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Document 32021R0637

Commission Implementing Regulation (EU) 2021/637 of 15 March 2021 laying down implementing technical standards with regard to public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 of the European Parliament and of the Council and repealing Commission Implementing Regulation (EU) No 1423/2013, Commission Delegated Regulation (EU) 2015/1555, Commission Implementing Regulation (EU) 2016/200 and Commission Delegated Regulation (EU) 2017/2295 (Text with EEA relevance)

OJ L 136, 21.4.2021, p. 1–327 (BG, ES, CS, DA, DE, ET, EL, EN, FR, GA, HR, IT, LV, LT, HU, MT, NL, PL, PT, RO, SK, SL, FI, SV)

In force: This act has been changed. Current consolidated version: 08/01/2023

ELI: http://data.europa.eu/eli/reg_impl/2021/637/oj

21.4.2021   

EN

Official Journal of the European Union

L 136/1


COMMISSION IMPLEMENTING REGULATION (EU) 2021/637

of 15 March 2021

laying down implementing technical standards with regard to public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 of the European Parliament and of the Council and repealing Commission Implementing Regulation (EU) No 1423/2013, Commission Delegated Regulation (EU) 2015/1555, Commission Implementing Regulation (EU) 2016/200 and Commission Delegated Regulation (EU) 2017/2295

(Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to 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 (1) and in particular Article 434a thereof,

Whereas:

(1)

In December 2019, the Basel Committee on Banking Supervision (BCBS) published the consolidated Basel Framework, including the updated Pillar 3 disclosure requirements (2), which were mostly introduced in Regulation (EU) 575/2013 by Regulation (EU) 2019/876 of the European Parliament and of the Council (3). In order to implement those amendments, a consistent and complete Pillar 3 disclosure framework should be laid down.

(2)

Commission Implementing Regulation (EU) No 1423/2013 (4), Commission Delegated Regulation (EU) 2015/1555 (5), Commission Implementing Regulation (EU) 2016/200 (6) and Commission Delegated Regulation (EU) 2017/2295 (7) lay down uniform formats, templates and tables for own funds, the countercyclical capital buffers, the leverage ratio and asset encumbrance, respectively. Uniform formats, templates and tables should therefore be extended to cover the disclosures of other prudential aspects which are required to be disclosed by Regulation (EU) 2019/876. More specifically, a key metrics disclosure template should be introduced, which facilitates access by market participants to the institutions’ key information on own funds and liquidity.

(3)

The templates and tables used for disclosure should convey sufficiently comprehensive and comparable information, thus enabling users of that information to assess the risk profiles of institutions and their degree of compliance with Regulation (EU) No 575/2013. However, in order to take into account the principle of proportionality, the disclosure formats, templates and tables should take into account the differences in size and complexity between institutions, which give rise to different levels and types of risks, by including additional thresholds for extended disclosures.

(4)

Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 a new calibrated leverage ratio and G-SIIs leverage ratio buffer. In order to implement that amendment and the necessary adjustments in the exposure calculation, it is necessary to lay down templates and tables.

(5)

Regulation (EU) 2019/876 introduced in Regulation (EU) No 575/2013 new disclosure requirements for the net stable funding ratio. In order to implement that amendment, it is necessary to lay down a template for those new disclosure requirements.

(6)

Regulation (EU) 2019/876 replaced in Regulation (EU) No 575/2013 the standardised approaches for counterparty credit risk with a Standardised Approach for Counterparty Credit Risk (SA-CCR), which is more risk sensitive, and with a Simplified SA-CCR for institutions that meet predefined eligibility criteria. In addition, Regulation (EU) 2019/876 revised the Original Exposure Method. In order to implement those amendments, it is necessary to introduce a comprehensive set of disclosure tables and templates.

(7)

Regulation (EU) 2019/876 introduced into Regulation (EU) No 575/2013 a new disclosure requirement for performing, non-performing and forborne exposures, including the disclosure of information on collaterals and financial guarantees received. In order to implement that amendment and those new disclosure requirements, it is necessary to introduce a comprehensive set of templates and tables. For reasons of simplicity and consistency, those templates and tables should be based on the disclosure templates and tables that have already been developed by the EBA in its guidelines on the disclosure of non-performing and forborne exposures (8).

(8)

Regulation (EU) 2017/2401 of the European Parliament and of the Council (9) amended Regulation (EU) No 575/2013 to reflect into the capital requirements laid down in that Regulation the specific features of STS securitisations as laid down in Regulation (EU) 2017/2402 of the European Parliament and of the Council (10). It is necessary to introduce new disclosure templates and tables with quantitative and qualitative information on securitisation to reflect that amendment.

(9)

Regulation (EU) 2019/876 amended certain disclosure requirements on remuneration laid down in Regulation (EU) No 575/2013 to ensure that remuneration policies and practices for categories of staff the professional activities of which have a material impact on the institution's risk profile are consistent with effective risk management. A set of disclosure templates and tables implementing those disclosure requirements should be laid down.

(10)

In order provide institutions with the comprehensive integrated set of uniform disclosure formats, templates and tables and to ensure high quality disclosures, it is necessary to introduce a single set of technical standards on disclosures. It is therefore necessary to repeal Implementing Regulation (EU) No 1423/2013, Delegated Regulation (EU) 2015/1555, Implementing Regulation (EU) 2016/200 and Delegated Regulation (EU) 2017/2295.

(11)

In order to ensure timely and quality disclosures by institutions, they should be given sufficient time to adapt their internal systems for disclosures.

(12)

This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority (EBA) to the Commission.

(13)

The EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council (11),

HAS ADOPTED THIS REGULATION:

Article 1

Disclosure of key metrics and overview of risk-weighted exposure amounts

1.   Institutions shall disclose the information referred to in Article 447, points (a) to (g), and Article 438, point (b), of Regulation (EU) No 575/2013 by using template EU KM1 of Annex I to this Regulation and by following the instructions set out in Annex II to this Regulation.

2.   Institutions shall disclose the information referred to in Article 438, point (d), of Regulation (EU) No 575/2013 by using template EU OV1 of Annex I to this Regulation and by following the instructions set out in Annex II to this Regulation.

3.   Institutions shall disclose the information referred to in Article 438 points (a) and (c), of Regulation (EU) No 575/2013 by using table EU OVC set out in Annex I to this Regulation and by following the instructions set out in Annex II to this Regulation.

4.   Institutions shall disclose the information referred to in Article 438, points (f) and (g), of Regulation (EU) No 575/2013 by using templates EU INS1 and EU INS2 set out in Annex I to this Regulation and by following the instructions set out in Annex II to this Regulation.

Article 2

Disclosure of risk management objectives and policies

Institutions shall disclose the information referred to in Article 435 of Regulation (EU) No 575/2013 by using tables EU OVA and EU OVB set out in Annex III to this Regulation and by following the instructions set out in Annex IV to this Regulation.

Article 3

Disclosure of the scope of application

1.   Institutions shall disclose the information referred to in Article 436, points (b) and (c), of Regulation (EU) No 575/2013 by using templates EU LI1 and EU LI3 of Annex V to this Regulation and by following the instructions set out in Annex VI to this Regulation.

2.   Institutions shall disclose the information referred to in Article 436, points (b) and (d), of Regulation (EU) No 575/2013 by using template EU LI2 and table EU LIA of Annex V to this Regulation and by following the instructions set out in Annex VI to this Regulation.

3.   Institutions shall disclose the information referred to in Article 436, point (e), of Regulation (EU) No 575/2013 by using template EU PV1 of Annex V to this Regulation and by following the instructions set out in Annex VI to this Regulation.

4.   Institutions shall disclose the information referred to in Article 436, points (f), (g) and (h), of Regulation (EU) No 575/2013, by using table EU LIB of Annex V to this Regulation and by following the instructions set out in Annex VI to this Regulation.

Article 4

Disclosure of own funds

Institutions shall disclose the information referred to in Article 437 of Regulation (EU) No 575/2013, as follows:

(a)

the information referred to in Article 437, points (a), (d), (e) and (f), of Regulation (EU) No 575/2013 by using templates EU CC1 and EU CC2 of Annex VII to this Regulation and by following the instructions set out in Annex VIII to this Regulation;

(b)

the information referred to in Article 437, points (b) and (c), of Regulation (EU) No 575/2013 by using table EU CCA of Annex VII to this Regulation and by following the instructions set out in Annex VIII to this Regulation.

Article 5

Disclosure of countercyclical capital buffers

Institutions shall disclose the information referred to in Article 440 of Regulation (EU) No 575/2013 as follows:

(a)

the information referred to in Article 440, point (a), of Regulation (EU) No 575/2013 by using template EU CCYB1 of Annex IX to this Regulation and by following the instructions set out in Annex X to this Regulation;

(b)

the information referred to in Article 440, point (b) of Regulation (EU) No 575/2013 by using template EU CCYB2 of Annex IX to this Regulation and by following the instructions set out in Annex X to this Regulation.

Article 6

Disclosure of the leverage ratio

Institutions shall disclose the information referred to in Article 451 of Regulation (EU) No 575/2013 as follows:

(a)

the information referred to in Article 451(1), points (a), (b), and (c), and in Article 451, paragraphs 2 and 3, of Regulation (EU) No 575/2013 by using templates EU LR1, EU LR2 and EU LR3 of Annex XI to this Regulation and by following the instructions set out in Annex XII to this Regulation;

(b)

the information referred to in Article 451(1), points (d) and (e), of Regulation (EU) No 575/2013 by using table EU LRA of Annex XI to this Regulation and by following the instructions set out in Annex XII to this Regulation.

Article 7

Disclosure of liquidity requirements

Institutions shall disclose the information referred to in Article 435(1) and in Article 451a of Regulation (EU) No 575/2013 as follows:

(a)

the information referred to in Article 435(1) and in Article 451a(4) of Regulation (EU) No 575/2013 by using table EU LIQA of Annex XIII to this Regulation and by following the instructions set out in Annex XIV to this Regulation;

(b)

the information referred to in Article 451a(2) of Regulation (EU) No 575/2013 by using template EU LIQ1 and table EU LIQB of Annex XIII to this Regulation and by following the instructions set out in Annex XIV to this Regulation;

(c)

the information referred to in Article 451a(3) of Regulation (EU) No 575/2013 by using template EU LIQ2 of Annex XIII to this Regulation and by following the instructions set out in Annex XIV to this Regulation.

Article 8

Disclosure of exposures to credit risk, dilution risk and credit quality

1.   Institutions shall disclose the information referred to in Articles 435 and 442 of Regulation (EU) No 575/2013 as follows:

(a)

the information referred to in Article 435(1), points (a), (b), (d) and (f), of Regulation (EU) No 575/2013 by using table EU CRA of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation;

(b)

the information referred to in Article 442, points (a) and (b), of Regulation (EU) No 575/2013 by using table EU CRB of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation;

(c)

the information referred to in Article 442, point (d), of Regulation (EU) No 575/2013 by using template EU CQ3 of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation;

(d)

the information referred to in Article 442, point (g), of Regulation (EU) No 575/2013 by using template EU CR1-A of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation;

(e)

the information referred to in Article 442, point (f), of Regulation (EU) No 575/2013 by using template EU CR2 of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation.

2.   Institutions shall disclose the information referred to in Article 442, points (c), (e) and (f), of Regulation (EU) No 575/2013 by using templates EU CR1, EU CQ1, and EU CQ7, columns a, c, e, f and g of template EU CQ4, and columns a, c, e and f of template EU CQ5, set out in Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation.

3.   Large institutions that have a ratio between the gross carrying amount of loans and advances that fall under Article 47a(3) of Regulation (EU) No 575/2013 and the total gross carrying amount of loans and advances that fall under Article 47a(1) of Regulation (EU) No 575/2013 equal to or higher than 5 % shall, in addition to the templates and columns referred to in paragraph 2, disclose the information referred to in Article 442, points (c) and (f), of Regulation (EU) No 575/2013 by using templates EU CR2a, EU CQ2, EU CQ6 and EU CQ8, and columns b and d of templates EU CQ4 and EU CQ5 set out in Annex XV to this Regulation by following the instructions set out in Annex XVI. They shall disclose that information on an annual basis.

4.   For the purpose of paragraph 3, loans and advances classified as held for sale, cash balances at central banks and other demand deposits shall be excluded both from the denominator and the numerator of the ratio.

5.   Institutions shall commence disclosure in accordance with paragraph 3 where they have reached or exceeded the 5 % threshold referred to in that paragraph in two consecutive quarters during the four quarters prior to the reference date of the disclosure. For the reference date of the first disclosure, institutions shall disclose the information concerned by using the templates referred to in that paragraph where they exceed the 5 % threshold on that disclosure reference date.

6.   Institutions shall no longer be obliged to disclose in accordance with paragraph 3 where they have fallen below the 5 % threshold on three consecutive quarters during the four quarters prior to the disclosure reference date.

Article 9

Disclosure of the use of credit risk mitigation techniques

Institutions shall disclose the information referred to in Article 453, points (a) to (f), of Regulation (EU) No 575/2013 as follows:

(a)

the information referred to in Article 453, points (a) to (e), of Regulation (EU) No 575/2013 by using table EU CRC of Annex XVII to this Regulation and by following the instructions set out in Annex XVIII to this Regulation;

(b)

the information referred to in Article 453, point (f), of Regulation (EU) No 575/2013 by using template EU CR3 of Annex XVII to this Regulation and by following the instructions set out in Annex XVIII to this Regulation.

Article 10

Disclosure of the use of the standardised approach

Institutions calculating risk-weighted exposure amounts under the Standardised Approach shall disclose the information referred to in Article 444 and in Article 453, points (g), (h) and (i), of Regulation (EU) No 575/2013 as follows:

(a)

the information referred to in Article 444, points (a) to (d), of Regulation (EU) No 575/2013 by using table EU CRD of Annex XIX to this Regulation and by following the instructions set out in Annex XX to this Regulation;

(b)

the information referred to in Article 453, points (g), (h) and (i), of and Article 444, point (e), of Regulation (EU) No 575/2013 by using template EU CR4 of Annex XIX to this Regulation and by following the instructions set out in Annex XX to this Regulation;

(c)

the information referred to in Article 444, point (e), of Regulation (EU) No 575/2013 by using template EU CR5 of Annex XIX to this Regulation and by following the instructions set out in Annex XX to this Regulation and, for the information on the exposure values deducted from own funds referred to in that same Article, by using template EU CC1 of Annex VII to this Regulation and by following the instructions set out in Annex VIII to this Regulation.

Article 11

Disclosure of the use of the IRB approach to credit risk

Institutions calculating risk-weighted exposure amounts under the IRB Approach shall disclose the information referred to in Articles 438 and 452 and in Article 453, points (g) and (j), of Regulation (EU) No 575/2013 as follows:

(a)

the information referred to in Article 452, points (a) to (f), of Regulation (EU) No 575/2013 by using table EU CRE and template EU CR6-A of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation;

(b)

the information referred to in Article 452, point (g), of Regulation (EU) No 575/2013 by using template EU CR6 of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation;

(c)

the information referred to in Article 453, points (g) and (j), of Regulation (EU) No 575/2013 by using templates EU CR7-A and EU CR7 of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation;

(d)

the information referred to in Article 438, point (h), of Regulation (EU) No 575/2013 by using template EU CR8 of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation;

(e)

the information referred to in Article 452, point (h), of Regulation (EU) No 575/2013 by using templates EU CR9 and EU CR9.1 of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation.

Article 12

Disclosure of specialised lending and equity exposure under the simple risk weight approach

Institutions shall disclose the information referred to in Article 438, point (e), of Regulation (EU) No 575/2013 by using template EU CR10 of Annex XXIII to this Regulation and by following the instructions set out in Annex XXIV to this Regulation.

