Purpose: Describe the main characteristics and elements of credit risk management (business model and credit risk profile, organisation and functions involved in credit risk management, risk management reporting).

Scope of application: The table is mandatory for all banks.

Content: Qualitative information.

Frequency: Annual.

Format: Flexible.

Banks must describe their risk management objectives and policies for credit risk, focusing in particular on:

(a)

How the business model translates into the components of the bank's credit risk profile

(b)

Criteria and approach used for defining credit risk management policy and for setting credit risk limits

(c)

Structure and organisation of the credit risk management and control function

(d)

Relationships between the credit risk management, risk control, compliance and internal audit functions

(e)

Scope and main content of the reporting on credit risk exposure and on the credit risk management function to the executive management and to the board of directors

Purpose: Provide a comprehensive picture of the credit quality of a bank's (on- and off-balance sheet) assets.

Scope of application: The template is mandatory for all banks. Columns d, e and f are only applicable for banks that have adopted an ECL accounting model.

Content: Carrying values (corresponding to the accounting values reported in financial statements but according to the scope of regulatory consolidation).

Frequency: Semiannual.

Format: Fixed. (Jurisdictions may require a more granular breakdown of asset classes, but rows 1 to 4 as defined below are mandatory for all banks).

Accompanying narrative: Banks must include their definition of default in an accompanying narrative.

a

b

c

d

e

f

g

Gross carrying values of

Allowances/

impairments

Of which ECL accounting provisions for credit losses

on SA exposures

Of which ECL accounting provisions for credit losses

on IRB exposures

Net

values

(a+b-c)

Defaulted exposures

Non-defaulted exposures

Allocated in regulatory category of Specific

Allocated in regulatory category of General

1

Loans

2

Debt

Securities

3

Off-balance sheet exposures

4

Total

Definitions

Gross carrying values: on- and off-balance sheet items that give rise to a credit risk exposure according to the Basel framework. On-balance sheet items include loans and debt securities. Off-balance sheet items must be measured according to the following criteria: (a) guarantees given - the maximum amount that the bank would have to pay if the guarantee were called. The amount must be gross of any credit conversion factor (CCF) or credit risk mitigation (CRM) techniques. (b) Irrevocable loan commitments - total amount that the bank has committed to lend. The amount must be gross of any CCF or CRM techniques. Revocable loan commitments must not be included. The gross value is the accounting value before any allowance/impairments but after considering write-offs. Banks must not take into account any credit risk mitigation technique.

Write-offs for the purpose of this template are related to a direct reduction of the carrying amount when the entity has no reasonable expectations of recovery.

Defaulted exposures: banks should use the definition of default that they also use for regulatory purposes. Banks must provide this definition of default in the accompanying narrative. For a bank using the standardised approach for credit risk, the default exposures in Templates CR1 and CR2 should correspond to exposures that are "past due for more than 90 days", as stated in CRE20.104.

Non-defaulted exposures: any exposure not meeting the above definition of default.

Accounting provisions for credit losses: total amount of provisions, made via an allowance against impaired and not impaired exposures (may correspond to general reserves in certain jurisdictions or may be made via allowance account or direct reduction - direct write-down in some jurisdictions) according to the applicable accounting framework. For example, when the accounting framework is IFRS 9, "impaired exposures" are those that are considered "credit-impaired" in the meaning of IFRS 9 Appendix A. When the accounting framework is US GAAP, "impaired exposures" are those exposures for which credit losses are measured under ASC Topic 326 and for which the bank has recorded a partial write-off/write-down.

Banks must fill in column d to f in accordance with the categorisation of accounting provisions distinguishing those meeting the conditions to be categorised in general provisions, as defined in CAP10.18 in their jurisdiction, and those that are categorised as specific provisions. This categorisation must be consistent with information provided in Table CRB.

Net values: Total gross value less allowances/impairments.

Debt securities: Debt securities exclude equity investments subject to the credit risk framework. However, banks may add a row between rows 2 and 3 for "other investment" (if needed) and explain in the accompanying narrative.

Linkages across templates

Amount in [CR1:1/g] is equal to the sum [CR3:1/a] + [CR3:1/b].

Amount in [CR1:2/g] is equal to the sum [CR3:2/a] + [CR3:2/b].

