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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)
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)
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
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 |
|
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3 |
Of which the Foundation IRB (F-IRB) approach |
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4 |
Of which slotting approach |
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EU 4a |
Of which equities under the simple riskweighted approach |
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5 |
Of which the Advanced IRB (A-IRB) approach |
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6 |
Counterparty credit risk - CCR |
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7 |
Of which the standardised approach |
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8 |
Of which internal model method (IMM) |
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EU 8a |
Of which exposures to a CCP |
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EU 8b |
Of which credit valuation adjustment - CVA |
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9 |
Of which other CCR |
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10 |
Not applicable |
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11 |
Not applicable |
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12 |
Not applicable |
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13 |
Not applicable |
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14 |
Not applicable |
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15 |
Settlement risk |
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16 |
Securitisation exposures in the non-trading book (after the cap) |
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17 |
Of which SEC-IRBA approach |
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18 |
Of which SEC-ERBA (including IAA) |
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19 |
Of which SEC-SA approach |
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EU 19a |
Of which 1 250 % / deduction |
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20 |
Position, foreign exchange and commodities risks (Market risk) |
|
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21 |
Of which the standardised approach |
|
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22 |
Of which IMA |
|
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EU 22a |
Large exposures |
|
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23 |
Operational risk |
|
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|
EU 23a |
Of which basic indicator approach |
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|
EU 23b |
Of which standardised approach |
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|
EU 23c |
Of which advanced measurement approach |
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24 |
Amounts below the thresholds for deduction (subject to 250 % risk weight) |
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25 |
Not applicable |
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26 |
Not applicable |
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27 |
Not applicable |
|
|
|
28 |
Not applicable |
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|
29 |
Total |
|
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|
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 |
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2 |
Tier 1 capital |
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3 |
Total capital |
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|
Risk-weighted exposure amounts |
|||||
4 |
Total risk exposure amount |
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|
Capital ratios (as a percentage of risk-weighted exposure amount) |
|||||
5 |
Common Equity Tier 1 ratio (%) |
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6 |
Tier 1 ratio (%) |
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7 |
Total capital ratio (%) |
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|
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 (%) |
|
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|
|
EU 7b |
of which: to be made up of CET1 capital (percentage points) |
|
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|
EU 7c |
of which: to be made up of Tier 1 capital (percentage points) |
|
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|
EU 7d |
Total SREP own funds requirements (%) |
|
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|
|
|
Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount) |
|||||
8 |
Capital conservation buffer (%) |
|
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|
|
|
EU 8a |
Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%) |
|
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|
|
|
9 |
Institution specific countercyclical capital buffer (%) |
|
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|
EU 9a |
Systemic risk buffer (%) |
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10 |
Global Systemically Important Institution buffer (%) |
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EU 10a |
Other Systemically Important Institution buffer (%) |
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11 |
Combined buffer requirement (%) |
|
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|
EU 11a |
Overall capital requirements (%) |
|
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|
12 |
CET1 available after meeting the total SREP own funds requirements (%) |
|
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|
|
Leverage ratio |
|||||
13 |
Total exposure measure |
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14 |
Leverage ratio (%) |
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|
|
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 (%) |
|
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|
|
EU 14b |
of which: to be made up of CET1 capital (percentage points) |
|
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|
EU 14c |
Total SREP leverage ratio requirements (%) |
|
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|
|
Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure) |
|||||
EU 14d |
Leverage ratio buffer requirement (%) |
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|
EU 14e |
Overall leverage ratio requirement (%) |
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|
|
Liquidity Coverage Ratio |
|||||
15 |
Total high-quality liquid assets (HQLA) (Weighted value -average) |
|
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|
EU 16a |
Cash outflows - Total weighted value |
|
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EU 16b |
Cash inflows - Total weighted value |
|
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16 |
Total net cash outflows (adjusted value) |
|
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|
17 |
Liquidity coverage ratio (%) |
|
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|
|
Net Stable Funding Ratio |
|||||
18 |
Total available stable funding |
|
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|
|
19 |
Total required stable funding |
|
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|
|
20 |
NSFR ratio (%) |
|
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|
|
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.
|
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.
|
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.
|
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.
|
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.
|
(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.
|
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.
|
(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 |
|
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|
|
|
|
|
1 |
|
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2 |
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3 |
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…. |
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|
|
xxx |
Total assets |
|
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|
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|
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|
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|
|
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|
|
|
|
|
Breakdown by liability classes according to the balance sheet in the published financial statements |
|
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1 |
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2 |
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3 |
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…. |
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|
|
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 |
|
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|
|
|
|
|
|
|
|
3 |
Close-out cost |
|
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|
|
|
|
|
|
|
|
4 |
Concentrated positions |
|
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|
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|
|
|
|
5 |
Early termination |
|
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6 |
Model risk |
|
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7 |
Operational risk |
|
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|
8 |
Not applicable |
|
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9 |
Not applicable |
|
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10 |
Future administrative costs |
|
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11 |
Not applicable |
|
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|
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|
12 |
Total Additional Valuation Adjustments (AVAs) |
|
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|
|
|
|
|
|
|
|
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.
|
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.
|
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.
|
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.
|
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.
|
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.
|
(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 |
|
||
Assets – Breakdown by asset clases according to the balance sheet in the published financial statements |
||||
1 |
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2 |
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3 |
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|
|
xxx |
Total assets |
|
|
|
Liabilities - Breakdown by liability clases according to the balance sheet in the published financial statements |
||||
1 |
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2 |
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3 |
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|
|
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.
|
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:
|
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:
|
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.
|
(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 |
|
|
|
|
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|
|
|
|
|
|
|
|
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’).
|
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.
|
(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)) |
|
5 |
(Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the total exposure measure in accordance with point (i) of Article 429a(1) CRR) |
|
6 |
Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting |
|
7 |
Adjustment for eligible cash pooling transactions |
|
8 |
Adjustment for derivative financial instruments |
|
9 |
Adjustment for securities financing transactions (SFTs) |
|
10 |
Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) |
|
11 |
(Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital) |
|
EU-11a |
(Adjustment for exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR) |
|
EU-11b |
(Adjustment for exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) CRR) |
|
12 |
Other adjustments |
|
13 |
Total exposure measure |
|
Template EU LR2 - LRCom: Leverage ratio common disclosure
|
CRR leverage ratio exposures |
||
|
a |
b |
|
T |
T-1 |
||
On-balance sheet exposures (excluding derivatives and SFTs) |
|||
1 |
On-balance sheet items (excluding derivatives, SFTs, but including collateral) |
|
|
2 |
Gross-up for derivatives collateral provided, where deducted from the balance sheet assets pursuant to the applicable accounting framework |
|
|
3 |
(Deductions of receivables assets for cash variation margin provided in derivatives transactions) |
|
|
4 |
(Adjustment for securities received under securities financing transactions that are recognised as an asset) |
|
|
5 |
(General credit risk adjustments to on-balance sheet items) |
|
|
6 |
(Asset amounts deducted in determining Tier 1 capital) |
|
|
7 |
Total on-balance sheet exposures (excluding derivatives and SFTs) |
|
|
Derivative exposures |
|||
8 |
Replacement cost associated with SA-CCR derivatives transactions (ie net of eligible cash variation margin) |
|
|
EU-8a |
Derogation for derivatives: replacement costs contribution under the simplified standardised approach |
|
|
9 |
Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions |
|
|
EU-9a |
Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach |
|
|
EU-9b |
Exposure determined under Original Exposure Method |
|
|
10 |
(Exempted CCP leg of client-cleared trade exposures) (SA-CCR) |
|
|
EU-10a |
(Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach) |
|
|
EU-10b |
(Exempted CCP leg of client-cleared trade exposures) (Original Exposure Method) |
|
|
11 |
Adjusted effective notional amount of written credit derivatives |
|
|
12 |
(Adjusted effective notional offsets and add-on deductions for written credit derivatives) |
|
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13 |
Total derivatives exposures |
|
|
Securities financing transaction (SFT) exposures |
|||
14 |
Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions |
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15 |
(Netted amounts of cash payables and cash receivables of gross SFT assets) |
|
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16 |
Counterparty credit risk exposure for SFT assets |
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EU-16a |
Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429e(5) and 222 CRR |
|
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17 |
Agent transaction exposures |
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EU-17a |
(Exempted CCP leg of client-cleared SFT exposure) |
|
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18 |
Total securities financing transaction exposures |
|
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Other off-balance sheet exposures |
|||
19 |
Off-balance sheet exposures at gross notional amount |
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20 |
(Adjustments for conversion to credit equivalent amounts) |
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21 |
(General provisions deducted in determining Tier 1 capital and specific provisions associated associated with off-balance sheet exposures) |
|
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22 |
Off-balance sheet exposures |
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|
Excluded exposures |
|||
EU-22a |
(Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR) |
|
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EU-22b |
(Exposures exempted in accordance with point (j) of Article 429a(1) CRR (on and off balance sheet)) |
|
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EU-22c |
(Excluded exposures of public development banks (or units) - Public sector investments) |
|
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EU-22d |
(Excluded exposures of public development banks (or units) - Promotional loans) |
|
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EU-22e |
(Excluded passing-through promotional loan exposures by non-public development banks (or units)) |
|
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EU-22f |
(Excluded guaranteed parts of exposures arising from export credits) |
|
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EU-22g |
(Excluded excess collateral deposited at triparty agents) |
|
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EU-22h |
(Excluded CSD related services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR) |
|
|
EU-22i |
(Excluded CSD related services of designated institutions in accordance with point (p) of Article 429a(1) CRR) |
|
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EU-22j |
(Reduction of the exposure value of pre-financing or intermediate loans) |
|
|
EU-22k |
(Total exempted exposures) |
|
|
Capital and total exposure measure |
|||
23 |
Tier 1 capital |
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24 |
Total exposure measure |
|
|
Leverage ratio |
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25 |
Leverage ratio (%) |
|
|
EU-25 |
Leverage ratio (excluding the impact of the exemption of public sector investments and promotional loans) (%) |
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25a |
Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) (%) |
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|
26 |
Regulatory minimum leverage ratio requirement (%) |
|
|
EU-26a |
Additional own funds requirements to address the risk of excessive leverage (%) |
|
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EU-26b |
of which: to be made up of CET1 capital |
|
|
27 |
Leverage ratio buffer requirement (%) |
|
|
EU-27a |
Overall leverage ratio requirement (%) |
|
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Choice on transitional arrangements and relevant exposures |
|||
EU-27b |
Choice on transitional arrangements for the definition of the capital measure |
|
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Disclosure of mean values |
|||
28 |
Mean of daily values of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivable |
|
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29 |
Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables |
|
|
30 |
Total exposure measure (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) |
|
|
30a |
Total exposure measure (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) |
|
|
31 |
Leverage ratio (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) |
|
|
31a |
Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) |
|
|
Template EU LR3 - LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)
|
a |
|
|
|
CRR leverage ratio exposures |
EU-1 |
Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: |
|
EU-2 |
Trading book exposures |
|
EU-3 |
Banking book exposures, of which: |
|
EU-4 |
Covered bonds |
|
EU-5 |
Exposures treated as sovereigns |
|
EU-6 |
Exposures to regional governments, MDB, international organisations and PSE, not treated as sovereigns |
|
EU-7 |
Institutions |
|
EU-8 |
Secured by mortgages of immovable properties |
|
EU-9 |
Retail exposures |
|
EU-10 |
Corporates |
|
EU-11 |
Exposures in default |
|
EU-12 |
Other exposures (eg equity, securitisations, and other non-credit obligation assets) |
|
Table EU LRA: Disclosure of LR qualitative information
|
|
a |
Row |
Free format |
|
(a) |
Description of the processes used to manage the risk of excessive leverage |
|
(b) |
Description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers |
|
ANNEX XII
Instructions for leverage ratio disclosures
Template EU LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures. Fixed format template.
1. |
Institutions shall apply the instructions provided in this section to complete template EU LR1 - LRSum in application of point (b) of Article 451(1) of Regulation (EU) No 575/2013 (1) (‘CRR’).
|
Template EULR2 - LRCom: Leverage ratio common disclosure. Fixed format template
2. |
Institutions shall apply the instructions provided in this section to complete template EU LR2 - LRCom in application of points (a) and (b) of Article 451(1) CRR and of Article 451(3) CRR, taking into account, where applicable, point (c) of Article 451(1) and Article 451(2) CRR. |
3. |
Institutions shall disclose in column ‘a’ the values of the different rows for the disclosure period and in column ‘b’ the values of the rows for the previous disclosure period. |
4. |
Institutions shall explain in the narrative accompanying the template the composition of promotional loans disclosed in rows EU-22d and EU-22e of this template, including information by type of counterparty.
|
Template EU LR3 - LRSpl: Split-up of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures). Fixed format
5. |
Institutions shall apply the instructions provided in this section to complete template LRSpl in application of point (b) Article 451(1) CRR.
|
Table EU LRA - Disclosure of LR qualitative information. Free format text boxes for disclosure of qualitative information
6. |
Institutions shall complete table EU LRA by applying the following instructions, in application of points (d) and (e) of Article 451(1) CRR
|
(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).
ANNEX XIII
Table EU LIQA - Liquidity risk management
in accordance with Article 451a(4) CRR
Row number |
Qualitative information - Free format |
|
(a) |
Strategies and processes in the management of the liquidity risk, including policies on diversification in the sources and tenor of planned funding, |
|
(b) |
Structure and organisation of the liquidity risk management function (authority, statute, other arrangements). |
|
(c) |
A description of the degree of centralisation of liquidity management and interaction between the group’s units |
|
(d) |
Scope and nature of liquidity risk reporting and measurement systems. |
|
(e) |
Policies for hedging and mitigating the liquidity risk and strategies and processes for monitoring the continuing effectiveness of hedges and mitigants. |
|
(f) |
An outline of the bank's contingency funding plans. |
|
(g) |
An explanation of how stress testing is used. |
|
(h) |
A declaration approved by the management body on the adequacy of liquidity risk management arrangements of the institution providing assurance that the liquidity risk management systems put in place are adequate with regard to the institution’s profile and strategy. |
|
(i) |
A concise liquidity risk statement approved by the management body succinctly describing the institution’s overall liquidity risk profile associated with the business strategy. This statement shall include key ratios and figures (other than those already covered in the EU LIQ1 template under this ITS ) providing external stakeholders with a comprehensive view of the institution’s management of liquidity risk, including how the liquidity risk profile of the institution interacts with the risk tolerance set by the management body. These ratios may include: |
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|
||
|
||
|
||
|
Template EU LIQ1 - Quantitative information of LCR
Scope of consolidation: (solo/consolidated)
|
a |
b |
c |
d |
e |
f |
g |
h |
|
Total unweighted value (average) |
Total weighted value (average) |
||||||||
EU 1a |
Quarter ending on (DD Month YYY) |
T |
T-1 |
T-2 |
T-3 |
T |
T-1 |
T-2 |
T-3 |
EU 1b |
Number of data points used in the calculation of averages |
|
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|
|
HIGH-QUALITY LIQUID ASSETS |
|||||||||
1 |
Total high-quality liquid assets (HQLA) |
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|
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CASH - OUTFLOWS |
|||||||||
2 |
Retail deposits and deposits from small business customers, of which: |
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|
3 |
Stable deposits |
|
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|
4 |
Less stable deposits |
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|
5 |
Unsecured wholesale funding |
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|
6 |
Operational deposits (all counterparties) and deposits in networks of cooperative banks |
|
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|
7 |
Non-operational deposits (all counterparties) |
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|
8 |
Unsecured debt |
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|
9 |
Secured wholesale funding |
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|
|||
10 |
Additional requirements |
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|
11 |
Outflows related to derivative exposures and other collateral requirements |
|
|
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|
12 |
Outflows related to loss of funding on debt products |
|
|
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|
13 |
Credit and liquidity facilities |
|
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|
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|
14 |
Other contractual funding obligations |
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|
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|
15 |
Other contingent funding obligations |
|
|
|
|
|
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|
|
16 |
TOTAL CASH OUTFLOWS |
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|
|
|||
CASH - INFLOWS |
|||||||||
17 |
Secured lending (e.g. reverse repos) |
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|
18 |
Inflows from fully performing exposures |
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19 |
Other cash inflows |
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|
|
|
|
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|
EU-19a |
(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) |
|
|
|
|
|
|||
EU-19b |
(Excess inflows from a related specialised credit institution) |
|
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|
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|
|||
20 |
TOTAL CASH INFLOWS |
|
|
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|
|
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|
EU-20a |
Fully exempt inflows |
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EU-20b |
Inflows subject to 90% cap |
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EU-20c |
Inflows subject to 75% cap |
|
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|
|
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|
|
TOTAL ADJUSTED VALUE |
|||||||||
EU-21 |
LIQUIDITY BUFFER |
|
|
|
|
|
|||
22 |
TOTAL NET CASH OUTFLOWS |
|
|
|
|
|
|||
23 |
LIQUIDITY COVERAGE RATIO |
|
|
|
|
|
Table EU LIQB on qualitative information on LCR, which complements template EU LIQ1.
in accordance with Article 451a(2) CRR
Row number |
Qualitative information - Free format |
|
(a) |
Explanations on the main drivers of LCR results and the evolution of the contribution of inputs to the LCR’s calculation over time |
|
(b) |
Explanations on the changes in the LCR over time |
|
(c) |
Explanations on the actual concentration of funding sources |
|
(d) |
High-level description of the composition of the institution's liquidity buffer. |
|
(e) |
Derivative exposures and potential collateral calls |
|
(f) |
Currency mismatch in the LCR |
|
(g) |
Other items in the LCR calculation that are not captured in the LCR disclosure template but that the institution considers relevant for its liquidity profile |
|
Template EU LIQ2: Net Stable Funding Ratio
In accordance with Article 451a(3) CRR
|
a |
b |
c |
d |
e |
|
(in currency amount) |
Unweighted value by residual maturity |
Weighted value |
||||
No maturity |
< 6 months |
6 months to < 1yr |
≥ 1yr |
|||
Available stable funding (ASF) Items |
||||||
1 |
Capital items and instruments |
|
|
|
|
|
2 |
Own funds |
|
|
|
|
|
3 |
Other capital instruments |
|
|
|
|
|
4 |
Retail deposits |
|
|
|
|
|
5 |
Stable deposits |
|
|
|
|
|
6 |
Less stable deposits |
|
|
|
|
|
7 |
Wholesale funding: |
|
|
|
|
|
8 |
Operational deposits |
|
|
|
|
|
9 |
Other wholesale funding |
|
|
|
|
|
10 |
Interdependent liabilities |
|
|
|
|
|
11 |
Other liabilities: |
|
|
|
|
|
12 |
NSFR derivative liabilities |
|
|
|
|
|
13 |
All other liabilities and capital instruments not included in the above categories |
|
|
|
|
|
14 |
Total available stable funding (ASF) |
|
|
|
|
|
Required stable funding (RSF) Items |
||||||
15 |
Total high-quality liquid assets (HQLA) |
|
|
|
|
|
EU-15a |
Assets encumbered for a residual maturity of one year or more in a cover pool |
|
|
|
|
|
16 |
Deposits held at other financial institutions for operational purposes |
|
|
|
|
|
17 |
Performing loans and securities: |
|
|
|
|
|
18 |
Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut |
|
|
|
|
|
19 |
Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions |
|
|
|
|
|
20 |
Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which: |
|
|
|
|
|
21 |
With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk |
|
|
|
|
|
22 |
Performing residential mortgages, of which: |
|
|
|
|
|
23 |
With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk |
|
|
|
|
|
24 |
Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products |
|
|
|
|
|
25 |
Interdependent assets |
|
|
|
|
|
26 |
Other assets: |
|
|
|
|
|
27 |
Physical traded commodities |
|
|
|
|
|
28 |
Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs |
|
|
|
||
29 |
NSFR derivative assets |
|
|
|
||
30 |
NSFR derivative liabilities before deduction of variation margin posted |
|
|
|
||
31 |
All other assets not included in the above categories |
|
|
|
|
|
32 |
Off-balance sheet items |
|
|
|
|
|
33 |
Total RSF |
|
|
|
|
|
34 |
Net Stable Funding Ratio (%) |
|
|
|
|
|
ANNEX XIV
Instructions for the liquidity requirements templates
Instructions on Table EU LIQA on liquidity risk management and on template EU LIQ1 regarding LCR
1. |
Institutions subject to Part Six of Regulation (EU) 575/2013 (1) (‘CRR’) shall disclose the information referred to in Article 451a CRR by completing table EU LIQA, template EU LIQ1 and table EU LIQB. |
Table EU LIQA - Liquidity risk management
2. |
Institutions subject to Part Six CRR shall disclose the information referred to in Article 451a(4) CRR by following the instructions provided below in this Annex to complete table EU LIQA which is presented in Annex XIII to this Implementing Regulation. |
3. |
For the purposes of table EU LIQA, institutions subject to Part Six CRR shall consider the text boxes provided in the table as free-text boxes. They shall provide relevant information, both qualitative and quantitative, on risk management objectives and policies for liquidity risk, depending upon their business models and liquidity risk profiles, organisation and functions involved in liquidity risk management, in accordance with Article 435(1) CRR and the Commission Delegated Regulation (EU) 2015/61 (2) with regard to liquidity coverage requirement for Credit Institutions. |
Template EU LIQ1 - Quantitative information of LCR
4. |
Institutions subject to Part Six CRR shall disclose the information referred to in Article 451a(2) CRR by following the instructions provided below in this Annex to complete template EU LIQ1 as presented in Annex XIII to this Implementing Regulation. |
5. |
When disclosing the information required in this template, institutions subject to Part Six CRR shall include the values and figures required for each of the four calendar quarters (January-March, April-June, July-September, October-December) preceding the disclosure date. Institutions shall calculate these values and figures as the simple averages of month-end observations over the twelve months preceding the end of each quarter. |
6. |
The information required in template EU LIQ1 shall include all items irrespective of the currency in which they are denominated and shall be disclosed in the reporting currency as defined in Article 3 of Commission Delegated Regulation (EU) 2015/61. |
7. |
To calculate the unweighted and weighted inflows and outflows and the weighted HQLA for the purpose of template EU LIQ1, institutions shall apply the following instructions:
|
8. |
In order to calculate the adjusted value of the liquidity buffer in item 21 and the adjusted value of total net cash outflows in item 22 of template EU LIQ1, institutions shall apply each of the following instructions:
|
Table EU LIQB on qualitative information on LCR, which complements template EU LIQ1.
