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Output & Reporting

Functional Requirements

ID Requirement Priority Status
FR-4.1 Aggregated RWA by approach (SA, F-IRB, A-IRB, Slotting, Equity) P0 Done
FR-4.2 Aggregated RWA by exposure class (9 classes) P0 Done
FR-4.3 Basel 3.1 output floor calculation with transitional phase-in schedule P1 Done
FR-4.4 Pre/post-CRM RWA breakdown with guarantee benefit attribution P1 Done
FR-4.5 Exposure-level detail output with all intermediate calculations P1 Done
FR-4.6 COREP template generation (CRR reporting) P3 Done
FR-4.7 Excel / Parquet export of results P2 Done

Output Floor (Basel 3.1)

Description

IRB RWA must be at least X% of what SA-equivalent RWA would produce. Transitional phase-in:

Year Floor Percentage Reference
2027 60% PRA PS1/26 Art. 92(5)
2028 65% PRA PS1/26 Art. 92(5)
2029 70% PRA PS1/26 Art. 92(5)
2030+ 72.5% PRA PS1/26 Art. 92(5)

Output Floor Adjustment (OF-ADJ)

PRA PS1/26 Art. 92 defines the output floor formula:

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

Where: - U-TREA = un-floored total risk exposure amount (para 3) - S-TREA = standardised total risk exposure amount (para 3A) — calculated WITHOUT IRB, SFT VaR, SEC-IRBA, IAA, IMM, or IMA - x = floor multiplier from transitional schedule (60%-72.5%) - OF-ADJ = 12.5 × (IRB_T2 - IRB_CET1 - GCRA + SA_T2) — adjusts for approach-specific deductions

Component Description
IRB_T2 IRB-specific T2 deductions (provisioning shortfall)
IRB_CET1 IRB-specific CET1 deductions (EL shortfall)
GCRA General credit risk adjustment included in T2
SA_T2 SA-specific T2 deductions

Status

  • Engine implemented — Done
  • Phase-in schedule validation tests — Done (6 acceptance tests in test_scenario_b31_f_output_floor.py)

COREP Templates

Description

Regulatory reporting templates for CRR / Basel 3.1 firms following the EBA/PRA COREP structure. CRR templates use the C prefix (Regulation (EU) 2021/451); Basel 3.1 templates use the OF prefix (PRA PS1/26).

Each template is submitted once per exposure class — the exposure class acts as a filter, not a row dimension. Within each submission, rows are organised into sections (totals, exposure type breakdown, risk weight breakdown, memorandum items).

Templates

  • C 02.00 / OF 02.00 — Own Funds Requirements: master template aggregating RWEA across all risk types. 1 column (CRR) / 3 columns (Basel 3.1). Basel 3.1 adds col 0020 (SA-only RWEA for floor comparison) and col 0030 (output floor RWEA after applying floor multiplier and OF-ADJ). Rows restructured: FIRB/AIRB/Slotting separated, corporate and retail subclass breakdowns added, slotting by 5 SL types, market risk expanded for ASA/IMA.
  • OF 02.01 — Output Floor (new, no CRR equivalent): dedicated output floor comparison for IM firms. 4 columns: modelled RWA (0010), SA portfolio RWA (0020), U-TREA (0030), S-TREA (0040). 8 rows by risk type (credit, CCR, CVA, securitisation, market, op risk, residual, total). Does not apply the floor multiplier — provides raw comparison data for OF 02.00.
  • C 07.00 / OF 07.00 — CR SA: one submission per SA exposure class. 24 columns (CRR) / 22 columns (Basel 3.1) covering original exposure, provisions, CRM substitution effects, Financial Collateral Comprehensive Method, CCF breakdown, exposure value, and RWEA. 5 row sections: totals, exposure types (on-BS/off-BS/CCR), risk weights (15 bands CRR / 29 bands Basel 3.1), CIU approach, memorandum items.
  • C 08.01 / OF 08.01 — CR IRB totals: one submission per IRB exposure class × own-estimates filter. 33 columns (CRR) / 40+ columns (Basel 3.1) covering PD, original exposure, CRM substitution effects, CRM in LGD estimates (detailed collateral breakdown), exposure value, LGD, maturity, RWEA, expected loss, provisions, obligor count. Basel 3.1 adds post-model adjustment and output floor columns.
  • C 08.02 / OF 08.02 — CR IRB by obligor grade: same columns as C 08.01 with dynamic rows (one per firm-specific internal rating grade/pool, ordered by PD).
  • C 08.03 / OF 08.03 — CR IRB PD ranges: one submission per IRB exposure class. 11 columns covering on/off-BS, avg CCF, exposure value, avg PD, obligors, avg LGD, avg maturity, RWEA, EL, provisions. Rows are 17 fixed PD range buckets (0.00–0.15 through 100% default). Basel 3.1: PD and LGD columns reflect input floors, supporting factors removed, slotting excluded.
  • C 08.04 / OF 08.04 — CR IRB RWEA flow statements: one submission per IRB exposure class. 1 column (RWEA), 9 rows (previous period, 7 movement categories, current period). Virtually identical between CRR and Basel 3.1 (supporting factors no longer mentioned).
  • C 08.06 / OF 08.06 — CR IRB specialised lending slotting: one submission per SL type. 10 columns (CRR) / 11 columns (Basel 3.1 adds FCCM). Rows by slotting category (1–5) × maturity band. Basel 3.1 adds "substantially stronger" sub-categories and separates HVCRE from IPRE (5 SL types vs 4).
  • C 08.07 / OF 08.07 — CR IRB scope of use: one submission covering all exposure/roll-out classes. 5 columns (CRR) / 18 columns (Basel 3.1 — significantly expanded with RWEA breakdown by SA reason and materiality thresholds). Rows change from exposure classes to roll-out classes (Art 147B).
  • C 09.01 / OF 09.01 — CR GB 1 geographical breakdown SA: one submission per country. 13 columns (CRR) / 10 columns (Basel 3.1) covering original exposure, defaults, provisions, exposure value, RWEA. Rows by SA exposure class. Basel 3.1: supporting factor columns removed, real estate rows restructured (regulatory residential/commercial RE sub-rows).
  • C 09.02 / OF 09.02 — CR GB 2 geographical breakdown IRB: one submission per country. 17 columns (CRR) / 15 columns (Basel 3.1) covering exposure, defaults, provisions, PD, LGD, RWEA, EL. Basel 3.1: adds defaulted exposure value column, removes supporting factors, adds corporate sub-rows, restructures retail RE rows, removes equity.