Amount in [CR1:4/a] is equal to [CR2:6/a], only when (i) there is zero defaulted off-balance sheet exposure or national supervisor has exercised discretion to include off-balance sheet exposures in Template CR2.

Purpose: Identify the changes in a bank's stock of defaulted exposures, the flows between non-defaulted and defaulted exposure categories and reductions in the stock of defaulted exposures due to write-offs.

Scope of application: The template is mandatory for all banks.

Content: Carrying values.

National supervisors have discretion to decide whether off-balance sheet exposures should be included.

Frequency: Semiannual.

Format: Fixed. (Jurisdictions may require additional columns to provide a further breakdown of exposures by counterparty type).

Accompanying narrative: Banks should explain the drivers of any significant changes in the amounts of defaulted exposures from the previous reporting period and any significant movement between defaulted and non-defaulted loans.

Banks should disclose in their accompanying narrative whether defaulted exposures include off-balance sheet items.

1

Defaulted loans and debt securities at end of the previous reporting period

2

Loans and debt securities that have defaulted since the last reporting period

3

Returned to non-defaulted status

4

Amounts written off

5

Other changes

6

Defaulted loans and debt securities at end of the reporting period

(1+2-3-4+5)

Definitions

Defaulted exposure: such exposures must be reported net of write-offs and gross of (ie ignoring) allowances/impairments. For a bank using the standardised approach for credit risk, the default exposures in Templates CR1 and CR2 should correspond to exposures that are "past due for more than 90 days", as stated in CRE20.104.

Loans and debt securities that have defaulted since the last reporting period: refers to any loan or debt securities that became marked as defaulted during the reporting period.

Return to non-defaulted status: refers to loans or debt securities that returned to non-default status during the reporting period.

Amounts written off: both total and partial write-offs.

Other changes: balancing items that are necessary to enable total to reconcile.

Purpose: Supplement the quantitative templates with information on the credit quality of a bank's assets.

Scope of application: The table is mandatory for all banks.

Content: Additional qualitative and quantitative information (carrying values).

Frequency: Annual.

Format: Flexible.

Banks must provide the following disclosures:

Qualitative disclosures

(a)

The scope and definitions of "past due" and "impaired" exposures used for accounting purposes and the differences, if any, between the definition of past due and default for accounting and regulatory purposes. When the accounting framework is IFRS 9, "impaired exposures" are those that are considered "credit-impaired" in the meaning of IFRS 9 Appendix A. When the accounting framework is US GAAP, "impaired exposures" are those exposures for which credit losses are measured under ASC Topic 326 and for which the bank has recorded a partial write-off/write-down.

(b)

The extent of past-due exposures (more than 90 days) that are not considered to be impaired and the reasons for this.

(c)

Description of methods used for determining accounting provisions for credit losses. In addition, banks that have adopted an ECL accounting model must provide information on the rationale for categorisation of ECL accounting provisions in general and specific categories for standardised approach exposures.

(d)

The bank's own definition of a restructured exposure. Banks should disclose the definition of restructured exposures they use (which may be a definition from the local accounting or regulatory framework).

Quantitative disclosures

(e)

Breakdown of exposures by geographical areas, industry and residual maturity.

(f)

Amounts of impaired exposures (according to the definition used by the bank for accounting purposes) and related accounting provisions, broken down by geographical areas and industry.

(g)

Ageing analysis of accounting past-due exposures.

(h)

Breakdown of restructured exposures between impaired and not impaired exposures.

Purpose: To supplement the quantitative templates with additional information related to non-performing exposures and forbearance.

Scope of application: The table is mandatory for banks only when required by national supervisors at jurisdictional level.

Content: Qualitative and quantitative information (carrying values corresponding to the accounting values reported in financial statements but according to the regulatory scope of consolidation).

Frequency: Annual.

Format: Flexible.

Banks must provide the following disclosures:

Qualitative disclosures

(a)

The bank's own definition of non-performing exposures. The bank should specify in particular if it is using the definition provided in the guidelines on prudential treatment of problem assets (hereafter in this table referred to as the "Guidelines")1 and provide a discussion on the implementation of its definition, including the materiality threshold used to categorise exposures as past due, the exit criteria of the non-performing category (providing information on a probation period, if relevant), together with any useful information for users' understanding of this categorisation. This would include a discussion of any differences or unique processes for the categorisation of corporate and retail loans.