9. |
Institutions subject to Part Six of CRR shall disclose the information referred to in Article 451a(2) CRR by following the instructions provided below in this Annex to complete table EU LIQB which is presented in Annex XIII to this Implementing Regulation. |
10. |
Table EU LIQB shall provide qualitative information on the items included in template EU LIQ1 on quantitative information on LCR. |
11. |
Institutions subject to Part Six CRR shall consider the text boxes provided in this table as free-text boxes and disclose the items included there, where possible, in accordance with their consideration in the context of the definition of the LCR in Commission Delegated Regulation (EU) 2015/61 and of the additional liquidity monitoring metrics as set out in Chapter 7b of Commission Implementing Regulation (EU) No 680/2014 (6). |
Instructions on template EU LIQ2 on disclosure of Net Stable Funding Ratio (NSFR)
12. |
Institutions subject to Part Six CRR shall disclose the information included in template EU LIQ2 in application of Article 451a(3) CRR in accordance with the instructions included in this Annex. Quarter-end figures for each quarter of the relevant disclosure period shall be disclosed. For e.g. annual disclosure this includes four data sets covering the latest and the three previous quarters. |
13. |
The information required in template EU LIQ2 shall include all assets, liabilities and off-balance sheet items irrespective of the currency in which they are denominated and shall be disclosed in the reporting currency as defined in Article 411(15) CRR. |
14. |
To avoid any double counting, institutions shall not disclose assets or liabilities that are associated with collateral posted or received as variation margin in accordance with Articles 428k(4) and with Article 428ah(2) CRR, initial margin and contribution to the default fund of a CCP in accordance with point (a) of Article 428ag and with point (b) of Article 428ag CRR. |
15. |
Deposits maintained in the context of an institutional protection scheme or a cooperative network that are considered as liquid assets shall be disclosed as such. Other items within a group or an institutional protection scheme shall be disclosed in the relevant general categories in the template of stable funding required or available. |
16. |
Institutions shall always disclose as “Unweighted value by residual maturity” in columns a, b, c and d of the template the accounting values, except for the cases of derivative contracts, for which institutions shall refer to the fair value as specified in Article 428d(2) CRR. |
17. |
Institutions shall disclose the “weighted value” in column e of this template. This value shall reflect the value in accordance with Article 428c(2) CRR which is the result of the unweighted value multiplied by the stable funding factors. |
18. |
The amount of assets and liabilities resulting from securities financing transactions (SFTs) with a single counterparty shall be considered on a net basis where Article 428e CRR applies. In the case that the individual transactions netted were subject to different required stable funding (RSF) factors if they were considered separately, the netted amount to be disclosed, if an asset, shall be subject to the higher RSF factor of them. |
19. |
Institutions shall provide in the narrative accompanying this template any explanations needed to facilitate an understanding of the results and the accompanying data. At least, institutions shall explain:
|
Available stable funding (ASF) Items
20. |
In accordance with Article 428i CRR, unless specified otherwise in Chapter 3 of Title IV of Part Six CRR, the amount of available stable funding (ASF) shall be calculated by multiplying the amount of liabilities and own funds, as unweighted value, by the available stable funding factors. The weighted value in column “e” of this template reflects the amount of available stable funding. |
21. |
All liabilities and own funds shall be disclosed with a breakdown by their residual maturity in columns a, b, c and d of this template, calculated in accordance with Articles 428j, 428o and 428ak CRR, with the following breakdown in terms of maturity buckets:
|
Required stable funding (RSF) Items
22. |
Institutions shall disclose in the appropriate category all assets on which they retain beneficial ownership even if they are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not be disclosed even if these assets are accounted for in their balance sheet. |
23. |
In accordance with Article 428p CRR, unless specified otherwise in Chapter 4 of Title IV of Part Six CRR, the amount of required stable funding (RSF) shall be calculated by multiplying the unweighted value of assets and off-balance sheet items by the required stable funding factors. |
24. |
Assets that are eligible as high-quality liquid assets (HQLA) in accordance with Commission Delegated Regulation (EU) 2015/61 shall be disclosed as such, in a designated row regardless of their residual maturity. |
25. |
All non-HQLA assets and off-balance sheet items shall be disclosed with a breakdown by their residual maturity in accordance with Article 428q CRR. The maturity buckets of the amounts, standard factors and applicable factors are the following:
|
(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) 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).
(3) DIRECTIVE 94/19/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 30 May 1994 on deposit-guarantee schemes (OJ L 135, 31.5.1994, p. 5).
(4) DIRECTIVE 2014/49/EU OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 16 April 2014 on deposit guarantee schemes (OJ L 173, 12.6.2014, p. 149).
(5) COMMISSION DELEGATED REGULATION (EU) 2017/208 of 31 October 2016 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for additional liquidity outflows corresponding to collateral needs resulting from the impact of an adverse market scenario on an institution's derivatives transactions (OJ L 33, 8.2.2017, p. 14).
(6) COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).
(7) DIRECTIVE 2009/65/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).
ANNEX XV
Table EU CRA: General qualitative information about credit risk
Institutions shall describe their risk management objectives and policies for credit risk by providing the following information:
Qualitative disclosures |
|
(a) |
In the concise risk statement in accordance with point (f) of Article 435(1) CRR, how the business model translates into the components of the institution’s credit risk profile. |
(b) |
When discussing their strategies and processes to manage credit risk and the policies for hedging and mitigating that risk in accordance with points (a) and (d) of Article 435(1) CRR, the criteria and approach used for defining the credit risk management policy and for setting credit risk limits. |
(c) |
When informing on the structure and organisation of the risk management function in accordance with point (b) of Article 435(1) CRR, the structure and organisation of the credit risk management and control function. |
(d) |
When informing on the authority, status and other arrangements for the risk management function in accordance with point (b) of Article 435(1) CRR, the relationships between credit risk management, risk control, compliance and internal audit functions. |
Table EU CRB: Additional disclosure related to the credit quality of assets
Qualitative disclosures |
|
(a) |
The scope and definitions of ‘past-due’ and ‘impaired’ exposures used for accounting purposes and the differences, if any, between the definitions of past due and default for accounting and regulatory purposes as specified by the EBA Guidelines on the application of the definition of default in accordance with Article 178 CRR. |
(b) |
The extent of past-due exposures (more than 90 days) that are not considered to be impaired and the reasons for this. |
(c) |
Description of methods used for determining general and specific credit risk adjustments. |
(d) |
The institution’s own definition of a restructured exposure used for the implementation of point (d) of Article 178(3) CRR specified by the EBA Guidelines on defaultin accordance with Article 178 CRR when different from the definition of forborne exposure defined in Annex V to Commission Implementing Regulation (EU) 680/2014. |
Template EU CR1: Performing and non-performing exposures and related provisions.
|
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
m |
n |
o |
|
Gross carrying amount/nominal amount |
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Accumulated partial write-off |
Collateral and financial guarantees received |
|||||||||||||
Performing exposures |
Non-performing exposures |
Performing exposures – accumulated impairment and provisions |
Non-performing exposures – accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
On performing exposures |
On non-performing exposures |
|||||||||||
|
Of which stage 1 |
Of which stage 2 |
|
Of which stage 2 |
Of which stage 3 |
|
Of which stage 1 |
Of which stage 2 |
|
Of which stage 2 |
Of which stage 3 |
|||||
005 |
Cash balances at central banks and other demand deposits |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
010 |
Loans and advances |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Central banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
030 |
General governments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Credit institutions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Other financial corporations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Non-financial corporations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Of which SMEs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Households |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
090 |
Debt securities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Central banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110 |
General governments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
120 |
Credit institutions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Other financial corporations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
140 |
Non-financial corporations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150 |
Off-balance-sheet exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
160 |
Central banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
170 |
General governments |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
180 |
Credit institutions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
190 |
Other financial corporations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
200 |
Non-financial corporations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
210 |
Households |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
220 |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Template EU CR1-A: Maturity of exposures
|
a |
b |
c |
d |
e |
f |
|
Net exposure value |
|||||||
On demand |
<= 1 year |
> 1 year <= 5 years |
> 5 years |
No stated maturity |
Total |
||
1 |
Loans and advances |
|
|
|
|
|
|
2 |
Debt securities |
|
|
|
|
|
|
3 |
Total |
|
|
|
|
|
|
Template EU CR2: Changes in the stock of non-performing loans and advances
|
a |
|
Gross carrying amount |
||
010 |
Initial stock of non-performing loans and advances |
|
020 |
Inflows to non-performing portfolios |
|
030 |
Outflows from non-performing portfolios |
|
040 |
Outflows due to write-offs |
|
050 |
Outflow due to other situations |
|
060 |
Final stock of non-performing loans and advances |
|
Template EU CR2a: Changes in the stock of non-performing loans and advances and related net accumulated recoveries
|
a |
b |
|
Gross carrying amount |
Related net accumulated recoveries |
||
010 |
Initial stock of non-performing loans and advances |
|
|
020 |
Inflows to non-performing portfolios |
|
|
030 |
Outflows from non-performing portfolios |
|
|
040 |
Outflow to performing portfolio |
|
|
050 |
Outflow due to loan repayment, partial or total |
|
|
060 |
Outflow due to collateral liquidations |
|
|
070 |
Outflow due to taking possession of collateral |
|
|
080 |
Outflow due to sale of instruments |
|
|
090 |
Outflow due to risk transfers |
|
|
100 |
Outflows due to write-offs |
|
|
110 |
Outflow due to other situations |
|
|
120 |
Outflow due to reclassification as held for sale |
|
|
130 |
Final stock of non-performing loans and advances |
|
|
Template EU CQ1: Credit quality of forborne exposures
|
a |
b |
c |
d |
e |
f |
g |
h |
|
Gross carrying amount/nominal amount of exposures with forbearance measures |
Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions |
Collateral received and financial guarantees received on forborne exposures |
|||||||
Performing forborne |
Non-performing forborne |
On performing forborne exposures |
On non-performing forborne exposures |
|
Of which collateral and financial guarantees received on non-performing exposures with forbearance measures |
||||
|
Of which defaulted |
Of which impaired |
|
||||||
005 |
Cash balances at central banks and other demand deposits |
|
|
|
|
|
|
|
|
010 |
Loans and advances |
|
|
|
|
|
|
|
|
020 |
Central banks |
|
|
|
|
|
|
|
|
030 |
General governments |
|
|
|
|
|
|
|
|
040 |
Credit institutions |
|
|
|
|
|
|
|
|
050 |
Other financial corporations |
|
|
|
|
|
|
|
|
060 |
Non-financial corporations |
|
|
|
|
|
|
|
|
070 |
Households |
|
|
|
|
|
|
|
|
080 |
Debt Securities |
|
|
|
|
|
|
|
|
090 |
Loan commitments given |
|
|
|
|
|
|
|
|
100 |
Total |
|
|
|
|
|
|
|
|
Template EU CQ2: Quality of forbearance
|
a |
|
Gross carrying amount of forborne exposures |
||
010 |
Loans and advances that have been forborne more than twice |
|
020 |
Non-performing forborne loans and advances that failed to meet the non-performing exit criteria |
|
Template EU CQ3: Credit quality of performing and non-performing exposures by past due days
|
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
|
Gross carrying amount/nominal amount |
|||||||||||||
Performing exposures |
Non-performing exposures |
||||||||||||
|
Not past due or past due ≤ 30 days |
Past due > 30 days ≤ 90 days |
|
Unlikely to pay that are not past due or are past due ≤ 90 days |
Past due > 90 days ≤ 180 days |
Past due > 180 days ≤ 1 year |
Past due > 1 year ≤ 2 years |
Past due > 2 years ≤ 5 years |
Past due > 5 years ≤ 7 years |
Past due > 7 years |
Of which defaulted |
||
005 |
Cash balances at central banks and other demand deposits |
|
|
|
|
|
|
|
|
|
|
|
|
010 |
Loans and advances |
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Central banks |
|
|
|
|
|
|
|
|
|
|
|
|
030 |
General governments |
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Credit institutions |
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Other financial corporations |
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Non-financial corporations |
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Of which SMEs |
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Households |
|
|
|
|
|
|
|
|
|
|
|
|
090 |
Debt securities |
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Central banks |
|
|
|
|
|
|
|
|
|
|
|
|
110 |
General governments |
|
|
|
|
|
|
|
|
|
|
|
|
120 |
Credit institutions |
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Other financial corporations |
|
|
|
|
|
|
|
|
|
|
|
|
140 |
Non-financial corporations |
|
|
|
|
|
|
|
|
|
|
|
|
150 |
Off-balance-sheet exposures |
|
|
|
|
|
|
|
|
|
|
|
|
160 |
Central banks |
|
|
|
|
|
|
|
|
|
|
|
|
170 |
General governments |
|
|
|
|
|
|
|
|
|
|
|
|
180 |
Credit institutions |
|
|
|
|
|
|
|
|
|
|
|
|
190 |
Other financial corporations |
|
|
|
|
|
|
|
|
|
|
|
|
200 |
Non-financial corporations |
|
|
|
|
|
|
|
|
|
|
|
|
210 |
Households |
|
|
|
|
|
|
|
|
|
|
|
|
220 |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
Template EU CQ4: Quality of non-performing exposures by geography
|
a |
b |
c |
d |
e |
f |
g |
|
Gross carrying/nominal amount |
Accumulated impairment |
Provisions on off-balance-sheet commitments and financial guarantees given |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|||||
|
Of which non-performing |
Of which subject to impairment |
||||||
|
Of which defaulted |
|||||||
010 |
On-balance-sheet exposures |
|
|
|
|
|
|
|
020 |
Country 1 |
|
|
|
|
|
|
|
030 |
Country 2 |
|
|
|
|
|
|
|
040 |
Country 3 |
|
|
|
|
|
|
|
050 |
Country 4 |
|
|
|
|
|
|
|
060 |
Country N |
|
|
|
|
|
|
|
070 |
Other countries |
|
|
|
|
|
|
|
080 |
Off-balance-sheet exposures |
|
|
|
|
|
|
|
090 |
Country 1 |
|
|
|
|
|
|
|
100 |
Country 2 |
|
|
|
|
|
|
|
110 |
Country 3 |
|
|
|
|
|
|
|
120 |
Country 4 |
|
|
|
|
|
|
|
130 |
Country N |
|
|
|
|
|
|
|
140 |
Other countries |
|
|
|
|
|
|
|
150 |
Total |
|
|
|
|
|
|
|
Template EU CQ5: Credit quality of loans and advances to non-financial corporations by industry
|
a |
b |
c |
d |
e |
f |
|
Gross carrying amount |
Accumulated impairment |
Accumulated negative changes in fair value due to credit risk on non-performing exposures |
|||||
|
Of which non-performing |
Of which loans and advances subject to impairment |
|||||
|
Of which defaulted |
||||||
010 |
Agriculture, forestry and fishing |
|
|
|
|
|
|
020 |
Mining and quarrying |
|
|
|
|
|
|
030 |
Manufacturing |
|
|
|
|
|
|
040 |
Electricity, gas, steam and air conditioning supply |
|
|
|
|
|
|
050 |
Water supply |
|
|
|
|
|
|
060 |
Construction |
|
|
|
|
|
|
070 |
Wholesale and retail trade |
|
|
|
|
|
|
080 |
Transport and storage |
|
|
|
|
|
|
090 |
Accommodation and food service activities |
|
|
|
|
|
|
100 |
Information and communication |
|
|
|
|
|
|
110 |
Financial and insurance actvities |
|
|
|
|
|
|
120 |
Real estate activities |
|
|
|
|
|
|
130 |
Professional, scientific and technical activities |
|
|
|
|
|
|
140 |
Administrative and support service activities |
|
|
|
|
|
|
150 |
Public administration and defense, compulsory social security |
|
|
|
|
|
|
160 |
Education |
|
|
|
|
|
|
170 |
Human health services and social work activities |
|
|
|
|
|
|
180 |
Arts, entertainment and recreation |
|
|
|
|
|
|
190 |
Other services |
|
|
|
|
|
|
200 |
Total |
|
|
|
|
|
|
Template EU CQ6: Collateral valuation - loans and advances
|
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
|
Loans and advances |
|||||||||||||
|
Performing |
Non-performing |
|||||||||||
|
|
Unlikely to pay that are not past due or are past due ≤ 90 days |
Past due > 90 days |
||||||||||
|
Of which past due > 30 days ≤ 90 days |
|
Of which past due > 90 days ≤ 180 days |
Of which: past due > 180 days ≤ 1 year |
Of which: past due > 1 years ≤ 2 years |
Of which: past due > 2 years ≤ 5 years |
Of which: past due > 5 years ≤ 7 years |
Of which: past due > 7 years |
|||||
010 |
Gross carrying amount |
|
|
|
|
|
|
|
|
|
|
|
|
020 |
Of which secured |
|
|
|
|
|
|
|
|
|
|
|
|
030 |
Of which secured with immovable property |
|
|
|
|
|
|
|
|
|
|
|
|
040 |
Of which instruments with LTV higher than 60% and lower or equal to 80% |
|
|
|
|
|
|
|
|
|
|
|
|
050 |
Of which instruments with LTV higher than 80% and lower or equal to 100% |
|
|
|
|
|
|
|
|
|
|
|
|
060 |
Of which instruments with LTV higher than 100% |
|
|
|
|
|
|
|
|
|
|
|
|
070 |
Accumulated impairment for secured assets |
|
|
|
|
|
|
|
|
|
|
|
|
080 |
Collateral |
|
|
|
|
|
|
|
|
|
|
|
|
090 |
Of which value capped at the value of exposure |
|
|
|
|
|
|
|
|
|
|
|
|
100 |
Of which immovable property |
|
|
|
|
|
|
|
|
|
|
|
|
110 |
Of which value above the cap |
|
|
|
|
|
|
|
|
|
|
|
|
120 |
Of which immovable property |
|
|
|
|
|
|
|
|
|
|
|
|
130 |
Financial guarantees received |
|
|
|
|
|
|
|
|
|
|
|
|
140 |
Accumulated partial write-off |
|
|
|
|
|
|
|
|
|
|
|
|
Template EU CQ7: Collateral obtained by taking possession and execution processes
|
a |
b |
|
Collateral obtained by taking possession |
|||
Value at initial recognition |
Accumulated negative changes |
||
010 |
Property, plant and equipment (PP&E) |
|
|
020 |
Other than PP&E |
|
|
030 |
Residential immovable property |
|
|
040 |
Commercial Immovable property |
|
|
050 |
Movable property (auto, shipping, etc.) |
|
|
060 |
Equity and debt instruments |
|
|
070 |
Other collateral |
|
|
080 |
Total |
|
|
Template EU CQ8: Collateral obtained by taking possession and execution processes – vintage breakdown
|
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
|||||
Debt balance reduction |
Total collateral obtained by taking possession |
||||||||||||||||
|
Foreclosed ≤ 2 years |
Foreclosed > 2 years ≤ 5 years |
Foreclosed > 5 years |
Of which non-current assets held-for-sale |
|||||||||||||
Gross carrying amount |
Accumulated negative changes |
Value at initial recognition |
Accumulated negative changes |
Value at initial recognition |
Accumulated negative changes |
Value at initial recognition |
Accumulated negative changes |
Value at initial recognition |
Accumulated negative changes |
Value at initial recognition |
Accumulated negative changes |
||||||
010 |
Collateral obtained by taking possession classified as PP&E |
|
|
|
|
|
|
|
|
|
|
|
|
||||
020 |
Collateral obtained by taking possession other than that classified as PP&E |
|
|
|
|
|
|
|
|
|
|
|
|
||||
030 |
Residential immovable property |
|
|
|
|
|
|
|
|
|
|
|
|
||||
040 |
Commercial immovable property |
|
|
|
|
|
|
|
|
|
|
|
|
||||
050 |
Movable property (auto, shipping, etc.) |
|
|
|
|
|
|
|
|
|
|
|
|
||||
060 |
Equity and debt instruments |
|
|
|
|
|
|
|
|
|
|
|
|
||||
070 |
Other collateral |
|
|
|
|
|
|
|
|
|
|
|
|
||||
080 |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
ANNEX XVI
Instructions for disclosure of risk management objectives and policies, exposures to credit risk, dilution risk and credit quality
1. |
Annex XV to this Implementing Regulation includes a set of templates that are applicable to all institutions subject to Article 442 CRR. It also includes some additional templates required to 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 %. For the purpose of this ratio, and of the templates included in Annex XV, 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 ratios, and from the rows on loans and advances included in the templates. The information on cash balances at central banks and other demand deposits is disclosed separately in some of them. |
2. |
The additional templates are required to convey sufficiently comprehensive and comparable information for users of that information to assess the risk profiles of institutions. For this reason, when reading these instructions, institutions shall take into account the proportionality criteria included in Article 9 of this implementing regulation. |
Table EU CRA: General qualitative information about credit risk
3. |
Institutions shall disclose the information referred to in points (a), (b), (d) and (f) of Article 435(1) of Regulation (EU) 575/2013 (1) (‘CRR’) on their risk management objectives and policies for credit risk by following the instructions set out in this Annex to complete table EU CRA which is presented in Annex XV to this Implementing Regulation.
