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Document 32021R0763
Commission Implementing Regulation (EU) 2021/763 of 23 April 2021 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council and Directive 2014/59/EU of the European Parliament and of the Council with regard to the supervisory reporting and public disclosure of the minimum requirement for own funds and eligible liabilities (Text with EEA relevance)
Commission Implementing Regulation (EU) 2021/763 of 23 April 2021 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council and Directive 2014/59/EU of the European Parliament and of the Council with regard to the supervisory reporting and public disclosure of the minimum requirement for own funds and eligible liabilities (Text with EEA relevance)
Commission Implementing Regulation (EU) 2021/763 of 23 April 2021 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council and Directive 2014/59/EU of the European Parliament and of the Council with regard to the supervisory reporting and public disclosure of the minimum requirement for own funds and eligible liabilities (Text with EEA relevance)
OJ L 168, 12.5.2021, p. 1–83
(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
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12.5.2021 |
EN |
Official Journal of the European Union |
L 168/1 |
COMMISSION IMPLEMENTING REGULATION (EU) 2021/763
of 23 April 2021
laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council and Directive 2014/59/EU of the European Parliament and of the Council with regard to the supervisory reporting and public disclosure of the minimum requirement for own funds and eligible liabilities
(Text with EEA relevance)
THE EUROPEAN COMMISSION,
Having regard to Regulation (EU) No 575/2013 of 26 June 2013 of the European Parliament and of the Council on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (1), and in particular the fifth subparagraph of Article 430(7) and the fifth subparagraph of Article 434a thereof,
Having regard to Directive 2014/59/EU of 15 May 2014 of the European Parliament and of the Council establishing a framework for the recovery and resolution of credit institutions and investment firms and amending Council Directive 82/891/EEC, and Directives 2001/24/EC, 2002/47/EC, 2004/25/EC, 2005/56/EC, 2007/36/EC, 2011/35/EU, 2012/30/EU and 2013/36/EU, and Regulations (EU) No 1093/2010 and (EU) No 648/2012, of the European Parliament and of the Council (2), and in particular Article 45i(5) and (6) thereof,
Whereas:
|
(1) |
The harmonised minimum level of the Total Loss-Absorbing Capacity (TLAC) Term Sheet (‘TLAC standard’) for global systemically important institutions (G-SIIs) (‘the TLAC requirement’) has been introduced into Union legislation by Regulation (EU) 2019/876 of the European Parliament and of the Council (3) amending Regulation (EU) No 575/2013. The institution-specific add-on for G-SIIs and the institution-specific requirement for non-G-SIIs, referred to as the minimum requirement for own funds and eligible liabilities (MREL), have been established through targeted amendments to Directive 2014/59/EU introduced by Directive (EU) 2019/879 of the European Parliament and of the Council (4). Reporting and disclosure requirements for both TLAC standard and MREL are now included in Regulation (EU) No 575/2013 and Directive 2014/59/EU, respectively. |
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(2) |
As the TLAC standard and the MREL pursue the same objective of ensuring that institutions and entities established in the Union have sufficient loss-absorbing and recapitalisation capacity, the two requirements should be complementary elements of a common framework. It is therefore appropriate to establish a set of templates for the reporting and public disclosure of harmonised information on the requirement for own funds and eligible liabilities for G-SIIs and material subsidiaries of non-EU G-SIIs (TLAC) and the institution-specific MREL applicable to all institutions. |
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(3) |
Pursuant to Article 434a of Regulation (EU) No 575/2013, the draft implementing technical standards to be developed by the European Banking Authority (EBA) in order to establish uniform disclosure formats are to seek to maintain consistency of disclosure formats with international standards on disclosures in order to facilitate comparability of information. The Basel Committee on Banking Supervision (BCBS) published in December 2018 updated Pillar 3 disclosure requirements, including requirements on TLAC disclosures. The disclosure formats and associated instructions set out in this Regulation should therefore be consistent with those updated disclosure requirements of the BCBS. |
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(4) |
To ensure that compliance costs for institutions are not unreasonably increased and that data quality is maintained, reporting and disclosure obligations should be aligned in their substance to the maximum extent possible with each other, including in terms of their frequency. Moreover, an alignment of the implementing technical standards on reporting and disclosure obligations for TLAC and MREL is explicitly required by the third subparagraph of Article 45i(5) and the third subparagraph of Article 45i(6) of Directive 2014/59/EU. It is therefore appropriate to set out, in a single Regulation, standards applicable to both reporting and disclosure of TLAC and MREL. At the same time, the granularity and frequency of both reporting and disclosures should be adjusted as appropriate, having regard to the requirements set out in Regulation (EU) No 575/2013 and in Directive 2014/59/EU, respectively, and to the need to ensure that institutions meet those requirements at all times. |
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(5) |
Directive 2014/59/EU requires information on MREL to be reported to both competent and resolution authorities. Regulation (EU) No 575/2013 requires information on TLAC to be reported to competent authorities only. However, pursuant to Article 45d(1) of Directive 2014/59/EU, MREL of a resolution entity that is a G-SII or part of a G-SII consists of the TLAC requirement and any additional add-on. It is therefore appropriate to ensure that resolution authorities obtain information on TLAC from G-SIIs as part of their MREL reporting. This should be without prejudice to arrangements concluded by competent authorities and resolution authorities to minimise data flows. |
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(6) |
Article 45i(5) of Directive 2014/59/EU requires the draft implementing technical standards to be developed by EBA to specify a standardised way of providing information on the ranking of own funds and bail-inable liabilities applicable in national insolvency proceedings in each Member State, for reasons of comparability and legal certainty. Standardised information on insolvency hierarchies in each Member State, and timely updates thereof, should therefore be made available by the respective resolution authorities to institutions under their jurisdiction. That information should follow a standardised presentation of insolvency hierarchies. |
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(7) |
As regards bail-inable liabilities that are governed by the laws of a third country, Article 45i(5) of Directive 2014/59/EU also requires the draft implementing technical standards to be developed by EBA to specify a standardised way of providing information that indicates third countries whose laws govern such liabilities and, for each third country identified, whether such liabilities contain the contractual term recognising that they may be subject under that Directive to write down and conversion powers. Due to the need to further assess the level of granularity for the reporting of these elements, the related instructions and templates will be developed and submitted by EBA to the Commission separately in due time in order to enable both competent and resolution authorities to have access to this information on a regular basis. The absence of these limited additional elements will neither affect nor delay the application of the reporting requirements provided in this Regulation. |
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(8) |
Disclosing entities should take into account the relevant Guidelines issued by EBA when assessing whether information is material, proprietary or confidential in accordance with Article 432 of Regulation (EU) No 575/2013. |
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(9) |
The obligation to report and disclose information on TLAC laid down in point (b) of Article 430(1), Article 437a and point (h) of Article 447 of Regulation (EU) No 575/2013 has applied since 27 June 2019, in accordance with the second subparagraph of Article 3(3) of Regulation (EU) 2019/876. Consequently, once this Regulation enters into force, G-SIIs and material subsidiaries of non-EU G-SIIs should immediately disclose information on TLAC using the templates and following the instructions laid down in this Regulation. In contrast, reporting on the TLAC requirement in accordance with this Regulation should start to apply only from 28 June 2021, to provide institutions and competent authorities with sufficient time to implement the relevant requirements. |
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(10) |
In relation to MREL, the reporting obligations set out in Directive 2014/59/EU are to apply at the latest from 28 December 2020. However, for the same reasons as for TLAC, all institutions should report information on MREL using the templates and following the instructions laid down in this Regulation from 28 June 2021. In contrast, the date of application of MREL disclosure obligations should coincide with the end of the transition period pursuant to the third subparagraph of Article 45m(1) of Directive 2014/59/EU, i.e. on 1 January 2024 at the earliest. |
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(11) |
Given the need for institutions, competent authorities and resolution authorities to adapt their reporting and electronic systems to the requirements laid down in this Regulation, the quarterly reporting remittance date for data relating to the reference date 30 June 2021 should be 30 September 2021 at the latest. |
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(12) |
This Regulation is based on the draft implementing technical standards submitted to the Commission by the EBA. |
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(13) |
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 (5), |
HAS ADOPTED THIS REGULATION:
TITLE I
SUPERVISORY REPORTING
Article 1
Reporting reference dates
Entities subject to reporting requirements for the total loss-absorbing capacity (TLAC) and the minimum requirement for own funds and eligible liabilities (MREL) on an individual or consolidated basis (reporting entities) shall submit information to competent authorities and to resolution authorities as it stands on the following reporting reference dates:
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(a) |
for quarterly reporting: 31 March, 30 June, 30 September and 31 December; |
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(b) |
for semi-annual reporting: 30 June and 31 December; |
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(c) |
for annual reporting: 31 December. |
Article 2
Remittance dates
1. Reporting entities shall submit information to competent authorities and to resolution authorities by close of business of the following remittance dates:
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(a) |
for quarterly reporting: 19 May, 18 August, 18 November and 18 February, with the exception of data relating to the reference date 30 June 2021, for which the remittance date shall be 30 September 2021 at the latest; |
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(b) |
for semi-annual reporting: 18 August and 18 February; |
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(c) |
for annual reporting: 18 February. |
2. Where the remittance day is a public holiday in the Member State of the competent authority or of the resolution authority to which the information referred to in paragraph 1 is to be submitted, or a Saturday or a Sunday, that information shall be submitted by close of business of the following working day.
3. Reporting entities may submit figures that have not received an external auditor’s opinion (unaudited figures). Where figures audited by an external auditor expressing an audit opinion (audited figures) deviate from submitted unaudited figures, reporting entities shall submit the revised, audited figures without undue delay.
4. Reporting entities shall submit any other corrections to competent authorities and to resolution authorities without undue delay.
Article 3
Format and frequency of reporting by resolution entities on an individual basis
1. Resolution entities without subsidiaries subject to the requirements set out in Article 45 of Directive 2014/59/EU in accordance with Article 45e of that Directive shall submit to competent authorities and to resolution authorities information on an individual basis as follows:
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(a) |
information on key metrics as specified in column 0010 of template 1 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 1 of Part II of Annex II to this Regulation; |
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(b) |
information on the composition of the own funds and eligible liabilities as specified in column 0010 of template 2 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 2.1 of Part II of Annex II to this Regulation; |
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(c) |
information on the funding structure of eligible liabilities as specified in template 4 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 2.3 of Part II of Annex II to this Regulation; |
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(d) |
information on instruments governed by third-country law, as specified in template 7 of Annex I to this Regulation, shall be reported with a quarterly frequency in accordance with the instructions in point 4 of Part II of Annex II to this Regulation. |
2. Resolution entities shall submit to competent authorities and to resolution authorities information on the breakdown of the own funds and liabilities by insolvency rank as specified in template 6 of Annex I on an individual basis with a quarterly frequency in accordance with the instructions in point 3.2 of Part II of Annex II.
3. In addition to the information referred to in paragraphs 1 and 2, resolution entities subject to the requirement set out in Article 92a of Regulation (EU) No 575/2013 on an individual basis in accordance with Article 6(1a) of that Regulation shall submit to resolution authorities and to competent authorities information on an individual basis as follows:
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(a) |
information on key metrics as specified in column 0020 of template 1 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 1 of Part II of Annex II to this Regulation; |
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(b) |
information on the composition of the own funds and eligible liabilities as specified in columns 0020 and 0030 of template 2 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 2.1 of Part II of Annex II to this Regulation. |
Article 4
Format and frequency of reporting by resolution entities on a consolidated basis
1. Resolution entities subject to the requirements set out in Article 45 of Directive 2014/59/EU on a consolidated basis in accordance with Article 45e of that Directive shall submit to competent authorities and to resolution authorities information on a consolidated basis as follows:
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(a) |
information on key metrics as specified in column 0010 of template 1 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 1 of Part II of Annex II to this Regulation; |
|
(b) |
information on the composition of the own funds and eligible liabilities as specified in column 0010 of template 2 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 2.1 of Part II of Annex II to this Regulation; |
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(c) |
information on the funding structure of eligible liabilities as specified in template 4 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 2.3 of Part II of Annex II to this Regulation; |
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(d) |
information on instruments governed by third-country law as specified in template 7 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 4 of Part II of Annex II to this Regulation. |
2. In addition to the information referred to in paragraph 1, resolution entities subject to the requirement set out in Article 92a of Regulation (EU) No 575/2013 on a consolidated basis in accordance with Article 11(3a) of that Regulation shall submit to competent authorities and to resolution authorities information on a consolidated basis as follows:
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(a) |
information on key metrics as specified in column 0020 of template 1 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 1 of Part II of Annex II to this Regulation; |
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(b) |
information on the composition of the own funds and eligible liabilities as specified in columns 0020 and 0030 of template 2 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 2.1 of Part II of Annex II to this Regulation. |
Article 5
Format and frequency of reporting on an individual basis by entities that are not themselves resolution entities and by material subsidiaries of non-EU global systemically important institutions
1. Entities that are not themselves resolution entities and are subject to the requirements set out in Article 45 of Directive 2014/59/EU on an individual basis in accordance with Article 45f of that Directive shall submit to competent authorities and to resolution authorities information on an individual basis as follows:
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(a) |
information on the amount and composition of the own funds and eligible liabilities as specified in column 0010 of template 3 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 2.2 of Part II of Annex II to this Regulation; |
|
(b) |
information on the funding structure of eligible liabilities as specified in template 4 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 2.3 of Part II of Annex II to this Regulation; |
|
(c) |
information on instruments governed by third-country law, as specified in template 7 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 4 of Part II of Annex II to this Regulation. |
2. Entities that are not themselves resolution entities shall submit to competent authorities and to resolution authorities information on the breakdown of the own funds and liabilities by insolvency rank as specified in template 5 of Annex I on an individual basis with a quarterly frequency in accordance with the instructions in point 3.1 of Part II of Annex II.