Article 13

Disclosure of exposures to counterparty credit risk

Institutions shall disclose the information referred to in Article 438, point (h), and Article 439 of Regulation (EU) No 575/2013 as follows:

(a)

the information referred to in Article 439, points (a), (b), (c) and (d), of Regulation (EU) No 575/2013 by using table EU CCRA of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(b)

the information referred to in Article 439, points (f), (g), (k) and (m), of Regulation (EU) No 575/2013 by using template EU CCR1 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(c)

the information referred to in Article 439, point (h), of Regulation (EU) No 575/2013 by using template EU CCR2 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(d)

the information referred to in Article 439, point (l) of Regulation (EU) No 575/2013 by using templates EU CCR3 and EU CCR4 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(e)

the information referred to in Article 439, point (e), of Regulation (EU) No 575/2013 by using template EU CCR5 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(f)

the information referred to in Article 439, point (j), of Regulation (EU) No 575/2013 by using, template EU CCR6 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(g)

the information referred to in Article 438, point (h), of Regulation (EU) No 575/2013 by using template EU CCR7 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(h)

the information referred to in Article 439, point (i) of Regulation (EU) No 575/2013 by using template EU CCR8 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation.

Article 14

Disclosure of exposures to securitisation positions

Institutions shall disclose the information referred to in Article 449 of Regulation (EU) No 575/2013 as follows:

(a)

the information referred to in Article 449, points (a) to (i), of Regulation (EU) No 575/2013 by using table EU SECA of Annex XXVII to this Regulation and by following the instructions set out in Annex XXVIII to this Regulation;

(b)

the information referred to in Article 449, point (j), of Regulation (EU) No 575/2013 by using templates EU SEC1 and EU SEC2 of Annex XXVII to this Regulation and by following the instructions set out in Annex XXVIII to this Regulation;

(c)

the information referred to in Article 449, point (k), of Regulation (EU) No 575/2013 by using templates EU SEC3 and EU SEC4 of Annex XXVII to this Regulation and by following the instructions set out in Annex XXVIII to this Regulation;

(d)

the information referred to in Article 449, point (l) of Regulation (EU) No 575/2013 by using template EU SEC5 of Annex XXVII to this Regulation and by following the instructions set out in Annex XXVIII to this Regulation.

Article 15

Disclosure of the use of the standardised approach and of the internal models for market risk

1.   Institutions shall disclose the information referred to in Article 445 of Regulation (EU) No 575/2013 by using template EU MR1 of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation.

2.   Institutions shall disclose the information referred to in Articles 435, 438 and 455 of Regulation (EU) No 575/2013 as follows:

(a)

the information regarding market risk referred to in Article 435(1), points (a) to (d), of Regulation (EU) No 575/2013 by using table EU MRA of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation;

(b)

the information referred to in Article 455, points (a), (b), (c) and (f), of Regulation (EU) No 575/2013 by using table EU MRB of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation;

(c)

the information referred to in Article 455, point (e), of Regulation (EU) No 575/2013 by using template EU MR2-A of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation;

(d)

the information regarding internal market risk models referred to in Article 438, point (h), of Regulation (EU) No 575/2013 by using template EU MR2-B of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation;

(e)

the information referred to in Article 455, point (d), of Regulation (EU) No 575/2013 by using template EU MR3 of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation;

(f)

the information referred to in Article 455, point (g), of Regulation (EU) No 575/2013 by using template EU MR4 of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation.

Article 16

Disclosure of operational risk

Institutions shall disclose the information referred to in Article 435, Article 438, point (d), and Articles 446 and 454 of Regulation (EU) No 575/2013 by using table EU ORA and template EU OR1 of Annex XXXI to this Regulation and by following the instructions set out in Annex XXXII to this Regulation.

Article 17

Disclosure of remuneration policy

Institutions shall disclose the information referred to in Article 450 of Regulation (EU) No 575/2013, as follows:

(a)

the information referred to in Article 450(1), points (a) to (f), and points (j) and (k), and the information referred to in Article 450(2) of that Regulation, by using table EU REMA of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;

(b)

the information referred to in Article 450(1), points (h)(i) and (h)(ii), of Regulation (EU) No 575/2013 by using template EU REM1 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;

(c)

the information referred to in Article 450(1), points (h)(v), (h)(vi) and (h)(vii), of Regulation (EU) No 575/2013 by using template EU REM2 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;

(d)

the information referred to in Article 450(1), points (h)(iii) and (h)(iv), of Regulation (EU) No 575/2013 by using template EU REM3 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;

(e)

the information referred to in Article 450(1), points (g) and (i), of Regulation (EU) No 575/2013 by using templates EU REM4 and EU REM5 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation.

Article 18

Disclosure of encumbered and unencumbered assets

Institutions shall disclose the information referred to in Article 443 of Regulation (EU) No 575/2013 by using templates EU AE1, EU AE2 and EU AE3 and table EU AE4 of Annex XXXV to this Regulation and by following the instructions set out in Annex XXXVI to this Regulation.

Article 19

General provisions

1.   The numbering of rows or columns shall not be altered where an institution omits one or more disclosures in accordance with Article 432 of Regulation (EU) No 575/2013.

2.   Institutions shall make a clear note in the narrative accompanying the template or table concerned indicating which rows or columns are not populated and stating the reason of the omission of the disclosure.

3.   The information required by Article 431 of Regulation (EU) No 575/2013 shall be clear and comprehensive, enabling users of that information to understand the quantitative disclosures, and shall be placed next to the templates to which that information relates.

4.   Numeric values shall be presented as follows:

(a)

quantitative monetary data shall be disclosed using a minimum precision equivalent to millions of units;

(b)

quantitative data disclosed as ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals.

5.   Institutions shall, in addition to the information disclosed in accordance with this Regulation, also provide the following information:

(a)

disclosure reference date and reference period;

(b)

reporting currency;

(c)

name and, where relevant, legal entity identifier (LEI) of the disclosing institution;

(d)

where relevant, the accounting standard used;

(e)

where relevant, the scope of consolidation.

Article 20

Repeal

Implementing Regulation (EU) No 1423/2013, Delegated Regulation (EU) 2015/1555, Implementing Regulation (EU) 2016/200 and Delegated Regulation (EU) 2017/2295 are repealed.

Article 21

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 28 June 2021.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Done at Brussels, 15 March 2021.

For the Commission

The President

Ursula VON DER LEYEN


(1)  OJ L 176, 27.6.2013, p. 1.

(2)  Basel Committee on Banking Supervision of the Bank for International Settlements, DIS Disclosure requirements, December 2019.

(3)  Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012 (OJ L 150, 7.6.2019, p. 1).

(4)  Commission Implementing Regulation (EU) No 1423/2013 of 20 December 2013 laying down implementing technical standards with regard to disclosure of own funds requirements for institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 355, 31.12.2013, p. 60).

(5)  Commission Delegated Regulation (EU) 2015/1555 of 28 May 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for the disclosure of information in relation to the compliance of institutions with the requirement for a countercyclical capital buffer in accordance with Article 440 (OJ L 244, 19.9.2015, p. 1).

(6)  Commission Implementing Regulation (EU) 2016/200 of 15 February 2016 laying down implementing technical standards with regard to disclosure of the leverage ratio for institutions, according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 39, 16.2.2016, p. 5).

(7)  Commission Delegated Regulation (EU) 2017/2295 of 4 September 2017 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for disclosure of encumbered and unencumbered assets (OJ L 329, 13.12.2017, p. 6).

(8)  Guidelines EBA/GL/2018/10 of the European Banking Authority of 17 December 2018 on disclosure of non-performing and forborne exposures.

(9)  Regulation (EU) 2017/2401 of the European Parliament and of the Council of 12 December 2017 amending Regulation (EU) No 575/2013 on prudential requirements for credit institutions and investment firms (OJ L 347, 28.12.2017, p. 1).

(10)  Regulation (EU) 2017/2402 of the European Parliament and of the Council of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC, and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ L 347, 28.12.2017, p. 35).

(11)  Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).


ANNEX I

Template EU OV1 – Overview of total risk exposure amounts

 

Total risk exposure amounts (TREA)

Total own funds requirements

a

b

c

T

T-1

T

1

Credit risk (excluding CCR)

 

 

 

2

Of which the standardised approach

 

 

 

3

Of which the Foundation IRB (F-IRB) approach

 

 

 

4

Of which slotting approach

 

 

 

EU 4a

Of which equities under the simple riskweighted approach

 

 

 

5

Of which the Advanced IRB (A-IRB) approach

 

 

 

6

Counterparty credit risk - CCR

 

 

 

7

Of which the standardised approach

 

 

 

8

Of which internal model method (IMM)

 

 

 

EU 8a

Of which exposures to a CCP

 

 

 

EU 8b

Of which credit valuation adjustment - CVA

 

 

 

9

Of which other CCR

 

 

 

10

Not applicable

 

 

 

11

Not applicable

 

 

 

12

Not applicable

 

 

 

13

Not applicable

 

 

 

14

Not applicable

 

 

 

15

Settlement risk

 

 

 

16

Securitisation exposures in the non-trading book (after the cap)

 

 

 

17

Of which SEC-IRBA approach

 

 

 

18

Of which SEC-ERBA (including IAA)

 

 

 

19

Of which SEC-SA approach

 

 

 

EU 19a

Of which 1 250  % / deduction

 

 

 

20

Position, foreign exchange and commodities risks (Market risk)

 

 

 

21

Of which the standardised approach

 

 

 

22

Of which IMA

 

 

 

EU 22a

Large exposures

 

 

 

23

Operational risk

 

 

 

EU 23a

Of which basic indicator approach

 

 

 

EU 23b

Of which standardised approach

 

 

 

EU 23c

Of which advanced measurement approach

 

 

 

24

Amounts below the thresholds for deduction (subject to 250 % risk weight)

 

 

 

25

Not applicable

 

 

 

26

Not applicable

 

 

 

27

Not applicable

 

 

 

28

Not applicable

 

 

 

29

Total

 

 

 


Template EU KM1 - Key metrics template

 

a

b

c

d

e

T

T-1

T-2

T-3

T-4

 

Available own funds (amounts)

1

Common Equity Tier 1 (CET1) capital

 

 

 

 

 

2

Tier 1 capital

 

 

 

 

 

3

Total capital

 

 

 

 

 

 

Risk-weighted exposure amounts

4

Total risk exposure amount

 

 

 

 

 

 

Capital ratios (as a percentage of risk-weighted exposure amount)

5

Common Equity Tier 1 ratio (%)

 

 

 

 

 

6

Tier 1 ratio (%)

 

 

 

 

 

7

Total capital ratio (%)

 

 

 

 

 

 

Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount)

EU 7a

Additional own funds requirements to address risks other than the risk of excessive leverage (%)

 

 

 

 

 

EU 7b

of which: to be made up of CET1 capital (percentage points)

 

 

 

 

 

EU 7c

of which: to be made up of Tier 1 capital (percentage points)

 

 

 

 

 

EU 7d

Total SREP own funds requirements (%)

 

 

 

 

 

 

Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount)

8

Capital conservation buffer (%)

 

 

 

 

 

EU 8a

Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%)

 

 

 

 

 

9

Institution specific countercyclical capital buffer (%)

 

 

 

 

 

EU 9a

Systemic risk buffer (%)

 

 

 

 

 

10

Global Systemically Important Institution buffer (%)

 

 

 

 

 

EU 10a

Other Systemically Important Institution buffer (%)

 

 

 

 

 

11

Combined buffer requirement (%)

 

 

 

 

 

EU 11a

Overall capital requirements (%)

 

 

 

 

 

12

CET1 available after meeting the total SREP own funds requirements (%)

 

 

 

 

 

 

Leverage ratio

13

Total exposure measure

 

 

 

 

 

14

Leverage ratio (%)

 

 

 

 

 

 

Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure)

EU 14a

Additional own funds requirements to address the risk of excessive leverage (%)

 

 

 

 

 

EU 14b

of which: to be made up of CET1 capital (percentage points)

 

 

 

 

 

EU 14c

Total SREP leverage ratio requirements (%)

 

 

 

 

 

 

Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)

EU 14d

Leverage ratio buffer requirement (%)

 

 

 

 

 

EU 14e

Overall leverage ratio requirement (%)

 

 

 

 

 

 

Liquidity Coverage Ratio

15

Total high-quality liquid assets (HQLA) (Weighted value -average)

 

 

 

 

 

EU 16a

Cash outflows - Total weighted value

 

 

 

 

 

EU 16b

Cash inflows - Total weighted value

 

 

 

 

 

16

Total net cash outflows (adjusted value)

 

 

 

 

 

17

Liquidity coverage ratio (%)

 

 

 

 

 

 

Net Stable Funding Ratio

18

Total available stable funding

 

 

 

 

 

19

Total required stable funding

 

 

 

 

 

20

NSFR ratio (%)

 

 

 

 

 


Template EU INS1 - Insurance participations

 

a

b

Exposure value

Risk exposure amount

1

Own fund instruments held in insurance or re-insurance undertakings or insurance holding company not deducted from own funds

 

 


Template EU INS2 - Financial conglomerates information on own funds and capital adequacy ratio

 

a

T

1

Supplementary own fund requirements of the financial conglomerate (amount)

 

2

Capital adequacy ratio of the financial conglomerate (%)

 


Table EU OVC - ICAAP information

Internal Capital Adequacy Assessment Process + ongoing assessment of the bank's risks, how the bank intends to mitigate those risks and how much current and future capital is necessary having considered other mitigating factors

Free format text boxes for disclosure on qualitative items

Legal basis

Row number

Free format

Article 438(a) CRR

(a)

Approach to assessing the adequacy of the internal capital

Article 438(c) CRR

(b)

Upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process


ANNEX II

Instructions for overview disclosure templates

Template EU OV1 – Overview of total risk exposure amounts. Fixed format

1.

Institutions shall apply the instructions below to complete template EU OV1 as presented in Annex I to this Implementing Regulation, in application of point (d) of Article 438 of Regulation (EU) No 575/2013 (1) (‘CRR’).

2.

Institutions shall explain, where relevant, in the narrative accompanying the template, the effect that applying capital floors and not deducting items from own funds has on the calculation of own funds and risk exposure amounts.

Legal references and instructions

Column number

Explanation

a

Total risk exposure amounts (TREA)

Total risk exposure amount calculated in accordance with Articles 92(3) and Articles 95, 96 and 98 CRR

b

TREA (T-1)

TREA as disclosed in the previous disclosure period

c

Total own funds requirements

Own fund requirements corresponding to the RWEAs for the different risk categories

Legal references and instructions

Row number

Explanation

1

Credit risk (excluding CCR)

RWEAs and own funds requirements calculated in accordance with Chapters 1 to 4 of Title II of Part Three CRR, and with Article 379 CRR. RWEAs for securitisation exposures in the non-trading book and for CCR are excluded and disclosed in rows 6 and 16 of this template. Institutions shall include, in the amount disclosed in this row, RWEAs and own funds requirements for free deliveries risk calculated in accordance with Article 379 CRR.

2

Credit risk (excluding CCR) - Of which the standardised approach

RWEAs and own funds requirements calculated in accordance with the CR standardised approach (Chapter 2 of Title II of Part Three CRR and Article 379 CRR).

3

Credit risk (excluding CCR) - Of which the Foundation IRB (F-IRB) approach

RWEAs and own funds requirements calculated in accordance with the CR – Foundation Internal Ratings Based Approach (Chapter 3 of Title II of Part Three CRR), excluding the RWEAs disclosed in row 4 for specialised lending exposures subject to the slotting approach, and in row EU 4a for equities under the simple risk weighted approach, and including the RWEAs and own funds requirements calculated in accordance with Article 379 CRR.

4

Credit risk (excluding CCR) - Of which: slotting approach

RWEAs and own funds requirements for specialised lending exposures subject to the slotting approach calculated in accordance with Article 153(5) CRR.

EU 4a

Credit risk (excluding CCR) - Of which: equities under the simple risk weighted approach

RWEAs and own funds requirements for equities under the simple risk weighted approach calculated in accordance with Article 155(2) CRR.

5

Credit risk (excluding CCR) - Of which the Advanced IRB (A-IRB) approach

RWEAs and own funds requirements calculated in accordance with the CR – Advanced Internal Ratings Based Approach (Chapter 3 of Title II of Part Three CRR), excluding the RWEAs disclosed in row 4 for specialised lending exposures subject to the slotting approach and in row EU 4a for equities under the simple risk weighted approach and including the RWEAs and own funds requirements calculated in accordance with Article 379 CRR.