|
Table EU CRB: Additional disclosure related to the credit quality of assets
4. |
Institutions shall disclose the information referred to points (a) and (b) of Article 442 CRR by following the instructions provided below to complete table EU CRB which is presented in Annex XV to this Implementing Regulation.
|
Template EU CR1: Performing and non-performing exposures and related provisions
5. |
Institutions shall disclose the information referred to in points (c) and (e) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CR1 which is presented in Annex XV to this Implementing Regulation.
|
Template EU CR1-A: Maturity of exposures
6. |
Institutions shall disclose the information referred to in point (g) of Article 442 CRR by following the instructions provided below to complete template EU CR1-A which is presented in Annex XV to this Implementing Regulation.
|
Template EU CR2: Changes in the stock of non-performing loans and advances
1. |
Institutions shall disclose the information referred to in point (f) of Article 442 CRR by following the instructions provided below to complete template EU CR2 which is presented in Annex XV to this Implementing Regulation. Institutions shall explain in the narrative accompanying these templates any material difference between the non-performing values disclosed in each row and the values as if the definition of defaulted in accordance with Article 178 CRR was applied.
|
Template EU CR2a: Changes in the stock of non-performing loans and advances and related net accumulated recoveries
2. |
Institutions shall disclose the information referred to in points (c) and (f) of Article 442 CRR by following the instructions provided below to complete template EU CR2a which is presented in Annex XV to this Implementing Regulation. Institutions shall explain in the narrative accompanying these templates any material difference between the non-performing values disclosed in each row and the values as if the definition of defaulted in accordance with Article 178 CRR was applied, in particular for rows 010, 030, 100 and 130.
|
Template EU CQ1: Credit quality of forborne exposures
3. |
Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below to complete template EU CQ1 which is presented in Annex XV to this Implementing Regulation.
|
Template EU CQ2: Quality of forbearance
1. |
Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ2 which is presented in Annex XV to this Implementing Regulation.
|
Template EU CQ3: Credit quality of performing and non-performing exposures by past due days
4. |
Institutions shall disclose the information referred to in point (d) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ3 which is presented in Annex XV to this Implementing Regulation.
|
Template EU CQ4: Quality of non-performing exposures by geography
5. |
Where non-domestic original exposures in all non-domestic countries in all exposure classes are equal to or higher than 10 % of the total (domestic and non-domestic) original exposures, institutions shall disclose the information referred to in points (c) and (e) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ4 which is s presented in Annex XV to this Implementing Regulation.
|
Template EU CQ5: Credit quality of loans and advances to non-financial corporations by industry
6. |
Institutions shall disclose the information referred to in points (c) and (e) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ5 which is presented in Annex XV to this Implementing Regulation.
|
Template EU CQ6: Collateral valuation - loans and advances
7. |
Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ6 which is presented in Annex XV to this Implementing Regulation.
|
Template EU CQ7: Collateral obtained by taking possession and execution processes
8. |
Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ7 which is presented in Annex XV to this Implementing Regulation.
|
Template EU CQ8: Collateral obtained by taking possession and execution processes – vintage breakdown
9. |
Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ8 which is presented in Annex XV to this Implementing Regulation.
|
(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) COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).
(3) REGULATION (EU) No 1071/2013 OF THE EUROPEAN CENTRAL BANK of 24 September 2013 concerning the balance sheet of the monetary financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, 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) RECOMMENDATION OF THE EUROPEAN SYSTEMIC RISK BOARD of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) (OJ C 31, 31.1.2017, p. 1).
ANNEX XVII
Table EU CRC – Qualitative disclosure requirements related to CRM techniques
Free format text boxes for disclosure of qualitative information
Legal basis |
Row number |
Free format |
Article 453 (a) CRR |
(a) |
A description of the core features of the policies and processes for on- and off-balance sheet netting and an indication of the extent to which institutions make use of balance sheet netting; |
Article 453 (b) CRR |
(b) |
The core features of policies and processes for eligible collateral evaluation and management; |
Article 453 (c) CRR |
(c) |
A description of the main types of collateral taken by the institution to mitigate credit risk; |
Article 453 (d) CRR |
(d) |
For guarantees and credit derivatives used as credit protection, the main types of guarantor and credit derivative counterparty and their creditworthiness used for the purposes of reducing capital requirements, excluding those used as part of synthetic securitisation structures; |
Article 453 (e) CRR |
(e) |
Information about market or credit risk concentrations within the credit mitigation taken; |
Template EU CR3 – CRM techniques overview: Disclosure of the use of credit risk mitigation techniques
|
Unsecured carrying amount |
Secured carrying amount |
||||
|
Of which secured by collateral |
Of which secured by financial guarantees |
|
|||
Of which secured by credit derivatives |
||||||
a |
b |
c |
d |
e |
||
1 |
Loans and advances |
|
|
|
|
|
2 |
Debt securities |
|
|
|
|
|
3 |
Total |
|
|
|
|
|
4 |
Of which non-performing exposures |
|
|
|
|
|
EU-5 |
Of which defaulted |
|
|
|
|
|
ANNEX XVIII
Disclosure of the use of credit risk mitigation techniques
Table EU CRC – Qualitative disclosure requirements related to CRM techniques. Flexible table
Institutions shall disclose the information referred to in points (a) to (e) of Article 453 of Regulation (EU) 575/2013 (1) (‘CRR’) by following the instructions provided below in this Annex to complete table EU CRC which is presented in Annex XVII.
Row reference |
Legal reference and instructions |
|||||||||
Explanation |
||||||||||
(a) |
Point (a) of Article 453 CRR |
When disclosing information on their netting policies and use of netting in accordance with point (a) of Article 453 CRR, institutions shall provide a clear description of CRM policies and processes concerning on-balance-sheet, off-balance-sheet netting and master netting agreements. They shall also indicate to what extent on-balance-sheet, off-balance-sheet netting and master netting agreements have been used and their importance regarding credit risk management. Institutions could especially mention details about the techniques in use as well as the positions covered by on-balance-sheet netting agreements and the financial instruments included in the master netting agreements. Furthermore, the conditions necessary to assure effectiveness of these techniques and the controls in place for legal risk could also be described. |
||||||||
(b) |
Point (b) of Article 453 CRR |
As part of their disclosures on the core features of their policies and processes for eligible collateral valuation and management in accordance with point (b) of Article 453 CRR, institutions shall disclose:
Additionally, institutions could also disclose if there is a system of credit exposure limits in place and the impact of accepted collateral in the quantification of those limits. |
||||||||
(c) |
Point (c) of Article 453 CRR |
When describing the collateral taken in accordance with point (c) of Article 453 CRR, institutions shall provide a detailed description of the main types of collateral accepted to mitigate credit risk, by type of exposures. |
||||||||
(d) |
Point (d) of Article 453 CRR |
The description of the main types of guarantors and counterparties in credit derivatives and their creditworthiness to be disclosed in accordance with point (d) of Article 453 CRR shall cover credit derivatives used for the purposes of reducing capital requirements, excluding those used as part of synthetic securitisation structures. Institutions could also include description of the methods used to recognise the effects of the guarantees or credit derivatives provided by the main types of guarantors and counterparties. |
||||||||
(e) |
Point (e) of Article 453 CRR |
When disclosing information about market or credit risk concentrations within CRM taken in accordance with point (e) of Article 453 CRR, institutions shall provide an analysis of any concentration that arises due to CRM measures and may prevent CRM instruments from being effective. Concentrations in the scope of those disclosures could include concentrations by type of instrument used as collateral, entity (concentration by guarantor type and credit derivative providers), sector, geographical area, currency, rating or other factors that potentially impact the value of the protection and thereby reduce this protection. |
Template EU CR3 – CRM techniques overview: Disclosure of the use of credit risk mitigation techniques. Fixed template.
Institution shall disclose the information referred to in point (f) of Article 453 CRR by following the instructions provided below in this Annex to complete template EU CR3 which is presented in Annex XVII to this Implementing Regulation.
This template covers all CRM techniques recognised under the applicable accounting framework regardless of whether these techniques are recognised under CRR, including, but not only, all types of collateral, financial guarantees and credit derivatives used for all secured exposures, irrespective of whether the standardised approach or the IRB approach is used for the calculation of risk weighted exposure amount (RWEA). Institutions shall supplement the template with a narrative commentary to explain any significant changes over the disclosure period and the key drivers of such changes.
Column reference |
Legal references and instructions |
Explanation |
|
a |
Unsecured carrying amount: The carrying amount of exposures (net of allowances/impairments) that do not benefit from any CRM technique, regardless of whether this technique is recognised under CRR In particular, it refers to exposures for which neither collateral was pledged nor financial guarantee were received. The unsecured part of a partially secured or partially guaranteed exposure shall not be included. |
b |
Secured carrying amount: Carrying amount of exposures that have at least one CRM technique (collateral, financial guarantees, credit derivatives) associated with them In case the value of collateral, financial guarantees and credit derivatives securing an exposure exceeds the carrying amount of that exposure, only the values up to the carrying amount of that exposure shall be included. In case the carrying amount of an exposure exceeds the value of collateral, financial guarantees and credit derivatives securing that exposure, the full carrying amount of that exposure shall be included. For the purpose of the following columns c, d and e, the allocation of the carrying amount of multi-secured exposures to their different CRM techniques is made by order of priority, starting with the CRM technique expected to be called first in the event of non-payment, and within the limits of the carrying amount of the secured exposures. Any part of exposure shall be included in only one of the columns c, d or e of this template. |
c |
Of which secured by collateral: This is a subset of column b of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by collateral. In case an exposure is secured by collateral and other CRM technique(s) expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by collateral is the remaining share of the exposure after consideration of the shares of the exposures already secured by other mitigation techniques, up to the carrying amount of that exposure. |
d |
Of which secured by financial guarantees: This is a subset of column b of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by guarantees. In case an exposure is secured by guarantees and other CRM techniques expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by guarantees is the remaining part of the exposure after consideration of the shares of the exposure already secured by other mitigation techniques, up to the carrying amount of that exposure. |
e |
Of which secured by credit derivatives: This is a subset of column d (financial guarantees) of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by credit derivatives. In case an exposure is secured by credit derivatives and other CRM techniques expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by credit derivatives is the remaining share of the exposure after consideration of the shares of the exposure already secured by other mitigation techniques, up to the carrying amount of that exposure. |
Row reference |
Legal references and instructions |
Explanation |
|
1 |
Loans and advances ‘Loans and advances’ are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with Regulation (EU) 1071/2013 (“ECB BSI Regulation”) (2) as well as advances that cannot be classified as ‘loans’ in accordance with the ECB BSI Regulation, as defined in paragraph 32 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014 (3). |
2 |
Debt securities Debt securities are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation, as defined in paragraph 31 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014. |
3 |
Total Sum of amounts in rows 1 and 2 of this template |
4 |
Of which non-performing exposures Non-performing exposures in accordance with Article 47a CRR |
EU-5 |
Of which defaulted Defaulted exposures in accordance with Article 178 CRR |
(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) REGULATION (EU) No 1071/2013 OF THE EUROPEAN CENTRAL BANK of 24 September 2013 concerning the balance sheet of the monetary financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1).
(3) COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).
ANNEX XIX
Table EU CRD – Qualitative disclosure requirements related to standardised approach
Legal basis |
Row number |
Qualitative information - Free format |
Article 444 (a) CRR |
(a) |
Names of the external credit assessment institutions (ECAIs) and export credit agencies (ECAs) nominated by the institution, and the reasons for any changes over the disclosure period; |
Article 444 (b) CRR |
(b) |
The exposure classes for which each ECAI or ECA is used; |
Article 444 (c) CRR |
(c) |
A description of the process used to transfer the issuer and issue credit ratings onto comparable assets items not included in the trading book; |
Article 444 (d) CRR |
(d) |
The association of the external rating of each nominated ECAI or ECA (as referred to in row (a)) with the risk weights that correspond with the credit quality steps as set out in Chapter 2 of Title II of Part Three CRR (except where the institution complies with the standard association published by the EBA). |
Template EU CR4 – standardised approach – Credit risk exposure and CRM effects
|
Exposure classes |
Exposures before CCF and before CRM |
Exposures post CCF and post CRM |
RWAs and RWAs density |
|||
On-balance-sheet exposures |
Off-balance-sheet exposures |
On-balance-sheet exposures |
Off-balance-sheet exposures |
RWAs |
RWAs density (%) |
||
a |
b |
c |
d |
e |
f |
||
1 |
Central governments or central banks |
|
|
|
|
|
|
2 |
Regional government or local authorities |
|
|
|
|
|
|
3 |
Public sector entities |
|
|
|
|
|
|
4 |
Multilateral development banks |
|
|
|
|
|
|
5 |
International organisations |
|
|
|
|
|
|
6 |
Institutions |
|
|
|
|
|
|
7 |
Corporates |
|
|
|
|
|
|
8 |
Retail |
|
|
|
|
|
|
9 |
Secured by mortgages on immovable property |
|
|
|
|
|
|
10 |
Exposures in default |
|
|
|
|
|
|
11 |
Exposures associated with particularly high risk |
|
|
|
|
|
|
12 |
Covered bonds |
|
|
|
|
|
|
13 |
Institutions and corporates with a short-term credit assessment |
|
|
|
|
|
|
14 |
Collective investment undertakings |
|
|
|
|
|
|
15 |
Equity |
|
|
|
|
|
|
16 |
Other items |
|
|
|
|
|
|
17 |
TOTAL |
|
|
|
|
|
|
Template EU CR5 – standardised approach
|
Exposure classes |
Risk weight |
Total |
Of which unrated |
||||||||||||||
0 % |
2 % |
4 % |
10 % |
20 % |
35 % |
50 % |
70 % |
75 % |
100 % |
150 % |
250 % |
370 % |
1 250 % |
Others |
||||
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
m |
n |
o |
p |
q |
||
1 |
Central governments or central banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 |
Regional government or local authorities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3 |
Public sector entities |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
Multilateral development banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 |
International organisations |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6 |
Institutions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7 |
Corporates |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8 |
Retail exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9 |
Exposures secured by mortgages on immovable property |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10 |
Exposures in default |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11 |
Exposures associated with particularly high risk |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12 |
Covered bonds |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13 |
Exposures to institutions and corporates with a short-term credit assessment |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14 |
Units or shares in collective investment undertakings |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15 |
Equity exposures |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16 |
Other items |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
17 |
TOTAL |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ANNEX XX
Instructions regarding disclosure of the use of the credit risk standardised approach (excluding counterparty credit risk and securitisation positions)
1.
Instruments subject to Chapter 6 of Title II of Part Three CRR (exposures to CCR), as well as instruments to which the requirements in Chapter 5 of Title II of Part Three CRR (securitisation exposures) apply, are not covered by the templates for which instructions are provided in this Annex.
Table EU CRD – Qualitative disclosure requirements related to standardised approach. Flexible format
2. |
Institutions shall disclose the information referred to in points (a) to (d) of Article 444 of Regulation (EU) 575/2013 (1) (‘CRR’) by following the instructions provided below in this Annex to complete table EU CRD which is presented in Annex XIX to this Implementing Regulation.
|
Template EU CR4 – Credit risk exposure and CRM effects. Fixed format
3. |
Institutions calculating the risk-weighted exposure amounts for credit risk in accordance with Chapter 2 of Title II of Part Three CRR shall disclose the information referred to points (g), (h) and (i) of Article 453 CRR and of point (e) of Article 444 CRR by following the instructions provided below in this Annex to complete template EU CR4 which is presented in Annex XIX to this Implementing Regulation.
|
Template EU CR5 – Standardised approach. Fixed format
4. |
Institutions shall disclose the information referred to in point (e) of Article 444 CRR by following the instructions provided below in this Annex to complete template EU CR5 which is presented in Annex XIX to this Implementing Regulation.
|
(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) 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).
