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Pillar III Disclosures

Pillar III requires banks to publish quantitative credit risk data to the market, complementing the confidential COREP returns submitted to the PRA. While both draw on the same underlying RWA calculations, Pillar III templates are structured for public consumption and comparability across firms.

COREP vs Pillar III

Aspect COREP (Pillar I Reporting) Pillar III (Public Disclosure)
Audience PRA (confidential) Market participants (public)
Purpose Supervisory monitoring Market discipline and transparency
Frequency Quarterly Quarterly, semi-annual, or annual (by firm size)
CRR prefix C (e.g., C 07.00) UK (e.g., UK OV1)
Basel 3.1 prefix OF (e.g., OF 07.00) UKB (e.g., UKB OV1)
Granularity Exposure-class level submissions Cross-approach summaries and PD-range breakdowns
Legal basis Regulation (EU) 2021/451 CRR Part 8 / Disclosure (CRR) Part

Template Naming

Under CRR, disclosure templates use the UK prefix (e.g., UK CR6). Under Basel 3.1 (PRA PS1/26), they use the UKB prefix (e.g., UKB CR6). The structure and purpose are equivalent but columns, rows, and exposure class breakdowns differ as detailed below.

Template Overview

The calculator's outputs can populate the following credit risk disclosure templates. Templates are grouped by the approach they cover.

flowchart TD
    P["Pipeline Output"] --> OV1["<b>OV1</b><br/>Overview of RWEAs<br/><i>All approaches</i>"]

    P --> SA["SA Templates"]
    SA --> CR4["<b>CR4</b><br/>Exposure & CRM Effects"]
    SA --> CR5["<b>CR5</b><br/>Risk Weight Allocation"]

    P --> IRB["IRB Templates"]
    IRB --> CR6["<b>CR6</b><br/>Exposures by PD Range"]
    IRB --> CR6A["<b>CR6-A</b><br/>Scope of IRB/SA Use"]
    IRB --> CR7["<b>CR7</b><br/>Credit Derivatives Effect"]
    IRB --> CR7A["<b>CR7-A</b><br/>CRM Technique Extent"]
    IRB --> CR8["<b>CR8</b><br/>RWEA Flow Statements"]

    P --> SL["Slotting"]
    SL --> CR10["<b>CR10</b><br/>Slotting Exposures"]

    style OV1 fill:#e8f5e9,stroke:#43a047
    style CR4 fill:#fff3e0,stroke:#fb8c00
    style CR5 fill:#fff3e0,stroke:#fb8c00
    style CR6 fill:#e3f2fd,stroke:#1e88e5
    style CR6A fill:#e3f2fd,stroke:#1e88e5
    style CR7 fill:#e3f2fd,stroke:#1e88e5
    style CR7A fill:#e3f2fd,stroke:#1e88e5
    style CR8 fill:#e3f2fd,stroke:#1e88e5
    style CR10 fill:#f3e5f5,stroke:#8e24aa
Template CRR Name Basel 3.1 Name Purpose Format CRR Article
OV1 UK OV1 UKB OV1 Overview of risk-weighted exposure amounts Fixed Art. 438(d)
CR4 UK CR4 UKB CR4 SA exposure and CRM effects Fixed Art. 444(e), 453(g-i)
CR5 UK CR5 UKB CR5 SA risk weight allocation Fixed Art. 444(e)
CR6 UK CR6 UKB CR6 IRB exposures by exposure class and PD range Fixed Art. 452(g)
CR6-A UK CR6-A UKB CR6-A Scope of IRB and SA use Fixed Art. 452(b)
CR7 UK CR7 UKB CR7 Credit derivatives effect on RWEA Fixed Art. 453(j)
CR7-A UK CR7-A UKB CR7-A Extent of CRM techniques (IRB) Fixed Art. 453(g)
CR8 UK CR8 UKB CR8 RWEA flow statements (IRB) Fixed Art. 438(h)
CR10 UK CR10 UKB CR10 Slotting approach exposures Fixed Art. 438(e)

OV1 — Overview of Risk-Weighted Exposure Amounts

The OV1 template provides a high-level summary of RWEAs and own funds requirements across all risk categories. It is the top-level disclosure from which credit risk rows (1-5) link to the detailed CR templates.