3. In addition to the information referred to in paragraphs 1 and 2, entities that are material subsidiaries of non-EU global systemically important institutions (G-SIIs) and are subject to the requirement set out in Article 92b of Regulation (EU) No 575/2013 on an individual basis in accordance with Article 6(1a) of that Regulation shall submit to competent authorities and to resolution authorities information on the amount and composition of the own funds and eligible liabilities as specified in column 0020 of template 3 of Annex I to this Regulation on an individual basis with a quarterly frequency in accordance with the instructions in point 2.2 of Part II of Annex II to this Regulation.
Article 6
Format and frequency of reporting on a consolidated basis by entities that are not themselves resolution entities and by material subsidiaries of non-EU global systemically important institutions
1. Entities that are not themselves resolution entities and that are subject to the requirements set out in Article 45 of Directive 2014/59/EU on a consolidated basis in accordance with Article 45f of that Directive shall submit to competent authorities and to resolution authorities information on a consolidated basis as follows:
|
(a) |
information on the amount and composition of own funds and eligible liabilities as specified in column 0010 of template 3 of Annex I to this Regulation shall be reported in accordance with the instructions in point 2.2 of Part II of Annex II to this Regulation with a quarterly frequency; |
|
(b) |
information on the funding structure of eligible liabilities as specified in template 4 of Annex I to this Regulation shall be reported with a quarterly frequency in accordance with the instructions in point 2.3 of Part II of Annex II to this Regulation; |
|
(c) |
information on instruments governed by third-country law, as specified in template 7 of Annex I to this Regulation, shall be reported with a quarterly frequency in accordance with the instructions in point 4 of Part II of Annex II to this Regulation. |
2. In addition to the information referred to in paragraph 1, entities that are material subsidiaries of non-EU G-SIIs and are subject to the requirement set out in Article 92b of Regulation (EU) No 575/2013 on a consolidated basis in accordance with Article 11(3a) of that Regulation shall submit to competent authorities and to resolution authorities information on the amount and composition of own funds and eligible liabilities as specified in column 0020 of template 3 of Annex I to this Regulation on a consolidated basis with a quarterly frequency in accordance with the instructions in point 2.2 of Part II of Annex II to this Regulation.
Article 7
Data exchange formats and information associated with submissions
1. Reporting entities shall submit information in accordance with this Regulation in the data exchange formats and representations specified by their competent authorities or resolution authorities, and in accordance with the data point definitions included in the data point model and the validation rules laid down in Annex III to this Regulation.
2. When submitting information in accordance with this Regulation, reporting entities shall observe the following:
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(a) |
information that is not required or not applicable shall not be included in a data submission; |
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(b) |
numerical values shall be submitted as follows:
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(c) |
institutions shall be identified solely by their Legal Entity Identifier (LEI). Legal entities and counterparties other than institutions shall be identified by their LEI, where available. |
3. Information submitted by reporting entities in accordance with this Regulation shall be accompanied by the following information:
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(a) |
reporting reference date and reference period; |
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(b) |
reporting currency; |
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(c) |
accounting standard; |
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(d) |
LEI of the reporting institution; |
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(e) |
scope of consolidation. |
Article 8
Standardised presentation of insolvency rankings
1. Resolution authorities shall compile information on the ranking of items in their national insolvency proceedings in the standardised format specified in Annex IV. They shall update that information when changes occur without undue delay.
2. Resolution authorities shall publish the information referred to in paragraph 1 in order to make it available to institutions subject to their supervision.
TITLE II
PUBLIC DISCLOSURE BY INSTITUTIONS
Article 9
Frequency of disclosure and disclosure dates
1. Disclosures referred to in Article 10(1) shall be made on a quarterly basis. Disclosures referred to in Article 10(2) shall be made on a semi-annual basis.
2. Disclosures referred to in Articles 11(1) and 14(1) shall be made on a semi-annual basis. Disclosures referred to in Articles 11(2) and 14(2) shall be made annually.
3. Disclosures referred to in Article 12(1) shall be made on a quarterly basis. Disclosures referred to Article 12(2) shall be made on a semi-annual basis.
4. Disclosures referred to in Article 13(1) shall be made on a semi-annual basis. Disclosures referred to in Article 13(2) shall be made annually.
5. Disclosures referred to in Article 15 shall be made as follows:
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(a) |
on a semi-annual basis where the disclosing entity is a large institution; |
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(b) |
on an annual basis where the disclosing entity is neither a large institution nor a small and non-complex institution. |
6. For the purposes of public disclosure, disclosing entities shall observe the following:
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(a) |
annual disclosures shall be published on the same date as the date on which institutions publish their financial statements or as soon as possible thereafter; |
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(b) |
semi-annual and quarterly disclosures shall be published on the same date as the date on which institutions publish their financial reports for the corresponding period, where applicable, or as soon as possible thereafter; |
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(c) |
any delay between the date of publication of the disclosures required under this Title and the relevant financial statements shall be reasonable and, in any event, shall not exceed any timeframe set by the competent authorities pursuant to Article 106 of Directive 2013/36/EU of the European Parliament and of the Council (6). |
Article 10
Disclosure of key metrics on own funds and eligible liabilities and the requirements for own funds and eligible liabilities by resolution entities
1. Entities identified as resolution entities that are a G-SII or part of a G-SII shall make the disclosures required in point (h) of Article 447 of Regulation (EU) No 575/2013 and in points (a) and (c) of Article 45i(3) of Directive 2014/59/EU in accordance with the template EU KM2 of Annex V to this Regulation and the relevant instructions set out in Annex VI to this Regulation.
2. Entities identified as resolution entities that are neither G-SIIs nor part of a G-SII shall make the disclosures required in points (a) and (c) of Article 45i(3) of Directive 2014/59/EU in accordance with the template EU KM2 of Annex V to this Regulation and the relevant instructions set out in Annex VI to this Regulation.
Article 11
Disclosure of composition of own funds and eligible liabilities by resolution entities
1. Entities identified as resolution entities that are a G-SII or part of a G-SII shall make the disclosures required in accordance with points (a), (c) and (d) of Article 437a of Regulation (EU) No 575/2013 and the disclosure on the composition of own funds and eligible liabilities required in point (b) of Article 45i(3) of Directive 2014/59/EU in accordance with the template EU TLAC1 of Annex V to this Regulation and the relevant instructions set out in Annex VI to this Regulation.
2. Entities identified as resolution entities that are neither G-SIIs nor part of a G-SII shall make the disclosure on the composition of own funds and eligible liabilities required in accordance with (b) of Article 45i(3) of Directive 2014/59/EU in accordance with the template EU TLAC1 of Annex V to this Regulation and the relevant instructions set out in Annex VI to this Regulation.
Article 12
Disclosure of key metrics and internal loss-absorbing capacity by entities that are not themselves resolution entities
1. Entities that are material subsidiaries of non-EU G-SIIs and that are not themselves resolution entities shall make the following disclosures in accordance with the template EU ILAC of Annex V to this Regulation and the relevant instructions set out in Annex VI to this Regulation:
|
(a) |
disclosures required in accordance with points (a), (c) and (d) of Article 437a of Regulation (EU) No 575/2013; |
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(b) |
disclosures required in accordance with point (h) of Article 447 of Regulation (EU) No 575/2013; |
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(c) |
disclosures required in accordance with points (a) and (c) of Article 45i(3) of Directive 2014/59/EU; |
|
(d) |
disclosures regarding the composition of own funds and eligible liabilities required in accordance with point (b) of Article 45i(3) of Directive 2014/59/EU. |
2. Entities other than material subsidiaries of non-EU G-SIIs that are not themselves resolution entities shall make the following disclosures in accordance with the template EU ILAC of Annex V to this Regulation and the relevant instructions set out in Annex VI to this Regulation:
|
(a) |
disclosures required in accordance with points (a) and (c) of Article 45i(3) of Directive 2014/59/EU; |
|
(b) |
disclosures regarding the composition of own funds and eligible liabilities required in accordance with point (b) of Article 45i(3) of Directive 2014/59/EU. |
Article 13
Disclosure of creditor ranking by non-resolution entities
1. Entities that are material subsidiaries of non-EU G-SIIs and that are not themselves resolution entities shall make the disclosures on maturity profile and ranking in normal insolvency proceedings set out in points (a) and (b) of Article 437a of Regulation (EU) No 575/2013 and point (b) of Article 45i(3) of Directive 2014/59/EU, in accordance with the template EU TLAC2a of Annex V to this Regulation and the relevant instructions set out in Annex VI to this Regulation.
2. Entities other than material subsidiaries of non-EU G-SIIs that are not themselves resolution entities shall make the disclosures on the maturity profile and ranking in normal insolvency proceedings set out in point (b) of Article 45i(3) of Directive 2014/59/EU in accordance with the template EU TLAC2b of Annex V to this Regulation and the relevant instructions set out in Annex VI to this Regulation.
Entities referred to in the first subparagraph of this paragraph may choose to use template EU TLAC2a instead of EU TLAC2b to disclose information on the maturity profile and ranking in normal insolvency proceedings required in accordance with point (b) of Article 45i(3) of Directive 2014/59/EU.
Article 14
Disclosure of creditor ranking by resolution entities
1. Entities identified as resolution entities that are G-SIIs or part of a G-SII shall make the disclosures on maturity profile and ranking in normal insolvency proceedings set out in points (a) and (b) of Article 437a of Regulation (EU) No 575/2013 and point (b) of Article 45i(3) of Directive 2014/59/EU, in accordance with the template EU TLAC3a of Annex V to this Regulation and the relevant instructions set out in Annex VI to this Regulation.
2. Entities identified as resolution entities that are neither G-SIIs nor part of a G-SII shall make the disclosures on the maturity profile and ranking in normal insolvency proceedings set out in point (b) of Article 45i(3) of Directive 2014/59/EU, in accordance with the template EU TLAC3b of Annex V to this Regulation and the relevant instructions set out in Annex VI to this Regulation.
Entities referred to in the first subparagraph of this paragraph may choose to use template EU TLAC3a instead of EU TLAC3b to disclose information on the maturity profile and ranking in normal insolvency proceedings required in accordance with point (b) of Article 45i(3) of Directive2014/59/EU.
Article 15
Disclosure of main features of own funds and eligible liabilities
Entities identified as resolution entities that are G-SIIs or part of a G-SII and entities that are material subsidiaries of non-EU G-SIIs and that are not themselves resolution entities shall make the disclosures set out in point (a) of Article 437a of Regulation (EU) No 575/2013, in accordance with the implementing act referred to in Article 434a of that Regulation.
Article 16
General rules on disclosure
1. Where disclosing entities may omit one or more of the disclosures in accordance with Article 432 of Regulation (EU) No 575/2013, the relevant rows or columns of the templates or tables laid down in this Regulation may be left empty and the numbering of subsequent rows or columns shall not be altered.
2. Disclosing entities shall clearly note in the relevant template or table the empty rows or columns and the reason of the omission of the relevant disclosure.
3. The qualitative narrative and any other necessary supplementary information accompanying quantitative disclosures in accordance with Article 431 of Regulation (EU) No 575/2013 shall be adequately clear and comprehensive, enabling users of information to understand the quantitative disclosures and shall be placed next to the templates, which they describe.
4. Disclosing entities shall observe the following regarding the disclosure of numerical values:
|
(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. Disclosing entities shall accompany the information disclosed by the following:
|
(a) |
disclosure reference date and reference period; |
|
(b) |
disclosure currency; |
|
(c) |
name and, where relevant, Legal Entity Identifier (LEI) of the disclosing entity; |
|
(d) |
where relevant, accounting standard; and |
|
(e) |
where relevant, scope of consolidation. |
TITLE III
FINAL PROVISIONS
Article 17
Entry into force and application
This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.
Title I shall apply from 28 June 2021.
Title II shall apply as of 1 June 2021 as regards the disclosures in accordance with Article 437a and point (h) of Article 447 of Regulation (EU) No 575/2013, and as of the date of application of the disclosure requirements in accordance with the third subparagraph of Article 3(1) of Directive (EU) 2019/879, as regards the disclosures in accordance with Article 45i(3) of Directive 2014/59/EU.
This Regulation shall be binding in its entirety and directly applicable in all Member States.
Done at Brussels, 23 April 2021.
For the Commission
The President
Ursula VON DER LEYEN
(1) OJ L 176, 27.6.2013, p. 1.
(2) OJ L 173, 12.6.2014, p. 190.
(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) 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).
(5) 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).