ANNEX XXI
Table EU CRE – Qualitative disclosure requirements related to IRB approach
Free format text boxes for disclosure of qualitative information
Legal basis |
Row number |
Free format |
||||||||||
Article 452 (a) CRR |
(a) |
The competent authority's permission of the approach or approved transition |
||||||||||
Article 452 (c) CRR |
(b) |
|
||||||||||
Article 452 (d) CRR |
(c) |
The role of the functions involved in the development, approval and subsequent changes of the credit risk models; |
||||||||||
Article 452 (e) CRR |
(d) |
The scope and main content of the reporting related to credit risk models; |
||||||||||
Article 452 (f) CRR |
(e) |
A description of the internal ratings process by exposure class, including the number of key models used with respect to each portfolio and a brief discussion of the main differences between the models within the same portfolio, covering:
|
Template EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range
A-IRB |
PD range |
On-balance sheet exposures |
Off-balance-sheet exposures pre-CCF |
Exposure weighted average CCF |
Exposure post CCF and post CRM |
Exposure weighted average PD (%) |
Number of obligors |
Exposure weighted average LGD (%) |
Exposure weighted average maturity (years) |
Risk weighted exposure amount after supporting factors |
Density of risk weighted exposure amount |
Expected loss amount |
Value adjust-ments and provisions |
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
m |
|
Exposure class X |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0,00 to < 0,15 |
|
|
|
|
|
|
|
|
|
|
|
|
0,00 to < 0,10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0,10 to < 0,15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0,15 to < 0,25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0,25 to < 0,50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0,50 to < 0,75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0,75 to < 2,50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0,75 to < 1,75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,75 to < 2,5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,50 to < 10,00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,5 to < 5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5 to < 10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
10,00 to < 100,00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
10 to < 20 |
|
|
|
|
|
|
|
|
|
|
|
|
|
20 to < 30 |
|
|
|
|
|
|
|
|
|
|
|
|
|
30,00 to < 100,00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
100,00 (Default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal (exposure class) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total (all exposures classes) |
|
|
|
|
|
|
|
|
|
|
|
|
F-IRB |
PD range |
On-balance sheet exposures |
Off-balance-sheet exposures pre-CCF |
Exposure weighted average CCF |
Exposure post CCF and post CRM |
Exposure weighted average PD (%) |
Number of obligors |
Exposure weighted average LGD (%) |
Exposure weighted average maturity (years) |
Risk weighted exposure amount after supporting factors |
Density of risk weighted exposure amount |
Expected loss amount |
Value adjust-ments and provisions |
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
m |
|
Exposure class X |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
0,00 to < 0,15 |
|
|
|
|
|
|
|
|
|
|
|
|
0,00 to < 0,10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0,10 to < 0,15 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0,15 to < 0,25 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0,25 to < 0,50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0,50 to < 0,75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0,75 to < 2,50 |
|
|
|
|
|
|
|
|
|
|
|
|
|
0,75 to < 1,75 |
|
|
|
|
|
|
|
|
|
|
|
|
|
1,75 to < 2,5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,50 to < 10,00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
2,5 to < 5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
5 to < 10 |
|
|
|
|
|
|
|
|
|
|
|
|
|
10,00 to < 100,00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
10 to < 20 |
|
|
|
|
|
|
|
|
|
|
|
|
|
20 to < 30 |
|
|
|
|
|
|
|
|
|
|
|
|
|
30,00 to < 100,00 |
|
|
|
|
|
|
|
|
|
|
|
|
|
100,00 (Default) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Subtotal (exposure class) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total (all exposures classes) |
|
|
|
|
|
|
|
|
|
|
|
|
Template EU CR6-A – Scope of the use of IRB and SA approaches
|
Exposure value as defined in Article 166 CRR for exposrues subject to IRB approach |
Total exposure value for exposures subject to the Standardised approach and to the IRB approach |
Percentage of total exposure value subject to the permanent partial use of the SA (%) |
Percentage of total exposure value subject to IRB Approach (%) |
Percentage of total exposurevalue subject to a roll-out plan (%) |
|
a |
b |
c |
d |
e |
||
1 |
Central governments or central banks |
|
|
|
|
|
1,1 |
Of which Regional governments or local authorities |
|
|
|
|
|
1,2 |
Of which Public sector entities |
|
|
|
|
|
2 |
Institutions |
|
|
|
|
|
3 |
Corporates |
|
|
|
|
|
3,1 |
Of which Corporates - Specialised lending, excluding slotting approach |
|
|
|
|
|
3,2 |
Of which Corporates - Specialised lending under slotting approach |
|
|
|
|
|
4 |
Retail |
|
|
|
|
|
4,1 |
of which Retail – Secured by real estate SMEs |
|
|
|
|
|
4,2 |
of which Retail – Secured by real estate non-SMEs |
|
|
|
|
|
4,3 |
of which Retail – Qualifying revolving |
|
|
|
|
|
4,4 |
of which Retail – Other SMEs |
|
|
|
|
|
4,5 |
of which Retail – Other non-SMEs |
|
|
|
|
|
5 |
Equity |
|
|
|
|
|
6 |
Other non-credit obligation assets |
|
|
|
|
|
7 |
Total |
|
|
|
|
|
Template EU CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques
|
Pre-credit derivatives risk weighted exposure amount |
Actual risk weighted exposure amount |
|
a |
b |
||
1 |
Exposures under F-IRB |
|
|
2 |
Central governments and central banks |
|
|
3 |
Institutions |
|
|
4 |
Corporates |
|
|
4,1 |
of which Corporates - SMEs |
|
|
4,2 |
of which Corporates - Specialised lending |
|
|
5 |
Exposures under A-IRB |
|
|
6 |
Central governments and central banks |
|
|
7 |
Institutions |
|
|
8 |
Corporates |
|
|
8,1 |
of which Corporates - SMEs |
|
|
8,2 |
of which Corporates - Specialised lending |
|
|
9 |
Retail |
|
|
9,1 |
of which Retail – SMEs - Secured by immovable property collateral |
|
|
9,2 |
of which Retail – non-SMEs - Secured by immovable property collateral |
|
|
9,3 |
of which Retail – Qualifying revolving |
|
|
9,4 |
of which Retail – SMEs - Other |
|
|
9,5 |
of which Retail – Non-SMEs- Other |
|
|
10 |
TOTAL (including F-IRB exposures and A-IRB exposures) |
|
|
Template EU CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques
A-IRB |
Total exposures |
Credit risk Mitigation techniques |
Credit risk Mitigation methods in the calculation of RWEAs |
||||||||||||
Funded credit Protection (FCP) |
Unfunded credit Protection (UFCP) |
RWEA without substitution effects (reduction effects only) |
RWEA with substitution effects (both reduction and sustitution effects) |
||||||||||||
Part of exposures covered by Financial Collaterals (%) |
Part of exposures covered by Other eligible collaterals (%) |
|
Part of exposures covered by Other funded credit protection (%) |
|
Part of exposures covered by Guarantees (%) |
Part of exposures covered by Credit Derivatives (%) |
|||||||||
Part of exposures covered by Immovable property Collaterals (%) |
Part of exposures covered by Receivables (%) |
Part of exposures covered by Other physical collateral (%) |
Part of exposures covered by Cash on deposit (%) |
Part of exposures covered by Life insurance policies (%) |
Part of exposures covered by Instruments held by a third party (%) |
||||||||||
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
m |
n |
||
1 |
Central governments and central banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 |
Institutions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3 |
Corporates |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,1 |
Of which Corporates – SMEs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,2 |
Of which Corporates – Specialised lending |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,3 |
Of which Corporates – Other |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
Retail |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,1 |
Of which Retail – Immovable property SMEs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,2 |
Of which Retail – Immovable property non-SMEs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,3 |
Of which Retail – Qualifying revolving |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,4 |
Of which Retail – Other SMEs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,5 |
Of which Retail – Other non-SMEs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5 |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-IRB |
Total exposures |
Credit risk Mitigation techniques |
Credit risk Mitigation methods in the calculation of RWEAs |
||||||||||||
Funded credit Protection (FCP) |
Unfunded credit Protection (UFCP) |
RWEA without substitution effects (reduction effects only) |
RWEA with substitution effects (both reduction and sustitution effects) |
||||||||||||
Part of exposures covered by Financial Collaterals (%) |
Part of exposures covered by Other eligible collaterals (%) |
|
Part of exposures covered by Other funded credit protection (%) |
|
Part of exposures covered by Guarantees (%) |
Part of exposures covered by Credit Derivatives (%) |
|||||||||
Part of exposures covered by Immovable property Collaterals (%) |
Part of exposures covered by Receivables (%) |
Part of exposures covered by Other physical collateral (%) |
Part of exposures covered by Cash on deposit (%) |
Part of exposures covered by Life insurance policies (%) |
Part of exposures covered by Instruments held by a third party (%) |
||||||||||
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
m |
n |
||
1 |
Central governments and central banks |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2 |
Institutions |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3 |
Corporates |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,1 |
Of which Corporates – SMEs |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,2 |
Of which Corporates – Specialised lending |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,3 |
Of which Corporates – Other |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4 |
Total |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Template EU CR8 – RWEA flow statements of credit risk exposures under the IRB approach
|
Risk weighted exposure amount |
|
a |
||
1 |
Risk weighted exposure amount as at the end of the previous reporting period |
|
2 |
Asset size (+/–) |
|
3 |
Asset quality (+/–) |
|
4 |
Model updates (+/–) |
|
5 |
Methodology and policy (+/–) |
|
6 |
Acquisitions and disposals (+/–) |
|
7 |
Foreign exchange movements (+/–) |
|
8 |
Other (+/–) |
|
9 |
Risk weighted exposure amount as at the end of the reporting period |
|
Template CR9 –IRB approach – Back-testing of PD per exposure class (fixed PD scale)
A-IRB
Exposure class |
PD range |
Number of obligors at the end of previous year |
Observed average default rate (%) |
Exposures weighted average PD (%) |
Average PD (%) |
Average historical annual default rate (%) |
|
|
Of which number of obligors which defaulted in the year |
||||||
a |
b |
c |
d |
e |
f |
g |
h |
|
0,00 to < 0,15 |
|
|
|
|
|
|
0,00 to < 0,10 |
|
|
|
|
|
|
|
0,10 to < 0,15 |
|
|
|
|
|
|
|
0,15 to < 0,25 |
|
|
|
|
|
|
|
0,25 to < 0,50 |
|
|
|
|
|
|
|
0,50 to < 0,75 |
|
|
|
|
|
|
|
0,75 to < 2,50 |
|
|
|
|
|
|
|
0,75 to < 1,75 |
|
|
|
|
|
|
|
1,75 to < 2,5 |
|
|
|
|
|
|
|
2,50 to < 10,00 |
|
|
|
|
|
|
|
2,5 to < 5 |
|
|
|
|
|
|
|
5 to < 10 |
|
|
|
|
|
|
|
10,00 to < 100,00 |
|
|
|
|
|
|
|
10 to < 20 |
|
|
|
|
|
|
|
20 to < 30 |
|
|
|
|
|
|
|
30,00 to < 100,00 |
|
|
|
|
|
|
|
100,00 (Default) |
|
|
|
|
|
|
F-IRB
Exposure class |
PD range |
Number of obligors in the end of previous year |
Observed average default rate (%) |
Exposure weighted average PD (%) |
Average PD (%) |
Average historical annual default rate (%) |
|
|
Of which number of obligors which defaulted in the year |
||||||
a |
b |
c |
d |
e |
f |
g |
h |
|
0,00 to < 0,15 |
|
|
|
|
|
|
0,00 to < 0,10 |
|
|
|
|
|
|
|
0,10 to < 0,15 |
|
|
|
|
|
|
|
0,15 to < 0,25 |
|
|
|
|
|
|
|
0,25 to < 0,50 |
|
|
|
|
|
|
|
0,50 to < 0,75 |
|
|
|
|
|
|
|
0,75 to < 2,50 |
|
|
|
|
|
|
|
0,75 to < 1,75 |
|
|
|
|
|
|
|
1,75 to < 2,5 |
|
|
|
|
|
|
|
2,50 to < 10,00 |
|
|
|
|
|
|
|
2,5 to < 5 |
|
|
|
|
|
|
|
5 to < 10 |
|
|
|
|
|
|
|
10,00 to < 100,00 |
|
|
|
|
|
|
|
10 to < 20 |
|
|
|
|
|
|
|
20 to < 30 |
|
|
|
|
|
|
|
30,00 to < 100,00 |
|
|
|
|
|
|
|
100,00 (Default) |
|
|
|
|
|
|
Template CR9.1 –IRB approach – Back-testing of PD per exposure class (only for PD estimates according to point (f) of Article 180(1) CRR)
A-IRB
Exposure class |
PD range |
External rating equivalent |
Number of obligors at the end of previous year |
Observed average default rate (%) |
Average PD (%) |
Average historical annual default rate (%) |
|
|
Of which number of obligors which defaulted in the year |
||||||
a |
b |
c |
d |
e |
f |
g |
h |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
F-IRB
Exposure class |
PD range |
External rating equivalent |
Number of obligors in the end of previous year |
Observed average default rate (%) |
Average PD (%) |
Average historical annual default rate (%) |
|
|
Of which number of obligors which defaulted in the year |
||||||
a |
b |
c |
d |
e |
f |
g |
h |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ANNEX XXII
Disclosure of the use of the IRB Approach to credit risk (excluding counterparty credit risk)
Table EU CRE – Qualitative disclosure requirements related to IRB Approach. Flexible table.
1. |
Institutions shall disclose the information referred to of points (a) to (f) of Article 452 of Regulation (EU) 575/2013 (1) (‘CRR’) by following the instructions provided below in this Annex to complete table EU CRE which is presented in Annex XXI to this Implementing Regulation.
|
Template EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range. Fixed template.
2. |
Institutions shall disclose the information referred to in point (g)(i)-(v) of Article 452 CRR on the main parameters used for the calculation of capital requirements for IRB approach by following the instructions provided below in this Annex to complete template EU CR6 which is presented in Annex XXI to this Implementing Regulation. Information disclosed in this template shall not include data on specialised lending referred to in Article 153(4) CRR. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), securitisation exposures and equity exposures.
|
Template EU CR6-A – IRB Approach – Scope of the use of IRB and SA approaches. Fixed template
3. |
Institutions calculating the risk-weighted exposure amounts under the IRB Approach to credit risk shall disclose information referred to in point (b) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CR6-A which is presented in Annex XXI to this Implememting Regulation. |
4. |
For the purpose of this template, institutions shall allocate their exposures subject to the Standardised Approach laid down in Chapter 2 of Title II of Part Three or to the IRB Approach laid down in Chapter 3 of Title II of Part Three to the exposure classes as defined under the IRB Approach. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), and securitisation exposures. |
5. |
Institutions shall explain in the accompanying narrative to the template any material difference between the exposure value as defined in Article 166 for IRB exposures as in column a of the template and the exposure value for the same exposures in accordance with Article 429(4) CRR, as in columns b and d of this template.
|
Template EU CR7 – IRB approach – Effect on the Risk Weighted Exposure amounts of credit derivatives used as CRM techniques. Fixed template.
6. |
Institutions shall disclose information referred to in point (j) of Article 453 CRR by following instructions provided below in this Annex to complete template EU CR7 as presented in Annex XXI to this Implementing Regulation. Institutions shall supplement the template with a narrative to explain the effect of credit derivatives on risk weighted exposure amounts. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR ), securitisation exposures, other non-credit obligation assets and equity exposures.
|
Template EU CR7-A IRB approach – Disclosure of the extent of the use of CRM techniques
7. |
Institutions shall disclose the information referred to in point (g) of Article 453 CRR separately for exposures under A-IRB and F-IRB by following the instructions provided below in this Annex to complete template EU CR7-A which is presented in Annex XXI to this Implementing Regulation. In case an item of funded credit protection applies to more than one exposure, the sum of the exposures considered secured by it may not exceed the value of the item of the credit protection.
|
Template EU CR8 – RWEA flow statements of credit risk exposures under the IRB approach. Fixed template.
8. |
Institutions shall disclose the information referred to in point (h) of Article 438 CRR by following the instructions provided below in this Annex to complete template EU CR8 which is presented in Annex XXI to this Implementing Regulation. The information in this template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR). |
9. |
Institutions shall disclose the flows of RWEA as the changes between the risk-weighted exposure amounts at the end of the disclosure reference period (as specified below in row 9 of this template) and the weighted exposure amounts at end of the prior disclosure reference period (as specified below in row 1 of this template; in the case of quarterly disclosures, end-of-quarter prior to the quarter of the disclosure reference period). Institutions may complement their Pillar 3 disclosures by disclosing the same information for the three previous quarters. |
10. |
Institutions shall supplement the template with a narrative commentary to explain figures in row 8 of this template, i.e. any other drivers that contribute significantly to RWEA variations.
|
Template EU CR9 – IRB approach – Back-testing of PD per exposure class. Fixed template.
11. |
Institutions shall disclose information referred to in point (h) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CR9 which is presented in Annex XXI to this Implementing Regulation. When an institution makes use of both F-IRB approach and A-IRB approach, it shall disclose two separate sets of templates, one for F-IRB and one for A-IRB, with one template per exposure class in each set. |
12. |
Institution shall consider the models used within each exposure class and they shall explain the percentage of risk weighted exposure amount of the relevant exposure class covered by the models for which back-testing results are disclosed here. |
13. |
Institutions shall explain, in the accompanying narrative, the total number of obligors with short-term contracts at the disclosure date, indicating which exposure classes feature a larger number short-term contract obligors. Short-term contracts refer to contracts whose residual maturity is less than 12 months. Institutions shall also explain if there are overlapping windows in the calculation of long run average PD rates. |
14. |
This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), securitisation positions, other non credit-obligation assets and equity exposures.
|
Template EU CR9.1 – IRB approach– Back-testing of PD per exposure class (only for PD estimates in accordance with point (f) of Article 180(1) CRR
15. |
In addition to template EU CR9, institutions shall disclose information in template EU CR9.1 in case where they apply point (f) of Article 180(1) CRR for PD estimation and only for PD estimates in accordance with the same Article. Instructions are the same as for template EU CR9, with the following exceptions:
|
(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) 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).
ANNEX XXIII
Template EU CR10 – Specialised lending and equity exposures under the simple riskweighted approach
Template EU CR10.1
Specialised lending: Project finance (Slotting approach) |
|||||||
Regulatory categories |
Remaining maturity |
On-balancesheet exposure |
Off-balancesheet exposure |
Risk weight |
Exposure value |
Risk weighted exposure amount |
Expected loss amount |
a |
b |
c |
d |
e |
f |
||
Category 1 |
Less than 2.5 years |
|
|
50 % |
|
|
|
Equal to or more than 2.5 years |
|
|
70 % |
|
|
|
|
Category 2 |
Less than 2.5 years |
|
|
70 % |
|
|
|
Equal to or more than 2.5 years |
|
|
90 % |
|
|
|
|
Category 3 |
Less than 2.5 years |
|
|
115 % |
|
|
|
Equal to or more than 2.5 years |
|
|
115 % |
|
|
|
|
Category 4 |
Less than 2.5 years |
|
|
250 % |
|
|
|
Equal to or more than 2.5 years |
|
|
250 % |
|
|
|
|
Category 5 |
Less than 2.5 years |
|
|
— |
|
|
|
Equal to or more than 2.5 years |
|
|
— |
|
|
|
|
Total |
Less than 2.5 years |
|
|
|
|
|
|
Equal to or more than 2.5 years |
|
|
|
|
|
|
Template EU CR10.2
Specialised lending: Income-producing real estate and high volatility commercial real estate (Slotting approach) |
|||||||
Regulatory categories |
Remaining maturity |
On-balancesheet exposure |
Off-balancesheet exposure |
Risk weight |
Exposure value |
Risk weighted exposure amount |
Expected loss amount |
a |
b |
c |
d |
e |
f |
||
Category 1 |
Less than 2.5 years |
|
|
50 % |
|
|
|
Equal to or more than 2.5 years |
|
|
70 % |
|
|
|
|
Category 2 |
Less than 2.5 years |
|
|
70 % |
|
|
|
Equal to or more than 2.5 years |
|
|
90 % |
|
|
|
|
Category 3 |
Less than 2.5 years |
|
|
115 % |
|
|
|
Equal to or more than 2.5 years |
|
|
115 % |
|
|
|
|
Category 4 |
Less than 2.5 years |
|
|
250 % |
|
|
|
Equal to or more than 2.5 years |
|
|
250 % |
|
|
|
|
Category 5 |
Less than 2.5 years |
|
|
— |
|
|
|
Equal to or more than 2.5 years |
|
|
— |
|
|
|
|
Total |
Less than 2.5 years |
|
|
|
|
|
|
Equal to or more than 2.5 years |
|
|
|
|
|
|
Template EU CR10.3
Specialised lending: Object finance (Slotting approach) |
|||||||
Regulatory categories |
Remaining maturity |
On-balancesheet exposure |
Off-balancesheet exposure |
Risk weight |
Exposure value |
Risk weighted exposure amount |
Expected loss amount |
a |
b |
c |
d |
e |
f |
||
Category 1 |
Less than 2.5 years |
|
|
50 % |
|
|
|
Equal to or more than 2.5 years |
|
|
70 % |
|
|
|
|
Category 2 |
Less than 2.5 years |
|
|
70 % |
|
|
|
Equal to or more than 2.5 years |
|
|
90 % |
|
|
|
|
Category 3 |
Less than 2.5 years |
|
|
115 % |
|
|
|
Equal to or more than 2.5 years |
|
|
115 % |
|
|
|
|
Category 4 |
Less than 2.5 years |
|
|
250 % |
|
|
|
Equal to or more than 2.5 years |
|
|
250 % |
|
|
|
|
Category 5 |
Less than 2.5 years |
|
|
— |
|
|
|
Equal to or more than 2.5 years |
|
|
— |
|
|
|
|
Total |
Less than 2.5 years |
|
|
|
|
|
|
Equal to or more than 2.5 years |
|
|
|
|
|
|
Template EU CR10.4
Specialised lending: Commodities finance (Slotting approach) |
|||||||
Regulatory categories |
Remaining maturity |
On-balancesheet exposure |
Off-balancesheet exposure |
Risk weight |
Exposure value |
Risk weighted exposure amount |
Expected loss amount |
a |
b |
c |
d |
e |
f |
||
Category 1 |
Less than 2.5 years |
|
|
50 % |
|
|
|
Equal to or more than 2.5 years |
|
|
70 % |
|
|
|
|
Category 2 |
Less than 2.5 years |
|
|
70 % |
|
|
|
Equal to or more than 2.5 years |
|
|
90 % |
|
|
|
|
Category 3 |
Less than 2.5 years |
|
|
115 % |
|
|
|
Equal to or more than 2.5 years |
|
|
115 % |
|
|
|
|
Category 4 |
Less than 2.5 years |
|
|
250 % |
|
|
|
Equal to or more than 2.5 years |
|
|
250 % |
|
|
|
|
Category 5 |
Less than 2.5 years |
|
|
— |
|
|
|
Equal to or more than 2.5 years |
|
|
— |
|
|
|
|
Total |
Less than 2.5 years |
|
|
|
|
|
|
Equal to or more than 2.5 years |
|
|
|
|
|
|
Template EU CR10.5
Equity exposures under the simple risk-weighted approach |
||||||
Categories |
On-balancesheet exposure |
Off-balancesheet exposure |
Risk weight |
Exposure value |
Risk weighted exposure amount |
Expected loss amount |
a |
b |
c |
d |
e |
f |
|
Private equity exposures |
|
|
190 % |
|
|
|
Exchange-traded equity exposures |
|
|
290 % |
|
|
|
Other equity exposures |
|
|
370 % |
|
|
|
Total |
|
|
|
|
|
|
ANNEX XXIV
Disclosure of specialised lending and equity exposures under the simple risk weight approach
Template EU CR10 – Specialised lending and equity exposures under the simple risk-weighted approach. Fixed template.
1. |
Institutions shall disclose the information referred to in point (e) of Article 438 of Regulation (EU) 575/2013 (1) (‘CRR’) by following the instructions provided below in this Annex to complete template EU CR10 which is presented in Annex XXIII to this Implementing Regulation. Institutions shall disclose:
|
(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).