6

Counterparty credit risk – CCR

RWEAs and own funds requirements calculated in accordance with Chapter 6 of Title II of Part Three CRR for counterparty credit risk.

7

CCR - Of which the standardised approach

RWEAs and own funds requirements calculated in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR.

8

CCR - Of which internal model method (IMM)

RWEAs and own funds requirements calculated in accordance with Article 283 CRR.

EU 8a

CCR – Of which exposures to a CCP

RWEAs and own funds requirements calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR.

EU 8b

CCR – Of which credit valuation adjustment – CVA

RWEAs and own funds requirements calculated in accordance with Title VI of Part Three CRR.

9

CCR - Of which other CCR

CCR RWEAs and own funds requirements that are not disclosed under rows 7, 8, EU 8a and EU 8b.

10

Not applicable

11

Not applicable

12

Not applicable

13

Not applicable

14

Not applicable

15

Settlement risk

Risk exposure amount (REA) and own funds requirements calculated for settlement/delivery risk in accordance with Article 378 CRR.

16

Securitisation exposures in the non-trading book (after the cap)

RWEAs and own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR.

17

Securitisation - Of which SEC-IRBA approach

RWEAs and own funds requirements calculated in accordance with the SEC-IRBA regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR.

18

Securitisation - Of which SEC-ERBA (including IAA)

RWEAs and own funds requirements calculated in accordance with the SEC-ERBA (including IAA) regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR.

19

Securitisation - Of which SEC-SA approach

RWEAs and own funds requirements calculated in accordance with the SEC-SA regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR.

EU 19a

Securitisation - Of which 1 250  % / deduction

RWEAs and own funds requirements for securitisation exposures on the non-trading book risk-weigh at 1 250  % or deducted from own funds in accordance with Chapter 5 of Title II of Part Three CRR.

20

Position, foreign exchange and commodities risks (Market risk)

RWEAs and own funds requirements calculated in accordance with Title IV of Part Three CRR.

21

Market risk - Of which the standardised approach

RWEAs and own funds requirements calculated in accordance with Chapters 2 to 4 of Title IV of Part Three CRR.

22

Market risk - Of which IMA

REA and own funds requirements calculated in accordance with Chapter 5 of Title IV of Part Three CRR.

EU 22a

Large exposures

REA and own funds requirements calculated in accordance with point (b)(ii) of Article 92(3) CRR.

23

Operational risk

REA and own funds requirements calculated in accordance with Title III of Part Three CRR.

EU 23a

Operational risk - Of which basic indicator approach

REA and own funds requirements calculated in accordance with Chapter 2 of Title III of Part Three CRR.

EU 23b

Operational risk - Of which standardised approach

REA and own funds requirements calculated in accordance with Chapter 3 of Title III of Part Three CRR.

EU 23c

Operational risk - Of which advanced measurement approach

REA and own funds requirements calculated in accordance with Chapter 4 of Title III of Part Three CRR.

24

Amount below the thresholds for deduction (subject to 250% risk weight)

The amount shall correspond to the sum of amounts of the items subject to a 250% risk weight referred to in Article 48(4) CRR after application of the 250% risk weight. Those amounts include:

deferred tax assets that are dependent on future profitability and arise from temporary differences, and in aggregate are equal to or less than 10 % of the Common Equity Tier 1 items of the institution calculated in accordance with point (a) of Article 48(1) CRR.

significant investments in a financial sector entity, the direct, indirect and synthetic holdings of that institution of the Common Equity Tier 1 instruments of those entities that in aggregate are equal to, or less than, 10 % of the Common Equity Tier 1 items of the institution calculated in accordance with point (b) of Article 48(1) CRR.

The information in this row is disclosed for information purposes only as the amount included here is also included in row 1, where institutions are asked to disclose information on credit risk.

25

Not applicable

26

Not applicable

27

Not applicable

28

Not applicable

29

Total

Total risk exposure amount calculated in accordance with Article 92(3) and Articles 95, 96 and 98 CRR.

Template EU KM1 – Key metrics template. Fixed format

3.

Institutions shall apply the instructions provided below in this Annex to complete template EU KM1 presented in Annex I to this Implementing Regulation, in application of points (a) to (g) of Article 447 CRR and in application of point (b) of Article 438 CRR.

Legal references and instructions

Column number

Explanation

a - e

Disclosure periods T, T-1, T-2, T-3 and T-4 are defined as quarterly periods and shall be populated depending on the frequency set by Articles 433a, 433b and 433c CRR.

Institutions disclosing the information contained in this template on a quarterly basis shall provide data for periods T, T-1, T-2, T-3 and T-4; institutions disclosing the information in this template on a semi-annual basis shall provide data for periods T, T-2 and T-4; and institutions disclosing the information in this template on an annual basis shall provide data for periods T and T-4.

Institutions shall disclose the dates corresponding to the disclosure periods.

The disclosure of data for previous periods is not required when data are disclosed for the first time.

Legal references and instructions

Row number

Explanation

1

Common Equity Tier 1 (CET1) capital

Amount of CET1 capital shall be the amount disclosed by institutions inf Annex VII to this Implementing Regulation (row 29 of template EU CC1 Composition of regulatory own funds)

2

Tier 1 capital

Amount of Tier 1 capital shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 45 of template EU CC1 Composition of regulatory own funds)

3

Total capital

Amount of total capital shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 59 of template EU CC1 Composition of regulatory own funds)

4

Total risk exposure amount

Amount of total risk exposure amount (TREA) shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 60 of template EU CC1 Composition of regulatory own funds)

5

Common Equity Tier 1 ratio (%)

CET1 capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 61 of template EU CC1 Composition of regulatory own funds)

6

Tier 1 ratio (%)

Tier 1 capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 62 of template EU CC1 Composition of regulatory own funds)

7

Total capital ratio (%)

Total capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 63 of template EU CC1 Composition of regulatory own funds)

EU 7a

Additional own funds requirements to address risks other than the risk of excessive leverage (%)

Additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total risk exposure amount.

EU 7b

of which: to be made up of CET1 capital (percentage points)

The part of the additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with Common Equity Tier 1 capital in accordance with the first and third subparagraph of Article 104a(4).

EU 7c

of which: to be made up of Tier 1 capital (percentage points)

The part of the additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with Tier 1 capital in accordance with the first and third subparagraph of Article 104a(4).

EU 7d

Total SREP own funds requirements (TSCR ratio) (%)

The sum of values determined under points (i) and (ii) as follows:

(i)

the total capital ratio (8%) as specified in point (c) of Article 92(1) CRR;

(ii)

the additional own funds requirements to address risks other than the risk of excessive leverage (Pillar 2 Requirements – P2R) imposed by the competent authority under point (a) of Article 104(1) CRD and determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing  (2) (‘EBA SREP GL’), expressed as a percentage of the total RWEAs.

This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 EBA SREP GL.

Where no additional own funds requirements imposed to address risks other than the risk of excessive leverage were communicated by the competent authority, only point (i) shall be disclosed.

8

Capital conservation buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128(1) and Article 129 CRD, expressed as a percentage of total RWEAs.

EU 8a

Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%)

Amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, expressed as a percentage of total RWEAs.

9

Institution specific countercyclical capital buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128(2), Article 130, and Articles 135 to 140 CRD, expressed as a percentage of total RWEAs.

The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date.

EU 9a

Systemic risk buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128(5), Articles 133 and 134 CRD, expressed as a percentage of total RWEAs.

The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date.

10

Global Systemically Important Institution buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128 (3) and Article 131 CRD, expressed as a percentage of total RWEAs.

The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date.

EU 10a

Other Systemically Important Institution buffer (%)

Amount of own funds that institutions are required to maintain in accordance with Article 128(4) and Article 131 CRD, expressed as a percentage of total RWEAs.

The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date.

11

Combined buffer requirement (%)

In accordance with point (6) of Article 128 CRD, expressed as a percentage of total RWEAs.

EU 11a

Overall capital requirements (OCR) (%)

The sum of (i) and (ii) as follows:

(i)

the TSCR ratio referred to in row EU 7d;

(ii)

to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD.

This item shall reflect the Overall Capital Requirement (OCR) ratio as defined in Section 1.2 EBA SREP GL.

Where no buffer requirement is applicable, only point (i) shall be disclosed.

12

CET1 available after meeting the total SREP own funds requirements (%)

13

Total exposure measure

Total exposure measure in accordance with the amount disclosed by institutions in Annex XI to this Implementing Regulation (row 24 of template EU LR2 - LRCom: Leverage ratio common disclosure)

14

Leverage ratio (%)

Leverage ratio in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row 25 of template EU LR2 - LRCom: Leverage ratio common disclosure)

EU 14a

Additional own funds requirements to address the risk of excessive leverage (%)

The additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total exposure measure.

Additional own funds requirements in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row EU-26a of template EU LR2 - LRCom: Leverage ratio common disclosure).

EU 14b

of which: to be made up of CET1 capital (percentage points)

The part of the additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with CET1 capital in accordance with the third subparagraph of Article 104a(4).

Additional own funds requirements in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row EU-26b of template EU LR2 - LRCom: Leverage ratio common disclosure).

EU 14c

Total SREP leverage ratio requirements (%)

The sum of (i) and (ii) as follows:

(i)

the minimum leverage ratio requirement as specified in point (d) of Article 92(1) CRR or the adjusted leverage ratio requirement calculated in accordance with Article 429a(7) CRR, as applicable;

(ii)

the additional own funds requirements to address the risk of excessive leverage (Pillar 2 Requirements – P2R) imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total exposure measure.

This item shall reflect the total SREP leverage ratio requirement (TSLRR) as communicated to the institution by the competent authority.

If no additional own funds requirements to address the risk of excessive leverage were imposed by the competent authority, only point (i) shall be disclosed.

EU 14d

Leverage ratio buffer requirement (%)

Article 92(1a) CRR

Applicable leverage ratio buffer in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row 27 of template EU LR2 - LRCom: Leverage ratio common disclosure)

EU 14e

Overall leverage ratio requirement (%)

Sum of rows EU 14c and EU 14d

15

Total high-quality liquid assets (HQLA) (Weighted value - average)

Institutions shall disclose as the weighted value the value of the liquid assets in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 (3) before applying the adjustment mechanism set out in Article 17(2) of Delegated Regulation (EU) 2015/61.

EU 16a

Cash outflows - Total weighted value

Institutions shall disclose the sum of the weighted value of their cash outflows, as disclosed in Annex XIII (row 16 of Template EU LIQ1 - Quantitative information of LCR).

EU 16b

Cash inflows - Total weighted value

Institutions shall disclose the sum of the weighted value of their cash inflows, as disclosed in Annex XIII (row 20 of Template EU LIQ1 - Quantitative information of LCR.

16

Total net cash outflows (Adjusted value)

Institutions shall disclose as the adjusted value the net liquidity outflow which equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90% cap less the reduction for inflows subject to the 75% cap.

17

Liquidity coverage ratio (%)

Institutions shall disclose as the adjusted value the percentage of the item 'Liquidity coverage ratio (%)' as defined in Article 4(1) of Delegated Regulation (EU) 2015/61.

The liquidity coverage ratio shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar days stress period and shall be expressed as a percentage.

18

Total available stable funding

Institutions shall disclose the amount of available stable funding calculated in accordance with Chapter 3 of Title IV of Part Six CRR, as disclosed in Annex XIII (row 14 of Template EU LIQ2 – Net Stable Funding Ratio).

19

Total required stable funding

Institutions shall disclose the amount of required stable funding calculated in accordance with Chapter 4 of Title IV of Part Six CRR, as disclosed in Annex XIII (row 33 of Template EU LIQ2 – Net Stable Funding Ratio).

20

NSFR ratio (%)

NSFR ratio calculated in accordance with Article 428b CRR.

Template EU INS1 – Insurance participations: Fixed format

4.

Institutions shall apply the instructions provided below in this Annex to complete template EU INS1 as presented in Annex I, in application of point (f) of Article 438 CRR.

Legal references and instructions

Column number

Explanation

a

Exposure value

Exposure value of own fund instruments held in any insurance undertaking, re-insurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 CRR when calculating their capital requirements on an individual, sub-consolidated and consolidated basis.

b

Risk exposure amount

Risk exposure amount of own fund instruments held in any insurance undertaking, re-insurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 CRR when calculating their capital requirements on an individual, sub-consolidated and consolidated basis.

Template EU INS2 – Financial conglomerates - Information on own funds and capital adequacy ratio. Fixed format

5.

Institutions shall apply the instructions provided below in this Annex to complete template EU INS2 presented in Annex I to this Implementing Regulation, in application of point (g) of Article 438 CRR.

Legal references and instructions

Row number

Explanation

1

Supplementary own fund requirements of the financial conglomerate (amount)

The amount of supplementary own fund requirements of the financial conglomerate calculated in accordance with Article 6 of Directive (EC) 2002/87 of European Parliament and of the Council (4) and Annex I to that Directive where methods 1 or 2 set out in Annex I are applied.

2

Capital adequacy ratio of the financial conglomerate (%)

The capital adequacy ratio of the financial conglomerate calculated in accordance with Article 6 of Directive (EC) 2002/87 and Annex I to that Directive where methods 1 or 2 set out in Annex I are applied.

Table EU OVC - ICAAP information. Flexible format

6.

Institutions shall apply the instructions provided below in this Annex to complete table EU OVC as presented in Annex I, in application of points (a) and (c) of Article 438 CRR.

Legal references and instructions

Row number

Explanation

(a)

Approach to assessing the adequacy of their internal capital

Institutions shall disclose a summary of their approach to assessing the adequacy of their internal capital to support current and future activities.

(b)

Upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process

This information shall only be disclosed by institutions when required by the relevant competent authority.


(1)  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).

(2)  Guidelines EBA/GL/2018/03 of the European Banking Authority of 19 July 2018 on the revised common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing.

(3)  Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1).

(4)  Directive 2002/87/EC of the European Parliament and of the Council of 16 December 2002 on the supplementary supervision of credit institutions, insurance undertakings and investment firms in a financial conglomerate and amending Council Directives 73/239/EEC, 79/267/EEC, 92/49/EEC, 92/96/EEC, 93/6/EEC and 93/22/EEC, and Directives 98/78/EC and 2000/12/EC of the European Parliament and of the Council (OJ L 35, 11.2.2003, p. 1).


ANNEX III

Table EU OVA - Institution risk management approach

Free format text boxes for disclosure of qualitative information

Legal basis

Row number

Qualitative information - Free format

Point (f) of Article 435(1) CRR

(a)

Disclosure of concise risk statement approved by the management body

Point (b) of Article 435(1) CRR

(b)

Information on the risk governance structure for each type of risk

Point (e) of Article 435(1) CRR

(c)

Declaration approved by the management body on the adequacy of the risk management arrangements.

Point (c) of Article 435(1) CRR

(d)

Disclosure on the scope and nature of risk disclosure and/or measurement systems.

Point (c) of Article 435(1) CRR

(e)

Disclose information on the main features of risk disclosure and measurement systems.

Point (a) of Article 435(1) CRR

(f)

Strategies and processes to manage risks for each separate category of risk.

Points (a) and (d) of Article 435(1) CRR

(g)

Information on the strategies and processes to manage, hedge and mitigate risks, as well as on the monitoring of the effectiveness of hedges and mitigants.


Table EU OVB - Disclosure on governance arrangements

Free format text boxes for disclosure of qualitative information

Legal basis

Row number

Free format

Point (a) of Article 435(2) CRR

(a)

The number of directorships held by members of the management body.

Point (b) of Article 435(2) CRR

(b)

Information regarding the recruitment policy for the selection of members of the management body and their actual knowledge, skills and expertise.

Point (c) of Article 435(2) CRR

(c)

Information on the diversity policy with regard of the members of the management body.

Point (d) of Article 435(2) CRR

(d)

Information whether or not the institution has set up a separate risk committee and the frequency of the meetings.

Point (e) Article 435(2) CRR

(e)

Description on the information flow on risk to the management body.


ANNEX IV

Instructions for disclosure of risk management objectives and policies

Table EU OVA - Institution risk management approach: Free format text boxes for disclosure of qualitative information

1.