(6) 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 I
REPORTING ON THE MINIMUM REQUIREMENT FOR OWN FUNDS AND ELIGIBLE LIABILITIES
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MREL AND TLAC TEMPLATES |
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Template number |
Template code |
Name of the template /group of templates |
Short name |
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AMOUNTS: KEY METRICS OF MREL AND TLAC |
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1 |
M 01.00 |
Key metrics for MREL and TLAC (resolution groups / entities) |
KM2 |
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COMPOSITION AND MATURITY |
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2 |
M 02.00 |
MREL and TLAC capacity and composition (resolution groups / entities) |
TLAC1 |
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3 |
M 03.00 |
Internal MREL and internal TLAC |
ILAC |
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4 |
M 04.00 |
Funding structure of eligible liabilities |
LIAB-MREL |
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CREDITOR RANKING |
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5 |
M 05.00 |
Creditor ranking (entity that is not a resolution entity) |
TLAC2 |
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6 |
M 06.00 |
Creditor ranking (resolution entities) |
TLAC3 |
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CONTRACT SPECIFIC INFORMATION |
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7 |
M 07.00 |
Instruments governed by third-country law |
MTCI |
M 01.00 - Key metrics for MREL and TLAC (resolution groups / entities) (KM2)
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Minimum requirement for own funds and eligible liabilities (MREL) |
Requirement for own funds and eligible liabilities for G-SIIs (TLAC) |
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0010 |
0020 |
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Total risk exposure amount and total exposure measure |
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0100 |
TOTAL RISK EXPOSURE AMOUNT (TREA) |
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0110 |
TOTAL EXPOSURE MEASURE (TEM) |
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Own funds and eligibile liabilities |
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0200 |
OWN FUNDS AND ELIGIBLE LIABILITIES |
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0210 |
Of which: own funds and subordinated liabilities |
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0220 |
Of which governed by third country law |
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0230 |
Of which containing a write down and conversion clause as referred to in Article 55 of Directive 2014/59/EU |
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Other bailinable liabilities |
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0250 |
OTHER BAILINABLE LIABILITIES |
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0260 |
Of which governed by third country law |
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0270 |
Of which containing a write down and conversion clause as referred to in Article 55 of Directive 2014/59/EU |
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0280 |
Residual maturity of < 1 year |
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0285 |
Residual maturity of >= 1 year and < 2 years |
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0290 |
Residual maturity of >= 2 years |
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Ratios and subordination exemptions |
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0300 |
OWN FUNDS AND ELIGIBLE LIABILITIES AS A PERCENTAGE OF THE TREA |
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0310 |
Of which: own funds and subordinated liabilities |
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0320 |
OWN FUNDS AND ELIGIBLE LIABILITIES AS A PERCENTAGE OF THE TEM |
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0330 |
Of which own funds and subordinated liabilities |
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0340 |
Does the subordination exemption laid down in Article 72b(4) of Regulation (EU) No 575/2013 apply? (5 % exemption) |
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0350 |
Aggregate amount of permitted non-subordinated eligible liabilities instruments if the subordination discretion laid down in Article 72b(3) of Regulation (EU) No 575/2013 is applied (max 3.5 % exemption) |
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0360 |
Share of the total non-subordinated liabilities that is included in own funds and eligible liabilities |
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M 02.00 - MREL and TLAC capacity and composition (resolution groups / entities) (TLAC1)
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Minimum requirement for own funds and eligible liabilities (MREL) |
G-SII Requirement for own funds and eligible liabilities (TLAC) |
Memo item: Amounts eligible for the purposes of MREL, but not of TLAC |
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0010 |
0020 |
0030 |
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0010 |
OWN FUNDS AND ELIGIBLE LIABILITIES |
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0020 |
(Eligible) Own funds |
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0030 |
Common Equity Tier 1 capital |
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0040 |
(Eligible) Additional Tier 1 capital |
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0050 |
(Eligible) Tier 2 capital |
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0060 |
Eligible liabilities |
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0070 |
Eligible liabilities items before adjustments |
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0080 |
of which: eligible liabilities considered as structurally subordinated |
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0090 |
Eligible liabilities subordinated to excluded liabilities |
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0100 |
Eligible liabilities instruments issued directly by the resolution entity (not grandfathered) |
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0110 |
Eligible liabilities instruments issued by other entities within the resolution group (not grandfathered) |
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0120 |
Eligible liabilities instruments issued prior to 27 June 2019 |
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0130 |
Tier 2 instruments with a residual maturity of at least one year to the extent they do not qualify as Tier 2 items |
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0140 |
Eligible liabilities not subordinated to excluded liabilities |
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0150 |
Eligible liabilities that are not subordinated to excluded liabilities (not grandfathered, pre-cap) |
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0160 |
Eligible liabilities that are not subordinated to excluded liabilities issued prior to 27 June 2019 (pre-cap) |
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0170 |
Amounts eligible after application of the cap of Article 72b(3) of Regulation (EU) No 575/2013 (not grandfathered) |
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0180 |
Amounts eligible after application of the cap of Article 72b (3) of Regulation (EU) No 575/2013, consisting of items issued prior to 27 June 2019 |
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0190 |
(-) Deductions |
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0200 |
(-) Exposures between multiple point of entry (MPE) resolution groups |
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0210 |
(-) Investments in other eligible liabilities instruments |
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0220 |
Excess of deductions from eligible liabilities over eligible liabilities (deducted from Tier 2) |
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MEMORANDUM ITEMS |
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0400 |
CET1 (%) available after meeting the entity’s requirements |
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0410 |
Combined buffer requirement (%) |
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0420 |
of which: capital conservation buffer requirement |
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0430 |
of which: countercyclical buffer requirement |
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0440 |
of which: systemic risk buffer requirement |
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0450 |
of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer |
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0460 |
Investments in subordinated eligible liabilities of other institutions |
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0470 |
Investments in subordinated eligible liabilities of G-SIIs |
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0480 |
Investments in subordinated eligible liabilities of O-SIIs |
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0490 |
Investments in subordinated eligible liabilities of other institutions |
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0500 |
Excluded liabilities |
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M 03.00 - Internal MREL and internal TLAC (ILAC)
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Internal MREL |
Internal TLAC |
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0010 |
0020 |
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0010 |
Level of application |
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Total risk exposure amount and total exposure measure |
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0100 |
Total risk exposure amount (TREA) |
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0110 |
Total exposure measure (TEM) |
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Eligible own funds and eligible liabilities |
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0200 |
Eligible own funds and eligible liabilties |
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0210 |
Eligible Own funds |
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0220 |
Common Equity Tier 1 capital (CET1) |
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0230 |
Eligible Additional Tier 1 capital |
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0240 |
Eligible Tier 2 capital |
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0250 |
Eligible liabilities and guarantees |
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0260 |
Eligible liabilities (excluding guarantees) |
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0270 |
Guarantees provided by the resolution entity and permitted by the resolution authority |
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0280 |
Memorandum item: Collateralised part of the guarantee |
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0290 |
(-) Deductions or equivalent |
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Ratios of eligible own funds and eligible liabilities |
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0400 |
Own funds and eligible liabilities as a percentage of the TREA |
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0410 |
of which permitted guarantees |
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0420 |
Own funds and eligible liabilities as a percentage of the TEM |
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0430 |
of which permitted guarantees |
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0440 |
CET1 (%) available after meeting the entity’s requirements |
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Memorandum items |
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0500 |
Combined buffer requirement (%) |
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0510 |
of which: capital conservation buffer requirement |
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0520 |
of which: countercyclical buffer requirement |
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0530 |
of which: systemic risk buffer requirement |
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0540 |
of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer |
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0550 |
Other bailinable liabilities |
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0560 |
of which governed by third country law |
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0570 |
of which containing a write down and conversion clause as referred to in Article 55 of Directive 2014/59/EU |
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0580 |
Residual maturity of < 1 year |
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0590 |
Residual maturity of >= 1 year and < 2 years |
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0600 |
Residual maturity of >= 2 years |
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0610 |
Excluded liabilities |
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M 04.00 - Funding structure of eligible liabilities (LIAB MREL)
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Amount eligible for MREL / internal MREL |
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0010 |
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0100 |
ELIGIBLE LIABILITIES |
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0200 |
Deposits, not covered and not preferential >= 1 year |
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0210 |
of which: residual maturity >= 1 year and < 2 years |
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0220 |
of which: residual maturity >= 2 years |
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0230 |
of which: issued by subsidiaries |
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0300 |
Uncollateralized secured liabilities >= 1 year |
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0310 |
of which: residual maturity >= 1 year and < 2 years |
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0320 |
of which: residual maturity >= 2 years |
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0330 |
of which: issued by subsidiaries |
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0400 |
Structured notes >= 1 year |
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0410 |
of which: residual maturity >= 1 year and < 2 years |
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0420 |
of which: residual maturity >= 2 years |
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0430 |
of which: issued by subsidiaries |
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0500 |
Senior unsecured liabilities >= 1 year |
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0510 |
of which: residual maturity >= 1 year and < 2 years |
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0520 |
of which: residual maturity >= 2 years |
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0530 |
of which: issued by subsidiaries |
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0600 |
Senior non-preferred liabilities >= 1 year |
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0610 |
of which: residual maturity >= 1 year and < 2 years |
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0620 |
of which: residual maturity >= 2 years |
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0630 |
of which: issued by subsidiaries |
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0700 |
Subordinated liabilities (not recognised as own funds) >= 1 year |
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0710 |
of which: residual maturity >= 1 year and < 2 years |
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0720 |
of which: residual maturity >= 2 years |
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0730 |
of which: issued by subsidiaries |
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0800 |
Other MREL eligible liabilities >= 1 year |
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0810 |
of which: residual maturity >= 1 year and < 2 years |
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0820 |
of which: residual maturity >= 2 years |
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0830 |
of which: issued by subsidiaries |
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M 05.00 - Creditor ranking (entity that is not a resolution entity) (TLAC2)
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Insolvency rank |
Type of creditor |
Description of insolvency rank |
Liabilities and own funds |
Liabilities and own funds less excluded liabilities |
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of which: excluded liabilities |
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of which: own funds and eligible liabilities for the purpose of internal MREL |
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of which: with a residual maturity of |
of which: perpetual securities |
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≥ 1 year < 2 years |
≥ 2 year < 5 years |
≥ 5 years < 10 years |
≥ 10 years |
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0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
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M 06.00 - Creditor ranking (resolution entities) (TLAC3)
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Insolvency rank |
Description of insolvency rank |
Liabilities and own funds |
Liabilities and own funds less excluded liabilities |
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of which: excluded liabilities |
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of which: own funds and eligible liabilities potentially eligible for meeting MREL |
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of which: with a residual maturity of |
of which: perpetual securities |
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≥ 1 year < 2 years |
≥ 2 year < 5 years |
≥ 5 years < 10 years |
≥ 10 years |
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0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
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M 07.00 Instruments governed by third-country law (MTCI) M 07.00 (MTCI)
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Issuing entity |
Contract identifier |
Governing law (third country) |
Contractual recognition of write down and conversion powers |
Regulatory treatment |
Amount |
Rank in normal insolvency proceedings |
Maturity |
(First) Call date |
Regu-latory call (Y/N) |
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Name |
Code |
Type of code |
Type of own funds or eligible liabilities |
Instrument type |
Governing law |
Insolvency rank |
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0010 |
0020 |
0030 |
0040 |
0050 |
0060 |
0070 |
0080 |
0090 |
0100 |
0110 |
0120 |
0130 |
0140 |
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ANNEX II
REPORTING ON THE MINIMUM REQUIREMENT FOR OWN FUNDS AND ELIGIBLE LIABILITIES – INSTRUCTIONS
PART I: GENERAL INSTRUCTIONS
1. Structure and conventions
1.1. Structure
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1. |
This framework for reporting on MREL and TLAC consists of four groups of templates:
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2. |
For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each set of templates and instructions concerning specific positions are included in this part of the Regulation. |
1.2. Numbering convention
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3. |
The document follows the labelling convention set out in points (a) to (d), when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules defined in accordance with Annex III.