(b)

The bank's own definition of a forborne exposure. The bank should specify in particular if it is using the definition provided in the Guidelines and provide a discussion on the implementation of its definition, including the exit criteria of the restructured or forborne category (providing information on the probation period, if relevant), together with any useful information for users' understanding of this categorisation. This would include a discussion of any differences or unique processes for the catagorisation of corporate and retail loans.2

Quantitative disclosures

(c)

Gross carrying value of total performing as well as non-performing exposures, broken down first by debt securities, loans and off-balance sheet exposures. Loans should be further broken down by corporate and retail exposures; national supervisors may require additional breakdowns of non-performing exposures, if needed, to enable an understanding of material differences in the level of risk or provision cover among different portfolios (eg retail exposures by secured by real estate/mortages, revolving exposures, small and medium-sized enterprises (SMEs), other retail). Non-performing exposures should in addition be split into (i) defaulted exposures and/or impaired exposures;3 (ii) exposures that are not defaulted/impaired exposures but are more than 90 days past due; and (iii) other exposures where there is evidence that full repayment is unlikely without the bank's realisation of collateral (which would include exposures that are not defaulted/impaired and are not more than 90 days past due but for which payment is unlikely without the bank's realisation of collateral, even if the exposures are not past due).

Value adjustments and provisions4 for non-performing exposures should also be disclosed.

(d)

Gross carrying values of restructured/forborne exposures broken down first by debt securities, loans and off-balance sheet exposures. Loans should be further broken down by corporate and retail exposures; supervisors may require a more detailed breakdown, if needed, to enable an understanding of material differences in the level of risk among different portfolios (eg retail exposures secured by real estate/mortages, revolving exposures, SMEs, other retail). Exposures should, in addition, be split into performing and non-performing, and impaired and not impaired exposures.

Value adjustments and provisions for non-performing exposures should also be disclosed.

Definitions

Gross carrying values: on- and off-balance sheet items that give rise to a credit risk exposure according to the finalised Basel framework. On-balance sheet items include loans and debt securities. Off-balance sheet items must be measured according to the following criteria:

(a) Guarantees given - the maximum amount that the bank would have to pay if the guarantee were called. The amount must be gross of any credit conversion factor (CCF) or credit risk mitigation (CRM) techniques.

(b) Irrevocable loan commitments - the total amount that the bank has committed to lend. The amount must be gross of any CCF or CRM techniques. Revocable loan commitments must not be included. The gross value is the accounting value before any allowance/impairments but after considering write-offs. Banks must not take into account any CRM technique.

Purpose: Provide qualitative information on the mitigation of credit risk.

Scope of application: The table is mandatory for all banks.

Content: Qualitative information.

Frequency: Annual.

Format: Flexible

Banks must disclose:

(a)

Core features of policies and processes for, and an indication of the extent to which the bank makes use of, on- and off-balance sheet netting.

(b)

Core features of policies and processes for collateral evaluation and management.

(c)

Information about market or credit risk concentrations under the credit risk mitigation instruments used (ie by guarantor type, collateral and credit derivative providers).

Banks should disclose a meaningful breakdown of their credit derivative providers, and set the level of granularity of this breakdown in accordance with DIS10.12. For instance, banks are not required to identify their derivative counterparties nominally if the name of the counterparty is considered to be confidential information. Instead, the credit derivative exposure can be broken down by rating class or by type of counterparty (eg banks, other financial institutions, non-financial institutions).

Purpose: Disclose the extent of use of credit risk mitigation techniques.

Scope of application: The template is mandatory for all banks.

Content: Carrying values. Banks must include all CRM techniques used to reduce capital requirements and disclose all secured exposures, irrespective of whether the standardised or IRB approach is used for RWA calculation.

Please refer to DIS99.1 for an illustration on how the template should be completed.

Frequency: Semiannual.

Format: Fixed. (Jurisdictions may require additional sub-rows to provide a more detailed breakdown in rows but must retain the four rows listed below.) Where banks are unable to categorise exposures secured by collateral, financial guarantees or credit derivative into "loans" and "debt securities", they can either (i) merge two corresponding cells, or (ii) divide the amount by the pro-rata weight of gross carrying values; they must explain which method they have used.

