ANNEX XXIV
Disclosure of specialised lending and equity exposures under the simple risk weight approach
Template EU CR10 – Specialised lending and equity exposures under the simple risk-weighted approach. Fixed template.
1. Institutions shall disclose the information referred to in point (e) of Article 438 of Regulation (EU) 575/2013 ( 20 ) (‘CRR’) by following the instructions provided below in this Annex to complete template EU CR10 which is presented in Annex XXIII to this Implementing Regulation. Institutions shall disclose:
information on the following types of specialised lending exposures referred to in Table 1 of Article 153(5):
information on equity exposures under the simple risk-weighted approach in template EU CR10.5.
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Column reference |
Legal references and instructions |
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Explanation |
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a |
On-balance-sheet exposures Institutions shall disclose the exposure value of on-balance sheet exposures in accordance with Article 166(1) to (7) and Article 167(1) CRR. |
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b |
Off-balance-sheet exposure Institutions shall disclose the exposure value of off-balance sheet exposures in accordance with Articles 166 and 167 (2) CRR without taking into account any conversion factors specified in Article 166(8) or (9) CRR, or any percentages specified in Article 166(10) CRR. Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I CRR. |
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c |
Risk weight This is a fixed column. It shall not be altered. This column has been specified in accordance with Article 153(5) CRR for templates EU CR10.1 to EU CR10.4 and in accordance with Article 155(2) CRR for template EU CR10.5. |
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d |
Exposure value Exposure value in accordance with Article 166 or Article 167 CRR This column shall include the sum of exposure value of on-balance sheet exposures and exposure value of off-balance sheet exposures post conversion factors and percentages in accordance with Article 166(8) to (10) CRR. |
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e (templates EU CR10.1 to EU CR10.4) |
Risk-weighted exposure amount (specialised lending exposures under the slotting approach) The risk-weighted exposure amount calculated in accordance with Article 153 (5) CRR, after supporting factors in accordance with Article 501 and 501a CRR, where relevant |
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e (template EU CR10.5) |
Risk-weighted exposure amount (equity exposures under the simple risk weight approach) The risk-weighted exposure amount calculated in accordance with Article 155(2) CRR |
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f (templates EU CR10.1 to EU CR10.4) |
Expected loss amount (specialised lending exposures under the slotting approach) Amount of expected loss calculated in accordance with Article 158 (6) CRR |
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f (template EU CR10.5) |
Expected loss amount (equity exposures under the simple risk weight approach) Amount of expected loss calculated in accordance with Article 158(7) CRR |
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Row number |
Legal references and instructions |
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Explanation |
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Regulatory category |
Templates EU CR10.1 – EU CR10.4 Regulatory categories applicable to specialised lending under the slotting approach for each class of specialised lending exposures; as specified in Article 153(5) CRR and in the final draft RTS on slotting approach |
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Categories |
Template EU CR10.5 Regulatory categories applicable to equities under the simple risk-weight approach in accordance with Article 155(2) CRR |
( 20 ) Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (OJ L 176, 27.6.2013, p. 1).