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1.3. Sign convention
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4. |
Any amount that increases the own funds and eligible liabilities, the risk weighted exposure amounts, the leverage ratio exposure measure or the requirements shall be reported as a positive figure. On the contrary, any amount that reduces the own funds and eligible liabilities, the risk weighted exposure amounts, the leverage ratio exposure measure or the requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item. |
1.4. Abbreviations
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5. |
The following abbreviations apply for the purposes of the Annexes to this Regulation:
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PART II: TEMPLATE RELATED INSTRUCTIONS
1. Amounts: M 01.00 –Key metrics for MREL and TLAC (KM2)
1.1. General remarks
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6. |
The column referring to the Minimum Requirement for own funds and eligible liabilities (MREL) shall be filled in by entities that are subject to the minimum requirement for own funds and eligible liabilities in accordance with Article 45e of Directive 2014/59/EU. Only those entities obliged to comply with the requirement of Articles 92a of Regulation (EU) No 575/2013 shall report items referring to the G-SII requirement for own funds and eligible liabilities (TLAC). |
1.2. Instructions concerning specific positions
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Columns |
Legal references and instructions |
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0010 |
Minimum requirement for own funds and eligible liabilities (MREL) Articles 45 and 45e of Directive 2014/59/EU |
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0020 |
Requirement for own funds and eligible liabilities for G-SIIs (TLAC) Article 92a of Regulation (EU) No 575/2013 |
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Row |
Legal references and instructions |
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0100 – 0120 |
Total risk exposure amount and total exposure measure |
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0100 |
Total risk exposure amount (TREA) Point (a) of Article 45(2) of Directive 2014/59/EU, Article 92(3) of Regulation (EU) No 575/2013. The total risk exposure amount reported in this row shall be the total risk exposure amount which is the basis for compliance with the requirements of Article 45 of Directive 2014/59/EU or Article 92a of Regulation (EU) No 575/2013, as applicable. |
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0110 |
Total exposure measure (TEM) Point (b) of Article 45(2) of Directive 2014/59/EU, Articles 429(4) and 429a of Regulation (EU) No 575/2013. The total exposure measure reported in this row shall be the total exposure measure which is the basis for compliance with the requirements of Article 45 of Directive 2014/59/EU or Article 92a of Regulation (EU) No 575/2013, as applicable. |
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0200 – 0230 |
Own funds and eligible liabilities |
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0200 |
Own funds and eligible liabilities MREL The amount of own funds and eligible liabilities counting towards MREL shall be reported as the sum of:
In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements of Article 55 of Directive 2014/59/EU. TLAC The amount of own funds and eligible liabilities counting towards the G-SII requirement for own funds and eligible liabilities (TLAC) shall be the amount referred to in Article 72l of Regulation (EU) No 575/2013, consisting of:
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0210 |
Of which: own funds and subordinated liabilities The amount of own funds and subordinated eligible liabilities counting towards MREL shall be reported as the sum of:
In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements of Article 55 of Directive 2014/59/EU. |
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0220 |
Of which governed by third country law The amount of own funds and eligible liabilities that are governed by the law of a third country as referred to in Article 55 of Directive 2014/59/EU. |
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0230 |
Of which containing a write down and conversion clause as referred to in Article 55 of Directive 2014/59/EU The amount of own funds and eligible liabilities that are governed by the law of a third country and that contain a write down and conversion clause as referred to in Article 55 of Directive 2014/59/EU. |
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0250 – 0290 |
Other bail-inable liabilities Entities that, at the date of the reporting of that information, hold amounts of own funds and eligible liabilities of at least 150 % of the requirement laid down in Article 45(1) of Directive 2014/59/EU shall be exempted from reporting the information in rows 0250 to 0290. Such entities may opt to report that information in this template on a voluntary basis. |
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0250 |
Other bail-inable liabilities The amount of bail-inable liabilities, as defined in point (71) of Article 2(1) of Directive 2014/59/EU, that are not included in own funds and eligible liabilities in accordance with Article 45b of that Directive. That amount corresponds to the difference between the liabilities not excluded from bail-in as reported in {r0300, c0090} of template Z 02.00 laid down in Annex I to Commission Implementing Regulation (EU) 2018/1624 (3) and the eligible liabilities as reported in {r0200} of this template. |
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0260 |
Of which governed by third country law The amount of other bail-inable liabilities that are governed by the law of a third country as referred to in Article 55 of Directive 2014/59/EU. |
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0270 |
Of which containing a write down and conversion clause as referred to in Article 55 of Directive 2014/59/EU The amount of other bail-inable liabilities that are governed by the law of a third country and that contain a write down and conversion clause as referred to in Article 55 of Directive 2014/59/EU. |
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0280 – 0290 |
Breakdown of other bail-inable liabilities by residual maturity |
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0280 |
Residual maturity of < 1 year |
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0285 |
Residual maturity of >= 1 year and < 2 years |
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0290 |
Residual maturity of >= 2 years |
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0300 – 0360 |
Ratios and subordination exemptions |
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0300 |
Own funds and eligible liabilities as a percentage of the TREA For the purpose of this row, the amount of own funds and eligible liabilities that is reported in row 0200 shall be expressed as a percentage of the total risk exposure amount calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013. |
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0310 |
Of which: own funds and subordinated liabilities For the purpose of this row, the amount of own funds and subordinated eligible liabilities that is reported in row 0210 shall be expressed as a percentage of the total risk exposure amount calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013. |
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0320 |
Own funds and eligible liabilities as a percentage of the TEM For the purpose of this row, the amount of own funds and eligible liabilities that is reported in row 0200 shall be expressed as a percentage of the total exposure measure calculated in accordance with Articles 429(4) and 429a of Regulation (EU) No 575/2013. |
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0330 |
Of which: own funds and subordinated liabilities For the purpose of this row, the amount of own funds and subordinated eligible liabilities that is reported in row 0210 shall be expressed as a percentage of the total exposure measure calculated in accordance with Articles 429(4) and 429a of Regulation (EU) No 575/2013. |
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0340 |
Does the subordination exemption laid down in Article 72b(4) of Regulation (EU) No 575/2013 apply? (5 % exemption) This row shall only be reported by entities subject to the G-SII requirement for own funds and eligible liabilities (TLAC requirement). Where the resolution authority permits liabilities to qualify as eligible liabilities instruments in accordance with Article 72b(4) of Regulation (EU) No 575/2013, the reporting entity shall indicate ‘yes’ in column 0020. Where the resolution authority does not permit liabilities to qualify as eligible liabilities instruments in accordance with Article 72b(4) of Regulation (EU) No 575/2013, the reporting entity shall indicate ‘no’ in column 0020. As exemptions laid down in Article 72b(3) and (4) of Regulation (EU) No 575/2013 are mutually exclusive, this row shall not be populated if the reporting entity has populated {r0350}. |
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0350 |
Aggregate amount of permitted non-subordinated eligible liabilities instruments if the subordination discretion laid down in Article 72b(3) of Regulation (EU) No 575/2013 is applied (max 3,5 % exemption) Aggregate amount of non-subordinated liabilities that the resolution authority has permitted to qualify as eligible liabilities instruments for the purpose of the G-SII requirement for own funds and eligible liabilities (TLAC) in accordance with Article 72b(3) of Regulation (EU) No 575/2013 or which qualify pursuant to Article 494(3) of that Regulation. Until 31 December 2021, the amount reported in this row shall be the amount after application of Article 494(2) of Regulation (EU) No 575/2013 (2,5 % cap). As the exemptions laid down in Article 72b(3) and (4) of Regulation (EU) No 575/2013 are mutually exclusive, this row shall not be populated if the reporting entity indicates ‘yes’ in {r0340,c0020}. |
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0360 |
Share of the total non-subordinated liabilities that is included in own funds and eligible liabilities This row shall only be reported by entities subject to the G-SII requirement for own funds and eligible liabilities (TLAC requirement). If a capped subordination exemption laid down in Article 72b(3) of Regulation (EU) No 575/2013 applies, entities shall report:
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2. Composition and maturity
2.1. M 02.00 – MREL and TLAC capacity and composition (resolution groups and entities) (TLAC1)
2.1.1. General remarks
|
7. |
Template M 02.00 – MREL and TLAC capacity and composition (resolution groups and entities) (TLAC1) provides further details on the composition of the own funds and eligible liabilities. |
|
8. |
The column referring to the Minimum Requirement for own funds and eligible liabilities (MREL) shall be filled in by entities that are subject to the minimum requirement for own funds and eligible liabilities in accordance with Article 45e of Directive 2014/59/EU. Only those entities obliged to comply with the requirement laid down in Article 92a of Regulation (EU) No 575/2013 shall report items referring to the G-SII requirement for own funds and eligible liabilities (TLAC). |
2.1.2. Instructions concerning specific positions
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Column |
Legal references and instructions |
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0010 |
Minimum requirement for own funds and eligible liabilities (MREL) Articles 45 and 45e of Directive 2014/59/EU. |
|
0020 |
Requirements for own funds and eligible liabilities for G-SIIs (TLAC) Article 92a of Regulation (EU) No 575/2013. |
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0030 |
Memo item: Amounts eligible for the purposes of MREL, but not of TLAC This column shall only be filled in by entities subject to the requirement for own funds and eligible liabilities for G-SIIs (TLAC). This column shall reflect the difference between amounts of own funds and liabilities eligible to fulfil the requirement laid down in Article 45 of Directive 2014/59/EU in accordance with Article 45e of that Directive and the amount of own funds and liabilities eligible to fulfil the requirement laid down in Article 92a of Regulation (EU) No 575/2013. |
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Row |
Legal references and instructions |
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|
0010 |
OWN FUNDS AND ELIGIBLE LIABILITIES Own funds and eligible liabilities for the purposes of Article 45e of Directive 2014/59/EU and Article 92a of Regulation (EU) No 575/2013 MREL The amount of own funds and eligible liabilities counting towards MREL shall be reported as the sum of:
In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements laid down in Article 55 of Directive 2014/59/EU. TLAC The amount of own funds and eligible liabilities counting towards the requirement for own funds and eligible liabilities for G-SIIs (TLAC) shall be the amount referred to in Article 72l of Regulation (EU) No 575/2013, consisting of:
|
||||||||||||||
|
0020 |
(Eligible) own funds Point (118) of Article 4(1) and Article 72 of Regulation (EU) No 575/2013 In case of MREL, instruments governed by the law of a third country shall only be included in this row and in the rows 0040 and 0050 if they meet the requirements laid down in Article 55 of Directive 2014/59/EU. |
||||||||||||||
|
0030 |
Common Equity Tier 1 capital Article 50 of Regulation (EU) No 575/2013. |
||||||||||||||
|
0040 |
(Eligible) Additional Tier 1 capital Article 61 of Regulation (EU) No 575/2013. |
||||||||||||||
|
0050 |
(Eligible) Tier 2 capital Article 71 of Regulation (EU) No 575/2013. |
||||||||||||||
|
0060 |
Eligible liabilities MREL Eligible liabilities as defined in point (71a) of Article 2(1) of Directive 2014/59/EU; in case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements laid down in Article 55 of that Directive. TLAC Eligible liabilities in accordance with Article 72k of Regulation (EU) No 575/2013. |
||||||||||||||
|
0070 |
Eligible liabilities items before adjustments MREL Eligible liabilities as defined in point (71a) of Article 2(1) of Directive 2014/59/EU; in case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements laid down in Article 55 of that Directive. TLAC Eligible liabilities which comply with all the requirements laid down in Articles 72a to 72d of Regulation (EU) No 575/2013. |
||||||||||||||
|
0080 |
Of which: eligible liabilities considered as structurally subordinated MREL Liabilities that comply with the conditions laid down in Article 45b of Directive 2014/59/EU because they are issued by a resolution entity that is a holding company and because there are no excluded liabilities as referred to in Article 72a(2) of Regulation (EU) No 575/2013 that rank pari passu or junior to eligible liabilities instruments. In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements laid down in Article 55 of Directive 2014/59/EU. This row shall also include eligible liabilities that qualify as a result of the grandfathering in accordance with Article 494b(3) of Regulation (EU) No 575/2013. TLAC Liabilities that:
This row shall also include eligible liabilities that qualify as a result of the grandfathering in accordance with Article 494b(3) of Regulation (EU) No 575/2013. |
||||||||||||||
|
0090 |
Eligible liabilities subordinated to excluded liabilities MREL Eligible liabilities included in the amount of own funds and eligible liabilities in accordance with Article 45b of Directive 2014/59/EU that are subordinated eligible instruments as defined in point (71b) of Article 2(1) of that Directive and liabilities included in the amount of own funds and eligible liabilities in accordance with Article 45b(3) of that Directive. In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements laid down in Article 55 of that Directive. TLAC Eligible liabilities which comply with all the requirements laid down in Articles 72a to 72d of Regulation (EU) No 575/2013, at the exclusion of liabilities permitted to qualify as eligible liability instruments in accordance with Articles 72b(3) or (4) of that Regulation. |
||||||||||||||
|
0100 |
Eligible liabilities instruments issued directly by the resolution entity (not grandfathered) MREL Eligible liabilities included in the amount of own funds and eligible liabilities in accordance with Article 45b of Directive 2014/59/EU that are subordinated eligible instruments as defined in point (71b) of Article 2(1) of that Directive and that are issued directly by the resolution entity. In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements laid down in Article 55 of that Directive. TLAC Eligible liabilities which comply with all the requirements laid down in Articles 72a to 72d of Regulation (EU) No 575/2013, at the exclusion of liabilities permitted to qualify as eligible liability instruments in accordance with Articles 72b(3) or (4) of that Regulation, and which are issued directly by the resolution entity. This row shall neither include the amortised portion of Tier 2 instruments where the remaining maturity is greater than one year (point (b) of Article 72a(1) of Regulation (EU) No 575/2013) nor eligible liabilities grandfathered under Article 494b of that Regulation. |
||||||||||||||
|
0110 |