Accompanying narrative: Banks are expected to supplement the template with a narrative commentary to explain any significant changes over the reporting period and the key drivers of such changes.

1

Loans

2

Debt securities

3

Total

4

Of which defaulted

Definitions

Exposures unsecured- carrying amount: carrying amount of exposures (net of allowances/impairments) that do not benefit from a credit risk mitigation technique.

Exposures to be secured: carrying amount of exposures which have at least one credit risk mitigation mechanism (collateral, financial guarantees, credit derivatives) associated with them. The allocation of the carrying amount of multi-secured exposures to their different credit risk mitigation mechanisms is made by order of priority, starting with the credit risk mitigation mechanism expected to be called first in the event of loss, and within the limits of the carrying amount of the secured exposures.

Exposures secured by collateral: carrying amount of exposures (net of allowances/impairments) partly or totally secured by collateral. In case an exposure is secured by collateral and other credit risk mitigation mechanism(s), the carrying amount of the exposures secured by collateral is the remaining share of the exposure secured by collateral after consideration of the shares of the exposure already secured by other mitigation mechanisms expected to be called beforehand in the event of a loss, without considering overcollateralisation.

Exposures secured by financial guarantees: carrying amount of exposures (net of allowances/impairments) partly or totally secured by financial guarantees. In case an exposure is secured by financial guarantees and other credit risk mitigation mechanism, the carrying amount of the exposure secured by financial guarantees is the remaining share of the exposure secured by financial guarantees after consideration of the shares of the exposure already secured by other mitigation mechanisms expected to be called beforehand in the event of a loss, without considering overcollateralisation.

Exposures secured by credit derivatives: carrying amount of exposures (net of allowances/impairments) partly or totally secured by credit derivatives. In case an exposure is secured by credit derivatives and other credit risk mitigation mechanism(s), the carrying amount of the exposure secured by credit derivatives is the remaining share of the exposure secured by credit derivatives after consideration of the shares of the exposure already secured by other mitigation mechanisms expected to be called beforehand in the event of a loss, without considering overcollateralisation.

Purpose: Supplement the information on a bank's use of the standardised approach with qualitative data on the use of external ratings.

Scope of application: The table is mandatory for all banks that: (a) use the credit risk standardised approach (or the simplified standardised approach); and (b) make use of external credit ratings for their RWA calculation.

In order to provide meaningful information to users, the bank may choose not to disclose the information requested in the table if the exposures and RWA amounts are negligible. It is however required to explain why it considers the information not to be meaningful to users, including a description of the portfolios concerned and the aggregate total RWA these portfolios represent.

Content: Qualitative information.

Frequency: Annual.

Format: Flexible.

A. For portfolios that are risk-weighted under the standardised approach for credit risk, banks must disclose the following information:

(a)

Names of the external credit assessment institutions (ECAIs) and export credit agencies (ECAs) used by the bank, and the reasons for any changes over the reporting period;

(b)

The asset classes for which each ECAI or ECA is used;

(c)

A description of the process used to transfer the issuer to issue credit ratings onto comparable assets in the banking book (see CRE21.12 to CRE21.14); and

(d)

The alignment of the alphanumerical scale of each agency used with risk buckets (except where the relevant supervisor publishes a standard mapping with which the bank has to comply).

Purpose: To illustrate the effect of CRM (comprehensive and simple approach) on capital requirement calculations under the standardised approach for credit risk. RWA density provides a synthetic metric on the riskiness of each portfolio.

Scope of application: The template is mandatory for banks using the standardised approach for credit risk, regardless of whether a jurisdiction allows the use of external credit ratings for regulatory capital purposes.

Subject to supervisory approval of the immateriality of the asset class, banks that intend to adopt a phased rollout of the IRB approach may apply the standardised approach to certain asset classes. In circumstances where exposures and RWA amounts subject to the standardised approach may be considered to be negligible, and disclosure of this information to users would not provide any meaningful information, the bank may choose not to disclose the template for the exposures treated under the standardised approach. The bank must, however, explain why it considers the information not to be meaningful to users. The explanation must include a description of the exposures included in the respective portfolios and the aggregate total of RWA from such exposures.

