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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)
CR9 UK CR9 UKB CR9 IRB back-testing of PD per exposure class
CR9.1 UK CR9.1 UKB CR9.1 IRB back-testing where Art. 180(1)(f) ECAI mapping applies
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 F-IRB: institutions + 4 corporate sub-classes (SL, financial+large, SME, non-SME); A-IRB: 3 corporate sub-classes + 7 retail sub-classes — see CR6 sub-template structure
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 sub-template structure (FIRB vs AIRB)

Under UKB CR6 the institution discloses a separate template per exposure-class category, with each category closed off by a "Total" row. The FIRB and AIRB category lists are not symmetric — they diverge in three ways: FIRB carries an institutions sub-template that AIRB does not, AIRB carries a retail sub-template that FIRB does not, and the corporate sub-class breakdown differs (FIRB has a fourth "financial corporates and large corporates" sub-row that AIRB lacks).

The lists below are taken verbatim from PRA PS1/26 Annex XXII (docs/assets/ps1-26-annex-xxii-credit-risk-irb-disclosure-instructions.pdf), pp. 6–7.

# Sub-template Article reference
1. Institutions Art. 147(2)(b)
2. Corporates Art. 147(2)(c)
2.1 Specialised lending (incl. SL exposures subject to slotting) Art. 147(2)(c)(i)
2.2 Financial corporates and large corporates Art. 147(2)(c)(ii)
2.3 Other general corporates — SMEs Art. 147(2)(c)(iii) read with Glossary SME definition
2.4 Other general corporates — non-SMEs Art. 147(2)(c)(iii), residual to 2.3
3. Total —
# Sub-template Article reference
1. Corporates Art. 147(2)(c)
1.1 Specialised lending Art. 147(2)(c)(i)
1.2 Other general corporates — SMEs Art. 147(2)(c)(iii) read with Glossary SME definition
1.3 Other general corporates — non-SMEs Art. 147(2)(c)(iii), residual to 1.1 / 1.2
2. Retail Art. 147(2)(d)
2.1 Secured by residential immovable property — SMEs Art. 147(2)(d)(ii) read with Glossary SME definition
2.2 Secured by residential immovable property — non-SMEs Art. 147(2)(d)(ii), residual to 2.1
2.3 Secured by commercial immovable property — SMEs Art. 147(2)(d), residual to 2.1 / 2.2
2.4 Secured by commercial immovable property — non-SMEs Art. 147(2)(d), residual to 2.1 / 2.2 / 2.3
2.5 Qualifying revolving retail exposures (QRRE) Art. 147(2)(d)(i)
2.6 Other — SMEs Art. 147(2)(d)
2.7 Other — non-SMEs Art. 147(2)(d)(iii), residual to 2.6
3. Total —

FIRB and AIRB CR6 row structures are not interchangeable

Three asymmetries should be highlighted to anyone consuming UKB CR6:

  1. Institutions appear only under FIRB. Exposures to institutions (Art. 147(2)(b)) are not eligible for A-IRB under PRA PS1/26 Art. 147A — there is no A-IRB institutions sub-template. Mapping a CRR "institutions" disclosure into a UKB CR6 AIRB section is a category error.
  2. Retail appears only under AIRB. Retail exposures (Art. 147(2)(d)) are A-IRB-only under Basel 3.1; there is no FIRB retail sub-template. The AIRB retail breakdown also gains commercial-RE SME/non-SME rows (2.3, 2.4) that did not exist in the legacy CRR template.
  3. Corporates differ by one sub-class. FIRB has four corporate sub-classes (SL, financial+large, SME, non-SME); AIRB has three (SL, SME, non-SME). The "financial corporates and large corporates" sub-row at FIRB 2.2 (Art. 147(2)(c)(ii)) has no AIRB counterpart — under PRA PS1/26 financial corporates and large corporates are restricted to F-IRB (see Model Permissions).