Eligible liabilities instruments issued by other entities within the resolution group (not grandfathered) MREL Eligible liabilities included in the amount of own funds and eligible liabilities in accordance with Article 45b of Directive 2014/59/EU that are issued by subsidiaries and included in MREL in compliance with Article 45b(3) of that Directive. In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements laid down in Article 55 of that Directive. TLAC Eligible liabilities which comply with all the requirements laid down in Articles 72a to 72d of Regulation (EU) No 575/2013, at the exclusion of liabilities permitted to qualify as eligible liability instruments pursuant to Articles 72b(3) or (4) of that Regulation, that are issued by subsidiaries and qualify for inclusion in the consolidated eligible liabilities instruments of an entity in accordance with Article 88a of that Regulation. This row shall neither include the amortised portion of Tier 2 instruments where the remaining maturity is greater than one year (point (b) of Article 72a(1) of Regulation (EU) No 575/2013) nor eligible liabilities grandfathered under Article 494b of that Regulation. |
||||||||||||||
|
0120 |
Eligible liabilities items issued prior to 27 June 2019 MREL Eligible liabilities that meet the following conditions:
TLAC Eligible liabilities that meet the following conditions:
|
||||||||||||||
|
0130 |
Tier 2 instruments with a residual maturity of at least one year to the extent they do not qualify as Tier 2 items Point (b) of Article 72a(1) of Regulation (EU) No 575/2013 This row shall include the amortised portion of Tier 2 instruments, where the remaining maturity is greater than one year. Only the amount not recognised in own funds, but meeting all eligibility criteria laid down in Article 72b of Regulation (EU) No 575/2013 shall be reported in this row. In case of MREL, instruments governed by the law of a third country shall only be included in this row if they meet the requirements laid down in Article 55 of Directive 2014/59/EU. |
||||||||||||||
|
0140 |
Eligible liabilities not subordinated to excluded liabilities MREL Liabilities that comply with the conditions laid down in Article 45b of Directive 2014/59/EU and that are not wholly subordinated to claims arising from excluded liabilities referred to in Article 72a(2) of Regulation (EU) No 575/2013. In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements laid down in Article 55 of Directive 2014/59/EU. TLAC Eligible liabilities which comply with the requirements laid down in Articles 72a to 72d of Regulation (EU) No 575/2013, except for point (d) of Article 72b(2) of that Regulation, and are recognised as eligible liabilities in accordance with Articles 72b(3) or (4) of that Regulation. Where Article 72b(3) of Regulation (EU) No 575/2013 applies, the amount reported shall be the amount after the application of the cap laid down in that Article. |
||||||||||||||
|
0150 |
Eligible liabilities that are not subordinated to excluded liabilities (not grandfathered pre-cap) MREL Liabilities that comply with the conditions laid down in Article 45b(1) to (3) of Directive 2014/59/EU and that are not wholly subordinated to claims arising from excluded liabilities referred to in Article 72a(2) of Regulation (EU) No 575/2013. In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements of Article 55 of Directive 2014/59/EU. TLAC Eligible liabilities which comply with the requirements laid down in Articles 72a to 72d of Regulation (EU) No 575/2013, except for point (d) of Article 72b(2) of that Regulation, and which could be permitted to qualify as eligible liabilities instruments in accordance with Article 72b(3) of that Regulation or are permitted to qualify as eligible liabilities instruments in accordance with Article 72b(4) of that Regulation. Where Article 72b(3) or Article 494(2) of Regulation (EU) No 575/2013 applies, the full amount without the application of the 3,5 % and 2,5 % cap respectively shall be reported in this row. This row shall not include any amount recognisable on a transitional basis in accordance with Article 494b(3) of Regulation (EU) No 575/2013. |
||||||||||||||
|
0160 |
Eligible liabilities that are not subordinated to excluded liabilities issued prior to 27 June 2019 (pre-cap) MREL Eligible liabilities that meet the following conditions:
In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements of Article 55 of Directive 2014/59/EU. TLAC Eligible liabilities which meet the following conditions:
Where Article 72b(3) or Article 494(2) of Regulation (EU) No 575/2013 applies, the full amount without application of the 3,5 % and 2,5 % cap respectively shall be reported in this row. |
||||||||||||||
|
0170 |
Amounts eligible after application of the cap of Article 72b(3) of Regulation (EU) No 575/2013 (not grandfathered) TLAC Eligible liabilities that comply with the requirements laid down in Articles 72a to 72d of Regulation (EU) No 575/2013, except for point (d) of Article 72b(2) of that Regulation, after applying paragraphs (3) to (5) of Article 72b of that Regulation, at the exclusion of liabilities recognised pursuant to the grandfathering set out in Article 494b(3) of that Regulation. Where Article 72b(3) of Regulation (EU) No 575/2013 applies and until 31 December 2021, the amount reported in this row shall be the amount after application of Article 494(2) of that Regulation (2,5 % cap). |
||||||||||||||
|
0180 |
Amounts eligible after application of the cap of Article 72b(3) of Regulation (EU) No 575/2013 consisting of items issued prior to 27 June 2019 TLAC Eligible liabilities that meet the following conditions:
Where Article 72b(3) of Regulation (EU) No 575/2013 applies and until 31 December 2021, the amount reported in this row shall be the amount after application of Article 494(2) of that Regulation (2,5 % cap). |
||||||||||||||
|
0190 |
|
||||||||||||||
|
0200 |
TLAC This row shall reflect the deductions of exposures between MPE G-SII resolution groups, that correspond to direct, indirect or synthetic holdings of own funds instruments or eligible liabilities instruments of one or more subsidiaries which do not belong to the same resolution group as the resolution entity, in accordance with article 72e(4) of Regulation (EU) No 575/2013. |
||||||||||||||
|
0210 |
TLAC Entities shall report the deduction of investments in other eligible liabilities instruments, as referred to in Article 72e(1) to (3) and Articles 72f to 72j of Regulation (EU) No 575/2013, whereby the amount to be deducted from eligible liabilities items is determined in accordance with Section 2 of Chapter 5a of Title I of Part Two of that Regulation. |
||||||||||||||
|
0220 |
Excess of deductions from eligible liabilities over eligible liabilities Eligible liabilities cannot be negative, but it is possible that the deductions from eligible liabilities are greater than eligible liabilities. When this happens, the eligible liabilities have to be equal to zero, and the excess of the deductions has to be deducted from Tier 2 in accordance with point (e) of Article 66 of Regulation (EU) No 575/2013. With this item, it is achieved that the eligible liabilities as reported in row 0060 are never lower than zero. |
||||||||||||||
|
0400 – 0500 |
Memorandum items |
||||||||||||||
|
0400 |
CET1 (%) available after meeting the entity’s requirements The amount of CET1, equal to zero or positive, available after meeting each of the requirements referred to in points (a), (b) and (c) of Article 141a(1) of Directive 2013/36/EU (4) and the higher of:
The CET1 available shall be expressed in percent of the total risk exposure amount as reported in row 0100 of template M 01.00. The reported figure shall be identical in both MREL and TLAC columns. It shall take into account the effect of transitional provisions on the own funds and eligible liabilities, the total risk exposure amount and the requirements themselves. Neither the guidance on additional own funds as referred to in Article 104b of Directive 2013/36/EU nor the combined buffer requirement of point (6) of the first subparagraph of Article 128 of that Directive shall be considered. |
||||||||||||||
|
0410 |
Combined buffer requirement (%) Point (6) of the first subparagraph of Article 128 of Directive 2013/36/EU The combined buffer requirement shall be expressed as a percentage of the total risk exposure amount. |
||||||||||||||
|
0420 |
of which: capital conservation buffer requirement The amount of the institution specific combined buffer (expressed as a percentage of the total risk exposure amount) that relates to the capital conservation buffer requirement. |
||||||||||||||
|
0430 |
of which: countercyclical buffer requirement The amount of the institution specific combined buffer (expressed as a percentage of the total risk exposure amount) that relates to the countercyclical buffer requirement. |
||||||||||||||
|
0440 |
of which: systemic risk buffer requirement The amount of the institution specific combined buffer (expressed as a percentage of the total risk exposure amount) that relates to the systemic risk buffer requirement. |
||||||||||||||
|
0450 |
of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer The amount of the institution specific combined buffer (expressed as a percentage of the total risk exposure amount) that relates to the G-SII or O-SII buffer requirement. |
||||||||||||||
|
0460 |
Investments in subordinated eligible liabilities of other institutions The positions reported in this row and rows 0470 to 0490 shall be determined considering the principles laid out in Article 72h CRR (net long positions, look through approach). |
||||||||||||||
|
0470 |
Investments in subordinated eligible liabilities of G-SIIs Amount of holdings of eligible liabilities instruments, as referred to in Article 72b(2) of Regulation (EU) No 575/2013, at the exclusion of instruments pursuant to Article 72b(3) to (5) of that Regulation, that are issued by G-SIIs. |
||||||||||||||
|
0480 |
Investments in subordinated eligible liabilities of O-SIIs Amount of holdings of eligible liabilities instruments as referred to in Article 72b(2) of Regulation (EU) No 575/2013 that are issued by O-SIIs. Investments in subordinated eligible liabilities of O-SIIs that are at the same time G-SIIs shall not be reported in this row, but exclusively in row 0470. |
||||||||||||||
|
0490 |
Investments in subordinated eligible liabilities of other institutions Amount of holdings of eligible liabilities instruments as referred to in Article 72b(2) of Regulation (EU) No 575/2013 that are issued by institutions that are neither G-SIIs nor O-SIIs. |
||||||||||||||
|
0500 |
Excluded liabilities Article 72a(2) of Regulation (EU) No 575/2013.. |
2.2. M 03.00 – Internal MREL and Internal TLAC (ILAC)
2.2.1. General remarks
|
9. |
Template M 03.00 presents the own funds and eligible liabilities for the purposes of
|
|
10. |
The column referring to internal MREL shall be filled in by entities that are subject to the minimum requirement for own funds and eligible liabilities in accordance with Articles 45 and 45f of Directive 2014/59/EU. Only those entities obliged to comply with the requirement of Article 92b of Regulation (EU) No 575/2013 shall report items referring to the G-SII requirement for own funds and eligible liabilities (TLAC). |
2.2.2. Instructions concerning specific positions
|
Columns |
Legal references and instructions |
|
0010 |
Internal MREL Articles 45 and 45f of Directive 2014/59/EU. |
|
0020 |
Internal TLAC Article 92b of Regulation (EU) No 575/2013. |
|
Row |
Legal references and instructions |
||||
|
0010 |
Level of application If the entity is subject to internal MREL, and where applicable internal TLAC, on an individual basis, it shall indicate ‘individual’. If the entity is subject to internal MREL, and where applicable internal TLAC, on a consolidated basis, it shall indicate ‘consolidated’. |
||||
|
0100 – 0110 |
Total risk exposure amount and total exposure measure |
||||
|
0100 |
Total risk exposure amount (TREA) Point (a) of Article 45(2) of Directive 2014/59/EU, Article 92(3) of Regulation (EU) No 575/2013. The total risk exposure amount reported in this row shall be the total risk exposure amount which is the basis for compliance with the requirements of Article 45 of Directive 2014/59/EU respectively Article 92b of Regulation (EU) No 575/2013, as applicable. |
||||
|
0110 |
Total exposure measure (TEM) Point (b) of Article 45(2) of Directive 2014/59/EU, Articles 429(4) and 429a of Regulation (EU) No 575/2013. The total exposure measure reported in this row shall be the total exposure measure which is the basis for compliance with the requirements of Article 45 of Directive 2014/59/EU respectively Article 92b of Regulation (EU) No 575/2013, as applicable. |
||||
|
0200 – 0270 |
Eligible own funds and eligible liabilities |
||||
|
0200 |
Eligible own funds and eligible liabilities Internal MREL Sum of eligible own funds, eligible liabilities and guarantees permitted to count towards internal MREL in accordance with Article 45f(2) of Directive 2014/59/EU, considering also, where applicable, the fourth subparagraph of Article 89(2) of that Directive. In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements of Article 55 of Directive 2014/59/EU. The amount reported in this row shall be the amount after the deductions or equivalent required in accordance with the method set out in the Delegated Regulation referred to in Article 45f(6) of Directive 2014/59/EU. Internal TLAC Eligible own funds and eligible liabilities permitted to count towards internal TLAC in accordance with Article 92b(2) and (3) of Regulation (EU) No 575/2013. |
||||
|
0210 |
Eligible own funds Sum of CET1 capital, eligible Additional Tier 1 capital and eligible Tier 2 capital In case of internal MREL, instruments referred to in the fourth subparagraph of Article 89(2) of Directive 2014/59/EU shall be included in this row and rows 0230 and 0240, where that paragraph applies. Instruments governed by the law of a third country shall only be included in this row and rows 0230 and 0240 if they meet the requirements of Article 55 of that Directive. |
||||
|
0220 |
Common Equity Tier 1 capital (CET1) Article 50 of Regulation (EU) No 575/2013. |
||||
|
0230 |
Eligible Additional Tier 1 capital Article 61 of Regulation (EU) No 575/2013 Internal MREL Instruments shall only be considered where they fulfil the criteria referred to in point (b) (ii) of Article 45f(2) of Directive 2014/59/EU. Internal TLAC Instruments shall only be considered where they fulfil the criteria laid down in Article 92b(2) of Regulation (EU) No 575/2013. |
||||
|
0240 |
Eligible Tier 2 capital Article 71 of Regulation (EU) No 575/2013 Internal MREL Instruments shall only be considered where they fulfil the criteria set out to in point (b) (ii) of Article 45f(2) of Directive 2014/59/EU. Internal TLAC Instruments shall only be considered where they fulfil the criteria laid down in Article 92b(2) of Regulation (EU) No 575/2013. |
||||
|
0250 |
Eligible liabilities and guarantees |
||||
|
0260 |
Eligible liabilities (excluding guarantees) Internal MREL Eligible liabilities which fulfil the conditions set out in point (a) of Article 45f(2) of Directive 2014/59/EU, considering also, where applicable, the fourth subparagraph of Article 89(2) of that Directive. In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements of Article 55 of Directive 2014/59/EU. Internal TLAC The amount of eligible liabilities shall be calculated in accordance with Article 72k of Regulation (EU) No 575/2013 where those liabilities fulfil the conditions set out in Article 92b(3) of that Regulation. |
||||
|
0270 |
Guarantees provided by the resolution entity and permitted by the resolution authority Where the resolution authority of the subsidiary permits the reporting entity to meet the internal MREL requirement with guarantees, the amount of guarantees that are provided by the resolution entity and fulfil all the conditions set out in Article 45f(5) of Directive 2014/59/EU shall be reported. |
||||
|
0280 |
Memorandum item: Collateralised part of the guarantee The part of the guarantee reported in row 0270 that is collateralised through a financial collateral arrangement as referred to in point (c) of Article 45f(5) of Directive 2014/59/EU. |
||||
|
0290 |
(-) Deductions or equivalent Deductions or equivalent required in accordance with the method set out in the Delegated Regulation referred to in Article 45f(6) of Directive 2014/59/EU. This row shall only be filled in once the Delegated Regulation applies. |
||||
|
0400 – 0440 |
Ratios of eligible own funds and eligible liabilities |
||||
|
0400 |
Own funds and eligible liabilities as a percentage of the TREA Amounts of eligible own funds, eligible liabilities and permitted guarantees of the reporting entity counting towards, respectively, internal MREL and internal TLAC, expressed as a percentage of the total risk exposure amount calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013. |
||||
|
0410 |
of which permitted guarantees Amount of eligible own funds, eligible liabilities and permitted guarantees of the reporting entity that are guarantees provided by the resolution entity and that are recognised by the resolution authority in accordance with Article 45f(5) of Directive 2014/59/EU, which counts towards internal MREL, expressed as a percentage of the total risk exposure amount calculated in accordance with Article 92(3) of Regulation (EU) No 575/2013. |
||||
|
0420 |
