Commission Implementing Regulation (EU) 2021/637 laying down implementing technical standards for public disclosures by institutions

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Document 02021R0637-20230108

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

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

Access initial legal act (

In force )

08/01/2023

ELI: http://data.europa.eu/eli/reg_impl/2021/637/2023-01-08

Language 1

Language 2

Language 3

02021R0637 — EN — 08.01.2023 — 003.001

This text is meant purely as a documentation tool and has no legal effect. The Union's institutions do not assume any liability for its contents. The authentic versions of the relevant acts, including their preambles, are those published in the Official Journal of the European Union and available in EUR-Lex. Those official texts are directly accessible through the links embedded in this document

COMMISSION IMPLEMENTING REGULATION (EU) 2021/637

of 15 March 2021

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

(Text with EEA relevance)

(OJ L 136 21.4.2021, p. 1)

Amended by:

Official Journal

page

date

COMMISSION IMPLEMENTING REGULATION (EU) 2021/1018 of 22 June 2021

L 224

24.6.2021

COMMISSION IMPLEMENTING REGULATION (EU) 2022/631 of 13 April 2022

L 117

19.4.2022

COMMISSION IMPLEMENTING REGULATION (EU) 2022/2453 of 30 November 2022

L 324

19.12.2022

▼B

COMMISSION IMPLEMENTING REGULATION (EU) 2021/637

of 15 March 2021

(Text with EEA relevance)

Article 1

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

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

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

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

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

Article 2

Disclosure of risk management objectives and policies

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

Article 3

Disclosure of the scope of application

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

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

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

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

Article 4

Disclosure of own funds

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

(a)

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

(b)

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

Article 5

Disclosure of countercyclical capital buffers

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

(a)

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

(b)

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

Article 6

Disclosure of the leverage ratio

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

(a)

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

(b)

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

▼M1

Article 6a

Disclosure of indicators of global systemic importance

G-SIIs shall disclose the information on the values of the indicators used for determining their score referred to in Article 441 of Regulation (EU) No 575/2013 by using the uniform disclosure format referred to in Article 434a of Regulation (EU) No 575/2013 which shall be used for the collection of the indicator values by relevant authorities as set out in Article 3(2) of Commission Delegated Regulation (EU) No 1222/2014, with the exception of any ancillary data and memorandum items collected in accordance with that Article.

G-SIIs shall disclose the information referred to in paragraph 1 in their year-end Pillar 3 report. G-SIIs shall redisclose the information referred to in paragraph 1 in their first Pillar 3 report following the final submission of the values of the indicators to the relevant authorities, where the submitted figures are different from the figures disclosed in the year-end Pillar 3 report.

▼B

Article 7

Disclosure of liquidity requirements

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

(a)

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

(b)

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

(c)

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

Article 8

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

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

(a)

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

(b)

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

(c)

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

(d)

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

(e)

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

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

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

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

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

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

Article 9

Disclosure of the use of credit risk mitigation techniques

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

(a)

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

(b)

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

Article 10

Disclosure of the use of the standardised approach

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

(a)

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

(b)

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

(c)

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

Article 11

Disclosure of the use of the IRB approach to credit risk

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

(a)

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

(b)

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

(c)

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

(d)

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

(e)

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

Article 12

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

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

Article 13

Disclosure of exposures to counterparty credit risk

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

(a)

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

(b)

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

(c)

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

(d)

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

(e)

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

(f)

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

(g)

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

(h)

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

Article 14

Disclosure of exposures to securitisation positions

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

(a)

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

(b)

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

(c)

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

(d)

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

Article 15

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

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

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

(a)

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

(b)

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

(c)

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

(d)

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

(e)

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

(f)

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

Article 16

Disclosure of operational risk

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

▼M2

Article 16a

Disclosure of exposures to interest rate risk on positions not held in the trading book

Institutions shall disclose the information referred to in Article 448(1), points (a) and (b), of Regulation (EU) No 575/2013 by using template EU IRRBB1 set out in Annex XXXVII to this Regulation and by following the instructions set out in Annex XXXVIII to this Regulation.

Institutions shall disclose the information referred to in Article 448(1), points (c) to (g), of Regulation (EU) No 575/2013 by using table EU IRRBBA set out in Annex XXXVII to this Regulation and by following the instructions set out in Annex XXXVIII to this Regulation.

Where institutions disclose an information in accordance with paragraph 1 or 2 for the first time, the disclosure of that information relating to the previous reference date shall not be required.

