Division 3.3.4 C 08.02 – Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements: breakdown by obligor grades or pools (CR IRB 2 template)F1

United Kingdom

Column	Instructions
005	Obligor grade (row identifier) This is a row identifier and shall be unique for each row on a particular sheet of the template. It shall follow the numerical order 1, 2, 3, etc.
010-300	Instructions for each of these columns are the same as for the corresponding numbered columns in CR IRB 1 template.

Row	Instructions
010-001 – 010-NNN	Values reported in these rows must be ordered from the lower to the higher in accordance with the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and not reported in this template.

Row

Instructions

010-001 – 010-NNN

Values reported in these rows must be ordered from the lower to the higher in accordance with the PD assigned to the obligor grade or pool. PD of obligors in default shall be 100 %. Exposures subject to the alternative treatment for real estate collateral (only available when not using own estimates for the LGD) shall not be assigned in accordance with the PD of the obligor and not reported in this template.

Annotations

Textual amendments

F1: Substituted by Commission Implementing Regulation (EU) 2020/429 of 14 February 2020 amending Implementing Regulation (EU) No 680/2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (Text with EEA relevance).