Reporting Differences¶

Under Basel 3.1, COREP credit risk templates are renamed from the C prefix to OF (Own Funds) and undergo significant structural changes. This page summarises the key differences. For complete column and row definitions, see the full COREP template specification.

Template Overview¶

Structural Summary¶

C 07.00 / OF 07.00 — CR SA¶

Column Changes¶

Row Changes¶

Section 1 — "Of Which" Breakdowns¶

Section 3 — Risk Weight Bands¶

CRR defines 15 risk weight rows. Basel 3.1 expands to 29 rows:

The additional bands reflect Basel 3.1's more granular LTV-based real estate weights, corporate sub-categories (investment grade 65%, SME 85%), and income-producing property weights.

Section 4 — CIU Approach¶

CRR has 3 rows; Basel 3.1 has 5 — adds "of which: exposures to relevant CIUs" sub-rows (0284, 0285) under look-through and mandate-based approaches.

Section 5 — Memorandum Items¶

C 08.01 / OF 08.01 — CR IRB Totals¶

Column Changes¶

Row Changes¶

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

C 08.03 / OF 08.03 — CR IRB PD Ranges¶

This template aggregates IRB exposures into fixed PD range buckets for disclosure purposes. It excludes slotting exposures (reported in C 08.06 / OF 08.06) and CCR exposures.

Column Changes¶

Row Changes¶

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

This template reports quarter-over-quarter movements in IRB RWEA, decomposed into seven driver categories. It excludes CCR exposures.

Column Changes¶

Row Changes¶

No row changes. The same 9 rows (0010–0090) are used in both frameworks: previous period RWEA, asset size, asset quality, model updates, methodology and policy, acquisitions and disposals, FX movements, other, current period RWEA.

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

This template reports specialised lending exposures subject to the supervisory slotting criteria, broken down by slotting category and remaining maturity.

Column Changes¶

Row Changes¶

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

This template reports the split of exposures between SA and IRB approaches, showing coverage percentages and RWEA attribution. Significantly expanded in Basel 3.1.

Column Changes¶

Row Changes¶

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

This template provides a geographical breakdown of SA exposures by country of obligor residence. Submitted once at total level and once per material country.

Column Changes¶

Row Changes¶

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

This template provides a geographical breakdown of IRB exposures by country of obligor residence. Submitted once at total level and once per material country.

Column Changes¶

Row Changes¶

C 02.00 / OF 02.00 — Own Funds Requirements (CA2)¶

This is the master template aggregating RWEA across all risk types. Under Basel 3.1, it gains two new columns for the output floor calculation — this is where the floor is actually applied at the total capital level.

Column Changes¶

Under CRR, C 02.00 had only column 0010. The two new columns enable the supervisory comparison between modelled and standardised RWEA at each row level.

Row Changes — Credit Risk¶

Row Changes — Non-Credit Risk¶

How the Output Floor Flows Through¶

OF 08.01 / 08.02 cols 0275–0276     →  SA-equivalent RWEA per IRB exposure class
  ↓ aggregated into
OF 02.00 col 0020 (SA-only RWEA)    →  S-TREA components by risk type
  ↓ compared against
OF 02.00 col 0010 (all approaches)  →  U-TREA components by risk type
  ↓ floor applied
OF 02.00 col 0030 (output floor)    →  TREA = max(U-TREA, x × S-TREA + OF-ADJ)

OF 02.01 — Output Floor (New)¶

A new template with no CRR equivalent. Provides the output floor comparison at the total risk type level for firms using internal models. This template does NOT apply the floor multiplier — it provides the raw comparison data. The actual floor application happens in OF 02.00 column 0030.

Scope: OF 02.01 is required for IM firms in scope of the output floor, applied on:

• consolidated basis at the UK group level
• individual basis for UK standalone firms
• sub-consolidated basis for ring-fenced bank (RFB) sub-groups

Columns¶

Rows¶

The floor is then calculated externally: TREA = max(row 0080 col 0030, x × row 0080 col 0040 + OF-ADJ) where x is the transitional floor percentage (50% in 2027 → 72.5% in 2032+).

Relationship to Pillar III Disclosure¶

Key Themes¶

The template changes across all nine credit risk templates reflect five Basel 3.1 themes:

1. Removal of capital relief mechanisms — supporting factor columns removed across all templates: SA (0215–0217), IRB (0255–0257), slotting (0080), PD ranges (0090), geographical SA (0080–0082), geographical IRB (0110, 0121–0122). Double default (0220) also removed.
2. Output floor infrastructure — new columns (0275–0276) in IRB templates report SA-equivalent values for floor calculation. These feed into OF 02.00 columns 0020/0030 (output floor at total capital level) and the new OF 02.01 template (U-TREA vs S-TREA comparison).
3. Greater granularity — expanded SA risk weight bands (15 → 29), detailed real estate breakdowns replacing broad mortgage rows (OF 07.00 rows 0330–0360, OF 09.01 rows 0091–0094), specialised lending sub-categories across SA and IRB geo breakdowns, new corporate sub-rows in OF 09.02 (financial corporates, purchased receivables).
4. Post-model oversight — new adjustment columns (0251–0254, 0281–0282) in IRB templates capture model overlays and regulatory floors separately from raw model output.
5. Expanded scope-of-use transparency — OF 08.07 expands from 5 to 18 columns, requiring firms to decompose their SA RWEA by reason for SA use (connected counterparties, immaterial exposures, roll-out plan, etc.) and report materiality thresholds. Rows restructured from exposure classes to roll-out classes (Art 147B).

See Also¶

• Full COREP template specification — complete column and row definitions with source code references
• Key Differences — regulatory parameter comparison
• Reporting API — COREPGenerator and COREPTemplateBundle classes