Legal references and instructions

Row number

Explanation

1 to 8

PD scale

CCR exposures shall be allocated to the appropriate bucket of the fixed PD scale based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution due to existence of guarantee or credit derivative). Institutions shall map exposure by exposure to the PD scale provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

1 to x

Exposure class X

This refers to the different exposure classes listed in Article 147 of Chapter 3 of Title II of Part Three CRR.

x and y

Sub-total (Exposure class X) / Total (all CCR relevant exposure classes)

The (sub-) total of exposure values, risk weighted exposure amounts and number of obligors shall just be the sum of the respective columns. Concerning the different parameters Average PD, Average LGD, Average Maturity and RWEA density the below definitions apply with respect to the sample of exposure class X or all CCR relevant exposure classes.

Column letter

Explanation

a

Exposure value

Exposure value (see definition provided in column g of template EU CCR1), broken down by exposure classes and the given PD scale as set out in Chapter 3 of Title II of Part Three CRR

b

Exposure weighted average PD (%)

Average of individual obligor grade PDs weighted by their corresponding exposure value in column a of this template

c

Number of obligors

The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which were separately rated, regardless of the number of different loans or exposures granted

Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR.

d

Exposure weighted average LGD (%)

Average of obligor grade LGDs weighted by their corresponding exposure value

The disclosed LGD shall correspond to the final LGD estimate used in the calculation of own funds requirements obtained after considering any CRM effects and downturn conditions where relevant.

In the case of exposures subject to the double default treatment the LGD to be disclosed shall correspond to the one selected in accordance with Article 161 (4) CRR.

For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The disclosed LGD shall correspond to the estimate of LGD in-default.

e

Exposure weighted average maturity (years)

Average of obligor maturities in years weighted by their corresponding exposure value in column a of this template.

The disclosed value of maturity shall be determined in accordance with Article 162 CRR.

f

RWEA

Risk weighted exposure amounts calculated in accordance with the requirements laid down in Chapter 3 of Title II of Part Three CRR; for exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with Article 153(1) to (4) CRR; the SME and infrastructure supporting factor determined in accordance with Article 501 CRR and Article 501a CRR shall be taken into account; for equity exposures under the PD/LGD approach, the risk weighted exposure amount calculated in accordance with Article 155(3) CRR

g

Density of risk weighted exposure amounts

Ratio of the total risk weighted exposure amounts (in column f of this template) to the exposure value (in column a of this template)