Column Structure

Col Column Description
a RWEAs Risk-weighted exposure amounts at reporting date
b RWEAs (T-1) RWEAs as disclosed in the previous period
c Total own funds requirements Own funds requirements corresponding to RWEAs
Col Column Description
a RWEAs (T) Risk-weighted exposure amounts at reporting date
b RWEAs (T-1) RWEAs as disclosed in the previous period
c Total own funds requirements Own funds requirements corresponding to RWEAs

No column changes — structure is identical.

Row Structure (Credit Risk Rows)

Row Description
1 Credit risk (excluding CCR) — total
2 Of which: standardised approach
3 Of which: foundation IRB (FIRB) approach
4 Of which: slotting approach
UK 4a Of which: equities under the simple risk-weighted approach
5 Of which: advanced IRB (AIRB) approach
24 Amounts below deduction thresholds (250% RW) — memo
29 Total
Row Description
1 Credit risk (excluding CCR) — total (excludes equity rows 11-14)
2 Of which: standardised approach (SA)
3 Of which: FIRB approach
4 Of which: slotting approach
5 Of which: AIRB approach
11 Equity positions under the IRB Transitional Approach
12 Equity investments in funds — look-through approach
13 Equity investments in funds — mandate-based approach
14 Equity investments in funds — fall-back approach
24 Amounts below deduction thresholds (250% RW) — memo
26 Output floor multiplier
27 Output floor adjustment
29 Total

Key Basel 3.1 additions (bold): equity transitional rows (11-14), output floor rows (26-27). Row UK 4a (equities under simple RW) is removed — equity goes to rows 11-14 or SA (row 2).

Scope

OV1 covers all risk categories (credit, CCR, CVA, market, operational). Only the credit risk rows (1-5, 11-14, 24) are directly populated from the RWA calculator output.

Reference Documents

  • CRR: docs/assets/crr-pillar3-risk-weighted-exposure-instructions-leverage-ratio.pdf (Annex II)
  • Basel 3.1: docs/assets/ps1-26-annex-ii-output-floor-and-capital-summaries-disclosure-instructions.pdf

CR4 — SA Exposure and CRM Effects

CR4 shows SA exposures before and after the application of credit conversion factors (CCFs) and credit risk mitigation (CRM), by exposure class. It demonstrates the net effect of CRM on the firm's SA credit risk.

Column Structure

Col Column Description
a On-BS exposures before CCF and CRM Gross on-balance sheet per Art. 111, after provisions
b Off-BS exposures before CCF and CRM Gross off-balance sheet, before CCFs and CRM
c On-BS amount post CCF and post CRM Net on-BS after all CRM and CCFs applied
d Off-BS amount post CCF and post CRM Net off-BS after all CRM and CCFs applied
e RWEAs Risk-weighted exposure amounts
f RWEA density Ratio: col e / (col c + col d)
Col Column Description
a On-BS exposures before CF and CRM Gross on-balance sheet per Art. 111, after provisions
b Off-BS exposures before CF and CRM Gross off-balance sheet, before CFs and CRM
c On-BS amount post CF and post CRM Net on-BS after all CRM and CFs applied
d Off-BS amount post CF and post CRM Net off-BS after all CRM and CFs applied
e RWEAs Risk-weighted exposure amounts
f RWEA density Ratio: col e / (col c + col d)

Column structure is unchanged. The key difference is in the row breakdowns.

Row Structure

Rows 1-16 by exposure class per Article 112 CRR (excluding securitisation). Row 16 is "Other items" (Art. 134 assets, items below deduction thresholds).

Rows 1-16 by exposure class per Article 112 of the Credit Risk: SA (CRR) Part, with additional "of which" breakdowns:

  • Specialised lending (under corporates, Art. 122A-122B)
  • Residential RE — not materially dependent on cash flows (Art. 124F, 124J(2))
  • Residential RE — materially dependent on cash flows (Art. 124G, 124J(1))
  • Commercial RE — not materially dependent on cash flows (Art. 124H, 124J(3))
  • Commercial RE — materially dependent on cash flows (Art. 124I, 124J(1))
  • Land acquisition, development and construction (Art. 124K)

Reference Documents

  • CRR: docs/assets/crr-annex-xx-instructions-regarding-disclosure.PDF (Annex XX)
  • Basel 3.1: docs/assets/ps1-26-annex-xx-credit-risk-sa-disclosure-instructions.pdf

CR5 — SA Risk Weight Allocation

CR5 shows the allocation of post-CRM SA exposure values across risk weight buckets, by exposure class. It reveals the distribution of risk across the portfolio.

