¶

Area	CRR (C templates)	Basel 3.1 (OF templates)
Template prefix	C (e.g., C 07.00)	OF (e.g., OF 07.00)
SA columns	24 columns (0010-0240)	22 columns — adds 0035, 0171, 0235; removes 0215-0217
SA risk weight rows	15 (0%-1250% + Other)	29 — adds 15 new granular weights, removes 370%
SA "of which" rows	8	26+ — adds specialised lending and detailed RE breakdowns
IRB columns	33 columns (0010-0310)	40+ columns — adds netting, slotting CRM, defaults, post-model adj, output floor; removes PD (totals), double default, supporting factors
IRB approach filter	Binary (Foundation / Advanced)	Three-way (FIRB / AIRB / Slotting)
Supporting factors	SME (Art 501) + Infrastructure (Art 501a)	Removed
Double default	Column 0220	Removed
Output floor	Not applicable	Columns 0275-0276 (SA-equivalent for floor calculation)
Post-model adjustments	Not applicable	Columns 0251-0254 (RWEA), 0281-0282 (EL)
CCF buckets (SA)	0%, 20%, 50%, 100%	10%, 20%, 40%, 50%, 100%
PD ranges (08.03)	11 columns, PD/LGD/RWEA after factors	Same structure, PD post input floor, RWEA without factors
RWEA flow (08.04)	1 column (RWEA after factors), 9 rows	Virtually identical — supporting factors removed
Slotting (08.06)	10 columns, 4 SL types, 12 rows	11 columns (adds FCCM), 5 SL types (HVCRE split), 14 rows
Scope of use (08.07)	5 columns, 17 rows by exposure class	18 columns (adds RWEA breakdown + materiality), roll-out classes
Geo SA (09.01)	13 columns (incl. supporting factors)	10 columns (factors removed), adds SL and RE sub-rows
Geo IRB (09.02)	17 columns (incl. supporting factors)	15 columns (factors removed), adds corporate/retail sub-rows, removes equity

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.c08_05)      # C 08.05 IRB PD back-testing (per exposure class)
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

Excel dependency

Excel export requires xlsxwriter. Install via uv add xlsxwriter.

Readable column-name header band

Each sheet carries a two-row header band: the top row is a readable column-name banner ("Row code" / "Row name", then each column's name — e.g. Original exposure pre conversion factors over 0010), and the row beneath it is the regulatory 4-digit COREP ref codes that the cells are keyed by. The top two rows are frozen so both stay visible while scrolling. The banner is a presentation layer only — the underlying template data is still keyed by ref, so machine-readable consumers are unaffected.

Regulatory References¶

Reference	Topic
Regulation (EU) 2021/451, Annex I	CRR COREP template layouts
Regulation (EU) 2021/451, Annex II	CRR COREP reporting instructions
CRR Art. 112-134	SA exposure classes and risk weights
CRR Art. 142-191	IRB exposure classes and capital requirements
PRA PS1/26	Basel 3.1 final rules
PRA PS1/26 Annex I	Basel 3.1 OF template layouts
PRA PS1/26 Annex II	Basel 3.1 OF reporting instructions