ANNEX XXV
Table EU CCRA – Qualitative disclosure related to CCR
|
Flexible format disclosure |
|
(a) |
Article 439 (a) CRR Description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties |
|
(b) |
Article 439 (b) CRR Description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves |
|
(c) |
Article 439 (c) CRR Description of policies with respect to Wrong-Way risk as defined in Article 291 of the CRR |
|
(d) |
Article 431 (3) and (4) CRR Any other risk management objectives and relevant policies related to CCR |
|
(e) |
Article 439 (d) CRR The amount of collateral the institution would have to provide if its credit rating was downgraded |
|
Template EU CCR1 – Analysis of CCR exposure by approach
Fixed format
|
|
a |
b |
c |
d |
e |
f |
g |
h |
|
|
Replacement cost (RC) |
Potential future exposure (PFE) |
EEPE |
Alpha used for computing regulatory exposure value |
Exposure value pre-CRM |
Exposure value post-CRM |
Exposure value |
RWEA |
EU-1 |
EU - Original Exposure Method (for derivatives) |
|
|
|
1,4 |
|
|
|
|
EU-2 |
EU - Simplified SA-CCR (for derivatives) |
|
|
|
1,4 |
|
|
|
|
1 |
SA-CCR (for derivatives) |
|
|
|
1,4 |
|
|
|
|
2 |
IMM (for derivatives and SFTs) |
|
|
|
|
|
|
|
|
2a |
Of which securities financing transactions netting sets |
|
|
|
|
|
|
|
|
2b |
Of which derivatives and long settlement transactions netting sets |
|
|
|
|
|
|
|
|
2c |
Of which from contractual cross-product netting sets |
|
|
|
|
|
|
|
|
3 |
Financial collateral simple method (for SFTs) |
|
|
|
|
|
|
|
|
4 |
Financial collateral comprehensive method (for SFTs) |
|
|
|
|
|
|
|
|
5 |
VaR for SFTs |
|
|
|
|
|
|
|
|
6 |
Total |
|
|
|
|
|
|
|
|
Template EU CCR2 – Transactions subject to own funds requirements for CVA risk
Fixed format
|
a |
b |
|||
Exposure value |
RWEA |
||||
1 |
Total transactions subject to the Advanced method |
|
|
||
2 |
|
|
|
||
3 |
|
|
|
||
4 |
Transactions subject to the Standardised method |
|
|
||
EU-4 |
Transactions subject to the Alternative approach (Based on the Original Exposure Method) |
|
|
||
5 |
Total transactions subject to own funds requirements for CVA risk |
|
|
Template EU CCR3 – Standardised approach – CCR exposures by regulatory exposure class and risk weights
Fixed format
|
Exposure classes |
Risk weight |
|
||||||||||
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
||
0 % |
2 % |
4 % |
10 % |
20 % |
50 % |
70 % |
75 % |
100 % |
150 % |
Others |
Total exposure value |
||
1 |
Central governments or central banks |
|
|
|
|
|
|
|
|
|
|
|
|
2 |
Regional government or local authorities |
|
|
|
|
|
|
|
|
|
|
|
|
3 |
Public sector entities |
|
|
|
|
|
|
|
|
|
|
|
|
4 |
Multilateral development banks |
|
|
|
|
|
|
|
|
|
|
|
|
5 |
International organisations |
|
|
|
|
|
|
|
|
|
|
|
|
6 |
Institutions |
|
|
|
|
|
|
|
|
|
|
|
|
7 |
Corporates |
|
|
|
|
|
|
|
|
|
|
|
|
8 |
Retail |
|
|
|
|
|
|
|
|
|
|
|
|
9 |
Institutions and corporates with a short-term credit assessment |
|
|
|
|
|
|
|
|
|
|
|
|
10 |
Other items |
|
|
|
|
|
|
|
|
|
|
|
|
11 |
Total exposure value |
|
|
|
|
|
|
|
|
|
|
|
|
Template EU CCR4 – IRB approach – CCR exposures by exposure class and PD scale
Fixed format
|
|
a |
b |
c |
d |
e |
f |
g |
|
PD scale |
Exposure value |
Exposure weighted average PD (%) |
Number of obligors |
Exposure weighted average LGD (%) |
Exposure weighted average maturity (years) |
RWEA |
Density of risk weighted exposure amounts |
||
1 … x |
Exposure class X |
|
|
|
|
|
|
|
|
1 |
|
0,00 to < 0,15 |
|
|
|
|
|
|
|
2 |
|
0,15 to < 0,25 |
|
|
|
|
|
|
|
3 |
|
0,25 to < 0,50 |
|
|
|
|
|
|
|
4 |
|
0,50 to < 0,75 |
|
|
|
|
|
|
|
5 |
|
0,75 to < 2,50 |
|
|
|
|
|
|
|
6 |
|
2,50 to < 10,00 |
|
|
|
|
|
|
|
7 |
|
10,00 to < 100,00 |
|
|
|
|
|
|
|
8 |
|
100,00 (Default) |
|
|
|
|
|
|
|
x |
|
Sub-total (Exposure class X) |
|
|
|
|
|
|
|
y |
Total (all CCR relevant exposure classes) |
|
|
|
|
|
|
|
Template EU CCR5 – Composition of collateral for CCR exposures
Fixed columns
|
a |
b |
c |
d |
e |
f |
g |
h |
|
Collateral used in derivative transactions |
Collateral used in SFTs |
||||||||
|
Collateral type |
Fair value of collateral received |
Fair value of posted collateral |
Fair value of collateral received |
Fair value of posted collateral |
||||
Segregated |
Unsegregated |
Segregated |
Unsegregated |
Segregated |
Unsegregated |
Segregated |
Unsegregated |
||
1 |
Cash – domestic currency |
|
|
|
|
|
|
|
|
2 |
Cash – other currencies |
|
|
|
|
|
|
|
|
3 |
Domestic sovereign debt |
|
|
|
|
|
|
|
|
4 |
Other sovereign debt |
|
|
|
|
|
|
|
|
5 |
Government agency debt |
|
|
|
|
|
|
|
|
6 |
Corporate bonds |
|
|
|
|
|
|
|
|
7 |
Equity securities |
|
|
|
|
|
|
|
|
8 |
Other collateral |
|
|
|
|
|
|
|
|
9 |
Total |
|
|
|
|
|
|
|
|
Template EU CCR6 – Credit derivatives exposures
Fixed
|
a |
b |
|
Protection bought |
Protection sold |
||
Notionals |
|
|
|
1 |
Single-name credit default swaps |
|
|
2 |
Index credit default swaps |
|
|
3 |
Total return swaps |
|
|
4 |
Credit options |
|
|
5 |
Other credit derivatives |
|
|
6 |
Total notionals |
|
|
Fair values |
|
|
|
7 |
Positive fair value (asset) |
|
|
8 |
Negative fair value (liability) |
|
|
Template EU CCR7 – RWEA flow statements of CCR exposures under the IMM
Fixed format
|
a |
|
RWEA |
||
1 |
RWEA as at the end of the previous reporting period |
|
2 |
Asset size |
|
3 |
Credit quality of counterparties |
|
4 |
Model updates (IMM only) |
|
5 |
Methodology and policy (IMM only) |
|
6 |
Acquisitions and disposals |
|
7 |
Foreign exchange movements |
|
8 |
Other |
|
9 |
RWEA as at the end of the current reporting period |
|
Template EU CCR8 – Exposures to CCPs
Fixed format
|
a |
b |
|||
Exposure value |
RWEA |
||||
1 |
Exposures to QCCPs (total) |
|
|
||
2 |
Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which |
|
|
||
3 |
|
|
|
||
4 |
|
|
|
||
5 |
|
|
|
||
6 |
|
|
|
||
7 |
Segregated initial margin |
|
|
||
8 |
Non-segregated initial margin |
|
|
||
9 |
Prefunded default fund contributions |
|
|
||
10 |
Unfunded default fund contributions |
|
|
||
11 |
Exposures to non-QCCPs (total) |
|
|
||
12 |
Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which |
|
|
||
13 |
|
|
|
||
14 |
|
|
|
||
15 |
|
|
|
||
16 |
|
|
|
||
17 |
Segregated initial margin |
|
|
||
18 |
Non-segregated initial margin |
|
|
||
19 |
Prefunded default fund contributions |
|
|
||
20 |
Unfunded default fund contributions |
|
|
ANNEX XXVI
Counterparty credit risk disclosure tables and templates: Instructions
1. |
Institutions shall disclose the information referred to Article 439 CRR regarding their exposure to counterparty credit risk as referred to in Chapter 6 of Title II of Part Three of Regulation (EU) 575/2013 (1) (‘CRR’) by following the instructions provided in this Annex to complete tables and templates which are presented in Annex XXV to this Implementing Regulation.
Table EU CCRA - Qualitative disclosure related to counterparty credit risk (CCR): Free format text boxes |
2. |
Institutions shall disclose information referred to in points (a) to (d) of Article 439 CRR by following the instructions provided below in this Annex to complete table EU CCRA which is presented in Annex XXV to this Implementing Regulation.
|
Template EU CCR1 - Analysis of CCR exposure by approach: Fixed format
3. |
Institutions shall disclose information referred to in points (f), (g), and (k) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR1 which is presented in Annex XXV to this Implementing Regulation. |
4. |
This template excludes own funds requirements for CVA risk (Title VI of Part Three CRR) and exposures to a central counterparty (Section 9 of Chapter 6 of Title II of Part Three CRR) as defined for the purpose of template EU CCR8. For securities financing transactions, it includes the exposure values before and after the effect of credit risk mitigation as determined under the methods set out in Chapters 4 and 6 of Title II of Part Three CRR, whichever method is used, in accordance with Article 439 (g) CRR, and the associated risk exposure amounts broken down by applicable method. |
5. |
Institutions using the methods set out in Sections 4 to 5 of Chapter 6 of Title II of Part Three CRR shall indicate, in the narrative accompanying the template, the size of their on- and off-balance-sheet derivative business as calculated in accordance with Article 273a(1) or (2) CRR, as applicable, in application of point (m) of Article 439 CRR.
|
Template EU CCR2 – Transactions subject to own funds requirements for CVA risk: Fixed format
6. |
Institutions shall disclose information referred to in point (h) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR2 which is presented in Annex XXV to this Implementing Regulation. |
7. |
This template shall be filled with regulatory CVA information for all transactions subject to own funds requirements for CVA risk (Title VI of Part Three CRR).
|
Template EU CCR3 - Standardised approach – CCR exposures by regulatory exposure class and risk weights: Fixed format
8. |
Institutions shall disclose the information referred to in point (e) of Article 444 CRR by following the instructions provided below in this Annex to complete template EU CCR3 which is presented in Annex XXV to this Implementing Regulation. |
9. |
Institutions using the credit risk standardised approach to compute risk weighted exposure amounts (excluding those derived from own funds requirements for CVA risk and for exposures cleared through a CCP) for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure values in accordance with Chapters 4 and 6 of Title II of Part Three CRR, shall disclose the following information. |
10. |
If an institution deems that the information requested in this template is not meaningful because the exposure and risk weighted exposure amounts are not material, the institution may choose not to disclose the template. The institution is, however, required to explain in a narrative commentary why it considers the information not to be meaningful, including a description of the exposures in the portfolios concerned and the aggregate total of risk weighted exposures amounts from such exposures.
|
Template EU CCR4 - IRB approach – CCR exposures by exposure class and PD scale: Fixed format
11. |
Institutions shall disclose the information referred to in point (g) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CCR4 which is presented in Annex XXV to this Implementing Regulation. |
12. |
Institutions using either the advanced or the foundation IRB approach to compute risk weighted exposure amounts (excluding those derived from own funds requirements for CVA risk and for exposures cleared through a CCP) for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure value in accordance with Chapters 4 and 6 of Title II of Part Three CRR shall disclose the following information.
|
Template EU CCR5 - Composition of collateral for CCR exposures: Fixed columns
13. |
Institutions shall disclose the information referred to in point (e) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR5 as presented in Annex XXV to this Implementing Regulation. |
14. |
This template shall be filled with fair values of collateral (posed or received) used in CCR exposures related to derivative transactions or to SFTs, whether or not the transactions are cleared through a CCP and whether or not collateral is posted to a CCP. |
15. |
Where the central bank of a Member State undertakes liquidity assistance in the form of collateral swap transactions, the competent authority may exempt institutions to provide information in this template where it deems that the disclosure of this information could reveal the provision of emergency liquidity assistance. For these purposes, the competent authority shall set out appropriate thresholds and objective criteria.
|
Template EU CCR6 - Credit derivatives exposures: Fixed format
Legal references and instructions |
|
Row number |
Explanation |
1-6 |
Notionals Sum of absolute notional derivative amounts before any netting broken down by product type |
7-8 |
Fair values Fair values broken down by assets (positive fair values) and liabilities (negative fair values) |
Column letter |
Explanation |
a-b |
Credit derivative protection Credit derivative protection bought or sold in accordance with Chapter 6 of Title II of Part Three CRR |
16. |
Institutions shall disclose the information referred to in point (j) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR6 which is presented in Annex XXV to this Implementing Regulation. |
Template EU CCR7 - RWEA flow statements of CCR exposures under the IMM: Fixed format
17. |
Institutions shall disclose the information referred to in point (h) of Article 438 CRR by following the instructions provided below in this Annex to complete template EU CCR7 which is presented in Annex XXV to this Implementing Regulation. |
18. |
Institutions using the IMM to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Chapter 6 of Title II of Part Three CRR, irrespective of the credit risk approach used to determine the corresponding risk weights shall disclose a flow statement explaining changes in risk weighted exposure amounts of derivatives and SFTs in the IMM scope differentiated by key drivers and based on reasonable estimations. |
19. |
This template excludes risk weighted exposure amounts for CVA risk (Title VI of Part Three CRR) and exposures to a central counterparty (Section 9 of Chapter 6 of Title II of Part Three CRR). |
20. |
Institutions shall disclose the flows of RWEA as the changes between the risk-weighted exposure amounts at the end of the disclosure reference period (as specified below in row 9 of this template) and the risk-weighted exposure amounts at end of the prior disclosure reference period (as specified below in row 1 of this template; in the case of quarterly disclosures, end-of-quarter prior to the quarter of the disclosure reference period). Institutions may complement their Pillar 3 disclosures by disclosing the same information for the three previous quarters. |
21. |
Institutions shall explain in the accompanying narrative to the template the figures disclosed in row 8 of this template, i.e. any other drivers that contribute significantly to RWEA variations.
|
Template EU CCR8 - Exposures to CCPs: Fixed format
22. |
Institutions shall disclose the information referred to in point (i) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR8 which is presented in Annex XXV to this Implementing Regulation. |
23. |
Exposures to CCPs: Contracts and transactions listed in Article 301(1) CRR for as long as they are outstanding with a CCP, including exposures to CCP-related transactions in accordance with Article 300(2) CRR, for which the own funds requirements are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR.
|
(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).
ANNEX XXVII
Table EU-SECA - Qualitative disclosure requirements related to securitisation exposures
Free format text boxes for disclosure of qualitative information
Legal basis |
Row number |
Qualitative information - Free format |
||||||||
Article 449(a) CRR |
(a) |
Description of securitisation and re-securitisation activities; including institutions' risk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions whether they use the Simple Transparent and Standardised (STS) securitisation framework and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy |
||||||||
Article 449(b) CRR |
(b) |
The type of risk that institutions are exposed to in their securitisation and re-securitisation activities by level of seniority of the relevant securitisation positions, providing a distinction between STS and non-STS positions and:
|
||||||||
Article 449(c ) CRR |
(c) |
Institutions’ approaches to calculating the risk-weighted exposure amounts that they apply to their securitisation activities, including the types of securitisation positions to which each approach applies with a distinction between STS and non-STS positions |
||||||||
Article 449(d) CRR |
(d) |
A list of SSPEs falling into any of the following categories, with a description of types of institution's exposures to those SSPEs, including derivatives contracts:
|
||||||||
Article 449(e ) CRR |
(e) |
A list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with Chapter 5 of Title II of Part Three CRR |
||||||||
Article 449(f) CRR |
(f) |
A list of legal entities affiliated with the institutions and that invest in securitisations originated by the institutions or in securitisation positions issued by SSPEs sponsored by the institutions |
||||||||
Article 449(g) CRR |
(g) |
A summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions |
||||||||
Article 449(h) CRR |
(h) |
The names of the ECAIs used for securitisations and the types of exposure for which each agency is used |
||||||||
Article 449(i) CRR |
(i) |
Where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three CRR including the structure of the internal assessment process and the relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels |
Template EU-SEC1 - Securitisation exposures in the non-trading book
|
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
m |
n |
o |
|
Institution acts as originator |
Institution acts as sponsor |
Institution acts as investor |
||||||||||||||
Traditional |
Synthetic |
Sub-total |
Traditional |
Synthetic |
Sub-total |
Traditional |
Synthetic |
Sub-total |
||||||||
STS |
Non-STS |
|
of which SRT |
|
STS |
Non-STS |
|
STS |
Non-STS |
|
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|
of which SRT |
|
of which SRT |
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1 |
Total exposures |
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2 |
Retail (total) |
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3 |
residential mortgage |
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4 |
credit card |
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5 |
other retail exposures |
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6 |
re-securitisation |
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7 |
Wholesale (total) |
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8 |
loans to corporates |
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9 |
commercial mortgage |
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10 |
lease and receivables |
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11 |
other wholesale |
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12 |
re-securitisation |
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Template EU-SEC2 - Securitisation exposures in the trading book
|
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
|
Institution acts as originator |
Institution acts as sponsor |
Institution acts as investor |
|||||||||||
Traditional |
Synthetic |
Sub-total |
Traditional |
Synthetic |
Sub-total |
Traditional |
Synthetic |
Sub-total |
|||||
STS |
Non-STS |
|
STS |
Non-STS |
|
STS |
Non-STS |
|
|||||
1 |
Total exposures |
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2 |
Retail (total) |
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3 |
residential mortgage |
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4 |
credit card |
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5 |
other retail exposures |
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6 |
re-securitisation |
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7 |
Wholesale (total) |
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8 |
loans to corporates |
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9 |
commercial mortgage |
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10 |
lease and receivables |
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11 |
other wholesale |
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12 |
re-securitisation |
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Template EU-SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor
|
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
m |
n |
o |
EU-p |
EU-q |
||
Exposure values (by RW bands/deductions) |
Exposure values (by regulatory approach) |
RWEA (by regulatory approach) |
Capital charge after cap |
||||||||||||||||
≤ 20 % RW |
> 20 % to 50 % RW |
> 50 % to 100 % RW |
> 100 % to < 1 250 % RW |
1 250 % RW/ deductions |
SEC-IRBA |
SEC-ERBA (including IAA) |
SEC-SA |
1 250 % RW/ deductions |
SEC-IRBA |
SEC-ERBA (including IAA) |
SEC-SA |
1 250 % RW/ deductions |
SEC-IRBA |
SEC-ERBA (including IAA) |
SEC-SA |
1 250 % RW/ deductions |
|||
1 |
Total exposures |
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2 |
Traditional transactions |
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3 |
Securitisation |
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4 |
Retail |
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5 |
Of which STS |
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6 |
Wholesale |
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7 |
Of which STS |
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8 |
Re-securitisation |
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9 |
Synthetic transactions |
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10 |
Securitisation |
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11 |
Retail underlying |
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12 |
Wholesale |
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13 |
Re-securitisation |
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Template EU-SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor
|
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
k |
l |
m |
n |
o |
EU-p |
EU-q |
||
Exposure values (by RW bands/deductions) |
Exposure values (by regulatory approach) |
RWEA (by regulatory approach) |
Capital charge after cap |
||||||||||||||||
≤ 20 % RW |
> 20 % to 50 % RW |
> 50 % to 100 % RW |
> 100 % to < 1 250 % RW |
1 250 % RW/ deductions |
SEC-IRBA |
SEC-ERBA (including IAA) |
SEC-SA |
1 250 % RW/ deductions |
SEC-IRBA |
SEC-ERBA (including IAA) |
SEC-SA |
1 250 % RW/ deductions |
SEC-IRBA |
SEC-ERBA (including IAA) |
SEC-SA |
1 250 % RW/ deductions |
|||
1 |
Total exposures |
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2 |
Traditional securitisation |
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3 |
Securitisation |
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4 |
Retail underlying |
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5 |
Of which STS |
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6 |
Wholesale |
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7 |
Of which STS |
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8 |
Re-securitisation |
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9 |
Synthetic securitisation |
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10 |
Securitisation |
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11 |
Retail underlying |
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12 |
Wholesale |
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13 |
Re-securitisation |
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Template EU-SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments
|
a |
b |
c |
|
Exposures securitised by the institution - Institution acts as originator or as sponsor |
||||
Total outstanding nominal amount |
Total amount of specific credit risk adjustments made during the period |
|||
|
Of which exposures in default |
|||
1 |
Total exposures |
|
|
|
2 |
Retail (total) |
|
|
|
3 |
residential mortgage |
|
|
|
4 |
credit card |
|
|
|
5 |
other retail exposures |
|
|
|
6 |
re-securitisation |
|
|
|
7 |
Wholesale (total) |
|
|
|
8 |
loans to corporates |
|
|
|
9 |
commercial mortgage |
|
|
|
10 |
lease and receivables |
|
|
|
11 |
other wholesale |
|
|
|
12 |
re-securitisation |
|
|
|
ANNEX XXVIII
Instructions for disclosure on exposures to securitisation positions
Table EU SECA - Qualitative disclosure requirements related to securitisation exposures. Free format text boxes for disclosure of qualitative information
1. |
Institutions shall disclose the information referred to in points (a) to (i) of Article 449 of Regulation (EU) 575/2013 (1) (‘CRR’) by following the instructions provided below in this Annex to complete table EU SECA which is presented in Annex XXVII to this Implementing Regulation.
|
EU-SEC1 - Securitisation exposures in the non-trading book. Fixed format.
2. |
Institutions shall disclose the information referred to in point (j) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC1 which is presented in Annex XXVII to this Implementing Regulation. Institutions shall explain in the narrative accompanying the template if they have within their traditional securitisations, ABCP programmes, and, if they have, the volume of ABCP transactions.
|
Template EU SEC2 - Securitisation exposures in the trading book. Fixed format.
3. |
Institutions shall disclose the information referred to point (j) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC2 which is presented in Annex XXVII to this Implementing Regulation. |
4. |
Institutions shall refer to instructions to template EU SEC1 - Securitisation exposures in the non-trading book. |
Template EU SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor. Fixed format.
5. |
Institutions shall disclose the information referred to in point (k)(i) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC3 which is presented in Annex XXVII to this Implementing Regulation.
|
Template EU SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor. Fixed format.