Column Structure

Col Column Description
a-o Risk weights 0%-1250% Exposure value allocated to each risk weight (15 buckets)
p Total Total exposure value post CRM and post CCF
q Of which: unrated Exposures without ECAI credit assessment
Col Column Description
a-ac Risk weights 0%-1250% Exposure value allocated to each risk weight (29 buckets)
ad Total Total exposure value post CRM and post CF
ae Of which: unrated Exposures without ECAI credit assessment
ba On-BS exposure amount On-BS after provisions (pre-CF/CRM)
bb Off-BS exposure amount Off-BS pre-conversion factors
bc Weighted average CF Average conversion factor for reported row
bd Total post CF and CRM On-BS + off-BS after CFs and CRM

Key changes:

  • Risk weight buckets expand from 15 to 29 — adds 15%, 25%, 30%, 40%, 45%, 60%, 65%, 80%, 85%, 105%, 110%, 130%, 135%, 400% (removes 370%)
  • New columns ba-bd provide an on-BS/off-BS breakdown with average CCF
  • Split reporting for regulatory real estate (portion up to 55% LTV vs above)
  • Currency mismatch exposures reported against the weight that would apply without the 1.5x multiplier (RWEA still reflects it)

Row Structure

Rows 1-16 by SA exposure class. Basel 3.1 adds the same "of which" real estate and specialised lending sub-rows as CR4, plus rows 18-33 for additional risk weight allocation breakdowns.

Reference Documents

  • CRR: docs/assets/crr-annex-xx-instructions-regarding-disclosure.PDF (Annex XX)
  • Basel 3.1: docs/assets/ps1-26-annex-xx-credit-risk-sa-disclosure-instructions.pdf

CR6 — IRB Exposures by Exposure Class and PD Range

CR6 is the most detailed IRB disclosure template, showing exposure values, risk parameters (PD, LGD, maturity), RWEAs, and expected loss by fixed PD buckets for each exposure class. Separate templates are disclosed for F-IRB and A-IRB exposures.

Column Structure

Col Column Description
a PD range Fixed PD range (not alterable)
b On-BS exposures Pre-provisions, pre-CCF, pre-CRM
c Off-BS exposures pre-CCF Nominal off-BS before conversion factors
d Exposure-weighted average CCF Average CCF weighted by off-BS exposure
e Exposure value post CCF and CRM Per Art. 166, sum of on-BS + off-BS post CCF/CRM
f Exposure-weighted average PD (%) Average PD weighted by exposure value
g Number of obligors Count of rated legal entities per PD bucket
h Exposure-weighted average LGD (%) Final LGD after CRM and downturn, weighted by exposure
i Exposure-weighted average maturity (years) Per Art. 162, not disclosed for retail
j RWEAs After supporting factors (Art. 501, 501a)
k RWEA density Ratio: col j / col e
l Expected loss amount Per Art. 158
m Value adjustments and provisions Specific + general credit risk adjustments
Col Column Description
a PD range Fixed PD range — allocation uses pre-input-floor PDs
b On-BS exposures Pre-provisions, pre-CCF, pre-CRM
c Off-BS exposures pre-CCF Nominal off-BS values per Art. 166C(1), 166D(1)
d Exposure-weighted average CCF Average CCF weighted by off-BS exposure
e Exposure value post CCF and CRM Per Art. 166A-166D
f Exposure-weighted average PD (%) Post-input-floor PDs (Art. 160(1), 163(1))
g Number of obligors Count of rated legal entities per PD bucket
h Exposure-weighted average LGD (%) After CRM, including LGD input floors (Art. 161(5), 164(4))
i Exposure-weighted average maturity (years) Per Art. 162, not disclosed for retail
j RWEAs Includes post-model adjustments and mortgage RW floor; no supporting factors
k RWEA density Ratio: col j / col e
l Expected loss amount Per Art. 158, including post-model adjustments (Art. 158(6A))
m Value adjustments and provisions Specific + general credit risk adjustments

