How to report data in Pillar 3 template 11: EU CR1-A Credit quality of exposures by exposure class and instrument?
Understanding of how to compile data in Pillar 3 template 11: EU CR1-A Credit quality of exposures by exposure class and instrument.
In the Final report on the Guidelines on disclosure requirements under Part Eight of regulation (EU) No 575/2013 published 9 June 2017, template 11 EU CR1-A Credit quality of exposures by exposure class and instrument presents columns for gross carrying values of defaulted exposures (column a) and for Non-defaulted exposures (column b).
In the standardised approach there is one separate exposure class called exposures in default row 28 in the template. If a bank for example have defaulted exposures in exposure class retail that volume shall according to the template be reported in row 24 and column a. In that case the volume will be reported twice if the bank also has to report the same amount in row 28 exposure class “exposure at default”. According to our opinion it is only possible to report the value either in row 24 (in this example retail) or in row 28. It is our suggestion that exposure class exposure at default row 28 should not be presented in the template and therefore show a more correct picture of an institution’s defaulted exposures.
Under row 28, column “a” of Template 11 EU CR-A institutions should disclose the gross carrying value corresponding to the exposures assigned to the exposure class “exposures in default” according to Article 112(j) of the CRR.
In addition, institutions should disclose in the same column “a”, in rows 16 to 27 and 29 to 34 the breakdown of their exposures in default by the exposure class that corresponded to the exposure before default. In order to avoid double counting of exposures, the “Total standardised approach” that institutions have to report in row 35 should not take into account figures disclosed under row 28. Column “b” in row 28 should remain empty.
Update 16.09.2021: This Q&A has been archived in light of the change(s) in Article 431 to Regulation (EU) No 575/2013 (CRR), applicable from 28.06.2021.