6. |
Institutions shall disclose the information referred to in point (k)(ii) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC4 which is presented in Annex XXVII to this Implementing Regulation. |
7. |
Institutions shall refer to instructions to template EU SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor. |
Template EU SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments. Fixed format.
8. |
Institutions shall disclose the information referred to in Article 449(l) CRR by type of securitisation exposure, by following the instructions provided below in this Annex to complete template EU SEC5 which is presented in Annex XXVII to this Implementing Regulation.
|
(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) 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 347, 28.12.2017, p. 35).
ANNEX XXIX
Table EU MRA: Qualitative disclosure requirements related to market risk
|
Flexible format disclosure |
|||||
a |
Points (a) and (d) of Article 435 (1) CRR A description of the institution's strategies and processes to manage market risk, including:
|
|
||||
b |
Point (b) of Article 435 (1) CRR A description of the structure and organisation of the market risk management function, including a description of the market risk governance structure established to implement the strategies and processes of the institution discussed in row (a) above, and that describes the relationships and the communication mechanisms between the different parties involved in market risk management. |
|
||||
c |
Point (c ) of Article 435 (1) CRR Scope and nature of risk reporting and measurement systems |
|
Template EU MR1 - Market risk under the standardised approach
|
a |
|
|
|
RWEAs |
|
Outright products |
|
1 |
Interest rate risk (general and specific) |
|
2 |
Equity risk (general and specific) |
|
3 |
Foreign exchange risk |
|
4 |
Commodity risk |
|
|
Options |
|
5 |
Simplified approach |
|
6 |
Delta-plus approach |
|
7 |
Scenario approach |
|
8 |
Securitisation (specific risk) |
|
9 |
Total |
|
Table EU MRB: Qualitative disclosure requirements for institutions using the internal Market Risk Models
|
Flexible format disclosure |
|||
EU (a) |
Article 455(c) CRR Description of the procedures and systems implemented for the assurance of tradability of the positions included in the trading book in order to comply with the requirements of Article 104. Description of the methodology used to ensure that the policies and procedures implemented for the overall management of the trading book are appropriate. |
|
||
EU (b) |
Article 455(c) CRR For exposures from the trading and the non-trading book that are measured at fair value in accordance with the applicable accounting framework and that have their exposure value adjusted in accordance with Part Two, Title I, Chapter 2, Article 34 and Part Three, Title I, Chapter 3, Article 105 of the CRR (as well as the Commission Delegated Regulation (EU) No 2016/101), institutions shall describe systems and controls to ensure that the valuation estimates are prudent and reliable. These disclosures shall be provided as part of the market risk disclosures for exposures from the trading book. |
|
||
Point (i) of Article 455(a) CRR
|
|
|||
(a) |
Point (i) of Article 455 (a) and Article 455 (b) CRR Description of activities and risks covered by VaR and SVaR models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission. |
|
||
(b) |
Article 455(b) CRR Description of the scope of application of the VaR and SVaR models for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, as well as the percentage of own funds requirements covered by the models or if the same models of VaR/SVaR are used for all entities with market risk exposure |
|
||
|
Point (i) of Article 455(a) CRR Characteristics of the models used, including: |
|
||
(c) |
General description of regulatory VaR and SVaR models |
|
||
(d) |
Discussion of the main differences, if any, between the model used for management purposes and the model used for regulatory purposes (10 day 99%) for VaR and SVaR models. |
|
||
(e) |
For VaR models: |
|
||
(i) |
Data updating frequency; |
|
||
(ii) |
Length of the data period that is used to calibrate the model. Describe the weighting scheme that is used (if any); |
|
||
(iii) |
How the institutions determines the 10-day holding period (for example, does it scale up a 1-day VaR by the square root of 10, or does it directly model the 10-day VaR?); |
|
||
(iv) |
Aggregation approach, which is the method for aggregating the specific and general risk (i.e. do the institutions calculate the specific charge as a stand-alone charge by using a different method than the one used to calculate the general risk or do the institutions use a single model that diversifies general and specific risk?); |
|
||
(v) |
Valuation approach (full revaluation or use of approximations); |
|
||
(vi) |
Whether, when simulating potential movements in risk factors, absolute or relative returns (or a mixed approach) are used (i.e. proportional change in prices or rates or absolute change in prices or rates). |
|
||
(f) |
For SVaR models, specify: |
|
||
(i) |
How the 10-day holding period is determined. For example, does the institution scale up a 1-day VaR by the square root of 10, or does it directly model the 10-day VaR? If the approach is the same as for the VaR models, the institutions may confirm this and refer to disclosure (e) (iii) above; |
|
||
(ii) |
The stress period chosen by the institution and the rationale for this choice; |
|
||
(iii) |
Valuation approach (full revaluation or use of approximations). |
|
||
(g) |
Point (iii) of Article 455(a) CRR Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the VaR and SVaR models apply at the group level). |
|
||
(h) |
Point (iv) of Article 455(a) CRR Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the internal models and modelling processes. |
|
||
Point (ii) of Article 455(a) CRR
|
|
|||
(a) |
Point (ii) of Article 455 (a) and Article 455 (b) CRR Description of risks covered by the IRC models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission. |
|
||
(b) |
Article 455(b) CRR Description of the scope of application of the IRC model for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, the percentage of own funds requirements covered by the models /or if the same models of IRC is used for all entities with market risk exposure |
|
||
(c) |
Point (ii) of Article 455(a) CRR General description of the methodology used for internal models for incremental default and migration risk, including: |
|
||
(i) |
Information about the overall modelling approach (notably, the use of spread-based models or transition matrix-based models); |
|
||
(ii) |
Information on the calibration of the transition matrix; |
|
||
(iii) |
Information about correlation assumptions; |
|
||
(d) |
Approach used to determine liquidity horizons; |
|
||
(e) |
Methodology used to achieve a capital assessment that is consistent with the required soundness standard; |
|
||
(f) |
Approach used in the validation of the models. |
|
||
(g) |
Point (iii) of Article 455(a) CRR Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the IRC models apply at the group level). |
|
||
(h) |
Point (iv) of Article 455(a) CRR Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the IRC internal models and modelling processes. |
|
||
Point (ii) of Article 455(a) CRR
|
|
|||
(a) |
Point (ii) of Article 455 (a) and Article 455 (b) CRR Description of risks covered by the comprehensive risk measure models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission. |
|
||
(b) |
Article 455(b) CRR Description of the scope of application of the comprehensive risk measure models for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, including the percentage of own funds requirements covered by the models /or if the same models of IRC is used for all entities with market risk exposure |
|
||
(c) |
Point (ii) of Article 455(a) CRR General description of the methodology used for correlation trading, including: |
|
||
(i) |
Information about the overall modelling approach (choice of model correlation between default/migrations and spread: (i) separate but correlated stochastic processes driving migration/default and spread movement; (ii) spread changes driving migration/default; or (iii) default/migrations driving spread changes); |
|
||
(ii) |
Information used to calibrate the parameters of the base correlation: LGD pricing of the tranches (constant or stochastic); |
|
||
(iii) |
Information on the choice of whether to age positions (profits and losses based on the simulated market movement in the model calculated based on the time to expiry of each position at the end of the 1-year capital horizon or using their time to expiry at the calculation date); |
|
||
(d) |
Approach used to determine liquidity horizons. |
|
||
(e) |
Methodology used to achieve a capital assessment that is consistent with the required soundness standard. |
|
||
(f) |
Approach used in the validation of the models. |
|
||
(g) |
Point (iii) of Article 455(a) CRR Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the comprehensive risk measure models apply at the group level). |
|
||
(h) |
Point (iv) of Article 455(a) CRR Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the comprehensive risk measure internal models and modelling processes. |
|
||
(i) |
Point (f) of Article 455 CRR Information on weighted average liquidity horizon for each subportfolio covered by the internal models for incremental default and migration risk and for correlation trading |
|
Template EU MR2-A - Market risk under the internal Model Approach (IMA)
|
a |
b |
|
RWEAs |
Own funds requirements |
||
1 |
VaR (higher of values a and b) |
|
|
(a) |
Previous day’s VaR (VaRt-1) |
|
|
(b) |
Multiplication factor (mc) x average of previous 60 working days (VaRavg) |
|
|
2 |
SVaR (higher of values a and b) |
|
|
(a) |
Latest available SVaR (SVaRt-1)) |
|
|
(b) |
Multiplication factor (ms) x average of previous 60 working days (sVaRavg) |
|
|
3 |
IRC (higher of values a and b) |
|
|
(a) |
Most recent IRC measure |
|
|
(b) |
12 weeks average IRC measure |
|
|
4 |
Comprehensive risk measure (higher of values a, b and c) |
|
|
(a) |
Most recent risk measure of comprehensive risk measure |
|
|
(b) |
12 weeks average of comprehensive risk measure |
|
|
(c) |
Comprehensive risk measure - Floor |
|
|
5 |
Other |
|
|
6 |
Total |
|
|
Template EU MR2-B - RWEA flow statements of market risk exposures under the IMA
|
a |
b |
c |
d |
e |
f |
g |
|
VaR |
SVaR |
IRC |
Comprehensive risk measure |
Other |
Total RWEAs |
Total own funds requirements |
||
1 |
RWEAs at previous period end |
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|
|
|
|
|
1a |
Regulatory adjustment |
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|
|
1b |
RWEAs at the previous quarter-end (end of the day) |
|
|
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|
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2 |
Movement in risk levels |
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|
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3 |
Model updates/changes |
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|
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4 |
Methodology and policy |
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5 |
Acquisitions and disposals |
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6 |
Foreign exchange movements |
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7 |
Other |
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8a |
RWEAs at the end of the disclosure period (end of the day) |
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8b |
Regulatory adjustment |
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8 |
RWEAs at the end of the disclosure period |
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Template EU MR3 - IMA values for trading portfolios
|
a |
|
VaR (10 day 99%) |
||
1 |
Maximum value |
|
2 |
Average value |
|
3 |
Minimum value |
|
4 |
Period end |
|
SVaR (10 day 99%) |
||
5 |
Maximum value |
|
6 |
Average value |
|
7 |
Minimum value |
|
8 |
Period end |
|
IRC (99.9%) |
||
9 |
Maximum value |
|
10 |
Average value |
|
11 |
Minimum value |
|
12 |
Period end |
|
Comprehensive risk measure (99.9%) |
||
13 |
Maximum value |
|
14 |
Average value |
|
15 |
Minimum value |
|
16 |
Period end |
|
Template EU MR4 - Comparison of VaR estimates with gains/losses
Institutions must present an analysis of ‘outliers’ (backtesting exceptions as per Article 366 CRR) in backtested results, specifying the dates and the corresponding excess (VaR-P&L), including at least the key drivers of the exceptions, with similar comparisons for actual P&L and hypothetical P&L (as per Article 366 CRR).
Information about actual gains/losses, and especially a clarification whether they include reserves and, if not, how reserves are integrated into the backtesting process.
ANNEX XXX
Market risk standardized and internal approach disclosure tables and templates: Instructions
1.
This annex includes the instructions that institutions shall follow when disclosing the information referred to in Articles 435, 445 and 455 of Regulation (EU) 575/2013 (1) (‘CRR’) to complete the market risk disclosure tables and templates which are presented in Annex XXIX to this Implementing Regulation.
Table EU MRA - Qualitative disclosure requirements related to market risk: Free format text boxes
2. |
Institutions shall disclose the information referred to in points (a) to (d) of Article 435(1) CRR with regards to market risk by following the instructions provided below in this Annex to complete table EU MRA which is presented in Annex XXIX to this Implementing Regulation.
|
Template EU MR1 - Market risk under the standardised approach: fixed format
3. |
Institutions shall disclose the information referred to in Article 445 CRR by following the instructions provided below in this Annex to complete template EU MR1 which is presented in Annex XXIX to this Implementing Regulation.
|
Table EU MRB: Qualitative disclosure requirements for institutions using the internal Market Risk Models: free text format
4. |
Institutions shall disclose the information referred to of points (a), (b), (c) and (f) of Article 455 CRR by following the instructions provided below in this Annex to complete table EU MRB which is presented in Annex XXIX to this Implementing Regulation.
|
Template EU MR2-A - Market risk under the internal Model Approach (IMA): fixed format
5. |
Institutions shall disclose the information referred to point (e) of Article 455 CRR by following the instructions provided below in this Annex to complete template EU MR2-A which is presented in Annex XXIX to this Implementing Regulation.
|
Template EU MR2-B - RWEA flow statements of market risk exposures under the IMA: fixed format
6. |
Institutions shall disclose the information referred to in point (h) of Article 438 CRR by following the instructions provided below in this Annex to complete template EU MR2-B which is presented in Annex XXIX to this Implementing Regulation. |
7. |
Institutions shall disclose the flows of RWEA as the changes between the risk-weighted exposure amounts at the end of the disclosure reference period (as specified below in row 8) and the risk-weighted exposure amounts at end of the prior disclosure reference period (as specified below in row 1; in the case of quaterly disclosures, end-of-quarter prior to the quarter of the disclosure reference period). Institutions may complement their Pillar 3 disclosures by disclosing the same information for the three previous quarters. |
8. |
Institutions shall explain in the accompanying narrative to the template the figures disclosed in row 8 of this template, i.e. any other drivers that contribute significantly to RWEA variations.
|
Template EU MR3 - IMA values for trading portfolios: fixed format
9. |
Institutions shall disclose the information referred to point (d) of Article 455 CRR by following the instructions provided below in this Annex to complete template EU MR3 which is presented in Annex XXIX to this Implementing Regulation.
|
Template EU MR4 - Comparison of VaR estimates with gains/losses: Flexible template
10. |
With respect to information referred to in point (g) of Article 455 CRR institutions shall disclose a chart which is presented in Annex XXIX to this Implementing Regulation, including the information indicated in this table.
|
(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) As defined in COMMISSION DELEGATED REGULATION (EU) No 528/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risk of options in the standardised market risk approach (OJ L 148, 20.5.2014, p. 29).
(3) As defined in COMMISSION DELEGATED REGULATION (EU) No 528/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risk of options in the standardised market risk approach (OJ L 148, 20.5.2014, p. 29).
(4) As defined in COMMISSION DELEGATED REGULATION (EU) No 528/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risk of options in the standardised market risk approach (OJ L 148, 20.5.2014, p. 29).
(5) See the illustration in Basel Committee on Banking Supervision of the Bank for International Settlements, DIS Disclosure requirements DIS 99 Worked examples, December 2019.
ANNEX XXXI
Table EU ORA - Qualitative information on operational risk
Free format text boxes for disclosure of qualitative information
Legal basis |
Row number |
Qualitative information - Free format |
Points (a), (b), (c) and(d) of Article 435(1) CRR |
(a) |
Disclosure of the risk management objectives and policies |
Article 446 CRR |
(b) |
Disclosure of the approaches for the assessment of minimum own funds requirements |
Article 446 CRR |
(c) |
Description of the AMA methodology approach used (if applicable) |
Article 454 CRRR |
(d) |
Disclose the use of insurance for risk mitigation in the Advanced Measurement Approach (if applicable) |
Template EU OR1 - Operational risk own funds requirements and risk-weighted exposure amounts
Banking activities |
a |
b |
c |
d |
e |
|
Relevant indicator |
Own funds requirements |
Risk exposure amount |
||||
Year-3 |
Year-2 |
Last year |
||||
1 |
Banking activities subject to basic indicator approach (BIA) |
|
|
|
|
|
2 |
Banking activities subject to standardised (TSA) / alternative standardised (ASA) approaches |
|
|
|
|
|
3 |
Subject to TSA: |
|
|
|
|
|
4 |
Subject to ASA: |
|
|
|
|
|
5 |
Banking activities subject to advanced measurement approaches AMA |
|
|
|
|
|
ANNEX XXXII
Instructions for operational risk disclosure templates
Table EU ORA - Qualitative information on operational risk. Flexible table
1. |
Institutions shall disclose the information included in this table in application of Articles 435(1), 446 and 454 of Regulation (EU) 575/2013 (1) (‘CRR’). |
2. |
Institutions shall follow the instructions provided below in this Annex to complete the Operational Risk disclosure table EU ORA as presented in Annex XXXI to this Implementing Regulation.
|
Template EU OR1 - Operational risk own funds requirements and risk-weighted exposure amounts. Fixed template
3. |
Institutions shall disclose the information referred to in Articles 446 and 454 CRR by following the instructions provided below in this Annex to complete the Operational Risk disclosure template EU OR1 as presented in Annex XXXI to this Implementing Regulation. This template provides information on the calculation of own funds requirements in accordance with Articles 312 to 324 (for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA)) of Title III of Part Three CRR. |
4. |
Institutions using the BIA, TSA and/or ASA shall specify in the narrative accompanying the template if the information at financial year end that they are using for the calculation of own funds requirements is: a) based on audited figures, or: b) in case that they are not available, it is based on business estimates. In the latter case, institutions shall specify any exceptional circumstance that led to changes in these figures (e.g. recent acquisitions or disposals of entities or activities). |
Instructions for completing the disclosure template EU OR1 |
|
Column |
Explanation |
a, b, c |
Relevant Indicator The term ‘relevant indicator’ refers to ‘the sum of the elements’ at the end of the financial year as defined in Table 1 (for institutions using BIA) included in Article 316(1) CRR. For institutions using TSA or ASA the ‘relevant indicator’ at the end of financial year as defined in Articles 317 to 319 CRR. Institutions using the relevant indicator to calculate the own funds requirements for operational risk (BIA, TSA and ASA) shall disclose the relevant indicator for the respective years in columns a to c of this template. Moreover, in the case of a combined use of different approaches as referred in Article 314 CRR, institutions also disclose the relevant indicator for the activities subject to AMA. AMA banks shall also disclose the relevant indicator for the activities subject to AMA. If the institution has less than 3 years of data on ‘relevant indicator’ available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the template. If, for instance, historical data for only one year is available, it shall be disclosed in column c of this template. If it seems reasonable, the forward looking estimates shall then be included in column b (estimate of next year) and column a (estimate of year +2) of this template. Furthermore if there are no historical data on "relevant indicator" available the institution may disclose forward-looking business estimates used for own funds requirements computation. |
d |
Own fund requirements The own fund requirements calculated in accordance with the approach used, in accordance with Articles 312 to 324 CRR. The resulting amount is disclosed in column d of this template. |
e |
Risk exposure amount Point (e) of Article 92(3) and Article 92(4) CRR. Own funds requirements in column d of this template multiplied by 12.5. |
Row |
Explanation |
1 |
Banking activities subject to Basic indicator approach (BIA) This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirements for operational risk (Articles 315 and 316 CRR). |
2 |
Banking activities subject to Standardised (TSA) / Alternative Standardised (ASA) approaches This row shall present the own funds requirements calculated in accordance with the TSA and ASA (Articles 317 to 320 CRR). |
3 |
Subject to TSA In the case of using the TSA, relevant indicator for each respective year shall include all the business lines as defined in table 2, included in Article 317 CRR. |
4 |
Subject to ASA Institutions using the ASA (Article 319 CRR) shall disclose the relevant indicator for the respective years. |
5 |
Banking activities subject to Advanced measurement approaches AMA The relevant data for AMA institutions (Article 312(2) and Articles 321 to 323 CRR) shall be disclosed. In the case of combined use of different approaches in accordance with Article 314 CRR, the relevant indicator for activities subject to AMA shall also be disclosed. AMA banks shall also disclose the relevant indicator for the activities subject to AMA. |
(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).