Own funds and eligible liabilities as a percentage of the TEM Amounts of eligible own funds and eligible liabilities of the reporting entity counting towards, respectively, internal MREL and internal TLAC, expressed as a percentage of the total exposure measure calculated in accordance with Articles 429(4) and 429a of that Regulation. |
||||
|
0430 |
of which permitted guarantees Amount of eligible own funds and eligible liabilities of the reporting entity that are guarantees provided by the resolution entity and that are recognised by the resolution authority in accordance with Article 45f(5) of Directive 2014/59/EU, which counts towards internal MREL, expressed as a percentage of the total exposure measure calculated in accordance with Articles 429(4) and 429a of Regulation (EU) No 575/2013. |
||||
|
0440 |
CET1 (%) available after meeting the entity’s requirements The amount of CET1, equal to zero or positive, available after meeting each of the requirements referred to in points (a), (b) and (c) of Article 141a(1) of Directive 2013/36/EU and the higher of:
The CET1 available shall be expressed in percent of the total risk exposure amount as reported in row 0100. The reported figure shall be identical in both internal MREL and internal TLAC columns. It shall take into account the effect of transitional provisions on the own funds and eligible liabilities, the total risk exposure amount and the requirements themselves. Neither the guidance on additional own funds as referred to by Article 104b of Directive 2013/36/EU nor the combined buffer requirement of point (6) of the first subparagraph of Article 128 of that Directive shall be considered. |
||||
|
0500 – 0550 |
Memorandum items |
||||
|
0500 |
Combined buffer requirement (%) Point (6) of the first subparagraph of Article 128 of Directive 2013/36/EU The combined buffer requirement shall be expressed as a percentage of the total risk exposure amount. |
||||
|
0510 |
of which: capital conservation buffer requirement The amount of the institution specific combined buffer (expressed as a percentage of the total risk exposure amount) that relates to the capital conservation buffer requirement. |
||||
|
0520 |
of which: countercyclical buffer requirement The amount of the institution specific combined buffer (expressed as a percentage of the total risk exposure amount) that relates to the countercyclical buffer requirement. |
||||
|
0530 |
of which: systemic risk buffer requirement The amount of the institution specific combined buffer (expressed as a percentage of the total risk exposure amount) that relates to the systemic risk buffer requirement. |
||||
|
0540 |
of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer The amount of the institution specific combined buffer (expressed as a percentage of the total risk exposure amount) that relates to the G-SII or O-SII buffer requirement. |
||||
|
0550 – 0600 |
Other bail-inable liabilities Entities that, at the date of the reporting of that information, hold amounts of own funds and eligible liabilities of at least 150 % of the requirement laid down in Article 45(1) of Directive 2014/59/EU shall be exempted from reporting the information in rows 0550 to 0600. Such entities may opt to report that information in this template on a voluntary basis. |
||||
|
0550 |
Other bail-inable liabilities The amount of bail-inable liabilities, as defined in point (71) of Article 2(1) of Directive 2014/59/EU, that are not eligible to meet the requirements of Article 45 and 45f of that Directive. |
||||
|
0560 |
Of which governed by third country law The amount of other bail-inable liabilities that are governed by the law of a third country as referred to in Article 55 of Directive 2014/59/EU. |
||||
|
0570 |
Of which containing a write down and conversion clause as referred to in Article 55 of Directive 2014/59/EU The amount of other bail-inable liabilities that are governed by the law of a third country and that contain a write down and conversion clause as referred to in Article 55 of Directive 2014/59/EU. |
||||
|
0580 – 0600 |
Breakdown of other bail-inable liabilities by residual maturity |
||||
|
0580 |
Residual maturity of < 1 year |
||||
|
0590 |
Residual maturity of >= 1 year and < 2 years |
||||
|
0600 |
Residual maturity of >= 2 years |
||||
|
0610 |
Excluded liabilities Article 72a(2) of Regulation (EU) No 575/2013. |
2.3. M 04.00 – Funding structure of eligible liabilities (LIAB-MREL)
2.3.1. General remarks
|
11. |
This template requires information on the funding structure of the eligible liabilities of entities subject to MREL. The eligible liabilities are broken down by type of liability and maturity. |
|
12. |
Entities shall report only liabilities eligible for meeting the Minimum requirement for own funds and eligible liabilities laid down in Directive 2014/59/EU (MREL/internal MREL) in this template. |
|
13. |
Where the reporting entity is a resolution entity, eligible liabilities as defined in point (71a) of Article 2(1) of Directive 2014/59/EU shall be reported. In case of eligible liabilities governed by the law of a third country, only those liabilities which meet the requirements of Article 55 of that Directive shall be included. |
|
14. |
Where the reporting entity is an entity other than a resolution entity, it shall report eligible liabilities as referred to in point (a) of Article 45f(2) of Directive 2014/59/EU in this template, considering also, where applicable, the fourth subparagraph of Article 89(2) of that Directive. In case of instruments governed by the law of a third country, the instrument shall only be included in this row if it meets the requirements of Article 55 of that Directive. |
|
15. |
The breakdown by type of liability is based on the same set of liability types used in the reporting for the purposes of resolution planning in accordance with Regulation (EU) 2018/1624. References to that Regulation are provided to define the different types of liabilities. |
|
16. |
Where a maturity breakdown is required, the residual maturity shall be the time until the contractual maturity or, in accordance with the conditions of Articles 72c(2) or (3) of Regulation (EU) No 575/2013, the earliest possible date on which the option can be exercised. In case of interim payments of principal, the principal shall be split and allocated into the corresponding maturity buckets. Where applicable, the maturity shall be considered separately for both the principal amount and accrued interest. |
2.3.2. Instructions concerning specific positions
|
Row |
Legal references and instructions |
|
0100 |
ELIGIBLE LIABILITIES |
|
0200 |
Deposits, not covered and not preferential >= 1 year Deposits, not covered and not preferential, as defined for the purposes of row 0320 of template Z 02.00 of Annex I to Regulation (EU) 2018/1624, that are eligible for the purposes of Article 45 of Directive 2014/59/EU. |
|
0210 |
of which: residual maturity >= 1 year and < 2 years |
|
0220 |
of which: residual maturity >= 2 years |
|
0230 |
of which: issued by subsidiaries |
|
0300 |
Uncollateralized secured liabilities >= 1 year Uncollateralised secured liabilities, as defined for the purposes of row 0340 of template Z 02.00 of Annex I to Regulation (EU) 2018/1624, that are eligible for the purposes of Article 45 of Directive 2014/59/EU. |
|
0310 |
of which: residual maturity >= 1 year and < 2 years |
|
0320 |
of which: residual maturity >= 2 years |
|
0330 |
of which: issued by subsidiaries |
|
0400 |
Structured notes >= 1 year Structured notes, as defined for the purposes of row 0350 of template Z 02.00 of Annex I to Regulation (EU) 2018/1624, that are eligible for the purposes of Article 45 of Directive 2014/59/EU. |
|
0410 |
of which: residual maturity >= 1 year and < 2 years |
|
0420 |
of which: residual maturity >= 2 years |
|
0430 |
of which: issued by subsidiaries |
|
0500 |
Senior unsecured liabilities >= 1 year Senior unsecured liabilities, as defined for the purposes of row 0360 of template Z 02.00 of Annex I to Regulation (EU) 2018/1624, that are eligible for the purposes of Article 45 of Directive 2014/59/EU. |
|
0510 |
of which: residual maturity >= 1 year and < 2 years |
|
0520 |
of which: residual maturity >= 2 years |
|
0530 |
of which: issued by subsidiaries |
|
0600 |
Senior non-preferred liabilities >= 1 year Senior non-preferred liabilities, as defined for the purposes of row 0365 of template Z 02.00 of Annex I to Regulation (EU) 2018/1624, that are eligible for the purposes of Article 45 of Directive 2014/59/EU. |
|
0610 |
of which: residual maturity >= 1 year and < 2 years |
|
0620 |
of which: residual maturity >= 2 years |
|
0630 |
of which: issued by subsidiaries |
|
0700 |
Subordinated liabilities (not recognised as own funds) >= 1 year Subordinated liabilities, as defined for the purposes of row 0370 of template Z 02.00 of Annex I to Regulation (EU) 2018/1624, that are eligible for the purposes of Article 45 of Directive 2014/59/EU. |
|
0710 |
of which: residual maturity >= 1 year and < 2 years |
|
0720 |
of which: residual maturity >= 2 years |
|
0730 |
of which: issued by subsidiaries |
|
0800 |
Other MREL eligible liabilities >= 1 year Any other instrument that is eligible for the purposes of Article 45 of Directive 2014/59/EU. |
|
0810 |
of which: residual maturity >= 1 year and < 2 years |
|
0820 |
of which: residual maturity >= 2 years |
|
0830 |
of which: issued by subsidiaries |
3. Creditor ranking
|
17. |
The templates M 05.00 and M 06.00 capture the ranking of eligible liabilities in the creditor hierarchy. Both templates are always reported at individual level. |
|
18. |
In case of entities that are themselves not resolution entities, the amount attributable to each rank is further broken down into amounts owed to the resolution entity and other amounts not owed to the resolution entity, where applicable. |
|
19. |
The ranking is presented from the most junior to the more senior. Rows for ranks shall be added until the most senior ranking eligible instrument and all liabilities ranking pari passu with it, have been reported. |
3.1. M 05.00 – Creditor ranking (entity that is not a resolution entity)
3.1.1. General remarks
|
20. |
Entities that are subject to the obligation to comply with the requirement of Article 92b of Regulation (EU) No 575/2013 shall report in this template the own funds and eligible liabilities for the purposes of internal MREL, as well as other bail-in-able liabilities. Liabilities excluded from bail-in shall be included to the extent that they rank pari passu with or junior to any instrument included in the amount of eligible liabilities for the purposes of internal MREL. |
|
21. |
Entities that are not subject to the obligation to comply with the requirement of Article 92b of Regulation (EU) No 575/2013, but are subject to the obligation to comply with the requirement of Article 45 of Directive 2014/59/EU in accordance with Article 45f of that Directive, shall report in this template the own funds and liabilities eligible for the purposes of internal MREL, as well as other bail-in-able liabilities. By way of derogation from this, entities may choose to report the same scope of own funds and liabilities as specified in paragraph 20 above. |
|
22. |
Entities that, at the date of the reporting of that in-formation, hold amounts of own funds and eligible liabilities of at least 150 % of the requirement referred to in Article 45(1) of Directive 2014/59/EU, shall be exempted from reporting information on other bail-in-able liabilities. Such entities may opt to report information on other bail-in-able liabilities in this template on a voluntary basis. |
|
23. |
The combination of columns 0010 and 0020 is a row identifier which shall be unique for all rows in the template. |
3.1.2. Instructions concerning specific positions
|
Columns |
Legal references and instructions |
||||
|
0010 |
Insolvency rank The number of the insolvency rank in the creditor hierarchy of the reporting entity shall be reported, starting with the most junior rank. The insolvency rank shall be one of the ranks included in the insolvency rankings published by the resolution authority of that jurisdiction. |
||||
|
0020 |
Type of creditor The type of creditor shall be one of the following:
This entry shall be selected to report the amounts owned by other creditors, where applicable. |
||||
|
0030 |
Description of insolvency rank The description included in the insolvency rankings published by the resolution authority of that jurisdiction, where a standardised list including such a description is available. Otherwise, own description of the insolvency rank by the institution, mentioning at least the main type of instrument in the respective insolvency rank. |
||||
|
0040 |
Liabilities and own funds The amount of own funds, of eligible liabilities and, where applicable, of other bail-in-able liabilities that is allocated to the insolvency rank indicated in column 0010 shall be reported. Where applicable, this column shall include also liabilities excluded from bail-in to the extent they are ranking lower than or pari passu with own funds and eligible liabilities. In case of entities referred to in the first sentence of paragraph 21, this column shall be left empty, unless those entities choose to apply the derogation of the last sentence of paragraph 21. |
||||
|
0050 |
Of which excluded liabilities Amount of liabilities excluded in accordance with Article 72a(2) of Regulation (EU) No 575/2013 or Article 44(2) of Directive 2014/59/EU. Where the resolution authority decided to exclude liabilities in accordance with Article 44(3) of that Directive, those excluded liabilities shall be reported in this row as well. In case of entities referred to in the first sentence of paragraph 21, this column shall be left empty, unless those entities choose to apply the derogation of the last sentence of paragraph 21. |
||||
|
0060 |
Liabilities and own funds less excluded liabilities The amount of liabilities and own funds, as reported in column 0040, shall be reported, reduced by the amount of excluded liabilities reported in column 0050. |
||||
|
0070 |
of which: own funds and eligible liabilities for the purpose of internal MREL The amount of own funds and eligible liabilities counting towards internal MREL in accordance with Article 45f(2) of Directive 2014/59/EU shall be reported. |
||||
|
0080 – 0110 |
of which: with a residual maturity of The amount of own funds and eligible liabilities counting towards internal MREL, as reported in column 0070, shall be broken down by the residual maturity of the different instruments and items. Instruments and items of perpetual nature shall not be considered in this breakdown, but be reported separately in column 0120. |
||||
|
0080 |
≥ 1 year < 2 years |
||||
|
0090 |
≥ 2 year < 5 years |
||||
|
0100 |
≥ 5 years < 10 years |
||||
|
0110 |
≥ 10 years |
||||
|
0120 |
Of which: perpetual securities |
3.2. M 06.00 – Creditor ranking (resolution entity) (RANK)
3.2.1. General remarks
|
24. |
Entities that are subject to the obligation to comply with the requirement of Article 92a of Regulation (EU) No 575/2013 shall report in this template own funds, eligible liabilities for the purposes of MREL and other bail-in-able liabilities. Liabilities excluded from bail-in shall be included to the extent that they rank pari passu with or junior to any instrument included in the amount of eligible liabilities for the purposes of MREL. |
|
25. |
Entities that are not subject to the obligation to comply with the requirement of Article 92a of Regulation (EU) No 575/2013, but are subject to the obligation to comply with the requirement of Article 45 of Directive 2014/59/EU in accordance with Article 45e of that Directive, shall report in this template the own funds and eligible liabilities for the purposes of MREL, as well as other bail-in-able liabilities. These entities may choose to report the same scope of own funds and liabilities as specified in paragraph 24 above. |
|
26. |
Entities that, at the date of the reporting of that in-formation, hold amounts of own funds and eligible liabilities of at least 150 % of the requirement referred to in Article 45(1) of Directive 2014/59/EU, shall be exempted from reporting information on other bail-in-able liabilities. Such entities may opt to report information on other bail-in-able liabilities in this template on a voluntary basis. |
3.2.2. Instructions concerning specific positions
|
Columns |
Legal references and instructions |
|
0010 |
Insolvency rank See instructions on column 0010 of template M 05.00 This column is a row identifier which shall be unique for all rows in the template. |
|
0020 |
Description of insolvency rank See instructions on column 0030 of template M 05.00 |
|
0030 |
Liabilities and own funds The amount of own funds, of eligible liabilities and, where applicable, of other bail-in-able liabilities, that is allocated to the insolvency rank indicated in column 0010 shall be reported. Where applicable, this column shall include also liabilities excluded from bail-in to the extent they are ranking lower than or pari passu with eligible liabilities. In case of entities referred to in the first sentence of paragraph 25, this column shall be left empty, unless those entities choose to apply the derogation of the last sentence of paragraph 25. |
|
0040 |
Of which excluded liabilities Amount of liabilities excluded pursuant to Article 72a(2) of Regulation (EU) No 575/2013 or Article 44(2) of Directive 2014/59/EU. In case of entities referred to in the first sentence of paragraph 25, this column shall be left empty, unless those entities choose to apply the derogation of the second sentence of paragraph 25. |
|
0050 |