Institutions shall disclose the information referred to Article 435(1) of Regulation (EU) 575/2013 (1) (‘CRR’) by following the instructions provided below in this Annex to complete table EU OVA which is presented in Annex III to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

(a)

The concise risk statement approved by the management body in the application of point (f) of Article 435(1) CRR shall describe how the business model determines and interacts with the overall risk profile: for instance, the key risks related to the business model and how each of these risks is reflected and described in the risk disclosures, or how the risk profile of the institution interacts with the risk tolerance approved by the management body.

Within the risk statement in the application of point (f) of Article 435(1) CRR, institutions shall also disclose the nature, extent, purpose and economic substance of material transactions within the group, affiliates and related parties. The disclosure shall be limited to transactions that have a material impact on the risk profile of the institution (including reputational risk) or the distribution of risks within the group. Institutions shall also include key ratios and figures that show how the risk profile of the institution interacts with the risk tolerance set by the management body.

(b)

Information to be disclosed in the application of point (b) of Article 435(1) CRR includes the risk governance structure for each type of risk: responsibilities attributed throughout the institution (including, where relevant, oversight and delegation of authority and breakdown of responsibilities between the management body, the business lines and the risk management function by type of risk, business unit, and other relevant information); relationships between the bodies and functions involved in risk management processes (including, as appropriate, the management body, risk committee, risk management function, compliance function, internal audit function); and the organisational and internal control procedures.

When disclosing the structure and organisation of the relevant risk management function, institutions shall complement the disclosure with the following information:

Information on the overall internal control framework and how its control functions are organised (authority, resources, statute, independence), the major tasks they perform, and any actual and planned material changes to these functions;

The approved limits of risks to which the institution is exposed;

Changes of the heads of internal control, risk management, compliance and internal audit.

Channels to communicate, decline and enforce the risk culture within the institution (for instance, whether there are codes of conduct, manuals containing operating limits or procedures to treat violations or breaches of risk thresholds or procedures to raise and share risk issues between business lines and risk functions).

(c)

The declaration that institutions shall disclose in compliance with point (e) of Article 435(1) CRR, on the adequacy of the risk management arrangements, has to be approved by the management body and provide assurance that the risk management systems put in place are adequate taking into account the institution’s risk profile and its strategy.

(d)

As part of the disclosures required in point (c) of Article 435(1) CRR, institutions shall disclose the scope and nature of risk disclosure and/or measurement systems and the description of the flow on risk to the management body and senior management.

(e)

When providing information on the main features of risk disclosure and measurement systems in the application of point (c) of Article 435(1) CRR, institutions shall disclose their policies regarding systematic and regular reviews of risk management strategies, and the periodical assessment of their effectiveness.

(f)

Disclosure on the strategies and processes to manage risk in the application of point (a) of Article 435(1) CRR shall include qualitative information on stress testing, such as the portfolios subject to stress testing, scenarios adopted and methodologies used, and the use of stress testing in risk management.

(g)

Institutions shall provide information on the strategies and processes to manage, hedge and mitigate risks, as well as on the monitoring of the effectiveness of hedges and mitigants in accordance with points (a) and (d) of Article 435(1) CRR for risks that arise from the institutions’ business model.

Table EU OVB - Disclosure on governance arrangements: Free format text boxes for disclosure of qualitative information.

2.

Institutions shall disclose the information referred to in Article 435(2) CRR by following the instructions provided below in this Annex to complete table EU OVB which is presented in Annex III to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

(a)

Institutions shall disclose the number of directorships held by members of the management body in accordance with point (a) of Article 435(2) CRR. When disclosing this information, the following specifications apply:

Institutions under the scope of Article 91(3) and (4) of Directive (EU) 2013/36 (2) (“CRD”) shall disclose the number of directorships as counted by this Article;

Institutions shall disclose the number of directorships effectively held for each member of the management body (whether it is a group company or not, a qualifying holding or an institution within the same institutional protection scheme and whether the directorship is an executive or non-executive directorship) regardless of whether the directorship is with an entity that pursues or does not pursue a commercial objective;

Where an additional directorship was approved by the competent authority, all institutions in which this member holds a directorship shall disclose this fact together with the name of the competent authority approving the additional directorship.

(b)

When disclosing information regarding the recruitment policy for the selection of members of the management body in accordance with point (b) of Article 435(2) CRR, institutions shall include information on the actual knowledge, skills and expertise of the members. Institutions shall include information on the policy possibly resulting from succession planning and on any foreseeable changes within the overall composition of the management body.

(c)

When disclosing their diversity policy in accordance with point (c) of Article 435(2) CRR, institutions shall disclose information on the objectives and any relevant targets set out in that policy, and the extent to which those objectives and targets have been achieved.

In particular institutions shall disclose the policy on gender diversity, including:

Where a target has been set for the underrepresented gender and for the policies regarding diversity in terms of age, educational background, professional background and geographical provenance, the target set, and the extent to which the targets are met.

Where a target is not met, institutions shall disclose the reasons and, when relevant, the measures taken to meet the target within a certain time period.

(d)

Institution shall disclose if they have set up a separate risk committee, and the number of times the risk committee has met in accordance with point (d) of Article 435(2) CRR.

(e)

As part of data on the information flow on risk to the management body in the application of point (e) of Article 435(2) CRR, institutions shall describe the process of the risk disclosure provided to the management body, particularly the frequency, scope and main content of risk exposure and how the management body was involved in defining the content to be disclosed.


(1)  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).

(2)  DIRECTIVE 2013/36/EU OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).


ANNEX V

Template EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories

 

a

b

c

d

e

f

g

Carrying values as reported in published financial statements

Carrying values under scope of prudential consolidation

Carrying values of items

Subject to the credit risk framework

Subject to the CCR framework

Subject to the securitisation framework

Subject to the market risk framework

Not subject to own funds requirements or subject to deduction from own funds

 

Breakdown by asset clases according to the balance sheet in the published financial statements

 

 

 

 

 

 

 

1

 

 

 

 

 

 

 

 

2

 

 

 

 

 

 

 

 

3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

….

 

 

 

 

 

 

 

xxx

Total assets

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Breakdown by liability classes according to the balance sheet in the published financial statements

 

 

 

 

 

 

 

1

 

 

 

 

 

 

 

 

2

 

 

 

 

 

 

 

 

3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

….

 

 

 

 

 

 

 

xxx

Total liabilities

 

 

 

 

 

 

 


Template EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements

 

a

b

c

d

e

Total

Items subject to

Credit risk framework

Securitisation framework

CCR framework

Market risk framework

1

Assets carrying value amount under the scope of prudential consolidation (as per template LI1)

 

 

 

 

 

2

Liabilities carrying value amount under the scope of prudential consolidation (as per template LI1)

 

 

 

 

 

3

Total net amount under the scope of prudential consolidation

 

 

 

 

 

4

Off-balance-sheet amounts

 

 

 

 

 

5

Differences in valuations

 

 

 

 

 

6

Differences due to different netting rules, other than those already included in row 2

 

 

 

 

 

7

Differences due to consideration of provisions

 

 

 

 

 

8

Differences due to the use of credit risk mitigation techniques (CRMs)

 

 

 

 

 

9

Differences due to credit conversion factors

 

 

 

 

 

10

Differences due to Securitisation with risk transfer

 

 

 

 

 

11

Other differences

 

 

 

 

 

12

Exposure amounts considered for regulatory purposes

 

 

 

 

 


Template EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity)

a

b

c

d

e

f

g

h

Name of the entity

Method of accounting consolidation

Method of prudential consolidation

Description of the entity

Full consolidation

Proportional consolidation

Equity method

Neither consolidated nor deducted

Deducted

 

Entity A

Full consolidation

X

 

 

 

 

Credit institution

Entity N

Full consolidation

 

X

 

 

 

Credit institution

Entity Z

Full consolidation

 

 

 

X

 

Insurance entity

Entity AA

Full consolidation

 

 

X

 

 

Immaterial leasing company


Table EU LIA - Explanations of differences between accounting and regulatory exposure amounts

Free format text boxes for disclosure of qualitative information

Legal basis

Row number

Qualitative information - Free format

Article 436(b) CRR

(a)

Differences between columns (a) and (b) in template EU LI1

Article 436(d) CRR

(b)

Qualitative information on the main sources of differences between the accounting and regulatoy scope of consolidation shown in template EU LI2


Table EU LIB - Other qualitative information on the scope of application

Free format text boxes for disclosure of qualitative information

Legal basis

Row number

Qualitative information - Free format

Article 436(f) CRR

(a)

Impediment to the prompt transfer of own funds or to the repayment of liabilities within the group

Article 436(g) CRR

(b)

Subsidiaries not included in the consolidation with own funds less than required

Article 436(h) CRR

(c)

Use of derogation referred to in Article 7 CRR or individual consolidation method laid down in Article 9 CRR

Article 436(g) CRR

(d)

Aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation


Template EU PV1 - Prudent valuation adjustments (PVA)

Fixed format

 

a

b

c

d

e

EU e1

EU e2

f

g

h

Risk category

Category level AVA - Valuation uncertainty

Total category level post-diversification

 

 

Category level AVA

Equity

Interest Rates

Foreign exchange

Credit

Commodities

Unearned credit spreads AVA

Investment and funding costs AVA

Of which: Total core approach in the trading book

Of which: Total core approach in the banking book

1

Market price uncertainty

 

 

 

 

 

 

 

 

 

 

2

Not applicable

 

 

 

 

 

 

 

 

 

 

3

Close-out cost

 

 

 

 

 

 

 

 

 

 

4

Concentrated positions

 

 

 

 

 

 

 

 

 

 

5

Early termination

 

 

 

 

 

 

 

 

 

 

6

Model risk

 

 

 

 

 

 

 

 

 

 

7

Operational risk

 

 

 

 

 

 

 

 

 

 

8

Not applicable

 

 

 

 

 

 

 

 

 

 

9

Not applicable

 

 

 

 

 

 

 

 

 

 

10

Future administrative costs

 

 

 

 

 

 

 

 

 

 

11

Not applicable

 

 

 

 

 

 

 

 

 

 

12

Total Additional Valuation Adjustments (AVAs)

 

 

 

 

 

 

 

 

 

 


ANNEX VI

Instructions for disclosure of information on the scope of application of the regulatory framework

Template EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories. Flexible format.

1.

Institutions shall disclose the information referred to in point (c) of Article 436 of Regulation (EU) 575/2013 (1) (‘CRR’) by following the instructions provided below in this Annex to complete template EU LI1 which is presented in Annex V to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

1 to XXX

Total Assets

The row structure shall be the same as the row structure of the balance sheet used in the latest available financial reporting of the institution.

‘Financial reporting’ refers to the annual individual or consolidated financial statements defined in Articles 4 and 24 of Directive (EU) 2013/34 (2), as well as (when applicable) to the financial statements in the meaning of the international accounting standards as endorsed in the EU in the application of Regulation (EC) 1606/2002 (3).

1 to XXX

Total Liabilities

The row structure shall be the same as the row structure of the balance sheet used in the latest available financial reporting of the institution.

‘Financial reporting’ refers to the annual individual or consolidated financial statements defined in Articles 4 and 24 of Directive (EU) 2013/34/EU, as well as (when applicable) to the financial statements in the meaning of the international accounting standards as endorsed in the EU in the application of Regulation (EC) 1606/2002.

Legal references and instructions

Column reference

Explanation

a

Carrying values as reported in published financial statements

Amount reported on the assets side and the liabilities side of the balance sheet established following the consolidation requirements in the applicable accounting framework, including frameworks based on Directive (EU) 2013/34/EU and with Directive (EEC) 86/635 (4), or the international accounting standards as endorsed in the EU

b

Carrying values under the scope of prudential consolidation

Amount reported on the assets side and the liabilities side of the balance sheet established following the regulatory consolidation requirements in Sections 2 and 3 of Title II of Part One CRR

If the scope of accounting consolidation and the scope of prudential consolidation are exactly the same, columns (a) and (b) of this template shall be merged.

c

Carrying values of items subject to credit risk framework

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) to which Chapters 2 and 3 of Title II of Part Three CRR applies

d

Carrying values of items subject to counterparty credit risk framework

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) to which Chapter 6 of Title II of Part Three CRR applies

e

Carrying values of items subject to the securitisation framework

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) from the non-trading book to which Chapter 5 of Title II of Part Three CRR applies

f

Carrying values of items subject to the market risk framework

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) to which Title IV of Part Three CRR applies. Items corresponding to securitisation positions in the trading book -to which the requirements in Title IV of Part Three CRR shall be included in this column.

g

Carrying values of items not subject to own funds requirements or subject to deduction from own funds

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) not subject to own funds requirements in accordance with CRR; carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) that are subject to deductions from own funds in accordance with Part Two CRR

Deducted items may include, for instance, the items listed in Articles 37, 38, 39, and 41 CRR.

The amounts for assets shall be the amounts actually deducted from own funds, taking into account any netting with liabilities allowed by (and any threshold for) deduction applicable as per the relevant articles in Part Two CRR.

When the items listed in point (k) Article 36(1) and in Article 48 CRR are 1 250  % risk-weighted instead of being deducted, they shall not be disclosed in column (g) of this template but in the other appropriate columns of template EU LI1. This also applies to any other item that is 1 250  % risk-weighted in accordance with the requirements in CRR.

The amounts for liabilities shall be the amount of liabilities that must be taken into consideration for the determination of the amount of assets to be deducted from own funds as per the relevant articles in Part Two CRR. In addition, all liabilities other than those that (i) are relevant for the application of requirements in Chapter 4 of Title II of Part Three CRR, or (ii) that are relevant for the application of requirements in Chapter 6 of Title II of Part Three CRR and in Title IV of Part Three CRR shall be disclosed in this column.

all

Where a single item attracts capital requirements in accordance with more than one risk framework, values shall be disclosed in all columns corresponding to the capital requirements they relate to. As a consequence, the sum of amounts in columns (c) to (g) of this template may be greater than the amount in column (b) of this template. Institutions shall provide qualitative explanations on assets and liabilities that are subject to capital requirements for more than one risk framework listed in Part Three CRR.

Template EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements. Fixed format.

2.

Institutions shall disclose the information referred to in point (d) of Article 436 CRR by following the instructions provided below in this Annex to complete template EU LI2 which is presented in Annex V to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

1

Assets carrying value amount under the scope of prudential consolidation

Amounts in columns (b) to (e) of this template shall be the same as the amounts in columns (c) to (f) of template EU LI1.

2

Liabilities carrying value amount under the scope of prudential consolidation

Amounts in columns (b) to (e) of this template shall be the same as the amounts in columns (c) to (f) of template EU LI1.

3

Total net amount under scope of prudential consolidation

Amount after on-balance-sheet netting between assets and liabilities under the scope of prudential consolidation, regardless of the eligibility of those assets and liabilities of the specific netting rules in the application of Chapters 4 and 5 of Title II of Part Three CRR and of Title IV of Part Three CRR

The amount in this row shall be equal to the value in row 1 deducted by the value in row 2 of this template.

4

Off-balance-sheet amounts

Include off-balance-sheet original exposures, prior to the use of a conversion factor, where relevant, from the established off-balance-sheet statement, following the scope of prudential consolidation in column (a) to (d) of this template.

5

Differences in valuations

Impact of the carrying amount of value adjustments in accordance with Article 34 of Chapter 2 of Title I of Part Two CRR and with Article 105 of Chapter 3 of Title I of Part Three CRR on trading book and non-trading book exposures measured at fair value in accordance with the applicable accounting framework

This amount shall be consistent with the amount in row 7 of template EU CC1 as well as with the amount in row 12 column (f) of template EU PV1.

6

Differences due to different netting rules, other than those already included in row 2 of this template

This item refers to the net on-balance-sheet and off-balance-sheet exposure amounts after the application of the specific netting rules in Chapters 4 and 5 of Title II of Part Three CRR and in Title IV of Part Three CRR. The impact of the application of the netting rules can be negative (in case more exposures have to be netted than the use of on-balance-sheet netting in row 2 of this template) or positive (in the case of the application of netting rules in the CRR leading to a lower amount being netted out than on-balance-sheet netting in row 2 of this template).