▼B

Article 17

Disclosure of remuneration policy

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

(a)

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

(b)

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

(c)

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

(d)

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

(e)

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

Article 18

Disclosure of encumbered and unencumbered assets

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

▼M3

Article 18a

Disclosure of environmental, social and governance risks (ESG risks)

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

(a)

qualitative information on environmental, social and governance risks by using tables 1, 2 and 3 of Annex XXXIX to this Regulation and by following the instructions set out in Annex XL to this Regulation;

(b)

quantitative information on climate change transition risk by using Templates 1 to 4 of Annex XXXIX to this Regulation and by following the instructions set out in Annex XL to this Regulation;

(c)

quantitative information on climate change physical risks by using Template 5 of Annex XXXIX to this Regulation and by following the instructions set out in Annex XL to this Regulation;

(d)

quantitative information on mitigating actions associated with economic activities that qualify as environmentally sustainable under Articles 3 of Regulation (EU) 2020/852 of the European Parliament and of the Council (

) towards those counterparties that are subject to Articles 19a or 29a of Directive 2013/34/EU of the European Parliament and of the Council (

), towards households, and towards local governments as referred to in Part 1, point 42(b), of Annex V to Commission Implementing Regulation (EU) 2021/451 (

), by using Templates 6, 7 and 8 of Annex XXXIX to this Regulation and by following the instructions set out in Annex XL to this Regulation;

(e)

quantitative information on other mitigating actions and exposures to climate-change-related risks that do not qualify as environmentally sustainable economic activities under Article 3 of Regulation (EU) 2020/852 but support counterparties in the transition or adaptation process for the objectives of climate change mitigation and climate change adaptation, by using Template 10 of Annex XXXIX to this Regulation and by following the instructions set out in Annex XL to this Regulation.

Institutions may choose to disclose quantitative information on mitigating actions and exposures on climate-change-related risks associated with economic activities that qualify as environmentally sustainable under Article 3 of Regulation (EU) 2020/852, towards counterparties that are non-financial corporations as referred to in Part 1, point 42(e) of Annex V to Implementing Regulation (EU) 2021/451, that are not subject to the disclosure obligations laid down in Articles 19a or 29a of Directive 2013/34/EU and that are not subject to the disclosure obligations laid down in Commission Implementing Regulation (EU) 2021/2178 (

), by using Template 9 of Annex XXXIX to this Regulation and by following the instructions set out in Annex XL to this Regulation.

For the calculation of the percentage of the exposures to activities that comply with the requirements laid down in Article 3 of Regulation (EU) 2020/852 (taxonomy-aligned exposures) towards those counterparties, institutions:

(a)

may, where available, use the information received from their counterparties on a voluntary and bilateral basis through the loan origination, and regular credit review and monitoring processes;

(b)

where the counterparty is not able or willing to provide the data concerned on a bilateral basis, may use internal estimates and proxies and explain in the narrative accompanying the template to what extent those internal estimates and proxies have been used, and which internal estimates and proxies have been applied;

(c)

where they are unable to collect on a bilateral basis the information concerned, or cannot use internal estimates and proxies, or cannot collect that information or use those estimates and proxies in a way that is not overly burdensome for them or their counterparties, may explain that inability in the narrative accompanying the template.

For the purposes of point (a), institutions shall inform their counterparties that the provision of such information is voluntary.

Unless indicated otherwise in the instructions set out in Annex XL to this Regulation, institutions shall, as of 31 December 2022, disclose the information referred to in Article 449a of Regulation (EU) No 575/2013 on the following dates:

(a)

for annual disclosures: 31 December;

(b)

for semi-annual disclosures: 30 June and 31 December of each year.

▼B

Article 19

General provisions

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

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

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

Numeric values shall be presented as follows:

(a)

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

(b)

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

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

(a)

disclosure reference date and reference period;

(b)

reporting currency;

(c)

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

(d)

where relevant, the accounting standard used;

(e)

where relevant, the scope of consolidation.

Article 20

Repeal

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

Article 21

Entry into force

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

It shall apply from 28 June 2021.

