Division 92 In accordance with Article 155 CRR, institutions may employ different approaches (Simple Risk Weight approach, PD/LGD approach or Internal Models approach) to different portfolios when they use these different approaches internally. Institutions shall also report in the CR EQU IRB 1 template risk-weighted exposure amounts for those equity exposures which attract a fixed risk-weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised Approach).F1
United Kingdom
| Rows | |
|---|---|
| CR EQU IRB 1 – row 020, | PD/LGD APRROACH: TOTAL Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in row 020 of the CR EQU IRB 1 template. |
| CR EQU IRB 1 – rows 050- 090 | SIMPLE RISK WEIGHT APPROACH: TOTAL BREAKDOWN OF TOTAL EXPOSURES UNDER THE SIMPLE RISK WEIGHT APPROACH BY RISK WEIGHTS: Institutions applying the Simple Risk Weight approach (Article 155(2) CRR) shall report the required information in accordance with the characteristics of the underlying exposures in rows 050 to 090. |
| CR EQU IRB 1 – row 100 | INTERNAL MODELS APPROACH Institutions applying the Internal Models approach (Article 155(4) CRR) shall report the required information in row 100. |
| CR EQU IRB 1 – row 110 | EQUITY EXPOSURES SUBJECT TO RISK WEIGHTS Institutions applying the IRB Approach shall report risk weighted exposure amounts for those equity exposures which attract a fixed risk weight treatment (without however being explicitly treated in accordance with the Simple Risk Weight approach or the (temporary or permanent) partial use of the credit risk Standardised Approach). As an example:
shall be reported in row 110. |
| CR EQU IRB 2 | BREAKDOWN OF TOTAL EXPOSURES UNDER THE PD/LGD APRROACH BY OBLIGOR GRADES: Institutions applying the PD/LGD approach (Article 155(3) CRR) shall report the required information in the CR EQU IRB 2 template. Institutions using the PD/LGD approach that apply a unique rating system or that are able to report in accordance with an internal master scale shall report in CR EQU IRB 2 the rating grades or pools associated to this unique rating system/master scale. In any other case, the different rating systems shall be merged and ordered in accordance with the following criteria: Obligor grades or pools of the different rating systems shall be pooled together and ordered from the lower PD assigned to each obligor grade or pool to the higher. |