7

Differences due to consideration of provisions

Re-integration in the exposure value of specific and general credit risk adjustments (as defined in the Commission Delegated Regulation (EU) 183/2014 (5)) that have been deducted in accordance with the applicable accounting framework from the carrying amount of exposures under Chapter 3 of Title II of Part Three CRR for risk-weighting purposes. Regarding exposures risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, when the carrying amount in the financial statements under the scope of prudential consolidation has been reduced by elements qualifying as general credit risk adjustments under the aforementioned delegated regulation, these elements shall be re-integrated in the exposure value.

8

Differences due to the use of credit risk mitigation techniques

Impact on the exposure value under the scope of prudential consolidation of the application of credit risk mitigation techniques as defined in the CRR.

9

Differences due to credit conversion factors

Impact on the exposure value of off-balance sheet exposures under the scope of prudential consolidation of the application of the relevant conversion factors in accordance with CRR

The conversion factor for off-balance-sheet items to be risk-weighted in the application of Title II of Part Three CRR shall be determined in accordance with Articles 111, 166, 167 and 182 (as applicable for credit risk), and in Article 246 CRR (as applicable for securitisation risk).

10

Differences due to Securitisation with risk transfer

Impact on the exposure value of securitised exposures of the use of securitised transactions to transfer credit risk to third parties in accordance with the CRR

11

Other differences (if relevant)

Other meaningful drivers for differences between financial statements’ carrying values under the regulatory scope of application and the exposure amounts considered for regulatory purposes

Institutions shall complement the quantitative disclosures included in this row with qualitative explanations on the main drivers of these differences in table EU LIA.

12

Exposure amounts considered for regulatory purposes

Aggregate amount considered as a starting point of the RWEA calculation after the application of CRM methods other than netting in Chapter 4 of Title II of Part Three CRR and after the application of netting requirements in Chapters 4 and 5 of Title II of Part Three CRR and in Title IV of Part Three CRR of the same regulation for each of the risk categories

In case the Standardised Approach (SA) is applied, this is the value after specific credit adjustments, additional value adjustments in accordance with Articles 34 and 110 CRR and other own funds reductions related to the asset item. For off-balance sheet items listed in Annex I to this Implementing Regulation, the exposure value shall be the nominal value after reduction of specific credit risk adjustments, multiplied with the applicable percentage mentioned in points (a) and (d) of Article 111(1) CRR.

For the IRB approach, the disclosed value shall be the exposure value within the meaning of Articles 166, 167 and 168 CRR.

Thus, the carrying values as reported in the financial statements under the scope of prudential consolidation shall be disclosed in the corresponding rows 1 to 3 of this template, while the off-balance-sheet original exposures shall be disclosed in row 4 of this template. Any specific regulatory addition or reduction concerning these amounts is to be included in rows 5 to 11 of this template to explain how to reconcile these amounts with the exposure amount for regulatory purposes as the starting point of the RWEA calculation in accordance with each of the frameworks mentioned in columns (b) to (e) of this template. This means that in particular for credit risk, the exposure amounts considered for regulatory purposes to be disclosed in row 12 of this template will be different from the carrying values as reported in the financial statements under the scope of prudential consolidation, due to the particular regulatory treatment of accounting provisions for the calculation of the RWEAs.

Legal references and instructions

Column reference

Explanation

a

Total

Total in Column (a) of template EU LI2 = Amounts in Column (b) of template EU LI1 – Amounts in Column (g) of template EU LI1.

 

The breakdown of columns in the regulatory risk categories (b) to (e) corresponds to the breakdown listed in Part Three CRR:

b

Credit risk framework

Exposures in Title II of Part Three CRR

Exposures under the credit risk framework shall correspond either to the exposure amount applied in the credit risk standardised approach (see Article 111 of Chapter 2 of Title II of Part Three CRR) or to the exposures at default (EAD) in the credit risk – IRB approach (see Articles 166, 167 and 168 in Chapter 3 of Title II of Part Three CRR).

c

Securitisation framework

Exposures from the non-trading book given in Chapter 5 of Title II of Part Three CRR

Securitisation exposures shall be determined in accordance with Article 246 of Chapter 5 of Title II of Part Three CRR.

d

Counterparty Credit Risk framework (CCR)

Exposures considered in Chapter 6 of Title II of Part Three CRR

e

Market risk framework

Market risk exposures corresponding to positions subject to the market risk framework in Title IV of Part Three CRR

Only rows 1 to 3 and 12 of this template shall be disclosed regarding this column.

all

Where a single item is subject to capital requirements in accordance with more than one risk framework, it shall be disclosed in all the relevant columns corresponding to the capital requirements. As a consequence, the sum of amounts in columns (b) to (e) of this template may be greater than the amount in column (a) of this template. Institutions shall provide qualitative explanations on assets and liabilities that are subject to capital requirements for more than one risk framework listed in Part Three CRR.

Template EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity)

3.

Institutions shall disclose the information referred to in point (b) of Article 436 CRR by following the instructions provided below in this Annex to complete template EU LI3 which is presented in Annex V to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

 

The rows are flexible. Disclosures shall be provided for entities included within the accounting and the regulatory scopes of consolidation as defined in accordance with the applicable accounting framework and Sections 2 and 3 of Title II of Part One CRR, for which the method of the accounting consolidation is different from the method of the regulatory consolidation. One row per entity.

Legal references and instructions

Column reference

Explanation

a

Name of the entity

Commercial name of any entity included or deducted from the regulatory and accounting scope of consolidation of an institution

b

Method of accounting consolidation

Consolidation method used in accordance with the applicable accounting framework

c to g

Method of regulatory consolidation

Consolidation method implemented for the purpose of Chapter 2 of Title II of Part One CRR

At a minimum, the methods listed in point (b) of Article 436 CRR shall be disclosed.

Institutions shall tick the applicable columns to identify the method of consolidation of each entity under the accounting framework and whether, under the scope of prudential consolidation, each entity is (i) fully consolidated; (ii) proportionally consolidated; (iii) recognised under the equity method; (iv) neither consolidated nor deducted or; (v) deducted.

h

Description of the entity

Brief description of the entity, with (at a minimum) disclosure of its sector of activity

Table EU LIA - Explanations of differences between accounting and regulatory exposure amounts. Free format text boxes for disclosure of qualitative information

4.

Institutions shall disclose the information referred to in points (b) and (d) of Article 436 CRR by following the instructions provided below in this Annex to complete table EU LIA which is presented in Annex V to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

(a)

Institutions shall explain and quantify the origins of any significant differences between the amounts in columns (a) and (b) in template EU LI1, regardless of whether the differences proceed from different consolidation rules or from the use of different accounting standards between the accounting and the regulatory consolidations.

(b)

Institutions shall explain the origins of differences between carrying values under the scope of prudential consolidation and amounts considered for regulatory purposes shown in template EU LI2.

Table EU LIB – Other qualitative information on the scope of application. Free format text boxes for disclosure of qualitative information

5.

Institutions shall disclose the information referred to points (f), (g) and (h) of Article 436 CRR following the instructions provided below in this Annex to complete table EU LIB which is presented in Annex V to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

(a)

Institutions shall disclose any current or expected material practical or legal impediment to the prompt transfer of own funds or to the repayment of liabilities between the parent undertaking and its subsidiaries.

(b)

Where applicable, institutions shall disclose the name or names of the subsidiaries that are not included in the consolidation.

(c)

Where applicable, institutions shall disclose the circumstances under which use is made of the derogation referred to in Article 7 CRR or the individual consolidation method laid down in Article 9 CRR.

(d)

Where applicable, institutions shall disclose aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation, and the name or names of those subsidiaries.

Template EU PV1 – Prudent valuation adjustments (PVA): Fixed format

6.

Institutions applying the core approach for the determination of the additional valuation adjustment for prudent valuation in accordance with Chapter III of the Commission Delegated Regulation (EU) 2016/101 (6) shall disclose the information referred to in point (e) of Article 436 CRR by following the instructions provided below in this Annex to complete template EU PV1 which is presented in Annex V to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

Rows 1 to 10

Category level AVA

The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk shall be determined in accordance with Articles 9 to 11 and 14 to 17 of Commission Delegated Regulation (EU) 2016/101 respectively.

For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out under Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 respectively, category level AVAs shall be disclosed in columns a to EU-e2 of this template as the straight sum of the individual AVAs before diversification benefit. Diversification benefits in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101 shall be included in column (f) of this template.

1

Market price uncertainty

Article 105(10) CRR

Market price uncertainty AVAs shall be computed in accordance with Article 9 of Commission Delegated Regulation (EU) 2016/101.

2

Not applicable

3

Close-out costs

Article 105(10) CRR

Close-out costs AVAs shall be computed in accordance with Article 10 of Commission Delegated Regulation (EU) 2016/101

4

Concentrated positions

Article 105(11) CRR

Concentrated positions AVAs shall be computed under Article 14 of Commission Delegated Regulation (EU) 2016/101.

5

Early termination

Article 105(10) CRR

Early termination AVAs shall be computed in accordance with Article 16 of Commission Delegated Regulation (EU) 2016/101.

6

Model risk

Article 105(10) CRR

Model risk AVAs shall be computed in accordance with Article 11 of Commission Delegated Regulation (EU) 2016/101.

7

Operational risk

Article 105(10) CRR

Operational risk AVAs shall be computed in accordance with Article 17 of Commission Delegated Regulation (EU) 2016/101.

8

Not applicable

9

Not applicable

10

Future administrative costs

Article 105(10) CRR

Future administrative costs AVAs shall be computed in accordance with Article 15 of Commission Delegated Regulation (EU) 2016/101.

11

Not applicable

12

Total additional valuation adjustments

Total AVA to be deducted from own funds under Articles 34 and 105 CRR shall be disclosed in row 12, column (f) of this template. This amount shall be consistent with the amount in row 7 of template EU CC1 as well as with the amount in row 5, column (a) of template EU LI2.

For portfolios subject to the Core approach as set out in Chapter III of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA shall be the sum of amounts in rows 1 to 10 of this template, and, the amounts computed in accordance with point (b) sub-paragraphs (i) to (iii) of Article 7 (2) of Delegated Regulation (EU) 2016/101, for portfolios subject to the Fall-back approach, if any.

For portfolios subject to the simplified approach as set out in Chapter II of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA included in column (f) of this template shall be the amount computed in accordance with Article 5 of this Chapter.

Column letter

Explanation

a-e

Breakdown by RISK CATEGORY

Institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Commission Delegated Regulation (EU) 2016/101 (trading book and non-trading book) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities.

The breakdown in these columns excludes the AVAs computed in accordance with Articles 12 and 13 of Commission Delegated Regulation (EU) 2016/101 that are disclosed in columns EU-e1 and EU-e2 of this template.

EU e1

Category level AVA - Valuation uncertainty: Unearned credit spreads AVA

Article 105(10) CRR, Article 12 of Commission Delegated Regulation (EU) 2016/101

The total AVA for unearned credit spreads (‘AVA on CVA’) and its allocation between market price uncertainty, close-out cost or model risk AVAs shall be determined in accordance with Article 12 of Commission Delegated Regulation (EU) 2016/101.

EU e2

Category level AVA - Investment and funding costs AVA

Article 105(10) CRR, Article 13 of Commission Delegated Regulation (EU) 2016/101

The total AVA for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs shall be determined in accordance with Article 13 of Commission Delegated Regulation (EU) 2016/101.

f

Total category level post-diversification

For portfolios subject to the Core approach as set out in Chapter III of Commission Delegated Regulation (EU) 2016/101, the total category level post-diversification shall encompass the total AVAs computed in accordance with the Core approach for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Commission Delegated Regulation (EU) 2016/101. This includes the diversification benefits defined in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101.

The total AVA in row 12, column (f) of this template, shall include the amounts computed in accordance with point (b) sub-paragraphs (i) to (iii) of Article 7 (2) of Delegated Regulation (EU) 2016/101, for portfolios subject to the Fall-back approach, if any.

For portfolios subject to the simplified approach as set out in Chapter II of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA included in row 12 of this template shall be the amount computed in accordance with Article 5 of this Chapter.

g

Of which: total core approach in the trading book

For each relevant category of AVAs, for portfolios subject to the Core approach as set out in Chapter III of Commission Delegated Regulation (EU) 2016/101, share of AVAs stemming from positions held in the 'trading book': all positions in financial instruments and commodities held by an institution with trading intent or to hedge positions held with trading intent in accordance with Article 104 CRR.

The disclosed value shall include the diversification benefits defined in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101.

h

Of which: total core approach in the banking book

For each relevant category of AVAs, for portfolios subject to the Core approach as set out in Chapter III of Commission Delegated Regulation (EU) 2016/101, share of AVAs stemming from fair-valued positions in financial instruments and commodities not held in the trading book

The disclosed value shall include the diversification benefits determined in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101.


(1)  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).

(2)  Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19).

(3)  REGULATION (EC) No 1606/2002 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1).

(4)  COUNCIL DIRECTIVE 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).

(5)  COMMISSION DELEGATED REGULATION (EU) No 183/2014 of 20 December 2013 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council on prudential requirements for credit institutions and investment firms, with regard to regulatory technical standards for specifying the calculation of specific and general credit risk adjustments (OJ L 57, 27.2.2014, p. 3).

(6)  COMMISSION DELEGATED REGULATION (EU) 2016/101 of 26 October 2015 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for prudent valuation under Article 105(14) (OJ L 21, 28.1.2016, p. 54).


ANNEX VII

Template EU CC1 - Composition of regulatory own funds

 

(a)

(b)

Amounts

Source based on reference numbers/letters of the balance sheet under the regulatory scope of consolidation

Common Equity Tier 1 (CET1) capital: instruments and reserves

1

Capital instruments and the related share premium accounts

 

(h)

 

of which: Instrument type 1

 

 

 

of which: Instrument type 2

 

 

 

of which: Instrument type 3

 

 

2

Retained earnings

 

 

3

Accumulated other comprehensive income (and other reserves)

 

 

EU-3a

Funds for general banking risk

 

 

4

Amount of qualifying items referred to in Article 484 (3) CRR and the related share premium accounts subject to phase out from CET1

 

 

5

Minority interests (amount allowed in consolidated CET1)

 

 

EU-5a

Independently reviewed interim profits net of any foreseeable charge or dividend

 

 

6

Common Equity Tier 1 (CET1) capital before regulatory adjustments

 

 

Common Equity Tier 1 (CET1) capital: regulatory adjustments

7

Additional value adjustments (negative amount)

 

 

8

Intangible assets (net of related tax liability) (negative amount)

 

(a)minus (d)

9

Not applicable

 

 

10

Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount)

 

 

11

Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value

 

 

12

Negative amounts resulting from the calculation of expected loss amounts

 

 

13

Any increase in equity that results from securitised assets (negative amount)

 

 

14

Gains or losses on liabilities valued at fair value resulting from changes in own credit standing

 

 

15

Defined-benefit pension fund assets (negative amount)

 

 

16

Direct, indirect and synthetic holdings by an institution of own CET1 instruments (negative amount)

 

 

17

Direct, indirect and synthetic holdings of the CET 1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

 

 

18

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)

 

 

19

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)

 

 

20

Not applicable

 

 

EU-20a

Exposure amount of the following items which qualify for a RW of 1 250 %, where the institution opts for the deduction alternative

 

 

EU-20b

of which: qualifying holdings outside the financial sector (negative amount)

 

 

EU-20c

of which: securitisation positions (negative amount)

 

 

EU-20d

of which: free deliveries (negative amount)

 

 

21

Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount)

 

 

22

Amount exceeding the 17,65% threshold (negative amount)

 

 

23

of which: direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities

 

 

24

Not applicable

 

 

25

of which: deferred tax assets arising from temporary differences

 

 

EU-25a

Losses for the current financial year (negative amount)

 

 

EU-25b

Foreseeable tax charges relating to CET1 items except where the institution suitably adjusts the amount of CET1 items insofar as such tax charges reduce the amount up to which those items may be used to cover risks or losses (negative amount)

 

 

26

Not applicable

 

