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¶

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"]
    IRB --> CR9["<b>CR9</b><br/>PD Back-Testing"]
    IRB --> CR9_1["<b>CR9.1</b><br/>PD Back-Testing (ECAI)"]

    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 CR9 fill:#e3f2fd,stroke:#1e88e5
    style CR9_1 fill:#e3f2fd,stroke:#1e88e5
    style CR10 fill:#f3e5f5,stroke:#8e24aa

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¶

Row Structure (Credit Risk Rows)¶

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.

Population. CR4 and CR5 cover SA credit risk only (Art. 444(e)): counterparty credit risk legs (SA-CCR derivative netting sets, FCCM SFTs), CCP default-fund contributions and settlement failed trades are excluded from every cell — they are disclosed in the CCR-series templates instead (mirroring OV1's "credit risk excluding CCR" row 1, and deliberately the opposite of COREP C 07.00, which includes CCR by risk type). Synthetic facility_undrawn legs are genuine undrawn commitments and are reported off-balance-sheet. Every column of a row therefore reads the same population, so RWEA and the on/off-balance-sheet splits internally reconcile.

Column Structure¶

Row Structure¶

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¶

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.

Population. CR6 (and CR10) cover IRB credit risk only. The irb_scope.irb_credit_risk_population narrowing — the IRB mirror of the CR4/CR5 sa_scope decision — drops the non-credit-risk synthetic legs from every cell: SA-CCR derivative netting sets and FCCM SFTs, CCP default-fund contributions (Art. 307-309) and settlement failed trades (Art. 378-380). These are disclosed in the CCR-series templates (CCR1-CCR8, Art. 439; EU 2021/637 Annex XXII scopes the IRB templates to credit risk) instead — deliberately the opposite of COREP C 08.x, which keeps CCR legs in its EAD/RWEA population. The synthetic facility_undrawn leg is a genuine undrawn commitment (Art. 111) and is reclassified off-balance-sheet locally, so the average-CCF column (col d) counts it. The on-BS / off-BS gross columns (b / c) bind the sealed per-side gross carriers (reporting_gross_on_bs / reporting_gross_off_bs, sealed at the aggregator exit per CRR Art. 111 / Art. 166), so the undrawn headroom is counted exactly once and every column of a row reads the same population — RWEA and the on/off-balance-sheet splits internally reconcile.

Column Structure¶

Row Structure — Fixed PD Scale¶

Each class sheet carries the same fixed 17-row PD scale, which is hierarchical, not a partition: four of its bands repeat their span as the finer sub-breakdown indented beneath them, so a parent row overlaps its children and equals their sum. Aggregating across rows must use the leaf bands only.

Row Structure — Exposure Class Breakdown¶

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¶

Row Structure¶

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¶

Column structure is identical under both CRR and Basel 3.1.

Row Structure¶

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¶

Row Structure¶

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¶

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

Row Structure¶

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

CR9 — IRB PD Back-Testing per Exposure Class¶

CR9 is a mandatory Basel 3.1 disclosure (Art. 452(h)) with no CRR equivalent. It provides PD back-testing data per exposure class, showing how well the institution's PD estimates predicted actual defaults. Separate templates are disclosed for F-IRB and A-IRB approaches, with one template per exposure class within each approach.

Column Structure¶

Row Structure — Exposure Class Breakdown¶

CR9 follows the same F-IRB and A-IRB sub-class breakdown as CR6 — see CR6 — Row Structure — Exposure Class Breakdown above. PS1/26 Annex XXII para 12 directs institutions to disclose two separate sets of templates (one for F-IRB, one for A-IRB) with one template per exposure class, using the same sub-class definitions referenced in Article 147(2)(b)–(d) of the IRB CRR Part. The verbatim row definitions for column a are reproduced below for convenience.

Key Differences from CR6¶

• PD allocation: CR9 uses PD at the beginning of the disclosure period, while CR6 uses the pre-input-floor PD. The pipeline approximates beginning-of-period PD with irb_pd_original (pre-floor model output).
• Back-testing focus: CR9 is about model validation (predicted vs actual defaults), not risk parameter disclosure.
• Historical data: Col h requires a 5-year lookback of annual default rates. When historical data is absent, the current-period observed rate is used as a single-period approximation.

