{
  "url": "https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-3/division-3.5/division-3.5.2",
  "json_url": "https://openlegislation.uk/eu-regulation-2014-680/annex-II/part-2/division-3/division-3.5/division-3.5.2.json",
  "legislation": "eur/2014/680",
  "legislation_title": "Commission Implementing Regulation (EU) No 680/2014 of 16 April 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)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2014-680",
  "path": "annex/II/part/2/division/3/division/3.5/division/3.5.2",
  "kind": "division",
  "number": "3.5.2",
  "heading": "Instructions concerning specific positions (applicable to both CR EQU IRB 1 and CR EQU IRB 2)",
  "text": "Columns\n005\nOBLIGOR GRADE (ROW IDENTIFIER)\nThe obligor grade shall be a row identifier and shall be unique for each row in the template. It shall follow the numerical order 1, 2, 3, etc.\n010\nINTERNAL RATING SYSTEM\nPD ASSIGNED TO THE OBLIGOR GRADE (%)\nInstitutions applying the PD/LGD approach shall report in column 010 the probability of default (PD) calculated in accordance with Article 165(1) CRR.\nThe PD assigned to the obligor grade or pool to be reported shall be in line with the minimum requirements laid down in Section 6 of Chapter 3 of Title II of Part Three CRR. For each individual grade or pool, the PD assigned to that specific obligor grade or pool shall be reported. All reported risk parameters shall be derived from the risk parameters used in the internal rating system approved by the respective competent authority.\nFor figures corresponding to an aggregation of obligor grades or pools (e.g. ‘ total exposures ’ ), the exposure weighted average of the PDs assigned to the obligor grades or pools included in the aggregation shall be provided. All exposures, including defaulted exposures, are to be considered for the purpose of the calculation of the exposure weighted average PD. For the calculation of the exposure-weighted average PD, the exposure value taking into account unfunded credit protection (column 060) shall be used for weighting purposes.\n020\nORIGINAL EXPOSURE PRE-CONVERSION FACTORS\nInstitutions report in column 020 the original exposure value (pre-conversion factors). In accordance with Article 167 CRR, the exposure value for equity exposures shall be the accounting value remaining after specific credit risk adjustments. The exposure value of off-balance sheet equity exposures shall be its nominal value after specific credit risk adjustments.\nInstitutions shall also include in column 020 the off balance sheet items referred to in Annex I CRR assigned to the equity exposure class (e.g. ‘ the unpaid portion of partly-paid shares ’ ).\nInstitutions applying the Simple Risk Weight approach or the PD/LGD approach (as referred to in Article 165(1) CRR) shall also take into account the offsetting referred to in the second subparagraph of Article 155(2) CRR.\n030-040\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nUNFUNDED CREDIT PROTECTION\nGUARANTEES\nCREDIT DERIVATIVES\nIrrespective of the approach adopted for the calculation of risk weighted exposure amounts for equity exposures, institutions may recognise unfunded credit protection obtained on equity exposures (Paragraphs 2, 3 and 4 of Article 155 CRR). Institutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in columns 030 and 040 the amount of unfunded credit protection under the form of guarantees (column 030) or credit derivatives (column 040) recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.\n050\nCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURE\nSUBSTITUTION OF THE EXPOSURE DUE TO CRM\n(-) TOTAL OUTFLOWS\nInstitutions shall report in column 050 the part of the original exposure pre-conversion factors covered by unfunded credit protection recognised in accordance with the methods set out in Chapter 4 of Title II of Part Three CRR.\n060\nEXPOSURE VALUE\nInstitutions applying the Simple Risk Weight approach or the PD/LGD approach shall report in column 060 the exposure value, taking into account substitution effects stemming from unfunded credit protection (Paragraphs 2 and 3 of Article 155 and Article 167 CRR).\nIn the case of equity off-balance sheet exposures, the exposure value shall be the nominal value after specific credit risk adjustments (Article 167 CRR).\n070\nEXPOSURE WEIGHTED AVERAGE LGD (%)\nInstitutions applying the PD/LGD approach shall report the exposure weighted average of the LGDs assigned to the obligor grades or pools included in the aggregation.\nThe exposure value taking into account unfunded credit protection (column 060) shall be used for the calculation of the exposure-weighted average LGD.\nInstitutions shall take into account Article 165(2) CRR.\n080\nRISK WEIGHTED EXPOSURE AMOUNT\nInstitutions shall report risk-weighted exposure amounts for equity exposures calculated in accordance with Article 155 CRR.\nWhere institutions applying the PD/LGD approach do not have sufficient information to use the definition of default set out in Article 178 CRR, a scaling factor of 1,5 shall be assigned to the risk weights when calculating risk weighted exposure amounts (Article 155(3) CRR).\nWith regard to the input parameter M (Maturity) to the risk-weight function, the maturity assigned to equity exposures equals 5 years (Article 165(3) CRR).\n090\nMEMORANDUM ITEM: EXPECTED LOSS AMOUNT\nInstitutions shall report in column 090 the expected loss amount for equity exposures calculated in accordance with paragraphs 4, 7, 8 and 9 of Article 158 CRR.",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [
    {
      "type": "F",
      "label": "F1",
      "text": "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)."
    }
  ],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2014/680/annex/II/part/2/division/3/division/3.5/division/3.5.2",
    "retrieved_at": "2026-11-01T14:47:31.206584+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}