 

27

Qualifying AT1 deductions that exceed the AT1 items of the institution (negative amount)

 

 

27a

Other regulatory adjustments

 

 

28

Total regulatory adjustments to Common Equity Tier 1 (CET1)

 

 

29

Common Equity Tier 1 (CET1) capital

 

 

Additional Tier 1 (AT1) capital: instruments

30

Capital instruments and the related share premium accounts

 

(i)

31

of which: classified as equity under applicable accounting standards

 

 

32

of which: classified as liabilities under applicable accounting standards

 

 

33

Amount of qualifying items referred to in Article 484 (4) CRR and the related share premium accounts subject to phase out from AT1

 

 

EU-33a

Amount of qualifying items referred to in Article 494a(1) CRR subject to phase out from AT1

 

 

EU-33b

Amount of qualifying items referred to in Article 494b(1) CRR subject to phase out from AT1

 

 

34

Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties

 

 

35

of which: instruments issued by subsidiaries subject to phase out

 

 

36

Additional Tier 1 (AT1) capital before regulatory adjustments

 

 

Additional Tier 1 (AT1) capital: regulatory adjustments

37

Direct, indirect and synthetic holdings by an institution of own AT1 instruments (negative amount)

 

 

38

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

 

 

39

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)

 

 

40

Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)

 

 

41

Not applicable

 

 

42

Qualifying T2 deductions that exceed the T2 items of the institution (negative amount)

 

 

42a

Other regulatory adjustments to AT1 capital

 

 

43

Total regulatory adjustments to Additional Tier 1 (AT1) capital

 

 

44

Additional Tier 1 (AT1) capital

 

 

45

Tier 1 capital (T1 = CET1 + AT1)

 

 

Tier 2 (T2) capital: instruments

46

Capital instruments and the related share premium accounts

 

 

47

Amount of qualifying items referred to in Article 484(5) CRR and the related share premium accounts subject to phase out from T2 as described in Article 486(4) CRR

 

 

EU-47a

Amount of qualifying items referred to in Article 494a(2) CRR subject to phase out from T2

 

 

EU-47b

Amount of qualifying items referred to in Article 494b(2) CRR subject to phase out from T2

 

 

48

Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties

 

 

49

of which: instruments issued by subsidiaries subject to phase out

 

 

50

Credit risk adjustments

 

 

51

Tier 2 (T2) capital before regulatory adjustments

 

 

Tier 2 (T2) capital: regulatory adjustments

52

Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans (negative amount)

 

 

53

Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

 

 

54

Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)

 

 

54a

Not applicable

 

 

55

Direct, indirect and synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)

 

 

56

Not applicable

 

 

EU-56a

Qualifying eligible liabilities deductions that exceed the eligible liabilities items of the institution (negative amount)

 

 

EU-56b

Other regulatory adjustments to T2 capital

 

 

57

Total regulatory adjustments to Tier 2 (T2) capital

 

 

58

Tier 2 (T2) capital

 

 

59

Total capital (TC = T1 + T2)

 

 

60

Total Risk exposure amount

 

 

Capital ratios and requirements including buffers

61

Common Equity Tier 1 capital

 

 

62

Tier 1 capital

 

 

63

Total capital

 

 

64

Institution CET1 overall capital requirements

 

 

65

of which: capital conservation buffer requirement

 

 

66

of which: countercyclical capital buffer requirement

 

 

67

of which: systemic risk buffer requirement

 

 

EU-67a

of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer requirement

 

 

EU-67b

of which: additional own funds requirements to address the risks other than the risk of excessive leverage

 

 

68

Common Equity Tier 1 capital (as a percentage of risk exposure amount) available after meeting the minimum capital requirements

 

 

National minima (if different from Basel III)

69

Not applicable

 

 

70

Not applicable

 

 

71

Not applicable

 

 

Amounts below the thresholds for deduction (before risk weighting)

72

Direct and indirect holdings of own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions)

 

 

73

Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65% thresholds and net of eligible short positions)

 

 

74

Not applicable

 

 

75

Deferred tax assets arising from temporary differences (amount below 17,65% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met)

 

 

Applicable caps on the inclusion of provisions in Tier 2

76

Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap)

 

 

77

Cap on inclusion of credit risk adjustments in T2 under standardised approach

 

 

78

Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap)

 

 

79

Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach

 

 

Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022)

80

Current cap on CET1 instruments subject to phase out arrangements

 

 

81

Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)

 

g

82

Current cap on AT1 instruments subject to phase out arrangements

 

 

83

Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)

 

 

84

Current cap on T2 instruments subject to phase out arrangements

 

 

85

Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)

 

 

Template EU CC2 - reconciliation of regulatory own funds to balance sheet in the audited financial statements

Flexible template. Rows have to be disclosed in line with the balance sheet included in the audited financial statements of the institutions. Columns shall be kept fixed, unless the institution has the same accounting and regulatory scope of consolidation, in which case columns (a) and (b) shall be merged

 

a

b

c

Balance sheet as in published financial statements

Under regulatory scope of consolidation

Reference

As at period end

As at period end

 

AssetsBreakdown by asset clases according to the balance sheet in the published financial statements

1

 

 

 

 

2

 

 

 

 

3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

xxx

Total assets

 

 

 

Liabilities - Breakdown by liability clases according to the balance sheet in the published financial statements

1

 

 

 

 

2

 

 

 

 

3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

xxx

Total liabilities

 

 

 

Shareholders' Equity

 

 

 

 

1

 

 

 

 

2

 

 

 

 

3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

xxx

Total shareholders' equity

 

 

 

Template EU CCA: Main features of regulatory own funds instruments and eligible liabilities instruments

 

a

Qualitative or quantitative information - Free format

1

Issuer

 

2

Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement)

 

2a

Public or private placement

 

3

Governing law(s) of the instrument

 

3a

Contractual recognition of write down and conversion powers of resolution authorities

 

 

Regulatory treatment

 

4

Current treatment taking into account, where applicable, transitional CRR rules

 

5

Post-transitional CRR rules

 

6

Eligible at solo/(sub-)consolidated/ solo&(sub-)consolidated

 

7

Instrument type (types to be specified by each jurisdiction)

 

8

Amount recognised in regulatory capital or eligible liabilities (Currency in million, as of most recent reporting date)

 

9

Nominal amount of instrument

 

EU-9a

Issue price

 

EU-9b

Redemption price

 

10

Accounting classification

 

11

Original date of issuance

 

12

Perpetual or dated

 

13

Original maturity date

 

14

Issuer call subject to prior supervisory approval

 

15

Optional call date, contingent call dates and redemption amount

 

16

Subsequent call dates, if applicable

 

 

Coupons / dividends

 

17

Fixed or floating dividend/coupon

 

18

Coupon rate and any related index

 

19

Existence of a dividend stopper

 

EU-20a

Fully discretionary, partially discretionary or mandatory (in terms of timing)

 

EU-20b

Fully discretionary, partially discretionary or mandatory (in terms of amount)

 

21

Existence of step up or other incentive to redeem

 

22

Noncumulative or cumulative

 

23

Convertible or non-convertible

 

24

If convertible, conversion trigger(s)

 

25

If convertible, fully or partially

 

26

If convertible, conversion rate

 

27

If convertible, mandatory or optional conversion

 

28

If convertible, specify instrument type convertible into

 

29

If convertible, specify issuer of instrument it converts into

 

30

Write-down features

 

31

If write-down, write-down trigger(s)

 

32

If write-down, full or partial

 

33

If write-down, permanent or temporary

 

34

If temporary write-down, description of write-up mechanism

 

34a

Type of subordination (only for eligible liabilities)

 

EU-34b

Ranking of the instrument in normal insolvency proceedings

 

35

Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument)

 

36

Non-compliant transitioned features

 

37

If yes, specify non-compliant features

 

37a

Link to the full term and conditions of the instrument (signposting)

 

(1) Insert ‘N/A’ if the question is not applicable


ANNEX VIII

Instructions for own funds disclosure templates

Template EU CC1 – Composition of regulatory own funds

1.

Institutions shall disclose the information referred to in points (a), (d), (e) and (f) of Article 437 of Regulation (EU) 575/2013 (1) (“CRR”) by following the instructions provided in this Annex to complete template EU CC1 which is presented in Annex VII to this Implementing Regulation.

2.

For the purposes of template EU CC1, regulatory adjustments comprise deductions from own funds and prudential filters.

3.

Institutions are required to complete column (b) of this template to show the source of every major input, which is to be cross-referenced to the corresponding rows in template EU CC2.

4.

Institutions shall include in the narrative accompanying the template a description of all restrictions applied to the calculation of own funds in accordance with CRR and the instruments, prudential filters and deductions to which those restrictions apply. They shall also include a comprehensive explanation of the basis on which capital ratios are calculated where those capital ratios are calculated by using elements of own funds determined on a basis other than the basis laid down in the CRR.

Legal references and instructions

Row number

Explanation

1

Capital instruments and the related share premium accounts

Capital instruments and the related share premium accounts in accordance with points (a) and (b) of Article 26(1) and with Articles 27, 28, 29 CRR and the EBA list as referred to in Article 26(3) CRR, and their breakdown by the type of the instrument.

2

Retained earnings

Retained earnings prior to all regulatory adjustments in accordance with point (c) of Article 26(1) CRR (prior to the inclusion of any interim net profits or losses)

3

Accumulated other comprehensive income (and other reserves)

Amount of accumulated other comprehensive income and other reserves in accordance with points (d) and (e) of Article 26(1) CRR

EU-3a

Funds for general banking risk

Amount of funds for general banking risk in accordance with point (f) of Article 26(1) CRR

4

Amount of qualifying items referred to in Article 484 (3) CRR and the related share premium accounts subject to phase out from CET1

Amount of qualifying items referred to in Article 484(3) CRR and the related share premium accounts subject to phase out from CET1 as described in Article 486(2) CRR

5

Minority interests (amount allowed in consolidated CET1)

Minority interests (allowed amount in consolidated CET1) as per Article 84 CRR

EU-5a

Independently reviewed interim profits net of any foreseeable charge or dividend

Independently reviewed interim profits net of any foreseeable charge or dividend as per Article 26(2) CRR

6

Common Equity Tier 1 (CET1) capital before regulatory adjustments

Sum of amounts in rows 1 to EU-5a of this template

7

Additional value adjustments (negative amount)

Additional value adjustments in accordance with Article 34 and 105 CRR (negative amount)

8

Intangible assets (net of related tax liability) (negative amount)

Intangible assets (net of related tax liability) in accordance with point (b) of Article 36(1) and with Article 37 CRR (negative amount)

9

Not applicable

10

Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) CRR are met) (negative amount)

Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38(3) CRR are met) in accordance with point (c) of Article 36(1) and with Article 38 CRR (negative amount)

11

Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value

Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value in accordance with point (a) of Article 33(1) CRR

12

Negative amounts resulting from the calculation of expected loss amounts

Negative amounts resulting from the calculation of expected loss amounts in accordance with point (d) of Article 36(1) and with Article 40 CRR

13

Any increase in equity that results from securitised assets (negative amount)

Any increase in equity that results from securitised assets in accordance with Article 32(1) CRR (negative amount)

14

Gains or losses on liabilities valued at fair value resulting from changes in own credit standing

Gains or losses on liabilities valued at fair value resulting from changes in own credit standing in accordance with point (b) of Article 33(1) of CRR

15

Defined-benefit pension fund assets (negative amount)

Defined-benefit pension fund assets in accordance with point (e) of Article 36(1) and Article 41 CRR (negative amount)

16

Direct, indirect and synthetic holdings by an institution of own CET1 instruments (negative amount)

Direct, indirect and synthetic holdings by an institution of own CET1 instruments as described in point (f) of Article 36 (1) and in Article 42 CRR (negative amount)

17

Direct, indirect and synthetic holdings of the CET 1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

Direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution as described in point (g) of Article 36(1) and in Article 44 CRR (negative amount)

18

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount)

Direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) as described in point (h) of Article 36(1) and in Articles 43, 45, 46, 49(2) and (3) and 79 CRR (negative amount)

19

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount)

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) as described in point (i) of Article 36(1), in Articles 43, 45, 47, in point (b) of Article 48(1), and in Article 49(1) to (3) CRR (negative amount)

20

Not applicable

EU-20a

Exposure amount of the following items which qualify for a RW of 1 250  %, where the institution opts for the deduction alternative

Exposure amount which qualifies for a RW of 1 250  %, where the institution opts for the deduction alternative, as described in point (k) of Article 36 (1) CRR

EU-20b

of which: qualifying holdings outside the financial sector (negative amount)

Of the amount in EU-20a, the amount relating to qualifying holdings outside the financial sector in accordance with point (k)(i) of Article 36(1) and with Articles 89 to 91 CRR (negative amount)

EU-20c

of which: securitisation positions (negative amount)

Of the amount in EU-20a of this template, the amount relating to securitisation positions, in accordance with point (k)(ii) of Article 36(1), with point (b) of Article 243(1), with point (b) of Article 244(1) and with Article 258 CRR (negative amount)

EU-20d

of which: free deliveries (negative amount)

Of the amount in EU-20a of this template, the amount relating to free deliveries in accordance with point (k)(iii) of Article 36(1) and with Article 379(3) CRR (negative amount)

21

Deferred tax assets arising from temporary differences (amount above 10 % threshold, net of related tax liability where the conditions in Article 38(3) CRR are met) (negative amount)

Deferred tax assets arising from temporary differences (amount above 10 % threshold, net of related tax liability where the conditions in Article 38(3) CRR are met) as described in point (c) of Article 36(1), in Article 38 and in point (a) of Article 48(1) CRR (negative amount)

22

Amount exceeding the 17,65 % threshold (negative amount)

Amount exceeding the 17.65 % threshold in accordance with Article 48(1) CRR (negative amount)

23

of which: direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities

Of the amount in row 22 of this template, the amount of direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities as described in point (i) of Article 36(1) and in point (b) of Article 48(1) CRR

24

Not applicable

25

of which: deferred tax assets arising from temporary differences

Of the amount in row 22 of this template the amount of deferred tax assets arising from temporary differences as described in point (c) of Article 36(1) in Article 38 and in point (a) of Article 48(1) CRR

EU-25a

Losses for the current financial year (negative amount)

Losses for the financial year in accordance with point (a) of Article 36(1) CRR (negative amount)

EU-25b

Foreseeable tax charges relating to CET1 items except where the institution suitably adjusts the amount of CET1 items insofar as such tax charges reduce the amount up to which those items may be used to cover risks or losses (negative amount)

Amount of foreseeable tax charges relating to CET1 items foreseeable at the moment of their calculation, except where the institution suitably adjusts the amount of CET1 items insofar as such tax charges reduce the amount up to which those items may be applied to cover risks or losses, in accordance with point (l) of Article 36(1) CRR (negative amount)

26

Not applicable

27

Qualifying AT1 deductions that exceed the AT1 items of the institution (negative amount)

Qualifying AT1 deductions that exceed the AT1 items of the institution as described in point (j) of Article 36(1) CRR (negative amount)

EU-27a

Other regulatory adjustments

Institutions shall disclose in this row any regulatory adjustment applicable, reported as part of supervisory reporting and not included in any other row of this template, including the amount of IFRS 9 transitional arrangements, when relevant and until the end of the transitional period

28

Total regulatory adjustments to Common Equity Tier 1 CET1

To be calculated as the sum of amounts in rows 7 to EU-20a, 21, 22 and EU-25a to EU-27a of this template

29

Common Equity Tier 1 (CET1) capital

To be calculated as row 6 minus row 28 of this template

30

Capital instruments and the related share premium accounts

Capital instruments and the related share premium accounts as per Articles 51 and 52 CRR

31

of which: classified as equity under applicable accounting standards

The amount in row 30 of this template classified as equity under applicable accounting standards

32

of which: classified as liabilities under applicable accounting standards

The amount in row 30 of this template classified as liabilities under applicable accounting standards

33

Amount of qualifying items referred to in Article 484 (4) CRR and the related share premium accounts subject to phase out from AT1

Amount of qualifying items referred to in Article 484(4) CRR and the related share premium accounts subject to phase out from AT1 in accordance with Article 486(3) CRR

