Scope of templates C 08.05 and C 08.05.1

What is the criterion that an exposure class must meet to be included in template C 08.05.1 (“Credit risk and free deliveries: IRB approach to capital requirements: back-testing of PD”)? Should the exposures included in that template be complementary of those included in template C 08.05 (“Credit risk and free deliveries: IRB approach to capital requirements: back-testing of PD”) or should an extra detail be provided for certain categories? From the point of view of Pillar 3 disclosures, the same question applies to tables EU CR9.1 and EU CR.9 respectively, as they replicate the content and structure of the mentioned reporting templates.

It seems necessary to clarify the criteria to define which exposure classes have to be included in reporting template C 08.05.1 and disclosure template EU CR9.1. Although the regulation refers to those exposure classes estimated in accordance with Article 180(1), point (f) of Regulation (EU) No 575/2013 (CRR) (external defaults and ratings), from the analysis performed with the peers’ disclosures several issues have been identified: Entities that report table EU CR9.1, including retail portfolios such as the mortgage exposure class, which should be estimated with internal observed defaults. Entities that do not include table EU CR9.1, notwithstanding they indicate in the description of the models included in the Disclosure report they have been designed using external defaults. In addition, for the exposure classes reported in table EU CR.9.1, it is necessary to clarify if the exposures included should be complementary of those in table EU CR.9 or if an extra detail should be provided.