Liabilities and own funds less excluded liabilities The amount of liabilities and own funds, as reported in column 0030, shall be reported, reduced by the amount of excluded liabilities reported in column 0040. |
|
0060 |
of which: own funds and liabilities potentially eligible for meeting MREL The amount of own funds and liabilities eligible for the purpose of meeting the requirements of Article 45 of Directive 2014/59/EU in accordance with Article 45e of that Directive. |
|
0070 – 0100 |
of which: with a residual maturity of The amount of own funds and liabilities eligible for the purpose of meeting the requirement of Articles 45 of Directive 2014/59/EU in accordance with Article 45e of that Directive, as reported in column 0060, shall be broken down by the residual maturity of the different instruments and items. Instruments and items of perpetual nature shall not be considered in this breakdown, but be reported separately in column 0110. |
|
0070 |
≥ 1 year < 2 years |
|
0080 |
≥ 2 year < 5 years |
|
0090 |
≥ 5 years < 10 years |
|
0100 |
≥ 10 years |
|
0110 |
Of which: perpetual securities |
4. M 07.00 – Instruments governed by third country law (MTCI)
4.1. General remarks
|
27. |
Template M 07.00 provides a contract-by-contract breakdown of instruments that qualify as own funds and eligible liabilities for the purposes of MREL. Only instruments that are governed by the law of a third country shall be reported in the template. |
|
28. |
In relation to eligible liabilities that are not subordinated to excluded liabilities, entities shall only report securities which are fungible, negotiable financial instruments, at the exclusion of loans and deposits. |
|
29. |
In case of instruments partially qualifying for two different classes of own funds or eligible liabilities, the instrument shall be reported two times to reflect the amounts allocated to the different capital classes separately. |
|
30. |
The combination of columns 0020 (Code of the issuing entity), 0040 (Contract identifier) and 0070 (Type of own funds or eligible liabilities) constitutes a row identifier, which must be unique for each row reported in the template. |
4.2. Instructions concerning specific positions
|
Columns |
Legal references and instructions |
||||||||
|
0010 – 0030 |
Issuing entity Where the information is reported with reference to a resolution group, the entity of the group that issued the respective instrument shall be indicated. Where the information is reported, with reference to a single resolution entity, the issuing entity shall be the reporting entity itself. |
||||||||
|
0010 |
Name Name of the entity that issued the own funds instrument or the eligible liability instrument |
||||||||
|
0020 |
Code Code of the entity that issued the own funds instrument or the eligible liability instrument. The code as part of a row identifier must be unique for each reported entity. For institutions, the code shall be the LEI code. For other entities the code shall be the LEI code, or if not available, a national code. The code shall be unique and used consistently across the templates and across time. The code shall always have a value. |
||||||||
|
0030 |
Type of code The institutions shall identify the type of code reported in column 0020 as a ‘LEI code’ or ‘Non-LEI code’. The type of code shall always be reported. |
||||||||
|
0040 |
Contract identifier The contract identifier of the instrument, such as CUSIP, ISIN or Bloomberg identifier for private placement, shall be reported. This item is part of the row identifier. |
||||||||
|
0050 |
Governing law (third country) The third country (countries other than the countries of the EEA) the law of which governs the contract, or parts of the contract, shall be indicated. |
||||||||
|
0060 |
Contractual recognition of write down and conversion powers It shall be indicated whether the contract contains the contractual terms referred to in Article 55(1) of Directive 2014/59/EU, points (p) and (q) of Article 52(1) and points (n) and (o) of Article 63 of Regulation (EU) No 575/2013. |
||||||||
|
0070 – 0080 |
Regulatory treatment |
||||||||
|
0070 |
Type of own funds or eligible liabilities Type of own funds or eligible liabilities, as which the instrument qualifies at the reference date. Transitional provisions on the eligibility of instruments shall be taken into consideration. Instruments that qualify for multiple capital classes shall be reported once per applicable capital class. The type of own funds or eligible liabilities shall be one of the following:
|
||||||||
|
0080 |
Instrument type The type of instrument to be specified depends on the governing law under which it is issued. In case of CET1 instruments, the type of instrument shall be selected from the list of CET1 instruments published by the EBA pursuant to Article 26(3) of Regulation (EU) No 575/2013. In case of own funds other than CET1, and eligible liabilities, the type of instrument shall be selected from a list of corresponding instruments published by EBA, competent authorities or resolution authorities, where such list is available. Where no lists is available, the reporting entity shall specify the type of instruments itself. |
||||||||
|
0090 |
Amount The amount recognised in own funds or eligible liabilities shall be reported considering the level the report refers to, in case of instruments included at multiple levels. The amount shall be the amount relevant at the reference date, considering the effect of transitional provisions. |
||||||||
|
0100 – 0110 |
Rank in normal insolvency proceedings The ranking of the instrument in normal insolvency proceedings shall be specified. It shall consist of the two letter ISO code of the country the law of which governs the ranking of the contract (column 0100), which shall be the law of a Member State, and the number of the relevant insolvency rank (column 0110). The relevant insolvency rank shall be determined based on the insolvency rankings published by resolution or other authorities, where such a standardised list is available. |
||||||||
|
0120 |
Maturity The maturity of the instrument shall be reported in the following format: dd/mm/yyyy. In case of perpetual instruments, the cell shall be left empty. |
||||||||
|
0130 |
(First) Call date Where the issuer possesses a call option, the first date at which the call can be exercised shall be reported. If the first call date has occurred prior to the reference date, that date shall be reported if the call is still exercisable. If it is not exercisable anymore, the next date at which the call be exercised shall be reported. In case of issuer call options with unspecified exercise date or call options triggered by specific events, the conservatively estimated likely call date shall be reported. Regulatory or tax calls options shall not be considered for the purposes of this column. |
||||||||
|
0140 |
Regulatory call (Y/N) It shall be indicated whether the issuer possesses a call option exercisable upon the occurrence of a regulatory event affecting the eligibility of the contract to MREL. |
(1) Directive 2014/59/EU of the European Parliament and of the Council of 15 May 2014 establishing a framework for the recovery and resolution of credit institutions and investment firms and amending Council Directive 82/891/EEC, and Directives 2001/24/EC, 2002/47/EC, 2004/25/EC, 2005/56/EC, 2007/36/EC, 2011/35/EU, 2012/30/EU and 2013/36/EU, and Regulations (EU) No 1093/2010 and (EU) No 648/2012, of the European Parliament and of the Council (OJ L 173, 12.6.2014, p. 190).
(2) 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).
(3) Commission Implementing Regulation (EU) 2018/1624 of 23 October 2018 laying down implementing technical standards with regard to procedures and standard forms and templates for the provision of information for the purposes of resolution plans for credit institutions and investment firms pursuant to Directive 2014/59/EU of the European Parliament and of the Council, and repealing Commission Implementing Regulation (EU) 2016/1066 (OJ L 277, 7.11.2018, p. 1).
(4) 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 III
Part I: Single Data Point Model
All data items set out in Annexes I and II shall be transformed into a single data point model which shall be the basis for uniform IT systems of institutions, competent authorities and resolution authorities.
The single data point model shall meet the following criteria:
|
(a) |
it provides a structured representation of all data items set out in Annex I; |
|
(b) |
it identifies all the business concepts set out in Annexes I and II; |
|
(c) |
it provides a data dictionary identifying table labels, ordinate labels, axis labels, domain labels, dimension labels and member labels; |
|
(d) |
it provides metrics which define the property or amount of data points; |
|
(e) |
it provides data point definitions that are expressed as a composition of characteristics that univocally identify the concept; |
|
(f) |
it contains all the relevant technical specifications necessary for developing IT reporting solutions producing uniform supervisory data. |
Part II: Validation rules
The data items set out in Annexes I and II shall be subject to validation rules ensuring data quality and consistency.
The validation rules shall meet the following criteria:
|
(a) |
they define the logical relationships between relevant data points; |
|
(b) |
they include filters and preconditions that define a set of data to which a validation rule applies; |
|
(c) |
they check the consistency of the reported data; |
|
(d) |
they check the accuracy of the reported data; |
|
(e) |
they set default values to be applied where the relevant information has not been reported. |
ANNEX IV
Standardised presentation of insolvency rankings
National insolvency ranking
Member State:
|
Rank (1) |
Name |
Description |
Legal basis |
Comments |
|
1 |
|
|
|
|
|
2 |
|
|
|
|
|
3 |
|
|
|
|
|
4 |
|
|
|
|
|
5 |
|
|
|
|
|
6 |
|
|
|
|
|
7 |
|
|
|
|
|
8 |
|
|
|
|
|
9 |
|
|
|
|
|
10 |
|
|
|
|
|
11 |
|
|
|
|
|
12 |
|
|
|
|
|
13 |
|
|
|
|
|
14 |
|
|
|
|
|
15 |
|
|
|
|
|
16 |
|
|
|
|
|
17 |
|
|
|
|
|
18 |
|
|
|
|
|
19 |
|
|
|
|
|
20 |
|
|
|
|
|
|
|
|
|
|
(1) The ranking starts with the most junior ranking instruments and items. If there are less than 20 different insolvency ranks in the jurisdiction, the rows corresponding to the non-existing insolvency ranks shall be left empty
ANNEX V
DISCLOSURE ON MREL/TLAC - TEMPLATES
|
Template code |
Name of the template |
|
EU KM2 |
Key metrics - MREL and, where applicable, G-SII requirement for own funds and eligible liabilities |
|
EU TLAC1 |
Composition - MREL and, where applicable, G-SII requirement for own funds and eligible liabilities |
|
EU iLAC |
Internal loss absorbing capacity: internal MREL and, where applicable, requirement for own funds and eligible liabilities for non-EU G-SIIs |
|
EU TLAC2 |
Creditor ranking - Entity that is not a resolution entity |
|
EU TLAC3 |
Creditor ranking - resolution entity |
EU KM2: Key metrics - MREL and, where applicable, G-SII requirement for own funds and eligible liabilities
|
|
a |
b |
c |
d |
e |
f |
|
|
Minimum requirement for own funds and eligible liabilities (MREL) |
G-SII Requirement for own funds and eligible liabilities (TLAC) |
||||||
|
T |
T |
T-1 |
T-2 |
T-3 |
T-4 |
||
|
Own funds and eligible liabilities, ratios and components |
|||||||
|
1 |
Own funds and eligible liabilities |
|
|
|
|
|
|
|
EU-1a |
Of which own funds and subordinated liabilities |
|
|
|
|
|
|
|
2 |
Total risk exposure amount of the resolution group (TREA) |
|
|
|
|
|
|
|
3 |
Own funds and eligible liabilities as a percentage of the TREA |
|
|
|
|
|
|
|
EU-3a |
Of which own funds and subordinated liabilities |
|
|
|
|
|
|
|
4 |
Total exposure measure (TEM) of the resolution group |
|
|
|
|
|
|
|
5 |
Own funds and eligible liabilities as percentage of the TEM |
|
|
|
|
|
|
|
EU-5a |
Of which own funds or subordinated liabilities |
|
|
|
|
|
|
|
6a |
Does the subordination exemption in Article 72b(4) of Regulation (EU) No 575/2013 apply? (5 % exemption) |
|
|
|
|
|
|
|
6b |
Aggregate amount of permitted non-subordinated eligible liabilities instruments if the subordination discretion in accordance with Article 72b(3) of Regulation (EU) No 575/2013 is applied (max 3,5 % exemption) |
|
|
|
|
|
|
|
6c |
If a capped subordination exemption applies in accordance with Article 72b (3) of Regulation (EU) No 575/2013, the amount of funding issued that ranks pari passu with excluded liabilities and that is recognised under row 1, divided by funding issued that ranks pari passu with excluded liabilities and that would be recognised under row 1 if no cap was applied (%) |
|
|
|
|
|
|
|
Minimum requirement for own funds and eligible liabilities (MREL) |
|||||||
|
EU-7 |
MREL expressed as a percentage of the TREA |
|
|
|
|
|
|
|
EU-8 |
Of which to be met with own funds or subordinated liabilities |
|
|
|
|
|
|
|
EU-9 |
MREL expressed as a percentage of the TEM |
|
|
|
|
|
|
|
EU-10 |
Of which to be met with own funds or subordinated liabilities |
|
|
|
|
|
|
EU TLAC1 - Composition - MREL and, where applicable, G-SII Requirement for own funds and eligible liabilities
|
|
a |
b |
c |
|
|
Minimum requirement for own funds and eligible liabilities (MREL) |
G-SII requirement for own funds and eligible liabilities (TLAC) |
Memo item: Amounts eligible for the purposes of MREL, but not of TLAC |
||
|
Own funds and eligible liabilities and adjustments |
||||
|
1 |
Common Equity Tier 1 capital (CET1) |
|
|
|
|
2 |
Additional Tier 1 capital (AT1) |
|
|
|
|
3 |
Empty set in the EU |
|
|
|
|
4 |
Empty set in the EU |
|
|
|
|
5 |
Empty set in the EU |
|
|
|
|
6 |
Tier 2 capital (T2) |
|
|
|
|
7 |
Empty set in the EU |
|
|
|
|
8 |
Empty set in the EU |
|
|
|
|
11 |
Own funds for the purpose of Articles 92a of Regulation (EU) No 575/2013 and 45 of Directive 2014/59/EU |
|
|
|
|
Own funds and eligible liabilities: Non-regulatory capital elements |
||||
|
12 |
Eligible liabilities instruments issued directly by the resolution entity that are subordinated to excluded liabilities (not grandfathered) |
|
|
|
|
EU-12a |
Eligible liabilities instruments issued by other entities within the resolution group that are subordinated to excluded liabilities (not grandfathered) |
|
|
|
|
EU-12b |
Eligible liabilities instruments that are subordinated to excluded liabilities issued prior to 27 June 2019 (subordinated grandfathered) |
|
|
|
|
EU-12c |
Tier 2 instruments with a residual maturity of at least one year to the extent they do not qualify as Tier 2 items |
|
|
|
|
13 |
Eligible liabilities that are not subordinated to excluded liabilities (not grandfathered pre-cap) |
|
|
|
|
EU-13a |
Eligible liabilities that are not subordinated to excluded liabilities issued prior to 27 June 2019 (pre-cap) |
|
|
|
|
14 |
Amount of non subordinated eligible liabilities instruments, where applicable after application of Article 72b (3) CRR |
|
|
|
|
15 |
Empty set in the EU |
|
|
|
|
16 |
Empty set in the EU |
|
|
|
|
17 |
Eligible liabilities items before adjustments |
|
|
|
|
EU-17a |
Of which subordinated liabilities items |
|
|
|
|
Own funds and eligible liabilities: Adjustments to non-regulatory capital elements |
||||
|
18 |
Own funds and eligible liabilities items before adjustments |
|
|
|
|
19 |
(Deduction of exposures between multiple point of entry (MPE) resolution groups) |
|
|
|
|
20 |
(Deduction of investments in other eligible liabilities instruments) |
|
|
|
|
21 |
Empty set in the EU |
|
|
|
|
22 |
Own funds and eligible liabilities after adjustments |
|
|
|
|
EU-22a |
Of which: own funds and subordinated liabilities |
|
|
|
|
Risk-weighted exposure amount and leverage exposure measure of the resolution group |
||||
|
23 |
Total risk exposure amount (TREA) |
|
|
|
|
24 |
Total exposure measure (TEM) |
|
|
|
|
Ratio of own funds and eligible liabilities |
||||
|
25 |
Own funds and eligible liabilities as a percentage of TREA |
|
|
|
|
EU-25a |
Of which own funds and subordinated liabilities |
|
|
|
|
26 |
Own funds and eligible liabilities as a percentage of TEM |
|
|
|
|
EU-26a |
Of which own funds and subordinated liabilities |
|
|
|
|
27 |
CET1 (as a percentage of the TREA) available after meeting the resolution group’s requirements |
|
|
|
|
28 |
Institution-specific combined buffer requirement |
|
|
|
|
29 |
of which capital conservation buffer requirement |
|
|
|
|
30 |
of which countercyclical buffer requirement |
|
|
|
|
31 |
of which systemic risk buffer requirement |
|
|
|
|
EU-31a |
of which Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer |
|
|
|
|
Memorandum items |
||||
|
EU-32 |
Total amount of excluded liabilities referred to in Article 72a(2) of Regulation (EU) No 575/2013 |
|
|
|
EU ILAC - Internal loss absorbing capacity: internal MREL and, where applicable, requirement for own funds and eligible liabilities for non-EU G-SIIs
|
|
a |
b |
c |
|
|
Minimum requirement for own funds and eligible liabilities (internal MREL) |
Non-EU G-SII requirement for own funds and eligible liabilities (internal TLAC) |
Qualitative information |
||
|
Applicable requirement and level of application |
||||
|
EU-1 |
Is the entity subject to a non-EU G-SII requirement for own funds and eligible liabilities? (Y/N) |
|
|
|
|
EU-2 |
If EU-1 is answered by 'Yes', is the requirement applicable on a consolidated or individual basis? (C/I) |
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EU-2a |
Is the entity subject to an internal MREL? (Y/N) |
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EU-2b |
If EU-2a is answered by 'Yes', is the requirement applicable on a consolidated or individual basis? (C/I) |