Key changes:

  • PD bucket allocation uses pre-input-floor PDs, but weighted average PD (col f) uses post-floor PDs
  • RWEA (col j) includes post-model adjustments, unrecognised exposure adjustments, and the mortgage RW floor — no longer includes supporting factors
  • Expected loss (col l) includes post-model adjustments per Art. 158(6A)
  • Slotting exposures are excluded (reported in CR10)

Row Structure — Exposure Class Breakdown

Separate template per exposure class, further broken down:

  • Corporates: SME, specialised lending, other
  • Retail: SME secured by immovable property, non-SME secured by immovable property, qualifying revolving, SME other, non-SME other

A-IRB — separate template per category:

  1. Corporates: specialised lending, other general corporates (SME), other general corporates (non-SME)
  2. Retail: secured by residential immovable property (SME/non-SME), secured by commercial immovable property (SME/non-SME), qualifying revolving, other (SME/non-SME)

F-IRB — separate template per category:

  1. Institutions
  2. Corporates: specialised lending, financial corporates and large corporates, other general corporates (SME/non-SME)

Key change: F-IRB adds financial corporates and large corporates as a separate sub-class (Art. 147(2)(c)(ii)), reflecting the Basel 3.1 restriction to F-IRB only for these counterparties.

Reference Documents

  • CRR: docs/assets/crr-pillar3-irb-credit-risk-instructions.pdf (Annex XXII)
  • Basel 3.1: docs/assets/ps1-26-annex-xxii-credit-risk-irb-disclosure-instructions.pdf

CR6-A — Scope of IRB and SA Use

CR6-A shows the split of exposures between IRB and SA approaches, including permanent partial use and roll-out plans.

Column Structure

Col Column Description
a Exposure value (Art. 166) for IRB exposures IRB exposure value only
b Total exposure value (Art. 429(4)) Both SA and IRB exposures
c % subject to permanent partial use of SA SA exposures / total
d % subject to IRB approach IRB exposures / total (F-IRB, A-IRB, slotting, equity simple RW)
e % subject to roll-out plan Exposures planned for future IRB transition
Col Column Description
a Exposure value (Art. 166A-166D) for IRB exposures IRB exposure value only
b Total exposure value (Art. 429(4)) Both SA and IRB exposures
c % subject to permanent partial use of SA SA exposures / total
d % subject to IRB approach IRB exposures / total (F-IRB, A-IRB, slotting)
e % subject to roll-out plan Exposures planned for future IRB transition

Column structure unchanged. Row breakdown restructured around roll-out classes (Art. 147B) instead of exposure classes.

Row Structure

Rows by IRB exposure class per Art. 147(2).

Rows 3.9-3.16 by roll-out class per Art. 147B, with row 5 for totals.

Reference Documents

  • CRR: docs/assets/crr-pillar3-irb-credit-risk-instructions.pdf (Annex XXII)
  • Basel 3.1: docs/assets/ps1-26-annex-xxii-credit-risk-irb-disclosure-instructions.pdf

CR7 — Credit Derivatives Effect on RWEA

CR7 shows the impact of credit derivatives used as CRM on risk-weighted exposure amounts under the IRB approach. Excludes CCR, securitisation, and equity exposures.

Column Structure

Col Column Description
a Pre-credit derivatives RWEA Hypothetical RWEA assuming no credit derivative recognition
b Actual/Post-credit derivatives RWEA RWEA after credit derivative CRM effects

Column structure is identical under both CRR and Basel 3.1.

Row Structure

Row Description
1 F-IRB subtotal
2-5 F-IRB exposure classes (central govt, institutions, corporates with breakdown)
6 A-IRB subtotal
7-9 A-IRB exposure classes (corporates with breakdown, retail with breakdown)
10 Total (F-IRB + A-IRB)
Row Description
1 F-IRB subtotal
2-3 F-IRB exposure classes
4 A-IRB subtotal
5-6 A-IRB exposure classes
7 Slotting subtotal
8 Total (F-IRB + A-IRB + Slotting)

Key change: adds slotting as a third approach category with its own subtotal row. Exposure subclass breakdowns include SME/non-SME splits where applicable.