EU-33a

Amount of qualifying items referred to in Article 494a(1) CRR subject to phase out from AT1

EU-33b

Amount of qualifying items referred to in Article 494b(1) CRR subject to phase out from AT1

34

Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties

Qualifying T1 capital included in consolidated AT1 capital (including minority interests not included in row 5 of this template) issued by subsidiaries and held by third parties as described in Articles 85 and 86 CRR

35

of which: instruments issued by subsidiaries subject to phase out

The amount in row 34 of this template that relates to the instruments issued by subsidiaries subject to phase out as described in Article 486(3) CRR

36

Additional Tier 1 (AT1) capital before regulatory adjustments

The sum of amounts in rows 30, 33, EU-33a, EU-33b and 34 of this template

37

Direct, indirect and synthetic holdings by an institution of own AT1 instruments (negative amount)

Direct, indirect and synthetic holdings by an institution of own AT1 instruments as described in point (b) of Article 52(1), in point (a) of Article 56 and in Article 57 CRR (negative amount)

38

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution as described in point (b) of Article 56 and in Article 58 CRR (negative amount)

39

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount)

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) as described in point (c) of Article 56 and in Articles 59, 60 and 79 CRR (negative amount)

40

Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)

Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) as described in point (d) of Articles 56 and in Articles 59 and 79 CRR (negative amount)

41

Not applicable

42

Qualifying T2 deductions that exceed the T2 items of the institution (negative amount)

Qualifying T2 deductions that exceed the T2 items of the institution as described in point (e) of Article 56 CRR (negative amount)

Eu-42a

Other regulatory adjustments to AT1 capital

Institutions shall disclose in this row any regulatory adjustment applicable, reported as part of supervisory reporting and not included in any other row of this template

43

Total regulatory adjustments to Additional Tier 1 (AT1) capital

The sum of amounts in rows 37 to EU-42a of this template

44

Additional Tier 1 (AT1) capital

Additional Tier 1 (AT1) capital, to be calculated as row 36 minus row 43 of this template

45

Tier 1 capital (T1 = CET1 + AT1)

Tier 1 capital, to be calculated as row 29 plus row 44 of this template

46

Capital instruments and the related share premium accounts

Capital instruments and the related share premium accounts as described in Articles 62 and 63 CRR

47

Amount of qualifying items referred to in Article 484(5) CRR and the related share premium accounts subject to phase out from T2 as described in Article 486(4) CRR

EU-47a

Amount of qualifying items referred to in Article 494a(2) CRR subject to phase out from T2

EU-47b

Amount of qualifying items referred to in Article 494b(2) CRR subject to phase out from T2

48

Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties

Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34 of this template) issued by subsidiaries and held by third parties as described in Articles 87 and 88 CRR

49

of which: instruments issued by subsidiaries subject to phase out

Of the amount in row 48, the amount relating to instruments issued by subsidiaries subject to phase out, as described in Article 486(4) CRR

50

Credit risk adjustments

Credit risk adjustments in accordance with points (c) and (d) of Article 62 CRR

51

Tier 2 (T2) capital before regulatory adjustments

The sum of amounts in rows 46 to 48 and row 50 of this template

52

Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans (negative amount)

Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans as described in sub-point (i) of point (b) of Article 63 in point (a) of Article 66 and in Article 67 CRR (negative amount)

53

Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution as described in point (b) of Article 66 and in Article 68 CRR (negative amount)

54

Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount)

Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) as described in point (c) of Articles 66 and in Articles 69, 70 and 79 CRR (negative amount)

54a

Not applicable

55

Direct, indirect and synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)

Direct, indirect and synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) in accordance with point (d) of Article 66 and Articles 69 and 79 CRR (negative amount)

56

Not applicable

EU-56a

Qualifying eligible liabilities deductions that exceed the eligible liabilities items of the institution (negative amount)

Qualifying eligible liabilities deductions that exceed the eligible liabilities items of the institution in accordance with in point (e) of Article 66 CRR (negative amount)

Eu-56b

Other regulatory adjustments to T2 capital

Institutions shall disclose in this row any regulatory adjustment applicable, reported as part of supervisory reporting and not included in any other row of this template.

57

Total regulatory adjustments to Tier 2 (T2) capital

The sum of amounts in rows 52 to EU-56b of this template

58

Tier 2 (T2) capital

Tier 2 (T2) capital to be calculated as row 51 minus row 57 of this template

59

Total capital (TC = T1 + T2)

Total capital to be calculated as row 45 plus row 58 of this template

60

Total Risk exposure amount

Total Risk exposure amount of the group

61

Common Equity Tier 1 capital

Common Equity Tier 1 (as a percentage of total risk exposure amount) to be calculated as row 29 divided by row 60 (expressed as a percentage) of this template in accordance with point (a) of Article 92(2) CRR

62

Tier 1 capital

Tier 1 (as a percentage of total risk exposure amount) to be calculated as row 45 divided by row 60 (expressed as a percentage) of this template in accordance with point (b) of Article 92(2) CRR

63

Total capital

Total capital (as a percentage of total risk exposure amount) to be calculated as row 59 divided by row 60 (expressed as a percentage) of this template in accordance with point (c) of Article 92(2) CRR

64

Institution CET1 overall capital requirements

Institution CET1 overall capital requirements shall be calculated as CET1 requirement in accordance with point (a) of Article 92(1) CRR, plus additional CET1 requirement which the institutions are required to hold in accordance with point (a) of Article 104(1) of Directive (EU) 2013/36 (‘CRD’), plus combined buffer requirement in accordance with Article 128(6) CRD) expressed as a percentage of risk exposure amount.

To be calculated as 4.5 % plus the additional Pillar 2 requirements which the institutions are required to hold in accordance with point (a) of Article 104(1) CRD plus the combined buffer requirement calculated in accordance with Articles 128, 129, 130, 131 and 133 CRD.

This row will show the CET1 ratio relevant for the assessment of constraints on distributions.

65

of which: capital conservation buffer requirement

The amount in row 64 (expressed as a percentage of total risk exposure amount) of this template that relates to the capital conservation buffer requirement in accordance with Article 129 CRD

66

of which: countercyclical capital buffer requirement

The amount in row 64 (expressed as a percentage of total risk exposure amount) of this template that relates to the countercyclical buffer requirement in accordance with Article 130 CRD

67

of which: systemic risk buffer requirement

The amount in row 64 (expressed as a percentage of total risk exposure amount) of this template that relates to the systemic risk buffer requirement in accordance with Article 133 CRD

EU-67a

of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer requirement

The amount in row 64 (expressed as a percentage of total risk exposure amount) of this template that relates to the G-SII or O-SII buffer requirement in accordance with Article 131 CRD

EU-67b

of which: additional own funds requirements to address the risks other than the risk of excessive leverage

The amount in row 64 (expressed as a percentage of total risk exposure amount) of this template that relates to additional own funds requirements resulting from the supervisory review process, which have to be met by CET1 capital, as referred to in point (a) of Article 104(1) of Directive 2013/36/EU

68

Common Equity Tier 1 (as a percentage of risk exposure amount) available after meeting the minimum capital requirements

To be calculated as row 61 minus 4.5 (percentage points), minus EU-67b, minus Common Equity Tier 1 capital used by the institution to meet its Additional Tier 1 and Tier 2 capital requirements.

69

Not applicable

70

Not applicable

71

Not applicable

72

Direct and indirect holdings of own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10 % threshold and net of eligible short positions)

Direct and indirect holdings of the own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10 % threshold and net of eligible short positions) in accordance with point (h) of Article 36(1) and with Articles, 45, 46, point (c) of Article 56, 59, 60, point (c) of Article 66, 69, 70 and 72i CRR

73

Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65 % thresholds and net of eligible short positions)

Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65 % threshold and net of eligible short positions) in accordance with point (i) of Article 36(1), with Articles 43, 45, 47, with point (b) of Article 48(1) and with Article 49(1) to (3) CRR (the total amount of such investments that are not disclosed in row 19 and row 23 of this template)

74

Not applicable

75

Deferred tax assets arising from temporary differences (amount below 17,65 % threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met)

Deferred tax assets arising from temporary differences (amount below 17.65 % threshold in accordance with point (b) of Article 48(2) CRR, net of related tax liability where the conditions in Article 38(3) CRR are met) in accordance with point (c) of Article 36(1), and with Articles 38 and 48 CRR (the total amount of such deferred tax assets that are not disclosed in row 21 and row 25 of this template)

76

Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap)

Credit Risk Adjustments included in T2 in respect of exposures subject to standardised approach in accordance with point (c) of Article 62 CRR

77

Cap on inclusion of credit risk adjustments in T2 under standardised approach

Cap on inclusion of credit risk adjustments in T2 under standardised approach in accordance with point (c) of Article 62 CRR

78

Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap)

Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach in accordance with point (d) of Article 62 CRR

79

Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach

Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach in accordance with point (d) of Article 62 CRR

80

Current cap on CET1 instruments subject to phase out arrangements

Current cap on CET1 instruments subject to phase out arrangements in accordance with Article 484(3) and with Article 486(2) and (5) CRR

81

Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)

Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) in accordance with Article 484(3) and Article 486(2) and (5) CRR

82

Current cap on AT1 instruments subject to phase out arrangements

Current cap on AT1 instruments subject to phase out arrangements in accordance with Articles 484(4), 486(3) and (5) CRR

83

Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)

Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) in accordance with Articles 484(4), 486(3) and (5) CRR

84

Current cap on T2 instruments subject to phase out arrangements

Current cap on T2 instruments subject to phase out arrangements in accordance with Articles 484(5), 486(4) and (5) CRR

85

Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)

Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) in accordance with Articles 484(5), 486(4) and (5) CRR

Template EU CC2 – Reconciliation of regulatory own funds to balance sheet in the audited financial statements

5.

Institutions shall disclose the information referred to in point (a) of Article 437 CRR by following the instructions provided in this Annex to complete template EU CC2 which is presented in Annex VII to this Implementing Regulation.

6.

Institutions shall disclose the balance sheet included in their published financial statements. Financial statements shall be the audited financial statements for the year-end disclosures.

7.

The rows of the template are flexible and shall be disclosed by institutions in line with their financial statements. Own funds items in the audited financial statements shall include all items that are components of or are deducted from regulatory own funds, including equity, liabilities such as debt, or other balance sheet lines that affect regulatory own funds such as intangible assets, goodwill, deferred tax assets. Institutions shall expand the own funds items of the balance sheet as necessary to ensure that all of the components included in the composition of own funds disclosure template (template EU CC1) appear separately. Institutions shall only expand elements of the balance sheet up to the level of granularity that is necessary for deriving the components required by template EU CC1. Disclosure shall be proportionate to the complexity of the institution's balance sheet.

8.

The columns are fixed and shall be disclosed as follows:

a.

Column a: Institutions shall include the figures reported in the balance sheet included in their published financial statements in accordance with the accounting scope of consolidation.

b.

Column b: Institutions shall disclose the figures corresponding to the scope of prudential consolidation.

c.

Column c: Institutions shall include the cross-reference between the own find item in template EU CC2 and the relevant items in the own funds disclosure template EU CC1. The reference in column c of template EU CC2 will be linked to the reference included in column b of template EU CC1.

9.

In the following cases where institutions’ scope of accounting consolidation and its scope of prudential consolidation are exactly the same, column (a) and (b) of this template shall be merged and this fact shall be clearly disclosed:

d.

Where institutions comply with the obligations laid down in Part Eight CRR on a consolidated or sub-consolidated basis but the scope of consolidation and the method for consolidation used for the balance sheet in the financial statements are identical to the scope of consolidation and the method for consolidation defined pursuant to Chapter 2 of Title II of Part One CRR, and institutions clearly state the absence of differences between the respective scopes and methods for consolidation.

e.

Where institutions meet the obligations laid down in Part Eight CRR on an individual basis.

Table EU CCA – Main features of regulatory own funds instruments and eligible liabilities instruments.

10.

Institutions shall disclose the information referred to in points (b) and (c) of Article 437 CRR by following the instructions provided in this Annex to complete table EU CCA which is presented in Annex VII to this Implementing Regulation.

11.

Institutions shall complete table EU CCA for the following categories: Common Equity Tier 1 instruments, Additional Tier 1 instruments, Tier 2 instruments and, within the meaning of Article 72b CRR, eligible liabilities instruments.

12.

The tables shall comprise separate columns with the features of each regulatory own fund instruments and eligible liabilities instruments. In cases where different instruments of a same category have identical features, institutions may complete only one column disclosing these identical features and identify the issuances to which the identical features refer. When disclosing the columns for these instruments, institutions shall group them under three sections (horizontally along the table) to indicate whether they are for meeting (i) only own funds (but not eligible liabilities) requirements; (ii) both own funds and eligible liabilities requirements; or (iii) only eligible liabilities (but not own funds) requirements.

13.

In relation to eligible liabilities instruments that are not subordinated to excluded liabilities, institutions shall disclose only securities which are fungible, negotiable financial instruments, at the exclusion of loans and deposits.

Instructions for completing the regulatory own funds and eligible liabilities instruments main features table

Row number

Explanation

1

Issuer

Institutions shall identify the legal name of the issuer.

Free text

2

Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement)

Free text

EU-2a

Public or private placement

Institutions shall specify if the instrument has been publicly or privately placed.

Select from menu: [Public] [Private]

3

Governing law(s) of the instrument

Institutions shall specify the governing law(s) of the instrument.

Free text

3a

Contractual recognition of write down and conversion powers of resolution authorities

Institutions shall specify whether the instrument contains a clause whereby, upon decision by a resolution authority or a relevant third country authority, the principal amount of the instrument is to be written down on a permanent basis or the instrument is to be converted into Common Equity Tier 1 instrument, in the meaning, where applicable, of the following provisions:

In relation to Additional Tier 1 instruments, point (p) of Article 52(1) CRR;

In relation to Tier 2 instruments, points (n) or (o) of Article 63 CRR;

In relation to eligible liabilities, point (n) of Article 72b(2) CRR;

In relation to any of the above and governed by third country law, Article 55 of Directive (EU) 2019/879 (2) (“BRRD”).

A write down and conversion may be both compliant with Article 55 BRRD and any of the first three indents.

Select from menu: [YES] [NO]

4

Current treatment taking into account, where applicable, transitional CRR rules

Institutions shall specify transitional regulatory own funds treatment contained in CRR. The original classification of the instrument is the point of reference independently of possible reclassification in lower tiers of own funds.

Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Ineligible] [N/A]

Free text – specify if a fraction of the issuance has been reclassified in lower tiers of capital.

5

Post-transitional CRR rules

Institutions shall specify regulatory own funds treatment under CRR without taking into account the transitional treatment.

Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] ] [eligible liabilities] [Ineligible]

6

Eligible at solo/(sub-)consolidated/ solo&(sub-)consolidated

Institutions shall specify the level(s) within the group at which the instrument is included in the own funds/eligible liabilities.

Select from menu: [Solo] [(Sub-)Consolidated] [Solo and (Sub-)Consolidated]

7

Instrument type (types to be specified by each jurisdiction)

Institutions shall specify instrument type, varying by jurisdiction.

For CET1 instruments, select name of the instrument in the CET1 list published by the EBA pursuant to Article 26(3) CRR.

For other instruments, select from: menu options to be provided to institutions by each jurisdiction – legal references of CRR articles for each type of instrument to be inserted

8

Amount recognised in regulatory capital or eligible liabilities (Currency in million, as of most recent reporting date)

Institutions shall specify the amount recognised in regulatory own funds or eligible liabilities.

Free text – specify in particular if some parts of the instruments are in different tiers of the regulatory own funds and if the recognised amount in regulatory own funds is different from the amount issued.

9

Nominal amount of instrument

Nominal amount of instrument in currency of issuance and currency used for the reporting obligations

Free text

EU-9a

Issue price

Issue price of instrument

Free text

EU-9b

Redemption price

Redemption price of instrument

Free text

10

Accounting classification

Institutions shall specify accounting classification.

Select from menu: [Shareholders’ equity] [Liability – amortised cost] [Liability – fair value option] [Non-controlling interest in consolidated subsidiary]

11

Original date of issuance

Institutions shall specify the date of issuance.