When the framework for equity investments in funds enters into force in the jurisdiction, corresponding requirements must not be reported in this template but in Template OV1.

Content: Regulatory exposure amounts.

Frequency: Semiannual.

Format: Fixed. The columns cannot be altered. The rows reflect the asset classes as defined under the Basel framework. Jurisdictions may add or delete rows to reflect any differences in their implementation of the standardised approach, but the numbering of the prescribed rows must not be altered.

Accompanying narrative: Banks are expected to supplement the template with a narrative commentary to explain any significant change over the reporting period and the key drivers of such changes. Banks should describe the sequence in which CCFs, provisioning and credit risk mitigation measures are applied.

a

b

c

d

e

f

Exposures before CCF and CRM

Exposures post-CCF and post-CRM

RWA and RWA density

Asset classes

On-balance sheet amount

Off-balance sheet amount

On-balance sheet amount

Off-balance sheet amount

RWA

RWA density

1

Sovereigns and their central banks

2

Non-central government public sector entities

3

Multilateral development banks

4

Banks

Of which: securities firms and other financial institutions

5

Covered bonds

6

Corporates

Of which: securities firms and other financial institutions

Of which: specialised lending

7

Subordinated debt, equity and other capital

8

Retail

9

Real estate

Of which: general RRE

Of which: IPRRE

Of which: general CRE

Of which: IPCRE

Of which: land acquisition, development and construction

10

Defaulted exposures

11

Other assets

12

Total

Definitions

Rows:

General residential real estate (General RRE): refers to regulatory residential real estate exposures that are not materially dependent on cash flows generated by the property as set out in CRE20.82 and CRE20.83, and any residential real estate exposures covered by CRE20.89(1).

Income-producing residential real estate (IPRRE): refers to regulatory residential real estate exposures that are materially dependent on cash flows generated by the property as set out in CRE20.84, and any residential real estate exposures covered by CRE20.89(2).

General commercial real estate (General CRE): refers to regulatory commercial real estate exposures that are not materially dependent on cash flows generated by the property as set out in CRE20.85 and CRE20.86, and any commercial real estate exposures covered by CRE20.89(1).

Income-producing commercial real estate (IPCRE): refers to regulatory commercial real estate exposures that are materially dependent on cash flows generated by the property as set out in CRE20.87, and any commercial real estate exposures covered by CRE20.89(2).

Land acquisition, development and construction: refers to exposures subject to the risk weights set out in CRE20.90 and CRE20.91.

Other assets: refers to assets subject to specific risk weight as set out in CRE20.110.

Columns:

Exposures before credit conversion factors (CCF) and CRM - On-balance sheet amount: Banks must disclose the regulatory exposure amount (net of specific provisions, including partial write-offs) under the regulatory scope of consolidation gross of (ie before taking into account) the effect of CRM techniques.

Exposures before CCF and CRM - Off-balance sheet amount: Banks must disclose the exposure value, gross of CCFs and the effect of CRM techniques under the regulatory scope of consolidation.

Exposures post-CCF and post-CRM: This is the amount to which the capital requirements are applied. It is a net credit equivalent amount, after CRM techniques and CCF have been applied.

RWA density: Total risk-weighted assets/exposures post-CCF and post-CRM (ie column (e) / (column (c) + column (d))), expressed as a percentage.

Linkages across templates:

Amount in [CR4:12/c] + [CR4:12/d] is equal to amount in [CR5:Exposure amounts and CCFs applied to off-balance sheet exposures, categorised based on risk bucket of converted exposures 11/d].

Purpose: To present the breakdown of credit risk exposures under the standardised approach by asset class and risk weight (corresponding to the riskiness attributed to the exposure according to standardised approach).

Scope of application: The template is mandatory for banks using the standardised approach.

Subject to supervisory approval of the immateriality of the asset class, banks that intend to adopt a phased rollout of the internal ratings-based (IRB) approach may apply the standardised approach to certain asset classes. In circumstances where exposures and RWA amounts subject to the standardised approach may be considered to be negligible, and disclosure of this information would not provide any meaningful information to users, the bank may choose not to disclose the template for the exposures treated under the standardised approach. The bank must, however, explain why it considers the information not to be meaningful to users. The explanation must include a description of the exposures included in the respective portfolios and the aggregate total of RWA from such exposures.