Reference Documents

  • CRR: docs/assets/crr-pillar3-irb-credit-risk-instructions.pdf (Annex XXII)
  • Basel 3.1: docs/assets/ps1-26-annex-xxii-credit-risk-irb-disclosure-instructions.pdf

CR7-A — Extent of CRM Techniques (IRB)

CR7-A discloses the extent to which different types of funded and unfunded credit protection cover IRB exposures. Disclosed separately for F-IRB, A-IRB, and (under Basel 3.1) slotting.

Column Structure

Col Column Description
a Total exposures Exposure value post CCF (pre-CRM), per Art. 166-167
b FCP: Financial collateral (%) % covered by financial collateral (Art. 197-198)
c FCP: Other eligible collateral (%) Sum of cols d + e + f
d FCP: Immovable property (%) % covered by immovable property collateral
e FCP: Receivables (%) % covered by receivables (Art. 199(5))
f FCP: Other physical collateral (%) % covered by other physical collateral
g FCP: Other funded CP (%) Sum of cols h + i + j
h FCP: Cash on deposit (%) % covered by cash held by third party
i FCP: Life insurance policies (%) % covered by life insurance policies
j FCP: Instruments held by third party (%) % covered by repurchasable instruments
k UFCP: Guarantees (%) % covered by guarantees (Art. 213-215)
l UFCP: Credit derivatives (%) % covered by credit derivatives (Art. 204)
m RWEA post all CRM (obligor class) RWEA in original obligor exposure class
n RWEA with substitution effects RWEA in protection provider exposure class
Col Column Description
a Total exposures Exposure value post CCF (pre-CRM), per Art. 166A-166D
b FCP: Financial collateral (%) Includes on-balance sheet netting (Art. 219)
c FCP: Other eligible collateral (%) Sum of cols d + e + f
d FCP: Immovable property (%) % covered by immovable property collateral
e FCP: Receivables (%) % covered by receivables
f FCP: Other physical collateral (%) % covered by other physical collateral
g FCP: Other funded CP (%) Sum of cols h + i + j
h FCP: Cash on deposit (%) % covered by cash held by third party
i FCP: Life insurance policies (%) % covered by life insurance policies
j FCP: Instruments held by third party (%) % covered by repurchasable instruments
k UFCP: Guarantees (%) % covered by guarantees (Art. 203)
l UFCP: Credit derivatives (%) % covered by credit derivatives (Art. 204)
m RWEA post all CRM (obligor class) RWEA in original obligor exposure class
n RWEA with substitution effects RWEA in protection provider exposure class
o FCP for slotting (%) % covered by FCCM or on-BS netting (slotting only)
p UFCP for slotting (%) % covered by guarantees/credit derivatives (slotting only)

Key changes:

  • On-balance sheet netting included in financial collateral (col b)
  • Post-conversion-factor basis: CRM values multiplied by CCF where applicable
  • Slotting FCP/UFCP columns (o, p) added for slotting approach exposures
  • FIRB collateral valued under Foundation Collateral Method (Ci after haircuts)
  • AIRB collateral valued under LGD Modelling Collateral Method (estimated market value)

Row Structure

Separate disclosure for A-IRB and F-IRB. Exposure class breakdowns:

  • Corporates: SME, specialised lending (excl. slotting), other
  • Retail: SME secured by immovable property, non-SME secured by immovable property, qualifying revolving, SME other, non-SME other

Separate disclosure for A-IRB, F-IRB, and slotting. Expanded breakdowns:

  • Corporates (A-IRB): specialised lending, purchased receivables, other general corporates (SME/non-SME)
  • Retail: secured by residential immovable property (SME/non-SME), secured by commercial immovable property (SME/non-SME), qualifying revolving, purchased receivables, other (SME/non-SME)
  • Corporates (F-IRB): specialised lending, financial corporates and large corporates, other general corporates (SME/non-SME)

Key additions: purchased receivables rows, residential/commercial RE split, financial corporates sub-class.