Basel 3.1 Reporting Field Additions

OF 07.00 (SA) — new columns vs CRR C 07.00: - Col 0035: (-) Adjustment for on-balance sheet netting (Art. 219) - Col 0160-0190: Off-balance sheet breakdown now uses 5 CCF bands (10%, 20%, 40%, 50%, 100%) instead of 4 - Rows 0021-0026: Specialised lending sub-types (object, commodities, project finance phases) - Rows 0330-0360: Real estate sub-breakdowns (regulatory RESI/CRE, dependent/not, ADC) - Row 0380: Currency mismatch multiplier (retail and real estate)

OF 08.01 (IRB) — new columns vs CRR C 08.01: - Col 0101-0104: FCCM adjustments (slotting only) - Col 0125: Of which: defaulted exposure value - Col 0251: RWEA pre-adjustments - Col 0252: Adjustment for post-model adjustments - Col 0253: Adjustment for mortgage RW floor - Col 0275-0276: Non-modelled approaches exposure value and RWEA (for output floor) - Col 0281: Expected loss adjustment for post-model adjustments

Reference Documents

  • docs/assets/CRR - corep-own-funds.xlsx — CRR template layouts (sheets "7", "8.1", "8.2", "8.3", "8.4", "8.6", "8.7", "9.1", "9.2")
  • docs/assets/crr-annex-ii-reporting-instructins.pdf — CRR reporting instructions
  • docs/assets/0F07 - annex-i-of-07-00-credit-risk-sa-reporting-template.xlsx — Basel 3.1 OF 07.00 layout
  • docs/assets/OF0801-annex-i-of-08-01-credit-risk-irb-reporting-template.xlsx — Basel 3.1 OF 08.01 layout
  • docs/assets/OF0802-annex-i-of-08-02-credit-risk-irb-reporting-template.xlsx — Basel 3.1 OF 08.02 layout
  • docs/assets/ps1-26-annex-ii-reporting-instructions.pdf — Basel 3.1 reporting instructions

Status

  • Generator: Needs rework — current implementation uses simplified column set and one-row-per-class structure. Covers C 07.00, C 08.01, C 08.02 only. Templates 08.03–09.02 are documented but not yet implemented in the generator.
  • Template definitions: Needs rework — column refs and row structure don't match actual EBA/PRA templates.
  • Excel export: Needs update to match per-exposure-class template structure.
  • Integration: Done (ResultExporter.export_to_corep(), CalculationResponse.to_corep())
  • Tests: Need rewrite to validate correct template structure.
  • Detailed feature docs: Done — see COREP Reporting (all 9 templates documented)

Pillar III Disclosure Templates

Description

Public disclosure templates under CRR Part 8 / Disclosure (CRR) Part for market transparency. CRR templates use the UK prefix; Basel 3.1 templates use the UKB prefix. These complement COREP supervisory returns with publicly available credit risk data.

Templates

  • OV1 — Overview of risk-weighted exposure amounts (Art. 438(d))
  • CR4 — SA exposure and CRM effects (Art. 444(e), 453(g-i))
  • CR5 — SA risk weight allocation (Art. 444(e))
  • CR6 — IRB exposures by exposure class and PD range (Art. 452(g))
  • CR6-A — Scope of IRB and SA use (Art. 452(b))
  • CR7 — Credit derivatives effect on RWEA (Art. 453(j))
  • CR7-A — Extent of CRM techniques for IRB (Art. 453(g))
  • CR8 — RWEA flow statements for IRB (Art. 438(h))
  • CR10 — Slotting approach exposures (Art. 438(e))

Reference Documents

  • CRR: docs/assets/crr-annex-xx-instructions-regarding-disclosure.PDF, crr-pillar3-irb-credit-risk-instructions.pdf, crr-pillar3-risk-weighted-exposure-instructions-leverage-ratio.pdf, crr-pillar3-specialised-lending-instructions.pdf
  • Basel 3.1: docs/assets/ps1-26-annex-xx-credit-risk-sa-disclosure-instructions.pdf, ps1-26-annex-xxii-credit-risk-irb-disclosure-instructions.pdf, ps1-26-annex-xxiv-credit-risk-irb-disclosure-instructions.pdf, ps1-26-annex-ii-output-floor-and-capital-summaries-disclosure-instructions.pdf

Status

Export

Status

  • Parquet export: Done
  • CSV export: Done
  • Excel (XLSX) export via xlsxwriter: Done