When the framework for equity investments in funds enters into force in the jurisdiction, corresponding requirements must not be reported in this template but only in Template OV1.

Content: Regulatory exposure amounts.

Frequency: Semiannual.

Format: Fixed. Jurisdictions may add rows and columns to reflect any differences in their implementation of the standardised approach, but the numbering of the prescribed rows must not be altered. Jurisdictions should not delete rows or columns.

Accompanying narrative: Banks are expected to supplement the template with a narrative commentary to explain any significant changes over the reporting period and the key drivers of such changes. Banks should describe the sequence in which CCFs, provisioning and credit risk mitigation measures are applied.

0%

20%

50%

100%

150%

Other

Total credit exposure amount (post-CCF and post-CRM)

1

Sovereigns and their central banks

20%

50%

100%

150%

Other

Total credit exposure amount (post-CCF and post-CRM)

2

Non-central government public sector entities

0%

20%

30%

50%

100%

150%

Other

Total credit exposure amount (post-CCF and post-CRM)

3

Multilateral development banks

20%

30%

40%

50%

75%

100%

150%

Other

Total credit exposure amount (post-CCF and post-CRM)

4

Banks

Of which: securities firms and other financial institutions

10%

15%

20%

25%

35%

50%

100%

Other

Total credit exposure amount (post-CCF and post-CRM)

5

Covered bonds

20%

50%

65%

75%

80%

85%

100%

130%

150%

Other

Total
credit exposure amount (post-CCF and post-CRM)

6

Corporates

Of which: securities firms and other financial institutions

Of which: specialised lending

100%

150%

250%5

400%5

Other

Total
credit exposure amount (post-CCF and post-CRM)

7

Subordinated debt, equity and other capital6

45%

75%

100%

Other

Total
credit exposure amount (post CCF and post-CRM)

8

Retail

0

%

20

%

25

%

30

%

35

%

40

%

45

%

50

%

60

%

65

%

70

%

75

%

85

%

90

%

100

%

105

%

110

%

150

%

Other

Total
credit exposure amount (post-CCF and post-CRM)

9

Real estate

Of which: general RRE

Of which: no loan splitting applied

Of which: loan splitting applied (secured)

Of which: loan splitting applied (unsecured)

Of which: IPRRE

Of which: general CRE

Of which: no loan splitting applied

Of which: loan splitting applied (secured)

Of which: loan splitting applied (unsecured)

Of which: IPCRE

Of which: land acquisition, development and construction

50%

100%

150%

Other

Total
credit exposure amount (post-CCF and post-CRM)

10

Defaulted exposures

0%

20%

100%

1250%

Other

Total
credit exposure amount (post-CCF and post-CRM)

11

Other assets

Exposure amounts and CCFs applied to off-balance sheet exposures, categorised based on risk bucket of converted exposures

Risk weight

a

b

c

d

On-balance sheet exposure

Off-balance sheet exposure

(pre-CCF)

Weighted average CCF*

Exposure

(post-CCF and post-CRM)

1

Less than 40%

2

40-70%

3

75%

4

85%

5

90-100%

6

105-130%

7

150%

8

250%

9

400%

10

1,250%

11

Total exposures

* Weighting is based on off-balance sheet exposure (pre-CCF).

Definitions

Loan splitting: refers to the approaches set out in CRE20.83 and CRE20.86.

Total credit exposure amount (post-CCF and post-CRM): the amount used for the capital requirements calculation (for both on- and off-balance sheet amounts), therefore net of specific provisions (including partial write-offs) and after CRM techniques and CCF have been applied but before the application of the relevant risk weights.

Defaulted exposures: correspond to the unsecured portion of any loan past due for more than 90 days or represent an exposure to a defaulted borrower, as defined in CRE20.104.

Equity investments in funds: When the framework for banks' equity investments in funds enters into force in the jurisdiction, corresponding requirements must not be reported in this template but only in Template OV1.

Other assets: refers to assets subject to specific risk weighting as set out in CRE20.110.

Purpose: Provide additional information on IRB models used to compute RWA.

Scope of application: The table is mandatory for banks using A-IRB or F-IRB approaches for some or all of their exposures.