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Own funds and eligible liabilities |
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EU-3 |
Common Equity Tier 1 capital (CET1) |
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EU-4 |
Eligible Additional Tier 1 capital |
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EU-5 |
Eligible Tier 2 capital |
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EU-6 |
Eligible own funds |
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EU-7 |
Eligible liabilities |
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EU-8 |
of which permitted guarantees |
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EU-9a |
(Adjustments) |
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EU-9b |
Own funds and eligible liabilities items after adjustments |
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Total risk exposure amount and total exposure measure |
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EU-10 |
Total risk exposure amount (TREA) |
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EU-11 |
Total exposure measure (TEM) |
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Ratio of own funds and eligible liabilities |
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EU-12 |
Own funds and eligible liabilities as a percentage of the TREA |
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EU-13 |
of which permitted guarantees |
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EU-14 |
Own funds and eligible liabilities as a percentage of the TEM |
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EU-15 |
of which permitted guarantees |
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EU-16 |
CET1 (as a percentage of the TREA) available after meeting the entity’s requirements |
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EU-17 |
Institution-specific combined buffer requirement |
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Requirements |
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EU-18 |
Requirement expressed as a percentage of the TREA |
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EU-19 |
of which part of the requirement that may be met with a guarantee |
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EU-20 |
Requirement expressed as percentage of the TEM |
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EU-21 |
of which part of the requirement that may be met with a guarantee |
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Memorandum items |
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EU-22 |
Total amount of excluded liabilities referred to in Article 72a(2) of Regulation (EU) No 575/2013 |
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EU TLAC2a: Creditor ranking - Entity that is not a resolution entity
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Insolvency ranking |
Sum of 1 to n |
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1 |
1 |
2 |
2 |
… |
n |
n |
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(most junior) |
(most junior) |
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(most senior) |
(most senior) |
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Resolution entity |
Other |
Resolution entity |
Other |
… |
Resolution entity |
Other |
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1 |
Empty set in the EU |
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2 |
Description of insolvency rank (free text) |
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3 |
Liabilities and own funds |
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4 |
of which excluded liabilities |
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5 |
Liabilities and own funds less excluded liabilities |
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6 |
Subset of liabilities and own funds less excluded liabilities that are own funds and eligible liabilities for the purpose of [choose as a appropriate: internal MREL/internal TLAC] |
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7 |
of which residual maturity ≥ 1 year < 2 years |
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8 |
of which residual maturity ≥ 2 year < 5 years |
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9 |
of which residual maturity ≥ 5 years < 10 years |
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10 |
of which residual maturity ≥ 10 years, but excluding perpetual securities |
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11 |
of which perpetual securities |
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EU TLAC2b: Creditor ranking - Entity that is not a resolution entity
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Insolvency ranking |
Sum of 1 to n |
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1 |
1 |
2 |
2 |
… |
n |
n |
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(most junior) |
(most junior) |
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(most senior) |
(most senior) |
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Resolution entity |
Other |
Resolution entity |
Other |
… |
Resolution entity |
Other |
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1 |
Empty set in the EU |
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2 |
Description of insolvency rank (free text) |
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3 |
Empty set in the EU |
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4 |
Empty set in the EU |
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5 |
Empty set in the EU |
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6 |
Own funds and eligible liabilities for the purpose of internal MREL |
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7 |
of which residual maturity ≥ 1 year < 2 years |
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8 |
of which residual maturity ≥ 2 year < 5 years |
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9 |
of which residual maturity ≥ 5 years < 10 years |
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10 |
of which residual maturity ≥ 10 years, but excluding perpetual securities |
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11 |
of which perpetual securities |
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EU TLAC3a: creditor ranking - resolution entity
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Insolvency ranking |
Sum of 1 to n |
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1 |
2 |
… |
n |
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(most junior) |
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(most senior) |
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1 |
Description of insolvency rank (free text) |
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2 |
Liabilities and own funds |
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3 |
of which excluded liabilities |
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4 |
Liabilities and own funds less excluded liabilities |
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5 |
Subset of liabilities and own funds less excluded liabilities that are own funds and liabilities potentially eligible for meeting [choose as a appropriate: MREL/TLAC] |
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6 |
of which residual maturity ≥ 1 year < 2 years |
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7 |
of which residual maturity ≥ 2 year < 5 years |
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8 |
of which residual maturity ≥ 5 years < 10 years |
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9 |
of which residual maturity ≥ 10 years, but excluding perpetual securities |
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10 |
of which perpetual securities |
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EU TLAC3b: creditor ranking - resolution entity
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Insolvency ranking |
Sum of 1 to n |
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1 |
2 |
… |
n |
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(most junior) |
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(most senior) |
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1 |
Description of insolvency rank (free text) |
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2 |
Empty set in the EU |
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3 |
Empty set in the EU |
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4 |
Empty set in the EU |
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5 |
Own funds and liabilities potentially eligible for meeting MREL |
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6 |
of which residual maturity ≥ 1 year < 2 years |
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7 |
of which residual maturity ≥ 2 year < 5 years |
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8 |
of which residual maturity ≥ 5 years < 10 years |
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9 |
of which residual maturity ≥ 10 years, but excluding perpetual securities |
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10 |
of which perpetual securities |
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ANNEX VI
Instructions for disclosure templates
1. General instructions: Structure and conventions
1.1. Structure
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1. |
This framework for disclosures on MREL and TLAC consists of three groups of templates:
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2. |
For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each set of templates and instructions concerning specific positions are included in this Annex. |
1.2. Abbreviations
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3. |
The following abbreviations apply for the purposes of the Annexes to this Regulation:
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2. EU KM2: Key metrics – MREL and, where applicable, G-SII requirement for own funds and eligible liabilities
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4. |
Entities shall explain in the narrative accompanying the template any material difference between the own funds amounts disclosed and the IFRS 9 fully loaded amount at the resolution group level. They shall also explain any material difference between the IFRS 9 fully loaded amount at the resolution group level compared to the IFRS 9 fully loaded amount at prudential group level.
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3. EU TLAC 1: Composition – MREL and, where applicable, G-SII requirement for own funds and eligible liabilities
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5. |
The own funds and eligible liabilities position related to the resolution group shall include only capital instruments and eligible liabilities issued by the resolution entity and, where compliant with Article 45b(3) of Directive 2014/59/EU or Article 88a of Regulation (EU) No 575/2013, as applicable, by subsidiaries of the resolution entity, at the exclusion of entities outside of the resolution group. Similarly, the own funds and eligible liabilities position is based on the total risk exposure amount (adjusted as permitted under Article 45h(2) of Directive 2014/59/EU) and total exposure measure calculated at the level of the resolution group. |
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6. |
Regarding the regulatory adjustments, entities shall disclose deductions from own funds and eligible liabilities as negative numbers and additions to own funds and eligible liabilities as positive numbers.
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4. EU iLAC: Internal loss absorbing capacity: internal MREL and, where applicable, requirement for own funds and eligible liabilities for non-EU G-SIIs (internal TLAC)
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7. |
This template discloses own funds and eligible liabilities of entities that are not themselves resolution entities for the purposes of the requirement for own funds and eligible liabilities laid down in Article 45f of Directive 2014/59/EU (internal MREL) as well as the requirement for own funds and eligible liabilities for non-EU G-SIIs applicable to material subsidiaries of third country G-SIIs laid down in Article 92b of Regulation (EU) No 575/2013 (internal TLAC).
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5. EU TLAC2: Creditor ranking – entities that are not resolution entities themselves
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8. |
The information included in template EU TLAC2 is disclosed at the level of the individual entity. |
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9. |
Template EU TLAC2 exists in two versions, EU TLAC2a and EU TLAC2b. TLAC2a captures all funding that is pari passu or junior to MREL-eligible instruments, including own funds and other capital instruments. EU TLAC2b captures only own funds and liabilities eligible to meet the requirement of Article 45 of Directive 2014/59/EU in accordance with Article 45f of that Directive. |
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10. |
In accordance with Article 13(2) of this Regulation, entities that are not subject to the obligation to comply with the requirement of Article 92b of Regulation (EU) No 575/2013, but are subject to the obligation to comply with the requirement of Article 45 of Directive 2014/59/EU in accordance with Article 45f of that Directive can choose whether they use EU TLAC2a or EU TLAC2b to comply with the disclosure requirement set out in point (b) of Article 45i(3) of Directive 2014/59/EU. |
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11. |
From the date of application of Article 45i(3) of Directive 2014/59/EU, issuing entities shall disclose under template TLAC2a liabilities potentially eligible for meeting the internal MREL and internal TLAC requirements. Before that date, issuing entities shall disclose liabilities potentially eligible for meeting the internal TLAC requirement. |
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12. |
The outstanding amounts referred to in the rows have to be broken down into insolvency ranks on the basis of the insolvency law of the issuing entity, irrespective of the governing law of the instrument. |
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13. |
Insolvency rankings shall be those communicated by the competent resolution authority in compliance with the standardised presentation specified in Article 8 of this Regulation. |
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14. |
The ranks are presented from the most junior to the more senior. Columns for ranks have to be added until the most senior ranking potentially eligible instruments have been disclosed. |
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15. |
The amount attributable to each rank is further broken down into amounts owned by the resolution entity, including amounts owned directly or indirectly by the resolution entity through entities along the chain of ownership, where applicable; and other amounts not owned by the resolution entity, where applicable. The total amount of each row is filled into the last column of each row.
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6. EU TLAC3: Creditor ranking – resolution entity
|
16. |
The information included in template EU TLAC3 is disclosed at the level of the individual entity. |
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17. |
Template EU TLAC3 exists in two versions, EU TLAC3a and EU TLAC3b. EU TLAC3a captures all funding that is pari passu or junior to instruments potentially eligible for MREL, including own funds and other capital instruments. Amounts that are ineligible solely as a result of subordination requirements shall be included in full in the row corresponding to the relevant insolvency rank, i.e. without applying the caps. EU TLAC3b captures only own funds and liabilities eligible to meet the requirement of Article 45 of Directive 2014/59/EU in accordance with Article 45e of that Directive. |
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18. |
In accordance with Article 14(2) of this Regulation, entities that are not subject to the obligation to comply with the requirement of Article 92a of Regulation (EU) No 575/2013, but are subject to the obligation to comply with the requirement of Article 45 of Directive 2014/59/EU in accordance with Article 45e of that Directive can choose whether they use EU TLAC3a or EU TLAC3b to comply with the disclosure requirement set out in point (b) of Article 45i(3) of Directive 2014/59/EU. |
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19. |
From the date of application of Article 45i(3) of Directive 2014/59/EU, issuing entities shall disclose under template EU TLAC3a liabilities potentially eligible for meeting the MREL and TLAC requirements. Before that date, issuing entities shall disclose liabilities potentially eligible for meeting the internal TLAC requirement. |
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20. |
The outstanding amounts referred to in rows 2 to 10 have to be broken down into insolvency rank on the basis of the insolvency law of the issuing entity, irrespective of the governing law of the instrument. |
|
21. |
The insolvency ranks shall be those communicated by the competent resolution authority in compliance with the standardised presentation specified in the relevant reporting template. |
|
22. |
The ranks are presented from the most junior to the more senior. Columns for ranks have to be added until the most senior ranking potentially eligible instruments have been disclosed.
|