Reference Documents

  • CRR: docs/assets/crr-pillar3-irb-credit-risk-instructions.pdf (Annex XXII)
  • Basel 3.1: docs/assets/ps1-26-annex-xxii-credit-risk-irb-disclosure-instructions.pdf

CR8 — RWEA Flow Statements (IRB)

CR8 explains the drivers of change in IRB RWEAs between disclosure periods. Institutions must supplement it with a narrative explaining material movements.

Column Structure

Col Column Description
a RWEA Total IRB risk-weighted exposure amount for credit risk

Single column — each row explains a driver of RWEA change.

Row Structure

Row Driver Description
1 RWEA at end of previous period Opening balance
2 Asset size (+/-) Organic changes in book size and composition
3 Asset quality (+/-) Rating grade migration and borrower risk changes
4 Model updates (+/-) New models, model changes, scope changes
5 Methodology and policy (+/-) Regulatory methodology changes (excl. models)
6 Acquisitions and disposals (+/-) Book size changes from M&A
7 Foreign exchange movements (+/-) Currency translation effects
8 Other (+/-) Residual — must be explained in narrative
9 RWEA at end of disclosure period Closing balance

The structure is identical under CRR and Basel 3.1. The only difference is that Basel 3.1 RWEAs in rows 1 and 9 no longer include supporting factor adjustments (Art. 501, 501a removed).

Reference Documents

  • CRR: docs/assets/crr-pillar3-irb-credit-risk-instructions.pdf (Annex XXII)
  • Basel 3.1: docs/assets/ps1-26-annex-xxii-credit-risk-irb-disclosure-instructions.pdf

CR10 — Slotting Approach Exposures

CR10 discloses specialised lending exposures under the slotting approach (and, under CRR only, equity exposures under the simple risk-weighted approach).

Column Structure

Col Column Description
a On-BS exposures On-balance sheet exposure value (Art. 166(1)-(7), 167(1))
b Off-BS exposures Off-balance sheet exposure value pre-CCF
c Risk weight Fixed column — per Art. 153(5) for slotting, Art. 155(2) for equity
d Exposure value Post CCF — sum of on-BS + off-BS post conversion
e RWEA After supporting factors (Art. 501, 501a) for slotting; per Art. 155(2) for equity
f Expected loss amount Per Art. 158(6) for slotting, Art. 158(7) for equity
Col Column Description
a On-BS exposures On-balance sheet exposure value
b Off-BS exposures Off-balance sheet exposure value pre-CCF (Art. 166A-166C)
c Risk weight Fixed column — per Table A, Art. 153(5)
d Exposure value Post CCF and CRM
e RWEA Per Art. 153(5) — no supporting factors
f Expected loss amount Per Art. 158(6)

Key changes:

  • No supporting factors in RWEA (Art. 501, 501a removed)
  • Exposure value (col d) includes post-CRM effects
  • No equity sub-template — equity exposures reported under the IRB Transitional Approach (OV1 row 11) or SA (CR4/CR5)

Sub-Templates

Template Exposure Type
CR10.1 Project finance
CR10.2 Income-producing real estate and HVCRE
CR10.3 Object finance
CR10.4 Commodities finance
CR10.5 Equity under simple risk-weighted approach

Rows by regulatory category (Strong, Good, Satisfactory, Weak, Default) with fixed risk weights per Art. 153(5) Table 1 (slotting) or Art. 155(2) (equity).

Template Exposure Type
CR10.1 Project finance
CR10.2 Income-producing real estate
CR10.3 Object finance
CR10.4 Commodities finance
CR10.5 High volatility commercial real estate (HVCRE)

Key changes:

  • HVCRE separated into its own sub-template (was combined with IPRE in CRR)
  • Equity removed — goes to IRB Transitional Approach or end-state SA
  • Rows by regulatory category per Art. 153(5) Table A

Reference Documents

  • CRR: docs/assets/crr-pillar3-specialised-lending-instructions.pdf (Annex XXIV)
  • Basel 3.1: docs/assets/ps1-26-annex-xxiv-credit-risk-irb-disclosure-instructions.pdf

See Also