To provide meaningful information to users, the bank must describe the main characteristics of the models used at the group-wide level (according to the scope of regulatory consolidation) and explain how the scope of models described was determined. The commentary must include the percentage of RWA covered by the models for each of the bank's regulatory portfolios.

Content: Qualitative information.

Frequency: Annual.

Format: Flexible.

Banks must provide the following information on their use of IRB models:

(a)

Internal model development, controls and changes: role of the functions involved in the development, approval and subsequent changes of the credit risk models.

(b)

Relationships between risk management function and internal audit function and procedure to ensure the independence of the function in charge of the review of the models from the functions responsible for the development of the models.

(c)

Scope and main content of the reporting related to credit risk models.

(d)

Scope of the supervisor's acceptance of approach.

The "scope of the supervisor's acceptance of approach" refers to the scope of internal models approved by the supervisors in terms of entities within the group (if applicable), portfolios and exposure classes, with a breakdown between foundation IRB (F-IRB) and advanced IRB (A-IRB), if applicable.

(e)

For each of the portfolios, the bank must indicate the part of EAD within the group (in percentage of total EAD) covered by standardised, F-IRB and A-IRB approach and the part of portfolios that are involved in a roll-out plan.

(f)

The number of key models used with respect to each portfolio, with a brief discussion of the main differences among the models within the same portfolios.

(g)

Description of the main characteristics of the approved models:

(i) definitions, methods and data for estimation and validation of PD (eg how PDs are estimated for low default portfolios; if there are regulatory floors; the drivers for differences observed between PD and actual default rates at least for the last three periods);

and where applicable:

(ii) LGD (eg methods to calculate downturn LGD; how LGDs are estimated for low default portfolio; the time lapse between the default event and the closure of the exposure);

(iii) credit conversion factors, including assumptions employed in the derivation of these variables;

Purpose: Provide main parameters used for the calculation of capital requirements for IRB models. The purpose of disclosing these parameters is to enhance the transparency of banks' RWA calculations and the reliability of regulatory measures.

Scope of application: The template is mandatory for banks using either the F-IRB or the A-IRB approach for some or all of their exposures.

Content: Columns (a) and (b) are based on accounting carrying values and columns (c) to (l) are regulatory values. All are based on the scope of regulatory consolidation.

Frequency: Semiannual.

Format: Fixed. The columns, their contents and the PD scale in the rows cannot be altered, but the portfolio breakdown in the rows will be set at the jurisdiction level to reflect exposure categories under local implementation of the IRB approaches. Where a bank makes use of both F-IRB and A-IRB approaches, it must disclose one template for each approach.

Accompanying narrative: Banks are expected to supplement the template with a narrative to explain the effect of credit derivatives on RWAs.

a

b

c

d

e

f

g

h

i

j

k

l

PD scale

Original

on-balance

sheet gross exposure

Off-balance sheet

exposures

pre CCF

Average

CCF

EAD

post CRM and post-CCF

Average

PD

Number

of obligors

Average

LGD

Average

maturity

RWA

RWA density

EL

Provisions

Portfolio X

0.00 to <0.15

0.15 to <0.25

0.25 to <0.50

0.50 to <0.75

0.75 to <2.50

2.50 to <10.00

10.00 to <100.00

100.00 (Default)

Sub-total

Total (all portfolios)

Definitions

Rows

Portfolio X includes the following prudential portfolios for the FIRB approach: (i) Sovereign; (ii) Banks; (iii) Corporate; (iv) Corporate - Specialised Lending; (v) Purchased receivables, and the following prudential portfolios for the AIRB approach: (i) Sovereign; (ii) Banks; (iii) Corporate; (iv) Corporate - Specialised Lending; (v) Retail - qualifying revolving (QRRE); (vi) Retail - Residential mortgage exposures; (vii) Retail - SME; (viii) Other retail exposures; (ix) Purchased receivables. Information on F-IRB and A-IRB portfolios, respectively, must be reported in two separate templates.

Default: The data on defaulted exposures may be further broken down according to jurisdiction's definitions for categories of defaulted exposures.

Columns

PD scale: Exposures shall be broken down according to the PD scale used in the template instead of the PD scale used by banks in their RWA calculation. Banks must map the PD scale they use in the RWA calculations into the PD scale provided in the template.