Known Approximations¶

• Beginning-of-period PD (col b allocation) approximated by irb_pd_original
• Historical annual default rate (col h) falls back to current-period observed rate
• Prior-year obligor count (col c) falls back to current-period count

Reference Documents¶

• Basel 3.1: docs/assets/ps1-26-annex-xxii-credit-risk-irb-disclosure-instructions.pdf — paras 12-15 (template scope and disclosure rules) on p.18; column a row definitions for A-IRB and F-IRB on pp.19-20; column b-h instructions on pp.20-22.
• PRA PS1/26 Appendix 1: docs/assets/ps126app1.pdf — Art. 147(2)(b)-(d) for IRB exposure-class definitions; Art. 147A for the A-IRB restriction that drives the F-IRB "financial corporates and large corporates" sub-class.

CR9.1 — IRB PD Back-Testing for ECAI Mapping¶

CR9.1 is supplementary to CR9, required only when an institution uses Art. 180(1)(f) of the Credit Risk: IRB Part for PD estimation based on ECAI mappings. Basel 3.1 only.

Structure¶

Same as CR9 with the following exceptions:

• Col b: PD ranges based on the firm's internal grades mapped to the ECAI scale (variable-width, not the fixed 17-bucket structure)
• Additional columns: One column per ECAI considered, showing the external rating to which internal PD ranges are mapped

Implementation Status¶

CR9.1 template definitions are in place but generation requires ECAI mapping data not currently available in the pipeline. The template will return no data until the pipeline provides firm-defined PD range to internal grade mapping and ECAI names with their rating scale mappings.

Reference Documents¶

• Basel 3.1: docs/assets/ps1-26-annex-xxii-credit-risk-irb-disclosure-instructions.pdf (para 15)

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).

Population. CR10 shares CR6's IRB credit-risk scope: the irb_scope.irb_credit_risk_population narrowing drops the non-credit-risk synthetic CCR / settlement legs (disclosed in the CCR-series instead) and reclassifies the facility_undrawn commitment leg off-balance-sheet, and the on-BS / off-BS gross columns (a / b) bind the sealed per-side gross carriers (reporting_gross_on_bs / reporting_gross_off_bs).

Details: See CR6 — Population for the shared IRB credit-risk scope decision and the sealed side-carrier basis.

Column Structure¶

Sub-Templates¶

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

UKB CMS1 — Output Floor Comparison by Risk Type (Art. 456(1)(a))¶

Basel 3.1 only — no CRR equivalent. Institutions subject to the output floor must disclose a comparison between full standardised RWA and modelled RWA by risk type.

Regulatory basis: PRA PS1/26 Art. 456(1)(a), Art. 2a(1)

Column Structure¶

Row Structure¶

Implementation Notes¶

• The columns partition each row. Annex II defines cell 0010/a as the exposures "where the RWA is not computed based on the standardised approach (ie subject to the credit risk IRB approaches (F-IRB, A-IRB and supervisory slotting))", cell 0010/b as the RWA "which result from applying the … standardised approach", and cell 0010/c as "the sum of cells 0010/a and 0010/b". That sum is only the row's whole RWA because a and b partition it.
• Col a — modelled: rwa_final over {F-IRB, A-IRB, supervisory slotting}. Slotting is Art. 153(5) — an IRB-chapter approach.
• Col b — the complement of col a, never an allow-list of approach labels. It therefore includes SA-CCR legs and equity ("exposures calculated according to the SA for credit risk include equity exposures subject to the IRB Equity Transitional"). An approach label the template does not recognise falls into b rather than into neither column.
• Col c = a + b (the Annex II intra-row sum).
• Col d — the SA-equivalent of that row's population, not of the whole book: "RWA as would result from applying the … standardised approach to all exposures giving rise to the RWA reported in cell 0010/c". It spans both the modelled and standardised sides of the row.
• Rows 0010 and 0020 partition the credit-risk book by risk type. Row 0010 ("Credit risk") "excludes … capital requirements relating to a counterparty credit risk charge, which are reported in row 0020"; row 0020 (CCR) carries the SA-CCR derivative netting sets, FCCM SFT legs and CCP default-fund contributions. Row 0020 is bound, so it reports 0.0 on a book with no CCR rather than a misleading null. Row 0080 (Total) is the whole book, and hence their sum.
• Rows 0030–0070 (CVA, securitisation, market risk, op risk, residual) are null — genuinely outside a credit-risk calculator's scope, and null is not the same claim as 0.0.
• CCR membership is keyed by risk_type, 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.

