Disclosure Differences
Under Basel 3.1, Pillar III credit risk disclosure templates are renamed from the UK prefix
to UKB and undergo structural changes reflecting the new regulatory framework. This page
summarises the key differences. For complete column and row definitions, see the
full Pillar III disclosure specification.
Template Overview
| Template |
CRR Name |
Basel 3.1 Name |
Purpose |
| OV1 |
UK OV1 |
UKB OV1 |
Overview of RWEAs |
| CR4 |
UK CR4 |
UKB CR4 |
SA exposure & CRM effects |
| CR5 |
UK CR5 |
UKB CR5 |
SA risk weight allocation |
| CR6 |
UK CR6 |
UKB CR6 |
IRB exposures by PD range |
| CR6-A |
UK CR6-A |
UKB CR6-A |
Scope of IRB/SA use |
| CR7 |
UK CR7 |
UKB CR7 |
Credit derivatives effect on RWEA |
| CR7-A |
UK CR7-A |
UKB CR7-A |
Extent of CRM techniques (IRB) |
| CR8 |
UK CR8 |
UKB CR8 |
RWEA flow statements (IRB) |
| CR10 |
UK CR10 |
UKB CR10 |
Slotting approach exposures |
Structural Summary
| Area |
CRR (UK templates) |
Basel 3.1 (UKB templates) |
| Naming prefix |
UK (e.g., UK CR6) |
UKB (e.g., UKB CR6) |
| OV1 equity rows |
Row UK 4a (equity simple RW) |
Rows 11-14 (IRB transitional, CIU fund approaches) |
| OV1 output floor |
Not applicable |
Row 26 (floor multiplier), row 27 (floor adjustment) |
| OV1 pre-floor ratios |
Not applicable |
Rows 4a, 5a-b, 6a-b, 7a-b |
| CR5 risk weight columns |
15 buckets (a-o) |
29 buckets (a-ac) — adds 14 granular weights |
| CR5 exposure breakdown |
Total only (p, q) |
Total + on-BS/off-BS/avg CCF/total (ad-ae, ba-bd) |
| CR6 PD allocation |
Based on estimated PD |
Based on pre-input-floor PDs |
| CR6 RWEA |
Includes supporting factors |
Includes post-model adjustments; no supporting factors |
| CR6 F-IRB breakdown |
Corporates: SME, SL, other |
Adds financial corporates and large corporates |
| CR6-A row structure |
By exposure class (Art. 147) |
By roll-out class (Art. 147B) |
| CR7 approach categories |
F-IRB, A-IRB (2 subtotals) |
F-IRB, A-IRB, slotting (3 subtotals) |
| CR7-A columns |
a-n (14 columns) |
a-p (16 columns — adds slotting FCP/UFCP) |
| CR7-A CRM basis |
Pre-CCF |
Post-conversion-factor basis |
| CR7-A financial collateral |
Financial collateral only |
Includes on-balance sheet netting |
| CR7-A retail RE split |
"Secured by immovable property" |
Residential vs commercial immovable property |
| CR7-A new rows |
— |
Purchased receivables (corporate and retail) |
| CR10 sub-templates |
5 (PF, IPRE+HVCRE, OF, CF, equity) |
5 (PF, IPRE, OF, CF, HVCRE) — equity removed |
| CR10 RWEA |
After supporting factors |
No supporting factors |
| Supporting factors |
Reflected in CR6 col j, CR10 col e |
Removed throughout |
OV1 — Overview of RWEAs
Row Changes
| Change |
Row(s) |
Description |
| Removed |
UK 4a |
Equities under simple risk-weighted approach |
| Added |
11 |
Equity positions under IRB Transitional Approach |
| Added |
12 |
Equity investments in funds — look-through approach |
| Added |
13 |
Equity investments in funds — mandate-based approach |
| Added |
14 |
Equity investments in funds — fall-back approach |
| Added |
4a |
Total RWEAs (pre-floor) |
| Added |
5a-b, 6a-b, 7a-b |
Pre-floor capital ratios (CET1, Tier 1, Total) |
| Added |
26 |
Output floor multiplier |
| Added |
27 |
Output floor adjustment |
CR4 — SA Exposure & CRM Effects
Row Changes
| Change |
Description |
| Added |
"Of which: specialised lending" under corporates (Art. 122A-122B) |
| Added |
"Of which: residential RE — not materially dependent" (Art. 124F, 124J(2)) |
| Added |
"Of which: residential RE — materially dependent" (Art. 124G, 124J(1)) |
| Added |
"Of which: commercial RE — not materially dependent" (Art. 124H, 124J(3)) |
| Added |
"Of which: commercial RE — materially dependent" (Art. 124I, 124J(1)) |
| Added |
"Of which: land acquisition, development and construction" (Art. 124K) |
Column structure unchanged (a-f).