Original on-balance sheet gross exposure: amount of the on-balance sheet exposure gross of accounting provisions (before taking into account the effect of credit risk mitigation techniques).

Off-balance sheet exposure pre conversion factor: exposure value without taking into account value adjustments and provisions, conversion factors and the effect of credit risk mitigation techniques.

Average CCF: EAD post-conversion factor for off-balance sheet exposure to total off-balance sheet exposure preconversion factor.

EAD post-CRM: the amount relevant for the capital requirements calculation.

Number of obligors: corresponds to the number of individual PDs in this band. Approximation (round number) is acceptable.

Average PD: obligor grade PD weighted by EAD.

Average LGD: the obligor grade LGD weighted by EAD. The LGD must be net of any CRM effect.

Average maturity: the obligor maturity in years weighted by EAD; this parameter needs to be filled in only when it is used for the RWA calculation.

RWA density: Total risk-weighted assets to EAD post-CRM.

EL: the expected losses as calculated according to CRE33.8 to CRE33.12 and CRE35.2 to CRE35.3.

Provisions: provisions calculated according to CRE35.4.

Purpose: Illustrate the effect of credit derivatives on the IRB approach capital requirements' calculations. The pre-credit derivatives RWA before taking account of credit derivatives mitigation effect has been selected to assess the impact of credit derivatives on RWA. This is irrespective of how the CRM technique feeds into the RWA calculation.

Scope of application: The template is mandatory for banks using the A-IRB and/or F-IRB approaches for some or all of their exposures.

Content: Risk-weighted assets (subject to credit risk treatment).

Frequency: Semiannual.

Format: Fixed.

Columns are fixed but the portfolio breakdown in the rows will be set at jurisdiction level to reflect exposure categories required under local implementation of IRB approaches.

Accompanying narrative: Banks should supplement the template with a narrative commentary to explain the effect of credit derivatives on the bank's RWAs.

a

b

Pre-credit derivatives RWA

Actual RWA

1

Sovereign - F-IRB

2

Sovereign - A-IRB

3

Banks - F-IRB

4

Banks - A-IRB

5

Corporate - F-IRB

6

Corporate - A-IRB

7

Specialised lending - F-IRB

8

Specialised lending - A-IRB

9

Retail - qualifying revolving (QRRE)

10

Retail - residential mortgage exposures

11

Retail -SME

12

Other retail exposures

13

Equity - F-IRB

14

Equity - A-IRB

15

Purchased receivables - F-IRB

16

Purchased receivables - A-IRB

17

Total

Pre-credit derivatives RWA: hypothetical RWA calculated assuming the absence of recognition of the credit derivative as a CRM technique.

Actual RWA: RWA calculated taking into account the CRM technique impact of the credit derivative.

Purpose: Present a flow statement explaining variations in the credit RWA determined under an IRB approach.

Scope of application: The template is mandatory for banks using the A-IRB and/or F-IRB approaches.

Content: Risk-weighted assets corresponding to credit risk only (counterparty credit risk excluded). Changes in RWA amounts over the reporting period for each of the key drivers should be based on a bank's reasonable estimation of the figure.

Frequency: Quarterly.

Format: Fixed. Columns and rows 1 and 9 cannot be altered. Banks may add additional rows between rows 7 and 8 to disclose additional elements that contribute significantly to RWA variations.

Accompanying narrative: Banks should supplement the template with a narrative commentary to explain any significant change over the reporting period and the key drivers of such changes.

2

Asset size

3

Asset quality

4

Model updates

5

Methodology and policy

6

Acquisitions and disposals

7

Foreign exchange movements

8

Other

9

RWA as at end of reporting period

Asset size: organic changes in book size and composition (including origination of new businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities.

Asset quality: changes in the assessed quality of the bank's assets due to changes in borrower risk, such as rating grade migration or similar effects.

Model updates: changes due to model implementation, changes in model scope, or any changes intended to address model weaknesses.

Methodology and policy: changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations.

Acquisitions and disposals: changes in book sizes due to acquisitions and disposal of entities.

Foreign exchange movements: changes driven by market movements such as foreign exchange movements.

Other: this category must be used to capture changes that cannot be attributed to any other category. Banks should add additional rows between rows 7 and 8 to disclose other material drivers of RWA movements over the reporting period.