Numerically: FIRB produces 6 numbered rows (1, 2, 2.1, 2.2, 2.3, 2.4) plus a Total; AIRB produces 12 numbered rows (1, 1.1, 1.2, 1.3, 2, 2.1, 2.2, 2.3, 2.4, 2.5, 2.6, 2.7) plus a Total. Re-using a single row-key map across both approaches will silently mis-align sub-class numbering.

The same FIRB / AIRB asymmetry applies to UKB CR9 — see the General Reporting Rules bullet on F-IRB and A-IRB sub-templates.

CR6-A — Scope of IRB/SA Use

Row Changes

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)

Column Definitions (UKB CR6-A, cols a–e)

The 5-column structure is fixed; column labels match the legacy CRR template, but the underlying definitions differ. Definitions below are taken verbatim from PRA PS1/26 Annex XXII (Pillar III IRB disclosure instructions), pages 7–9.

Col Column Definition (UKB CR6-A)
a IRB exposure value Exposure value as defined in Article 166A to 166D of the Credit Risk: Internal Ratings Based Approach (CRR) Part for exposures subject to the Internal Ratings Based Approach. Disclosed per roll-out class.
b Total exposure value (SA + IRB) Total exposure value in accordance with Article 429(4) of the Leverage Ratio (CRR) Part, including exposures under both the SA and the IRB approach, for each roll-out class.
c % subject to permanent partial use of SA Percentage of the total exposure value for each roll-out class that is subject to the SA in accordance with a permission granted under Article 150(1) of the Credit Risk: Internal Ratings Based Approach (CRR) Part. Calculated as (SA exposure value for the roll-out class) ÷ (col b).
d % subject to IRB approach Percentage of the total exposure value for each roll-out class that is subject to the IRB approach (under permission granted under Rule 1.1 and Article 143(1)). Includes A-IRB, F-IRB and slotting exposures. Calculated as (IRB exposure value for the roll-out class) ÷ (col b).
e % subject to a roll-out plan Percentage of the total exposure value for each roll-out class subject to an IRB roll-out plan in accordance with Article 148(1). Numerator includes exposures currently subject to the SA where the institution's roll-out plan states it intends to apply the A-IRB, F-IRB or slotting approach. Calculated as (roll-out plan exposure value for the roll-out class) ÷ (col b).

Source: PRA PS1/26 Annex XXII — Credit Risk IRB Disclosure Instructions (docs/assets/ps1-26-annex-xxii-credit-risk-irb-disclosure-instructions.pdf), paragraphs 3–6 and column-reference table, pp. 7–9.

Column labels are stable, definitions are not

Readers comparing legacy UK CR6-A (CRR) to UKB CR6-A (Basel 3.1) must not assume column-by-column equivalence. Specifically:

  • Col a — CRR cited Article 166 (single article, F-IRB exposure value); Basel 3.1 cites the new Articles 166A–166D sub-divisions covering F-IRB exposure value, A-IRB EAD, F-IRB CCFs, and A-IRB CCFs respectively.
  • Col d — CRR's "% subject to IRB" included equity under the simple risk-weighted approach; Basel 3.1 removes equity IRB entirely (equity is SA-only at 250%/400% — see Key Differences) and instead includes slotting exposures alongside F-IRB / A-IRB.
  • Cols c, d, e denominators — both versions use col b, but col b's population in Basel 3.1 is bucketed by roll-out class (Art. 147B), not by exposure class (Art. 147), so the same numerical percentage describes a different sub-population.

Cross-mapping a CRR CR6-A row directly into a UKB CR6-A row by column position will produce mis-stated percentages.

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

PDF labelling typo — Annex XXII p. 14

PRA PS1/26 Annex XXII (docs/assets/ps1-26-annex-xxii-credit-risk-irb-disclosure-instructions.pdf), p. 14, contains a column-letter typo in the UKB CR7-A column reference table. After defining col (o) as "Part of the exposure covered by funded credit protection (FCP) — slotting", the PDF then defines the next column — "Part of the exposure covered by unfunded credit protection (UFCP) — slotting" — using the letter (n) a second time. The intended label is (p): col (n) is already used earlier on the same page for "RWEA with substitution effects".