CR5 — SA Risk Weight Allocation
Column Changes
| Change |
Col(s) |
Description |
| Expanded |
a-ac |
29 risk weight buckets (was a-o, 15 buckets). Adds 15%, 25%, 30%, 40%, 45%, 60%, 65%, 80%, 85%, 105%, 110%, 130%, 135%, 400%. Removes 370%. |
| Renamed |
ad |
Total (was col p) |
| Renamed |
ae |
Of which: unrated (was col q) |
| Added |
ba |
On-BS exposure amount (pre-CF/CRM) |
| Added |
bb |
Off-BS exposure amount (pre-CF) |
| Added |
bc |
Weighted average conversion factor |
| Added |
bd |
Total post CF and CRM |
Reporting Rules
- Regulatory RE (not dependent on cash flows): reported in two parts — portion up to 55%
LTV and portion above 55% LTV
- Currency mismatch exposures: reported against the risk weight that would apply
without the 1.5x multiplier, but RWEA reflects the multiplier
- Equity exposures under transitional provisions: reported against end-state SA risk
weights, but RWEA reflects transitional provisions
CR6 — IRB Exposures by PD Range
Column Changes
| Change |
Col(s) |
Description |
| Changed |
a |
PD bucket allocation uses pre-input-floor PDs (was estimated PD) |
| Changed |
f |
Weighted average PD uses post-input-floor PDs (Art. 160(1), 163(1)) |
| Changed |
h |
LGD includes input floors (Art. 161(5), 164(4)) |
| Changed |
j |
RWEA includes post-model adjustments, mortgage RW floor; no supporting factors |
| Changed |
l |
Expected loss includes post-model adjustments (Art. 158(6A)) |
Row Changes
| Change |
Description |
| Added |
F-IRB: financial corporates and large corporates (Art. 147(2)(c)(ii)) |
| Added |
A-IRB retail: commercial immovable property (SME/non-SME) |
| Changed |
Slotting exposures excluded (was included under corporates — now in CR10) |
| Removed |
Supporting factor adjustments from RWEA |
CR6-A — Scope of IRB/SA Use
| Change |
Description |
| Changed |
Row structure based on roll-out classes (Art. 147B) instead of exposure classes |
| Changed |
IRB approach column includes F-IRB, A-IRB, and slotting (no longer includes equity simple RW) |
CR7 — Credit Derivatives Effect on RWEA
| Change |
Description |
| Added |
Slotting as third approach category with its own subtotal row |
| Changed |
Rows restructured: F-IRB (rows 1-3), A-IRB (rows 4-6), slotting (row 7), total (row 8) |
CR7-A — Extent of CRM Techniques
Column Changes
| Change |
Col(s) |
Description |
| Changed |
b |
Financial collateral now includes on-balance sheet netting (Art. 219) |
| Added |
o |
Part of exposure covered by funded CP — slotting only (FCCM + netting) |
| Added |
p |
Part of exposure covered by unfunded CP — slotting only |
Row Changes
| Change |
Description |
| Added |
Slotting section (separate from F-IRB and A-IRB) |
| Added |
Purchased receivables rows (corporate and retail) |
| Changed |
Retail RE split into residential (SME/non-SME) and commercial (SME/non-SME) |
| Changed |
All CRM percentages on post-conversion-factor basis |
| Changed |
F-IRB uses Foundation Collateral Method (Ci after haircuts, capped at exposure) |
| Changed |
A-IRB uses LGD Modelling Collateral Method (estimated market value, capped) |
CR8 — RWEA Flow Statements
| Change |
Description |
| No structural changes |
Same 9-row flow statement (opening, 7 drivers, closing) |
| Changed |
RWEA no longer includes supporting factor adjustments |
CR10 — Slotting Approach Exposures
Sub-Template Changes
| CRR |
Basel 3.1 |
Change |
| CR10.1 — Project finance |
CR10.1 — Project finance |
Unchanged |
| CR10.2 — IPRE and HVCRE |
CR10.2 — Income-producing RE |
HVCRE separated out |
| CR10.3 — Object finance |
CR10.3 — Object finance |
Unchanged |
| CR10.4 — Commodities finance |
CR10.4 — Commodities finance |
Unchanged |
| CR10.5 — Equity (simple RW) |
CR10.5 — HVCRE |
Equity removed; HVCRE takes slot |
Column Changes
| Change |
Col(s) |
Description |
| Changed |
d |
Exposure value now includes post-CRM effects |
| Changed |
e |
RWEA no longer includes supporting factors |
Key Themes
The disclosure template changes reflect four Basel 3.1 themes:
-
Output floor transparency — OV1 gains rows 26-27 and pre-floor ratio rows,
giving market participants visibility into the floor's capital impact
-
Granular real estate and specialised lending — CR4, CR5, and CR7-A gain
detailed sub-rows for regulatory RE categories (residential/commercial, cash-flow
dependency, ADC) and SA specialised lending (Art. 122A-122B)
-
Equity transitional treatment — equity moves from the simple risk-weighted
approach (OV1 row UK 4a, CR10.5) to the IRB Transitional Approach (OV1 rows 11-14)
or end-state SA (CR4/CR5)
-
Removal of capital relief mechanisms — supporting factors (Art. 501, 501a)
removed from CR6 RWEA and CR10 RWEA; post-model adjustments replace them
as the regulatory overlay mechanism
See Also