ANNEX XXXIII
Table EU REMA - Remuneration policy
Institutions shall describe the main elements of their remuneration policies and how they implement these policies. In particular, the following elements, where relevant, shall be described:
Qualitative disclosures |
|||||||||||
(a) |
Information relating to the bodies that oversee remuneration. Disclosures shall include:
|
||||||||||
(b) |
Information relating to the design and structure of the remuneration system for identified staff. Disclosures shall include:
|
||||||||||
(c) |
Description of the ways in which current and future risks are taken into account in the remuneration processes. Disclosures shall include an overview of the key risks, their measurement and how these measures affect remuneration. |
||||||||||
(d) |
The ratios between fixed and variable remuneration set in accordance with point (g) of Article 94(1) CRD. |
||||||||||
(e) |
Description of the ways in which the institution seeks to link performance during a performance measurement period with levels of remuneration. Disclosures shall include:
|
||||||||||
(f) |
Description of the ways in which the institution seeks to adjust remuneration to take account of longterm performance. Disclosures shall include:
|
||||||||||
(g) |
The description of the main parameters and rationale for any variable components scheme and any other non-cash benefit in accordance with point (f) of Article 450(1) CRR. Disclosures shall include:
|
||||||||||
(h) |
Upon demand from the relevant Member State or competent authority, the total remuneration for each member of the management body or senior management. |
||||||||||
(i) |
Information on whether the institution benefits from a derogation laid down in Article 94(3) CRD in accordance with point (k) of Article 450(1) CRR.
|
||||||||||
(j) |
Large institutions shall disclose the quantitative information on the remuneration of their collective management body, differentiating between executive and non-executive members in accordance with Article 450(2) CRR. |
Template EU REM1 - Remuneration awarded for the financial year
|
a |
b |
c |
d |
||
MB Supervisory function |
MB Management function |
Other senior management |
Other identified staff |
|||
1 |
Fixed remuneration |
Number of identified staff |
|
|
|
|
2 |
Total fixed remuneration |
|
|
|
|
|
3 |
Of which: cash-based |
|
|
|
|
|
4 |
(Not applicable in the EU) |
|
|
|
|
|
EU-4a |
Of which: shares or equivalent ownership interests |
|
|
|
|
|
5 |
Of which: share-linked instruments or equivalent non-cash instruments |
|
|
|
|
|
EU-5x |
Of which: other instruments |
|
|
|
|
|
6 |
(Not applicable in the EU) |
|
|
|
|
|
7 |
Of which: other forms |
|
|
|
|
|
8 |
(Not applicable in the EU) |
|
|
|
|
|
9 |
Variable remuneration |
Number of identified staff |
|
|
|
|
10 |
Total variable remuneration |
|
|
|
|
|
11 |
Of which: cash-based |
|
|
|
|
|
12 |
Of which: deferred |
|
|
|
|
|
EU-13a |
Of which: shares or equivalent ownership interests |
|
|
|
|
|
EU-14a |
Of which: deferred |
|
|
|
|
|
EU-13b |
Of which: share-linked instruments or equivalent non-cash instruments |
|
|
|
|
|
EU-14b |
Of which: deferred |
|
|
|
|
|
EU-14x |
Of which: other instruments |
|
|
|
|
|
EU-14y |
Of which: deferred |
|
|
|
|
|
15 |
Of which: other forms |
|
|
|
|
|
16 |
Of which: deferred |
|
|
|
|
|
17 |
Total remuneration (2 + 10) |
|
|
|
|
Template EU REM2 - Special payments to staff whose professional activities have a material impact on institutions’ risk profile (identified staff)
|
a |
b |
c |
d |
|
MB Supervisory function |
MB Management function |
Other senior management |
Other identified staff |
||
|
Guaranteed variable remuneration awards |
||||
1 |
Guaranteed variable remuneration awards - Number of identified staff |
|
|
|
|
2 |
Guaranteed variable remuneration awards -Total amount |
|
|
|
|
3 |
Of which guaranteed variable remuneration awards paid during the financial year, that are not taken into account in the bonus cap |
|
|
|
|
|
Severance payments awarded in previous periods, that have been paid out during the financial year |
||||
4 |
Severance payments awarded in previous periods, that have been paid out during the financial year - Number of identified staff |
|
|
|
|
5 |
Severance payments awarded in previous periods, that have been paid out during the financial year - Total amount |
|
|
|
|
|
Severance payments awarded during the financial year |
||||
6 |
Severance payments awarded during the financial year - Number of identified staff |
|
|
|
|
7 |
Severance payments awarded during the financial year - Total amount |
|
|
|
|
8 |
Of which paid during the financial year |
|
|
|
|
9 |
Of which deferred |
|
|
|
|
10 |
Of which severance payments paid during the financial year, that are not taken into account in the bonus cap |
|
|
|
|
11 |
Of which highest payment that has been awarded to a single person |
|
|
|
|
Template EU REM3 - Deferred remuneration
|
a |
b |
c |
d |
e |
f |
EU - g |
EU - h |
|
|
Deferred and retained remuneration |
Total amount of deferred remuneration awarded for previous performance periods |
Of which due to vest in the financial year |
Of which vesting in subsequent financial years |
Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in the financial year |
Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in future performance years |
Total amount of adjustment during the financial year due to ex post implicit adjustments (i.e.changes of value of deferred remuneration due to the changes of prices of instruments) |
Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year |
Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods |
1 |
MB Supervisory function |
|
|
|
|
|
|
|
|
2 |
Cash-based |
|
|
|
|
|
|
|
|
3 |
Shares or equivalent ownership interests |
|
|
|
|
|
|
|
|
4 |
Share-linked instruments or equivalent non-cash instruments |
|
|
|
|
|
|
|
|
5 |
Other instruments |
|
|
|
|
|
|
|
|
6 |
Other forms |
|
|
|
|
|
|
|
|
7 |
MB Management function |
|
|
|
|
|
|
|
|
8 |
Cash-based |
|
|
|
|
|
|
|
|
9 |
Shares or equivalent ownership interests |
|
|
|
|
|
|
|
|
10 |
Share-linked instruments or equivalent non-cash instruments |
|
|
|
|
|
|
|
|
11 |
Other instruments |
|
|
|
|
|
|
|
|
12 |
Other forms |
|
|
|
|
|
|
|
|
13 |
Other senior management |
|
|
|
|
|
|
|
|
14 |
Cash-based |
|
|
|
|
|
|
|
|
15 |
Shares or equivalent ownership interests |
|
|
|
|
|
|
|
|
16 |
Share-linked instruments or equivalent non-cash instruments |
|
|
|
|
|
|
|
|
17 |
Other instruments |
|
|
|
|
|
|
|
|
18 |
Other forms |
|
|
|
|
|
|
|
|
19 |
Other identified staff |
|
|
|
|
|
|
|
|
20 |
Cash-based |
|
|
|
|
|
|
|
|
21 |
Shares or equivalent ownership interests |
|
|
|
|
|
|
|
|
22 |
Share-linked instruments or equivalent non-cash instruments |
|
|
|
|
|
|
|
|
23 |
Other instruments |
|
|
|
|
|
|
|
|
24 |
Other forms |
|
|
|
|
|
|
|
|
25 |
Total amount |
|
|
|
|
|
|
|
|
Template EU REM4 - Remuneration of 1 million EUR or more per year
|
a |
|
|
EUR |
Identified staff that are high earners as set out in Article 450(i) CRR |
1 |
1 000 000 to below 1 500 000 |
|
2 |
1 500 000 to below 2 000 000 |
|
3 |
2 000 000 to below 2 500 000 |
|
4 |
2 500 000 to below 3 000 000 |
|
5 |
3 000 000 to below 3 500 000 |
|
6 |
3 500 000 to below 4 000 000 |
|
7 |
4 000 000 to below 4 500 000 |
|
8 |
4 500 000 to below 5 000 000 |
|
9 |
5 000 000 to below 6 000 000 |
|
10 |
6 000 000 to below 7 000 000 |
|
11 |
7 000 000 to below 8 000 000 |
|
x |
To be extended as appropriate, if further payment bands are needed. |
|
Template EU REM5 - Information on remuneration of staff whose professional activities have a material impact on institutions’ risk profile (identified staff)
|
a |
b |
c |
d |
e |
f |
g |
h |
i |
j |
|
Management body remuneration |
Business areas |
|
|||||||||
MB Supervisory function |
MB Management function |
Total MB |
Investment banking |
Retail banking |
Asset management |
Corporate functions |
Independent internal control functions |
All other |
Total |
||
1 |
Total number of identified staff |
|
|
|
|
|
|
|
|
|
|
2 |
Of which: members of the MB |
|
|
|
|
|
|
|
|
|
|
3 |
Of which: other senior management |
|
|
|
|
|
|
|
|
|
|
4 |
Of which: other identified staff |
|
|
|
|
|
|
|
|
|
|
5 |
Total remuneration of identified staff |
|
|
|
|
|
|
|
|
|
|
6 |
Of which: variable remuneration |
|
|
|
|
|
|
|
|
|
|
7 |
Of which: fixed remuneration |
|
|
|
|
|
|
|
|
|
|
ANNEX XXXIV
Instructions for the disclosure of remuneration policy templates
Table EU REMA – Remuneration policy: Flexible format
1. |
Institutions shall disclose the information referred to in points (a), (b), (c), (d), (e), (f), (j) and (k) of Article 450(1) and of Article 450(2) CRR (1) by following the instructions provided below in this Annex to complete table EU REMA which is presented in Annex XXXIII to this Implementing Regulation. |
2. |
This table has a flexible format. In case that institutions apply a different format, they shall provide information comparable with the information required in this table, with a similar level of granularity and including all the substance information required. |
3. |
For the purpose of this table and the templates explained in this annex, award means the granting of variable remuneration for a specific accrual period, independently of the actual point in time where the awarded amount is paid. |
Legal references and instructions |
|||||||||||
Row number |
Explanation |
||||||||||
(a) |
Information relating to the bodies that oversee remuneration. Disclosures shall include:
|
||||||||||
(b) |
Information relating to the design and structure of the remuneration system for identified staff. Disclosures shall include:
|
||||||||||
(c) |
Description of the ways in which current and future risks are taken into account in the remuneration processes Disclosures shall include an overview of the key risks, their measurement and how these measures affect remuneration. |
||||||||||
(d) |
The ratios between fixed and variable remuneration set in accordance with point (g) of Article 94(1) of Directive (EU) 2013/36(‘CRD’) (2) |
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(e) |
Description of the ways in which the institution seeks to link performance during a performance measurement period with levels of remuneration Disclosures shall include:
|
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(f) |
Description of the ways in which the institution seeks to adjust remuneration to take account of long-term performance Disclosures shall include:
|
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(g) |
The description of the main parameters and rationale for any variable components scheme and any other non-cash benefit, as referred to in point (f) of Article 450(1) CRR. Disclosures shall include:
|
||||||||||
(h) |
Upon demand from the relevant Member State or competent authority, the total remuneration for each member of the management body or senior management, as referred to in point (j) of Article 450(1) CRR |
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(i) |
Information on whether the institution benefits from a derogation laid down in Article 94(3) CRD, as referred to in point (k) of Article 450(1) CRR For the purposes of this point, institutions that benefit from such a derogation shall indicate whether this is on the basis of point (a) and/or point (b) of Article 94(3) CRD. They shall also indicate which of the remuneration requirements they apply the derogation(s), (i.e., point (l) and/or (m) and/or (o) of Article 94(1) CRD), the number of staff members that benefit from the derogation(s) and their total remuneration, split into fixed and variable remuneration. |
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(j) |
Large institutions shall disclose the quantitative information on the remuneration of their collective management body, differentiating between executive and non-executive members, as referred to in Article 450(2) CRR. |
Template EU REM1 – Remuneration awarded for the financial year: Fixed format
4. |
Institutions shall apply the instructions provided below in this Annex to complete template EU REM1 as presented in Annex XXXIII to this Implementing Regulation, in application of point (h)(i)-(ii) of Article 450(1) CRR. |
Legal references and instructions |
|
Row number |
Explanation |
1 and 9 |
Number of identified staff The number of staff whose professional activities have a material impact on the institutions’ risk profile in accordance with Article 92 CRD and the Commission Delegated Regulation on identified staff (3) implementing Article 94(2) CRD (identified staff) and are beneficiaries of the remuneration components listed in this template. It shall be calculated using the FTE (full time equivalent) approach for identified staff other than members of the management body where numbers shall be disclosed as headcount. |
2 |
Total fixed remuneration Sum of amounts in rows 3 to 7 of this template |
3 |
Of which: cash-based The amount of cash-based remuneration within the fixed remuneration |
EU-4a |
Of which: shares or equivalent ownership interests The sum of the amounts of shares or equivalent ownership interests, subject to the legal structure of the institution concerned referred to in point (l)(i) of Article 94(1) CRD, within the fixed remuneration. |
5 |
Of which: share-linked instruments or equivalent non-cash instruments The sum of the amounts of share-linked instruments or equivalent non-cash instruments referred to in point (l)(i) of Article 94(1) CRD, within the fixed remuneration |
EU-5x |
Of which: other instruments The amount of other instruments referred to in point (l)(ii) of Article 94(1) CRD, within the fixed remuneration |
7 |
Of which: other forms The amounts of fixed remuneration awarded for the financial year that are other than disclosed in other rows under the total fixed remuneration heading This could include proportionate regular pension contributions, or benefits (where such benefits are without consideration of any performance criteria), referred to in recital (64) CRD or other forms of remuneration like car allowances. |
10 |
Total variable remuneration Sum of amounts in rows 11, EU-13a, EU-13b, EU-14x and 15 of this template The sum of all remuneration components that are not fixed remuneration that is disclosed in row 2 of this template, including guaranteed variable and severance payments awarded during that year. |
11 |
Of which: cash-based The amount of cash-based remuneration within the variable remuneration |
12, EU-14a, EU-14b, EU-14y and 16 |
Of which: deferred The amounts of variable remuneration by different types of component that are deferred, determined in accordance with Article 94 CRD. |
EU-13a |
Of which: shares or equivalent ownership interests The sum of the amounts of shares or equivalent ownership interests, subject to the legal structure of the institution concerned referred to in point (l)(i) of Article 94(1) CRD, within the variable remuneration |
EU-13b |
Of which: share-linked instruments or equivalent non-cash instruments The sum of the amounts of share-linked instruments or equivalent non-cash instruments referred to in point (l)(i) of Article 94(1) CRD, within the variable remuneration |
EU-14x |
Of which: other instruments The amount of other instruments referred to in point (l)(ii) of Article 94(1) CRD, within the variable remuneration |
15 |
Of which: other forms The amounts of variable remuneration awarded for the financial year that are other than those disclosed in other rows under the variable remuneration heading |
17 |
Total remuneration Sum of amounts in rows 2 and 10 of this template. |
Column letter |
Explanation |
a |
MB Supervisory function The Management Body in its Supervisory function, as the management body acting in its role of overseeing and monitoring management decision-making, as defined in point (8) of Article 3(1) CRD Institutions shall disclose information based on headcount. In accordance with Article 13 CRR, EU parent institutions shall disclose this information on the basis of their consolidated situation and large subsidiaries of EU parents institutions shall disclose this information on an individual basis or, where applicable in accordance with this Regulation and with CRD, on a sub-consolidated basis. The disclosure entity will reflect in this column information on their management body. If following Articles 6 and 13 CRR, the disclosure is at consolidated or sub-consolidated level, information on the identified staff of the management bodies of the subsidiaries shall be disclosed under the relevant business area |
b |
MB Management function The members of the Management Body, who are responsible for its Management functions Institutions shall disclose information based on headcount. Institutions shall disclose information based on headcount. In accordance with Article 13 CRR. EU parent institutions shall disclose this information on the basis of their consolidated situation and large subsidiaries of EU parents institutions shall disclose this information on an individual basis or, where applicable in accordance with this Regulation and with CRD, on a sub-consolidated basis .The disclosure entity will reflect in this column information on their management body. If following Articles 6 and 13 CRR, the disclosure is at consolidated or sub-consolidated level, information on the identified staff of the management bodies of the subsidiaries shall be disclosed under the relevant business area |
c |
Other senior management Senior management as defined in point (9) of Article 3(1) CRD Institutions shall disclose the number of senior managers that are not disclosed under Management Body in its management function and as Other identified staff. Institutions shall disclose information based on FTE. |
d |
Other identified staff Other staff than Management Body in its Supervisory function or in its Management function, and other than senior management, whose professional activities have a material impact on the institution’s risk profile in accordance with the criteria set out in the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD and where appropriate in addition based on institutions’ criteria Institutions may include in this template the breakdown by business areas proposed in template EU REM5. Institutions shall disclose information based on FTE. |
Template EU REM2 – Special payments to staff whose professional activities have a material impact on institutions’ risk profile (identified staff): Fixed format
5. |
Institutions shall disclose the information referred to in point (h)(v)-(vii) of Article 450(1) CRR by following the instructions provided below in this Annex to complete template EU REM2 which is presented in Annex XXXIII to this Implementing Regulation. |
Legal references and instructions |
|
Row number |
Explanation |
1, 4 and 6 |
Number of identified staff The number of identified staff whose professional activities have a material impact on the institutions’ risk profile in accordance with Article 92 CRD and the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD, for each specific remuneration components For columns a and b (MB) of this template the value shall be based on headcount. For columns c and d of this template the value shall be calculated using the FTE (full time equivalent) method. Row 4 of this template refers to severance payments awarded in previous periods and paid out during the financial year (present year) while row 6 of this template refers to awarded during the financial year (present year). |
2 |
Guaranteed variable remuneration awards – Total amount The amount of guaranteed variable remuneration awards, as referred to in point (e) of Article 94(1) CRD. |
3 |
Of which, guaranteed variable remuneration awards paid during the financial year, that are not taken into account in the bonus cap The amounts of guaranteed variable remuneration awards as referred to in point (e) of Article 94(1) CRD paid during the financial year (present year), which are not taken into account in the bonus cap With regard to the disclosed information referred to in points (g) and (h)(v)-(vi) of Article 450(1) CRR, institutions shall clearly state whether the aggregate quantitative information on remuneration broken down by business area reflects the bonus cap when new sign-on and severance payments are involved. |
5 |
Severance payments awarded in previous periods, that have been paid out during the financial year – Total amount The amount of severance payments as referred to in point (h) of Article 94(1) CRD that have been awarded in previous periods and have been paid out during the financial year (present year) |
7 |
Severance payments awarded during the financial year – Total amount The amount of severance payments as referred to in point (h) of Article 94(1) CRD, awarded during the financial year (present year) |
8 |
Of which, severance payments awarded during the financial year – Paid during the financial year The amount of severance payments as referred to in point (h) of Article 94(1) CRD, awarded during the financial year that has been paid during the financial year |
9 |
Of which, severance payments awarded during the financial year – Deferred The amounts of severance payments as referred to in point (h) of Article 94(1) CRD, awarded during the financial year, which are deferred, determined in accordance with Article 94 CRD |
10 |
Of which, severance payments paid during the financial year, that are not taken into account in the bonus cap The amounts of severance payments as referred to in point (h) of Article 94(1) CRD, paid during the financial year, which are not taken into account in the bonus cap With regard to the disclosed information referred to in points (g) and (h)(v)-(vi) of Article 450(1) CRR, institutions shall clearly state whether the aggregate quantitative information on remuneration broken down by business area reflects the bonus cap when new sign-on and severance payments are involved. |
11 |
Of which, severance payments awarded during the financial year – Highest payment that has been awarded to a single person The amount of the highest severance payment, as referred to in point (h) of Article 94(1) CRD, that has been awarded to a single person during the financial year. |
Column letter |
Explanation |
a |
MB Supervisory function The Management Body in its Supervisory function, as the management body acting in its role of overseeing and monitoring management decision-making, as defined in point (8) of Article 3(1) CRD (Headcount) |
b |
MB Management function The members of the Management Body, who are responsible for its Management functions (Headcount) |
c |
Other senior management Senior management as defined in point (9) of Article 3(1) CRD Institutions shall disclose the number of senior managers that are not disclosed under Management Body in its management function and as Other identified staff (FTE). |
d |
Other identified staff Other staff than Management Body in its Supervisory function or in its Management function, and other than senior management, whose professional activities have a material impact on the institution’s risk profile in accordance with the criteria set out in the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD and where appropriate in addition based on institutions’ criteria Institutions may include in this template the breakdown by business areas proposed in template EU REM5 (FTE). |
Template EU REM3 –Deferred remuneration: Fixed format
6. |
Institutions shall disclose the information referred point (h)(iii)-(iv) of Article 450(1) CRR following the instructions provided below in this Annex to complete template EU REM3 which is presented in Annex XXXIII to this Implementing Regulation. |
Legal references and instructions |
|
Row number |
Explanation |
1 |
MB Supervisory function The Management Body in its Supervisory function, as the management body acting in its role of overseeing and monitoring management decision-making, as defined in point (8) of Article 3(1) CRD Sum of amounts in rows 2, 3, 4, 5, and 6 of this template |
2, 8, 14 and 20 |
Cash-based The amount of cash-based remuneration within the variable remuneration |
3, 9, 15 and 21 |
Shares or equivalent ownership interests The sum of the amounts of shares or equivalent ownership interests, subject to the legal structure of the institution concerned referred to in point (l)(i) of Article 94(1) CRD, within the variable remuneration |
4, 10, 16 and 22 |
Share-linked instruments or equivalent non-cash instruments The sum of the amounts of share-linked instruments or equivalent non-cash instruments referred to in point (l)(i) of Article 94(1) CRD, within the variable remuneration |
5, 11, 17 and 23 |
Other instruments The amount of other instruments referred to in point (l)(ii) of Article 94(1) CRD, within the variable remuneration |
6, 12, 18 and 24 |
Other forms The amounts of variable remuneration other than disclosed in rows ‘Cash-based’, ‘Shares or equivalent ownership interests, subject to the legal structure of the institution concerned or share-linked instruments or equivalent non-cash instruments’ and ‘Other instruments’ This could include proportionate regular pension contributions, or benefits (where such benefits are without consideration of any performance criteria), referred to in recital (64) CRD, or other forms of remuneration like car allowances. |
7 |
MB Management function The members of the Management Body, who are responsible for its Management functions; sum of amounts in rows 8, 9, 10, 11 and 12 of this template. |
13 |
Other senior management Senior management as defined in point (9) of Article 3(1) CRD; sum of amounts in rows 14, 15, 16, 17 and 18 of this template Institutions shall disclose the number of senior managers that are not disclosed under Management Body in its management function and as Other identified staff. |
19 |
Other identified staff Other staff than Management Body in its Supervisory function or in its Management function, and other than senior management, whose professional activities have a material impact on the institution’s risk profile in accordance with the criteria set out in the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD and where appropriate in addition based on institutions’ criteria; sum of amounts in rows 20, 21, 22, 23 and 24 of this template |
25 |
Total amount Sum of amounts in rows 1, 7, 13 and 19 of this template |
Column letter |
Explanation |
a |
Total amount of deferred remuneration awarded for previous performance periods The amount of deferred remuneration, as determined in accordance with Article 94 CRD, that has been awarded for previous performance periods (sum of amounts in columns b and c of this template) |
b |
Of which due to vest in the financial year The amount of deferred remuneration awarded for previous performance periods, as determined in accordance with Article 94 CRD, that is due to vest in the financial year |
c |
Of which vesting in subsequent financial years The amount of deferred remuneration awarded for previous performance periods, as determined in accordance with Article 94 CRD, that will be vested in the subsequent financial years |
d |
Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in the financial year The amount of performance adjustment to deferred remuneration, as determined in accordance with Article 94 CRD, that was due to vest in the financial years |
e |
Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in future financial years The amount of performance adjustment to deferred remuneration, as determined in accordance with Article 94 CRD, that was due to vest in future performance years |
f |
Total amount of adjustment during the financial year due to ex post implicit adjustments during the financial year (i.e. changes of value of deferred remuneration due to the changes of prices of instruments) When relevant the amount of change of value during the financial year due to ex post implicit adjustments, like changes of value of deferred remuneration due to the changes of prices of instruments, estimated on a best effort basis. |
EU - g |
Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year The amount of deferred remuneration, as determined in accordance with Article 94 CRD, that has been paid out in the financial year As soon as the deferred remuneration is vested it shall be considered as paid out. |
EU - h |
Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods The amount of deferred remuneration, awarded for previous performance periods, that has been vested but is subject to retention periods, as determined in accordance with Article 94 CRD |
Template EU REM4 – Remuneration of 1 million EUR or more per year: Fixed format
7. |
Institutions shall disclose the information referred to point (i) of Article 450(1) CRR by following the instructions provided below in this Annex to complete template EU REM4 which is presented in Annex XXXIII to this Implementing Regulation. |
8. |
Data shall be submitted using accounting year-end figures in EUR. All amounts shall be disclosed as full amounts, i.e. not rounded amounts, in euro (e.g. EUR 1 234 567 instead of EUR 1.2 million). Where remuneration is in a currency other than EUR, the exchange rate used by the Commission for financial programming and the budget for December of the reporting year shall be used for the conversion of the consolidated figures to be disclosed. |
Legal references and instructions |
|
Row number |
Explanation |
1 to 8 |
Remuneration between 1 and 5 million EUR per financial year, broken down by 500.000 EUR bands |
9 to x |
Remuneration more than 5 million EUR per financial year, broken down by 1 million EUR bands |
Column letter |
Explanation |
a |
Number of identified staff that have been remunerated EUR 1 million or more per financial year Institutions shall disclose information based on headcount. |
Template EU REM5 – Information of staff whose professional activities have a material impact on institutions’ risk profile (identified staff): Fixed format
9. |
Institutions shall disclose the information referred to point (g) of Article 450(1) CRR by following the instructions provided below in this Annex to complete template EU REM5 which is presented in Annex XXXIII to this Implementing Regulation. |
10. |
Regarding the columns with the business areas breakdown, all lending, including wholesale lending, shall be included in retail lending. For investment banking, it shall include corporate finance and trading and sales. Further guidance on the activities comprised in those business lines can be found in Article 317 CRR within the table defining the business lines within the standardised approach for operational risk. |
Legal references and instructions |
|||||||||||||||||
Row number |
Explanation |
||||||||||||||||
1 |
Total number of identified staff Staff members, whose professional activities have a material impact on institutions’ risk profile (identified staff) of an institution and its subsidiaries, including subsidiaries not subject to the CRD and all members of their respective management bodies The value shall be disclosed based on FTE. |
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2 |
Of which: members of the MB The number of members in the respective Management body in its Supervisory function and in its Management function, and in the whole Management body |
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3 |
Of which: other senior management Other staff than the members of the Management Body, who are senior management as defined in point (9) of Article 3(1) CRD |
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4 |
Of which: other identified staff Other staff than members of the Management Body, and other than senior management, whose professional activities have a material impact on the institution’s risk profile in accordance with the criteria set out in the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD and where appropriate in addition based on institutions’ criteria |
||||||||||||||||
5 |
Total remuneration of identified staff The total amount of remuneration shall mean all forms of fixed and variable remuneration and shall include payments and benefits, monetary or non-monetary, awarded directly to staff by or on behalf of institutions in exchange for professional services rendered by staff, carried interest payments within the meaning of point (d) of Article 4(1) of Directive 2011/61/EU (4), and other payments made via methods and vehicles which, if they were not considered as remuneration, would lead to a circumvention of the remuneration requirements of CRD. |
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6 |
Of which: variable remuneration The sum of all remuneration components which are not fixed remuneration that are referred to in row 7 of this template. |
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7 |
Of which: fixed remuneration Institutions shall consider remuneration fixed where the conditions for its award and its amount:
|
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Column letter |
Explanation |
||||||||||||||||
a, b and c |
Management body (MB) The Management body of the institution, with the breakdown of Supervisory function and Management function Institutions shall disclose information based on headcount. |
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d to h |
Business areas The major business areas of the institution, as Investment banking, Retail banking, Asset management, Corporate functions, Independent internal control functions Information shall be disclosed based on FTE. |
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i |
All other All other business areas that were not covered in the previous columns separately Information shall be disclosed based on FTE. |
(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) No 604/2014 of 4 March 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards with respect to qualitative and appropriate quantitative criteria to identify categories of staff whose professional activities have a material impact on an institution's risk profile (OJ L 167, 6.6.2014, p. 30).