Col d — pre-OF-ADJ S-TREA input (reconciles to OF 02.01 col 0040)¶

Column d is the S-TREA input to the output floor formula before the floor multiplier x is applied and before OF-ADJ is added — not the post-floor RWA. Row for row, it matches the S-TREA reported in supervisory return OF 02.01 col 0040 ("Standardised total RWA — multiplier not applied"), which shares CMS1's risk-type row axis (0010 credit risk excluding CCR, 0020 CCR, 0080 total). The full TREA formula is:

TREA = max{U-TREA; x · S-TREA + OF-ADJ}
OF-ADJ = 12.5 · (IRB T2 − IRB CET1 − GCRA + SA T2)

Source: PRA PS1/26 Art. 92(2A), docs/assets/ps126app1.pdf page 13.

UKB CMS2 — Output Floor Comparison by Asset Class (Art. 456(1)(b))¶

Basel 3.1 only — no CRR equivalent. Breaks down the credit risk comparison at asset class level.

Regulatory basis: PRA PS1/26 Art. 456(1)(b), Art. 2a(2)

Column Structure¶

Row Structure¶

Implementation Notes¶

• Col a: IRB + slotting RWA per exposure class (the modelled approaches)
• Col b: sa_rwa for modelled exposures (SA-equivalent recalculation of col a's population)
• Col c: the class's whole actual RWA — no approach filter, so modelled and standardised alike
• Col d: sa_rwa for all exposures in each class
• Sub-rows 0041/0042 filter by approach (F-IRB/A-IRB within corporates)
• Sub-rows 0044, 0045, 0054 are null (require pipeline data not yet available)
• CVA and securitisation are out of scope. Counterparty credit risk is not excluded: CMS2's row axis is the Art. 147 asset class, so an SA-CCR leg reports in its counterparty's class row (a bank counterparty under row 0020, Institutions) and in the col c total. CMS2 is the template that caught CMS1 dropping the CCR charge — the two disagreed by exactly the derivative RWEA on the same book (2,500,000 vs 4,060,296.72), and CMS2 was the one telling the truth.

Col d — pre-OF-ADJ S-TREA at asset-class granularity¶

CMS2 col d carries the same pre-OF-ADJ S-TREA semantics as CMS1 col d, broken down by asset class instead of by risk type. The vertical sum of CMS2 col d (row 0070 "Total") equals the credit-risk component of CMS1 col d row 0010, which in turn equals the credit-risk slice of OF 02.01 col 0040 (S-TREA — multiplier not applied). Neither CMS1 col d nor CMS2 col d have the floor multiplier x or OF-ADJ applied; both feed the un-multiplied S-TREA leg of TREA = max{U-TREA; x · S-TREA + OF-ADJ} (Art. 92(2A), docs/assets/ps126app1.pdf p. 13).

The 1.25% S-TREA cap on the GCRA component of OF-ADJ (Art. 92(2A)) is therefore also gated by the sum of CMS2 col d across all asset classes for the credit-risk portion of S-TREA. See the CMS1 col d cross-reference admonition above for the full reconciliation and links to the OF-ADJ formula and GCRA cap.

Excel Export¶

from pathlib import Path
from rwa_calc.reporting.pillar3.generator import Pillar3Generator

generator = Pillar3Generator()
bundle = generator.generate(response)
result = generator.export_to_excel(bundle, Path("pillar3_disclosures.xlsx"))
# UK-prefixed sheets under CRR (e.g. "UK OV1"), UKB-prefixed under Basel 3.1

See Also¶

• COREP Reporting — supervisory return templates (C 07.00, C 08.01, C 08.02)
• Reporting Differences — CRR vs Basel 3.1 COREP changes
• Disclosure Differences — CRR vs Basel 3.1 Pillar III changes
• Reporting API — COREPGenerator and COREPTemplateBundle classes