The corrected sequence is the a–p (16 columns) sequence shown in the table above and in the Structural Summary. Implementors should follow the corrected o/p sequence in this documentation, not the literal letter as printed in the PDF — populating a column keyed "(n)" twice will silently overwrite the substitution-effects RWEA cell with the slotting unfunded-CP percentage.

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

CR9 — IRB Back-Testing of PD per Exposure Class

UKB CR9 discloses, per exposure class, the realised one-year default rates against the PDs assigned at the start of the period. The template is fixed (column structure unchanged from the legacy CRR template), but several column definitions now incorporate the new Basel 3.1 PD input floors and exposure-level RW floors.

General Reporting Rules

  • One template per exposure class, per approach (F-IRB and A-IRB disclosed as two separate sets — Annex XXII para. 12).
  • F-IRB sub-templates: institutions; corporates (specialised lending; financial corporates and large corporates; other general corporates SMEs; other general corporates non-SMEs); total.
  • A-IRB sub-templates: corporates (SL; other general corporates SME/non-SME); retail (residential RE SME/non-SME; commercial RE SME/non-SME; QRRE; other SME; other non-SME); total.
  • Excludes counterparty credit risk exposures, securitisation positions, other non-credit-obligation assets, and equity exposures (Annex XXII para. 15).
  • Defaulted exposures are placed in the PD = 100% bucket of the fixed PD range.

Column Definitions (UKB CR9, cols a–h)

Definitions below are taken verbatim from PRA PS1/26 Annex XXII (Pillar III IRB disclosure instructions), pages 18–22.

Col Column Definition (UKB CR9)
a Exposure classes Designation of the F-IRB / A-IRB exposure class or sub-class for which a separate template is being disclosed (corporates / SL / financial-and-large corporates / SME / non-SME, retail RE SME/non-SME, retail commercial RE, QRRE, other retail). Institutions disclose one template per class plus a "Total" row.
b PD range Fixed PD range which shall not be altered. Exposures are allocated to a bucket based on the PD estimated at the beginning of the disclosure period for each obligor (without considering CRM substitution effects). All defaulted exposures fall into the PD = 100% bucket.
c Number of obligors at the end of the previous year Number of separately rated legal entities or obligors allocated to each PD bucket at the end of the previous year, regardless of the number of loans or exposures granted. Joint obligors are treated the same as for PD calibration. Where different exposures to the same obligor are separately rated (e.g. retail with facility-level default per Art. 178(1) last sentence, or different obligor grades per Art. 172(1)(e) second sentence), they are counted separately.
d Of which: number of obligors that defaulted during the year Subset of column c representing the number of obligors which defaulted during the year preceding the disclosure date. Default is determined per Art. 178 IRB. Each defaulted obligor is counted only once in the numerator and denominator of the one-year default rate, even if it defaulted more than once during the period.
e Observed average default rate (%) Arithmetic average of one-year default rates (as defined in CRR Art. 4(1)(78)) observed within the available dataset. Denominator: number of non-defaulted obligors with any credit obligation observed at the beginning of the one-year observation period (on-BS principal/interest/fees plus off-BS items including issued guarantees). Numerator: those obligors that had at least one default event during the year. Institutions choose between overlapping and non-overlapping one-year time windows.
f Exposure-weighted average PD (%) Same value as column f of UKB CR6. For all exposures in each PD bucket, the average PD estimate of each obligor weighted by the exposure value post-CCF and CRM (col e of UKB CR6). PD input floors per Art. 160(1) and 163(1) IRB and exposure-level risk weight floors per Art. 160(4) (referred to in Art. 161(3)) and Art. 163(4) (referred to in Art. 164(5)) shall be taken into account.
g Average PD at the disclosure date (%) Arithmetic average of PD at the beginning of the disclosure period for the obligors falling within the bucket and counted in column d (i.e. weighted by number of obligors, not by exposure). PD input floors shall be taken into account.
h Average historical annual default rate (%) Simple average of the annual default rate of the five most recent years (obligors at the beginning of each year that defaulted during that year ÷ total number of obligors at the beginning of the year). Institutions may use a longer historical period consistent with their actual risk management practices, in which case they shall explain and clarify this in the accompanying narrative.