(4) Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1)
ANNEX XXXV
Template EU AE1 - Encumbered and unencumbered assets
|
Carrying amount of encumbered assets |
Fair value of encumbered assets |
Carrying amount of unencumbered assets |
Fair value of unencumbered assets |
|||||
|
of which notionally eligible EHQLA and HQLA |
|
of which notionally eligible EHQLA and HQLA |
|
of which EHQLA and HQLA |
|
of which EHQLA and HQLA |
||
010 |
030 |
040 |
050 |
060 |
080 |
090 |
100 |
||
010 |
Assets of the disclosing institution |
|
|
|
|
|
|
|
|
030 |
Equity instruments |
|
|
|
|
|
|
|
|
040 |
Debt securities |
|
|
|
|
|
|
|
|
050 |
of which: covered bonds |
|
|
|
|
|
|
|
|
060 |
of which: securitisations |
|
|
|
|
|
|
|
|
070 |
of which: issued by general governments |
|
|
|
|
|
|
|
|
080 |
of which: issued by financial corporations |
|
|
|
|
|
|
|
|
090 |
of which: issued by non-financial corporations |
|
|
|
|
|
|
|
|
120 |
Other assets |
|
|
|
|
|
|
|
|
Template EU AE2 - Collateral received and own debt securities issued
|
Fair value of encumbered collateral received or own debt securities issued |
Unencumbered |
|||
Fair value of collateral received or own debt securities issued available for encumbrance |
|||||
|
of which notionally eligible EHQLA and HQLA |
|
of which EHQLA and HQLA |
||
010 |
030 |
040 |
060 |
||
130 |
Collateral received by the disclosing institution |
|
|
|
|
140 |
Loans on demand |
|
|
|
|
150 |
Equity instruments |
|
|
|
|
160 |
Debt securities |
|
|
|
|
170 |
of which: covered bonds |
|
|
|
|
180 |
of which: securitisations |
|
|
|
|
190 |
of which: issued by general governments |
|
|
|
|
200 |
of which: issued by financial corporations |
|
|
|
|
210 |
of which: issued by non-financial corporations |
|
|
|
|
220 |
Loans and advances other than loans on demand |
|
|
|
|
230 |
Other collateral received |
|
|
|
|
240 |
Own debt securities issued other than own covered bonds or securitisations |
|
|
|
|
241 |
Own covered bonds and securitisations issued and not yet pledged |
|
|
|
|
250 |
TOTAL COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED |
|
|
|
|
Template EU AE3 - Sources of encumbrance
|
Matching liabilities, contingent liabilities or securities lent |
Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered |
|
010 |
030 |
||
010 |
Carrying amount of selected financial liabilities |
|
|
Table EU AE4 - Accompanying narrative information
Free format text boxes for disclosure of qualitative information, in accordance with Article 443 CRR
Row number |
Qualitative information - Free format |
(a) |
General narrative information on asset encumbrance |
(b) |
Narrative information on the impact of the business model on assets encumbrance and the importance of encumbrance to the institution's business model, which provides users with the context of the disclosures required in Template EU AE1 and EU AE2. |
ANNEX XXXVI
Instructions for the assets encumbrance disclosure templates
1. |
Institutions shall disclose the information referred to in Article 443 of Regulation (EU) 575/2013 (1) (‘CRR’) by following the instructions provided below in this Annex to complete templates EU AE1 to EU AE4 which are presented in Annex XXXV to this Implementing Regulation. |
2. |
For the purpose of the Asset encumbrance disclosure templates, the definition of asset encumbrance included in point 1.7 of Annex XVII (instructions for reporting templates on asset encumbrance) to Commission Implementing Regulation (EU) 680/2014 (2) shall apply. |
3. |
Institutions shall disclose the items referred in templates EU AE1, EU AE2 and EU AE3 in the same manner as reported in accordance with Annex XVI (reporting templates on asset encumbrance) to Commission Implementing Regulation (EU) 680/2014, unless otherwise specifically provided in those tables. |
4. |
The items referred to in paragraph 3 shall be disclosed using median values. Median values shall be rolling quarterly medians over the previous twelve months and shall be determined by interpolation. |
5. |
When disclosures take place on a consolidated basis, the applicable scope of consolidation shall be the scope of prudential consolidation as defined in Section 2 or Chapter 2 of Title II of Part One CRR. |
6. |
Asset quality indicators by asset type in columns C030, C050, C080 and C100 of template EU AE1 and by types of collateral received and debt securities issued, including covered bonds and securitisations, in columns C030 and C060 as set out in template EU AE2 shall apply only to credit institutions that meet either of the following conditions:
|
Template EU AE1- Encumbered and unencumbered assets
7. |
Institutions shall complete template EU AE1, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below. |
Legal references and instructions |
|
Row number |
Explanation |
010 |
Assets of the disclosing institution International Accounting Standards (IAS) 1.9 (a), Implementation Guidance (IG) 6, in the case of IFRS institutions Total assets of the institution registered in its balance sheet, with the exception of own debt securities and own equity instruments when the applicable accounting standards allow their recognition on-balance sheet The value disclosed in this row shall be the median of the sums of four quarterly end-of-period values over the previous twelve months for rows 030, 040 and 120. |
030 |
Equity instruments The median values of equity instruments as defined in the applicable accounting principles (IAS 32.1 in the case of IFRS institutions), with the exception of own equity instruments when the applicable accounting standards allow their recognition on-balance sheet |
040 |
Debt securities The median values of debt instruments held by the institution issued as securities that are not loans in accordance with the Regulation (EU) 1071/2013 of the European Central Bank (‘ECB BSI Regulation’) (3), with the exception of own debt securities when the applicable accounting standards allow their recognition on-balance sheet |
050 |
of which: covered bonds The median values of debt securities held by the institution that are bonds referred to in the first subparagraph of Article 52(4) of Directive (EC) 2009/65 (4), irrespective of whether these instruments take the legal form of a security or not |
060 |
of which: securitisations The median values of debt securities held by the institution that are securitisation positions as defined in point (62) of Article 4(1) CRR |
070 |
of which: issued by general governments The median values of debt securities held by the institution which are issued by general governments |
080 |
of which: issued by financial corporations The median values of debt securities held by the institution issued by credit institutions as defined in point (1) of Article 4(1) CRR and by other financial corporations Other financial corporations shall include all financial corporations and quasi-corporations other than credit institutions such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries, financial auxiliaries and captive financial institutions and money lenders. |
090 |
of which: issued by non-financial corporations The median values of debt securities held by the institution issued by corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services in accordance with the ECB BSI Regulation |
120 |
Other assets The median value of other assets of the institution registered in the balance sheet, other than those disclosed in the above rows and different from own debt securities and own equity instruments that may not be derecognised from the balance sheet by a non-IFRS institution In this case, own debt instruments shall be included in row 240 of template EU AE2 and own equity instruments excluded from the asset encumbrance disclosure. Other assets shall include cash on hand (holding of national and foreign banknotes and coins in circulation that are commonly used to make payments), loans on demand (IAS 1.54(i) for IFRS institutions) including the balances receivable on demand at central banks and other institutions. Other assets also include loans and advances other than loans on demand, that is, debt instruments held by the institutions that are not securities, other than balances receivable on demand, including loans collateralized by immovable property as defined in point (a) of paragraph 86 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. Other assets may also include intangible assets, including goodwill, deferred tax assets, property, plant and other fixed assets, derivative assets, reverse repo and stock borrowing receivables. When underlying assets and cover pool assets of retained securitisations and retained covered bonds are loans on demand or loans and advances other than loans on demand, they shall also be included in this row. |
Legal references and instructions |
|
Column number |
Explanation |
010 |
Carrying amount of encumbered assets The median value of the carrying amount of the assets held by the institution that are encumbered Carrying amount shall mean the amount on the asset side of the balance sheet. For each asset class, the disclosed carrying amount shall be the median value of the different disclosed carrying amounts at the end of each disclosure period considered for the computation of the median. |
030 |
of which: notionally eligible EHQLA and HQLA The median value of the carrying amount of encumbered assets which are notionally eligible to the qualification of assets of extremely high liquidity and credit quality (EHQLA) and assets of high liquidity and credit quality (HQLA) For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be those assets listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 (5) and that would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with Annex XVII to Commission Implementing Regulation (EU) 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Delegated Regulation (EU) 2015/61. The carrying amount of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. For each asset class, the disclosed carrying amount shall be the median value of the different disclosed carrying amounts at the end of each disclosure period considered for the computation of the median. |
040 |
Fair value of encumbered assets The median value of the fair value of the debt securities held by the disclosing institution that are encumbered in accordance with the definition of asset encumbrance Fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement and IFRS 13 and Article 8 of Directive 2013/34/EU (6) for non-IFRS institutions). For each asset class, disclosed fair value shall be the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
050 |
of which: notionally eligible EHQLA and HQLA The median value of the fair value of encumbered assets that are notionally eligible to the qualification of EHQLA and HQLA. For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA are those assets listed in Articles 10, 11, 12, 13, 15 and 16 of Delegated Regulation (EU) 2015/61 and that would comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, were it not for their status as encumbered assets in accordance with Annex XVII to Commission Implementing Regulation (EU) 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. For each asset class, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
060 |
Carrying amount of unencumbered assets The median value of the carrying amount of the assets held by the institution that are unencumbered in accordance with the definition provided of asset encumbrance. Carrying amount means the disclosed amount in the asset side of the balance sheet. For each asset class, the disclosed carrying amount is the median value of the different disclosed carrying amounts at the end of each disclosure period considered for the computation of the median. |
080 |
of which: EHQLA and HQLA The median value of the carrying amount of unencumbered EHQLA and HQLA as listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 and that comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The carrying amount of EHQLA and HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. For each asset class, the disclosed carrying amount is the median value of the different disclosed carrying amounts at the end of each disclosure period considered for the computation of the median. |
090 |
Fair value of unencumbered assets The median value of fair value of the debt securities held by the institution that are unencumbered. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement and IFRS 13 and Article 8 of Directive (EU) 2013/34). For each asset class, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
100 |
of which: EHQLA and HQLA The median value of the fair value of unencumbered EHQLA and HQLA as listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 and that comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. For each asset class, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
Template EU AE2 - Collateral received and own debt securities issued
8. |
Institutions shall complete template EU AE2, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below. |
Legal references and instructions |
|||||
Row number |
Explanation |
||||
130 |
Collateral received by the disclosing institution All classes of collateral received by the institution. All securities received by a borrower institution in any securities borrowing transactions shall be disclosed in this row. The total collateral received by the institution is the median of the sums of four quarterly end of period values over the previous twelve months for rows 140 to 160, 220 and 230. |
||||
140 |
Loans on demand The median value of collateral received by the institution that comprises loans on demand shall be disclosed in this row (see legal references and instructions regarding row 120 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
||||
150 |
Equity instruments The median value of collateral received by the institution that comprises equity instruments (see legal references and instructions regarding row 030 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transactions. |
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160 |
Debt securities The median value of collateral received by the institution that comprises debt securities (see legal references and instructions regarding row 040 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
||||
170 |
of which: covered bonds The median value of collateral received by the institution that comprises covered bonds (see legal references and instructions regarding row 050 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
||||
180 |
of which: securitisations The median value of collateral received by the institution that comprises asset- backed securities (see legal references and instructions regarding row 060 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
||||
190 |
of which: issued by general governments The median value of collateral received by the institution that comprises debt securities issued by general governments (see legal references and instructions regarding row 070 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
||||
200 |
of which: issued by financial corporations The median value of collateral received by the institution that comprises debt securities issued by financial corporations (see legal references and instructions regarding row 080 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
||||
210 |
of which: issued by non-financial corporations The median value of collateral received by the institution that comprises debt securities issued by non-financial corporations (see legal references and instructions regarding row 090 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
||||
220 |
Loans and advances other than loans on demand The median value of collateral received by the institution that comprises loans and advances other than loans on demand (see legal references and instructions regarding row 120 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
||||
230 |
Other collateral received The median value of collateral received by the institution that comprises other assets (see legal references and instructions regarding row 120 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
||||
240 |
Own debt securities issued other than own covered bonds or securitisations The median value of own debt securities issued other than own covered bonds or securitisations. As the retained or repurchased own debt securities issued, in accordance with IAS 39.42, for IFRS institutions, decrease the relating financial liabilities, these securities are not included in the category of assets of the disclosing institution. Own debt securities that may not be derecognised from the balance sheet by a non-IFRS institution shall be included in this row. |
||||
241 |
Own covered bonds and securitisations issued and not yet pledged The median value of own covered bonds and securitisations issued that are retained by the disclosing institution and not encumbered. To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the disclosing institution:
|
||||
250 |
Total collateral received and own debt securities issued All classes of collateral received by the institution and own debt securities issued retained by the institution that are not own covered bonds issued or own securitisations issued. This row is the sum of the median values for row 010 in template EU AE1 and rows 130 and 240 in template EU AE2. |
Legal references and instructions |
|
Column number |
Explanation |
010 |
Fair value of encumbered collateral received or own debt securities issued The median of the fair value of the collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are encumbered in accordance with Article 100 CRR. The fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (as in IFRS 13 Fair Value Measurement for IFRS institutions). For each item of collateral, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
030 |
of which: notionally eligible EHQLA and HQLA The median value of the fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA. For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA are items of collateral received or own debt securities issued held/retained by the institution listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 and that would comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, were it not for their status as encumbered assets in accordance with Annex XVII to Commission Implementing Regulation (EU) 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. For each item of collateral, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
040 |
Fair value of collateral received or own debt securities issued available for encumbrance The median of the fair value of the collateral received, including in any securities borrowing transaction, by the institution that are unencumbered but are available for encumbrance since the institution is permitted to sell or re-pledge it in absence of default by the owner of the collateral. It also includes the fair value of own debt securities issued, other than own covered bonds or securitisation positions, that are unencumbered but available for encumbrance. For each item of collateral, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
060 |
of which: EHQLA and HQLA The median value of the fair value of the unencumbered collateral received or own debt securities issued held/retained by the institution other than own covered bonds or securitisation positions available for encumbrance which qualify as EHQLA and HQLA as listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 and that comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. |
Template EU AE3 - Sources of encumbrance
9. |
Institutions shall complete template EU AE3, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below. |
Legal references and instructions |
|
Row number |
Explanation |
010 |
Carrying amount of selected financial liabilities The median value of the item ‘Carrying amount of selected financial liabilities’ of the institution, insofar as these liabilities entail asset encumbrance for that institution. |
Legal references and instructions |
|
Column number |
Explanation |
010 |
Matching liabilities, contingent liabilities or securities lent The median values of matching liabilities, contingent liabilities (loan commitments received and financial guarantees received) or securities lent with non-cash collateral, insofar as these transactions entail asset encumbrance for that institution. Financial liabilities are disclosed at their carrying amount; contingent liabilities are disclosed at their nominal value; and securities lent with non-cash collateral are disclosed at their fair values. Disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. Liabilities without any associated funding, such as derivatives, shall be included. |
030 |
Assets, collateral received and own securities issued other than covered bonds and securitisations encumbered The amount of the assets, collateral received and own securities issued other than covered bonds and securitisations that are encumbered as a result of the different types of transactions hereby disclosed. To ensure consistency with the criteria in templates EU AE1 and EU AE2, assets of the institution registered in the balance sheet shall be disclosed at the median value of their carrying amount, whereas re-used collateral received and encumbered own securities issued other than covered bonds and securitisations shall be disclosed at the median value of their fair value. Disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. Assets encumbered without matching liabilities shall also be included. |
Table EU AE4 - Accompanying narrative information
10. |
Institutions shall complete table EU AE4, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below. |
Legal references and instructions |
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Row number |
Explanation |
||||||||||||||||||||||||||
a |
General narrative information on asset encumbrance, including:
|
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b |
Narrative information relating to the impact of the institution’s business model on its level of encumbrance and the importance of encumbrance on the institution’s funding model, including the following:
|
(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) COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p.1).
(3) REGULATION (EU) No 1071/2013 OF THE EUROPEAN CENTRAL BANK of 24 September 2013 concerning the balance sheet of the monetary financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1).
(4) DIRECTIVE 2009/65/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).
(5) 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).
(6) 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).