Free text

12

Perpetual or dated

Institutions shall specify whether an instrument is dated or perpetual.

Select from menu: [Perpetual] [Dated]

13

Original maturity date

For dated instrument, institutions shall specify original maturity date (day, month and year). For perpetual instrument ‘no maturity’ shall be put.

Free text

14

Issuer call subject to prior supervisory approval

Institutions shall specify whether there is an issuer call option (all types of call options).

Select from menu: [Yes] [No]

15

Optional call date, contingent call dates and redemption amount

For instrument with issuer call option, institutions shall specify the first date of call if the instrument has a call option on a specific date (day, month and year) and, in addition, shall specify whether the instrument has a tax and/or regulatory event call. Institutions shall also specify the redemption price, which helps to assess permanence.

Free text

16

Subsequent call dates, if applicable

Institutions shall specify the existence and frequency of subsequent call dates, if applicable, which helps to assess permanence.

Free text

17

Fixed or floating dividend/coupon

Institutions shall specify whether the coupon/dividend is either fixed over the life of the instrument or floating over the life of the instrument or currently fixed but will move to a floating rate in the future, or currently floating but will move to a fixed rate in the future.

Select from menu: [Fixed], [Floating] [Fixed to floating], [Floating to fixed]

18

Coupon rate and any related index

Institutions shall specify the coupon rate of the instrument and any related index that the coupon/dividend rate references.

Free text

19

Existence of a dividend stopper

Institutions shall specify whether the non-payment of a coupon or dividend on the instrument prohibits the payment of dividends on common shares (i.e. whether there is a dividend stopper).

Select from menu: [yes], [no]

EU-20a

Fully discretionary, partially discretionary or mandatory (in terms of timing)

Institutions shall specify whether the issuer has full discretion, partial discretion or no discretion over whether a coupon/dividend is paid. If the institution has full discretion to cancel coupon/dividend payments under all circumstances it must select ‘fully discretionary’ (including when there is a dividend stopper that does not have the effect of preventing the institution from cancelling payments on the instrument). If there are conditions that must be met before payment can be cancelled (e.g. own funds below a certain threshold), the institution must select ‘partially discretionary’. If the institution is unable to cancel the payment outside of insolvency the institution must select ‘mandatory’.

Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory]

Free text (specify the reasons for discretion, existence of dividend pushers, dividend stoppers, ACSM)

EU-20b

Fully discretionary, partially discretionary or mandatory (in terms of amount)

Institutions shall specify whether the issuer has full discretion, partial discretion or no discretion over the amount of the coupon/dividend.

Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory]

21

Existence of step up or other incentive to redeem

Institutions shall specify whether there is a step-up or other incentive to redeem.

Select from menu: [Yes] [No]

22

Noncumulative or cumulative

Institutions shall specify whether dividends / coupons are cumulative or noncumulative.

Select from menu: [Noncumulative] [Cumulative] [ACSM]

23

Convertible or non-convertible

Institutions shall specify whether instrument is convertible or not.

Select from menu: [Convertible] [Nonconvertible]

24

If convertible, conversion trigger(s)

Institutions shall specify the conditions under which the instrument will convert, including point of non-viability. Where one or more authorities have the ability to trigger conversion, the authorities shall be listed. For each of the authorities it shall be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger conversion (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach).

Free text

25

If convertible, fully or partially

Institutions shall specify whether the instrument will always convert fully, may convert fully or partially, or will always convert partially.

Select from menu: [Always Fully] [Fully or Partially] [Always partially]

26

If convertible, conversion rate

Institutions shall specify the rate of conversion into the more loss absorbent instrument.

Free text

27

If convertible, mandatory or optional conversion

For convertible instruments, institutions shall specify whether conversion is mandatory or optional.

Select from menu: [Mandatory] [Optional] [NA] and [at the option of the holders] [at the option of the issuer] [at the option of both the holders and the issuer]

28

If convertible, specify instrument type convertible into

For convertible instruments, institutions shall specify instrument type convertible into. Helps to assess loss absorbency.

Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Other]

29

If convertible, specify issuer of instrument it converts into

Free text

30

Write-down features

Institutions shall specify whether there is a write down feature.

Select from menu: [Yes] [No]

31

If write-down, write-down trigger(s)

Institutions shall specify the triggers at which write-down occurs, including point of non-viability. Where one or more authorities have the ability to trigger write-down, the authorities shall be listed. For each of the authorities it shall be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger write-down (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach

Free text

32

If write-down, full or partial

Institutions shall specify whether the instrument will always be written down fully, may be written down partially, or will always be written down partially. Helps assess the level of loss absorbency at write-down.

Select from menu: [Always Fully] [Fully or Partially] [Always partially] ]

33

If write-down, permanent or temporary

For write down instrument, institutions shall specify whether write down is permanent or temporary.

Select from menu: [Permanent] [Temporary] [NA]

34

If temporary write-down, description of write-up mechanism

Institutions shall describe the write-up mechanism.

Free text

34a

Type of subordination (only for eligible liabilities)

Institutions shall specify whether the instrument meets any of the types of subordination described in point (d)(i), (ii) and (iii) of Article 72b(2) CRR.

Select from menu:

[Contractual] if the instrument meets the requirements set out in point (d)(i) of Article 72b(2) CRR;

[Statutory] if the instrument meets the requirements set out in point (d)(ii) of Article 72b(2) CRR;

[Structural] if the instrument meets the requirements set out in in point (d)(iii) of Article 72b(2) CRR;

[Exemption from subordination] where the instrument does not meet any of the abovementioned forms of subordination and provided the institution has been permitted, pursuant to Article 72b(4) CRR, to include unsubordinated liabilities as eligible liabilities items.

EU-34b

Ranking of the instrument in normal insolvency proceedings

Institutions shall specify the ranking of the instrument in normal insolvency proceedings.

As defined in [ITS on MREL reporting].

35

Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument)

Institutions shall specify the instrument to which it is most immediately subordinate. Where applicable, banks shall specify the column numbers of the instruments in the completed main features table to which the instrument is most immediately subordinate.

Free text

36

Non-compliant transitioned features

Institutions shall specify whether there are non-compliant features.

Select from menu: [Yes] [No]

37

If yes, specify non-compliant features

If there are non-compliant features, institution shall specify which ones.

Free text

EU-37a

Link to the full term and conditions of the instrument (signposting)

Institutions shall include the hyperlink that gives access to the prospectus of the issuance, including all the terms and conditions of the instrument.


(1)  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).

(2)  DIRECTIVE (EU) 2019/879 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 20 May 2019 amending Directive 2014/59/EU as regards the loss-absorbing and recapitalisation capacity of credit institutions and investment firms and Directive 98/26/EC (OJ L 150, 7.6.2019, p. 296).


ANNEX IX

Template EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer

 

a

b

c

d

e

f

g

h

i

j

k

l

m

General credit exposures

Relevant credit exposures – Market risk

Securitisation exposures Exposure value for non-trading book

Total exposure value

Own fund requirements

Risk-weighted exposure amounts

Own fund requirements weights (%)

Countercyclical buffer rate (%)

Exposure value under the standardised approach

Exposure value under the IRB approach

Sum of long and short positions of trading book exposures for SA

Value of trading book exposures for internal models

Relevant credit risk exposures - Credit risk

Relevant credit exposures – Market risk

Relevant credit exposures – Securitisation positions in the non-trading book

Total

010

Breakdown by country:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Country: 001

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Country: 002

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Country: NNN

 

 

 

 

 

 

 

 

 

 

 

 

 

020

Total

 

 

 

 

 

 

 

 

 

 

 

 

 


Template EU CCyB2 - Amount of institution-specific countercyclical capital buffer

 

a

1

Total risk exposure amount

 

2

Institution specific countercyclical capital buffer rate

 

3

Institution specific countercyclical capital buffer requirement

 


ANNEX X

Instructions for the disclosure of information on countercyclical capital buffers

Template EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer. Fixed format for columns, flexible format for rows.

1.

Institutions shall disclose the information referred to in point (a) of Article 440 of Regulation (EU) 575/2013 (1) (‘CRR’) by following the instructions provided below in this Annex to complete template EU CCyB1 which is presented in Annex IX to this Implementing Regulation.

2.

The scope of template EU CCyB1 is limited to credit exposures relevant for the calculation of CCyB in accordance with Article 140(4) of Directive (EU) 2013/36 (2) (‘CRD’).

Legal references and instructions

Row number

Explanation

010-01X

Breakdown by country

List of countries in which the institution has credit exposures relevant for the calculation of the institution specific countercyclical buffer in accordance with Commission delegated regulation (EU) 1152/2014 (3)

The number of rows may vary depending on the number of countries where the institution has its credit exposures relevant for the calculation of the countercyclical buffer. Institutions shall number the rows for each country consecutively, starting with 010.

In accordance with Commission delegated regulation (EU) 1152/2014, if trading book exposures or foreign credit exposures of an institution represent less than 2% of its aggregate risk weighted exposures, the institution may choose to allocate these exposures to the place of institution (i.e. the home Member State of the institution). If the exposures for the place of institution include exposures from other countries, these shall be clearly identified in a footnote to the disclosure template.

020

Total

The value as described in accordance with the explanation for columns a to m of the current template.

Legal references and instructions

Column number

Explanation

a

Exposure value of general credit exposures under the standardised approach

Exposure value of relevant credit exposures determined in accordance with point (a) of Article 140(4) CRD, and Article 111 CRR

Exposure value of relevant credit exposures determined in accordance with point (c) of Article 140(4) CRD, with points (a) and (c) of Article 248 CRR shall not be included here but in e of this template.

Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014.

Row 020 (Total): The sum of all relevant credit exposures shall be determined in accordance with point (a) of Article 140(4) CRD, and Article 111 CRR.

b

Exposure value of general credit exposures under the IRB approach

Exposure value of relevant credit exposures determined in accordance with point (a) of Article 140(4) CRD, Article 166, Article 167 and Article 168 CRR

Exposure value of relevant credit exposures determined in accordance with point (c) of Article 140(4) CRD, points (a) and (c) of Article 248 CRR shall not be included here but in column e of this template.

Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014.

Row 020 (Total): The sum of all relevant credit exposures shall be determined in accordance with point (a) of Article 140(4) CRD, Articles 166, 167 and 168 CRR.

c

Sum of long and short positions of trading book exposures for standardised approach

Sum of long and short positions of relevant credit exposures determined in accordance with point (b) of Article 140(4) CRD, calculated as the sum of long and short positions determined in accordance with Article 327 CRR

Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014.

Row 020 (Total): The sum of all long and short positions of relevant credit exposures shall be determined in accordance with point (b) of Article 140(4) CRD, calculated as the sum of long and short positions determined in accordance with Article 327 CRR.

d

Value of trading book exposures for internal models

Sum of the following:

Fair value of cash positions that represent relevant credit exposures as determined in accordance with point (b) of Article 140(4) CRD, and Article 104 CRR;

Notional value of derivatives that represent relevant credit exposures as determined in accordance with point (b) of Article 140(4) CRD.

Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014.

Row 020 (Total): The sum of fair value of all cash positions that represent relevant credit exposures shall be determined in accordance with point (b) of Article 140(4) CRD, and Article 104 CRR, and the sum of notional value of all derivatives that represent relevant credit exposures shall be determined in accordance with point (b) of Article 140(4) CRD.

e

Securitisation exposures Exposure value for non-trading book

Exposure value of relevant credit exposures determined in accordance with point (c) of Article 140(4) CRD, points (a) and (c) of Article 248 CRR

Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014.

Row 020 (Total): The sum of all relevant credit exposures shall be determined in accordance with point (c) of Article 140(4) CRD, and points (a) and (c) of Article 248 CRR.

f

Total exposure value

The sum of amounts in columns a, b, c, d and e of this template

Row 020 (Total): The sum of all relevant credit exposures shall be determined in accordance to Article 140(4) CRD.

g

Own funds requirements - Relevant credit risk exposures – Credit Risk

Own funds requirements for relevant credit exposures in the country in question, determined in accordance to point (a) of Article 140(4) CRD, and Title II of Part Three CRR, and taking into account the own funds requirements linked to any country-specific adjustments to risk weights set in accordance with Article 458 CRR

Row 020 (Total): The sum of all own funds requirements for relevant credit exposures shall be determined in accordance with point (a) of Article 140(4) CRD, and Title II of Part Three CRR.

h

Own funds requirements - Relevant credit exposures – Market risk

Own funds requirements for relevant credit exposures in the country in question, determined in accordance with point (b) of Article 140(4) CRD, and Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk

Row 020 (Total): The sum of all own funds requirements for relevant credit exposures shall be determined in accordance with point (b) of Article 140(4) CRD, and Chapter 2 of Title IV of Part Three CRR for specific risk or Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk.

i

Own funds requirements - Relevant credit exposures – Securitisation positions in the non-trading book

Own funds requirements for relevant credit exposures in the country in question, determined in accordance to point (c) of Article 140(4) CRD, and Chapter 5 of Title II of Part Three CRR

Row 020 (Total): The sum of all own funds requirements for relevant credit exposures shall be determined in accordance with point (c) of Article 140(4) CRD, and Chapter 5 of Title II of Part Three CRR.

j

Own funds requirements - Total

The sum of amounts in columns g, h and i of this template

Row 020 (Total): The sum of all own funds requirements for relevant credit exposures shall be determined in accordance with Article 140(4) CRD.

k

Risk-weighted exposure amounts

Risk-weighted exposure amounts for relevant credit exposures, determined in accordance with Article 140(4) CRD, broken-down by country and taking into account any country-specific adjustments to risk weights set in accordance with Article 458 CRR

Row 020 (Total): The sum of all risk-weighted exposure amounts for relevant credit exposures shall be determined in accordance with Article 140(4) CRD.

l

Own funds requirements weights (%)

The weight applied to the countercyclical buffer rate in each country, calculated as the total own funds requirements that relates to the relevant credit exposures in the country in question (row 01X, column j of this template), divided by the total own funds requirements that relates to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) CRD (row 020, column j of this template)

This value shall be disclosed as percentage with 2 decimal points.

m

Countercyclical capital buffer rate (%)

Countercyclical capital buffer rate applicable in the country in question, and set in accordance with Articles 136, 137, 138 and 139 CRD

This column shall not include countercyclical capital buffer rates that were set, but are not yet applicable at the time of computation of the institution specific countercyclical capital buffer to which the disclosure relates.

This value is disclosed as percentage with the same number of decimal points as set in accordance with Articles 136, 137, 138 and 139 CRD.

Template EU CCyB2 - Amount of institution specific countercyclical capital buffer

3.

Institutions shall disclose the information referred to in point (b) of Article 440 CRR by following the instructions provided below in this Annex to complete template EU CCyB2 which is presented in Annex IX to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

1

Total risk exposure amount

Total risk exposure amount calculated in accordance with Article 92(3) CRR

2

Institution specific countercyclical capital buffer rate

Institution specific countercyclical capital buffer rate, determined in accordance with in accordance with Article 140(1) CRD

The institution specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the countries where the relevant credit exposures of the institution are located in rows 010.1 to 010.X of column m of the template EU CCyB1.

The weight applied to the countercyclical buffer rate in each country is the share of funds requirements in total own funds requirements, and is in template EU CCyB1 column l.

This value is disclosed as percentage with 2 decimal points.

3

Institution specific countercyclical capital buffer requirement

Institution specific countercyclical capital buffer requirement, calculated as the institution specific countercyclical buffer rate, as disclosed in row 2 of this template, applied to the total risk exposure amount as disclosed in row 1 of this template.

Legal references and instructions

Column number

Explanation

a

The value as described in accordance with the explanation for rows 1 to 3 of the current template.


(1)  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).

(2)  DIRECTIVE 2013/36/EU OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).

(3)  COMMISSION DELEGATED REGULATION (EU) 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates (OJ L 309, 30.10.2014, p. 5).


ANNEX XI

Template EU LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures

 

 

a

 

 

Applicable amount

1

Total assets as per published financial statements

 

2

Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation

 

3

(Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference)

 

4

(Adjustment for temporary exemption of exposures to central banks (if applicable))