Source: PRA PS1/26 Annex XXII — Credit Risk IRB Disclosure Instructions (docs/assets/ps1-26-annex-xxii-credit-risk-irb-disclosure-instructions.pdf), paragraphs 12–15 and column-reference table, pp. 18–22.

Floor application differs across columns f, g, h

The three "average PD" columns are not computed on a single PD value — each column applies (or omits) different regulatory floors and uses a different weighting basis:

  • Col b (bucket assignment) uses the estimated PD at the beginning of the period, without CRM substitution effects. The plan-item description that this is "pre-floor" is correct only in the sense that bucket allocation is driven by the modelled PD before the CR6 column-a pre-input-floor allocation logic is itself applied; PRA Annex XXII para. "b" does not explicitly invoke Art. 160(1) / 163(1) floors at the bucket step.
  • Col f (EWA PD) is post-input-floor and additionally applies exposure-level RW floors (Art. 160(4) / 163(4) — the residential RE mortgage exposure-level floor referenced in Art. 161(3) / 164(5)). It mirrors UKB CR6 col f exactly.
  • Col g (avg PD at disclosure date) applies PD input floors only and is weighted by obligor count (not exposure value), restricted to the obligor population in column d.
  • Col h (5-year historical default rate) is a realised rate; floors do not apply, but the disclosing institution may extend the window beyond five years if consistent with its risk-management practice (must be narrated).

Mechanically backing out a single "model PD" from cols f, g and h is therefore not valid — they answer different questions on different populations.

CRR vs Basel 3.1 Deltas

Area CRR (UK CR9) Basel 3.1 (UKB CR9)
Column count 8 (a–h) 8 (a–h) — same fixed structure
Col f PD floors Art. 160(1) / 163(1) PD floor of 0.03% uniformly Differentiated PD floors (Art. 160(1), 163(1)) — class-specific (0.05% retail, 0.10% corporate / institution / sovereign) plus exposure-level RW floors for residential RE per Art. 161(3) / 164(5)
Col d "of which defaulted" Per Art. 178 (CRR) Per Art. 178 IRB — definition unchanged in substance
Sub-templates (rows) Corporates row (no SL split inside CR9 by approach) F-IRB adds financial corporates and large corporates sub-row (Art. 147(2)(c)(ii)); A-IRB retail adds commercial immovable property SME/non-SME rows
CR9.1 ECAI variant Same scope Unchanged — disclosed where Art. 180(1)(f) ECAI mapping is used; col b becomes internal-grade ranges and one column added per ECAI

Relationship to COREP C 08.05 / OF 08.05

UKB CR9 is the Pillar III (public disclosure) back-testing template. The COREP equivalent is C 08.05 / OF 08.05 (PD back-testing for IRB), which has a 5-column structure (average PD, number of obligors, of which defaulted, observed default rate, historical default rate) — narrower than UKB CR9's 8 columns because COREP omits the PD-bucket-range column (b), the obligor-weighted PD-at-disclosure-date column (g), and the explicit exposure-class designator column (a). For the COREP C 08.05 / OF 08.05 column structure, see Reporting Differences.

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:

  1. Output floor transparency — OV1 gains rows 26-27 and pre-floor ratio rows, giving market participants visibility into the floor's capital impact

  2. 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)

  3. 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)

  4. 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