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

ANNEX I

Template EU OV1 – Overview of total risk exposure amounts

Total risk exposure amounts (TREA)

Total own funds requirements

T-1

Credit risk (excluding CCR)

Of which the standardised approach

Of which the Foundation IRB (F-IRB) approach

Of which slotting approach

EU 4a

Of which equities under the simple riskweighted approach

Of which the Advanced IRB (A-IRB) approach

Counterparty credit risk - CCR

Of which the standardised approach

Of which internal model method (IMM)

EU 8a

Of which exposures to a CCP

EU 8b

Of which credit valuation adjustment - CVA

Of which other CCR

Not applicable

Settlement risk

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

Of which SEC-IRBA approach

Of which SEC-ERBA (including IAA)

Of which SEC-SA approach

EU 19a

Of which 1 250 % / deduction

Position, foreign exchange and commodities risks (Market risk)

Of which the standardised approach

Of which IMA

EU 22a

Large exposures

Operational risk

EU 23a

Of which basic indicator approach

EU 23b

Of which standardised approach

EU 23c

Of which advanced measurement approach

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

Not applicable

Total

Template EU KM1 - Key metrics template

T-1

T-2

T-3

T-4

Available own funds (amounts)

Common Equity Tier 1 (CET1) capital

Tier 1 capital

Total capital

Risk-weighted exposure amounts

Total risk exposure amount

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

Common Equity Tier 1 ratio (%)

Tier 1 ratio (%)

Total capital ratio (%)

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

EU 7a

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

EU 7b

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

EU 7c

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

EU 7d

Total SREP own funds requirements (%)

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

Capital conservation buffer (%)

EU 8a

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

Institution specific countercyclical capital buffer (%)

EU 9a

Systemic risk buffer (%)

Global Systemically Important Institution buffer (%)

EU 10a

Other Systemically Important Institution buffer (%)

Combined buffer requirement (%)

EU 11a

Overall capital requirements (%)

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

Leverage ratio

Total exposure measure

Leverage ratio (%)

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

EU 14a

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

EU 14b

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

EU 14c

Total SREP leverage ratio requirements (%)

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

EU 14d

Leverage ratio buffer requirement (%)

EU 14e

Overall leverage ratio requirement (%)

Liquidity Coverage Ratio

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

EU 16a

Cash outflows - Total weighted value

EU 16b

Cash inflows - Total weighted value

Total net cash outflows (adjusted value)

Liquidity coverage ratio (%)

Net Stable Funding Ratio

Total available stable funding

Total required stable funding

NSFR ratio (%)

Template EU INS1 - Insurance participations

Exposure value

Risk exposure amount

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

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

Supplementary own fund requirements of the financial conglomerate (amount)

Capital adequacy ratio of the financial conglomerate (%)

Table EU OVC - ICAAP information

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

Free format text boxes for disclosure on qualitative items

Legal basis

Row number

Free format

Article 438(a) CRR

(a)

Approach to assessing the adequacy of the internal capital

Article 438(c) CRR

(b)

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

ANNEX II

Instructions for overview disclosure templates

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

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

) (‘CRR’).

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

Legal references and instructions

Column number

Explanation

Total risk exposure amounts (TREA)

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

TREA (T-1)

TREA as disclosed in the previous disclosure period

Total own funds requirements

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

Legal references and instructions

Row number

Explanation

Credit risk (excluding CCR)

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

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

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

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

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

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

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

EU 4a

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

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

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

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

Counterparty credit risk – CCR

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

CCR - Of which the standardised approach

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

CCR - Of which internal model method (IMM)

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

EU 8a

CCR – Of which exposures to a CCP

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

EU 8b

CCR – Of which credit valuation adjustment – CVA

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

CCR - Of which other CCR

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

Not applicable

Settlement risk

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

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

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

Securitisation - Of which SEC-IRBA approach

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

Securitisation - Of which SEC-ERBA (including IAA)

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

Securitisation - Of which SEC-SA approach

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

EU 19a

Securitisation - Of which 1 250 % / deduction

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

Position, foreign exchange and commodities risks (Market risk)

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

Market risk - Of which the standardised approach

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

Market risk - Of which IMA

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

EU 22a

Large exposures

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

Operational risk

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

EU 23a

Operational risk - Of which basic indicator approach

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

EU 23b

Operational risk - Of which standardised approach

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

EU 23c

Operational risk - Of which advanced measurement approach

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

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

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

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

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

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

Not applicable

Total

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

Template EU KM1 – Key metrics template. Fixed format

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

Legal references and instructions

Column number

Explanation

a - e

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

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

Institutions shall disclose the dates corresponding to the disclosure periods.

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

Legal references and instructions

Row number

Explanation

Common Equity Tier 1 (CET1) capital

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

Tier 1 capital

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

Total capital

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

Total risk exposure amount

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

Common Equity Tier 1 ratio (%)

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

Tier 1 ratio (%)

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

Total capital ratio (%)

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

EU 7a

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

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

EU 7b

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

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

EU 7c

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

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

EU 7d

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

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

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

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

( 1 ) (‘EBA SREP GL’), expressed as a percentage of the total RWEAs.

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

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

Capital conservation buffer (%)

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

EU 8a

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

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

Institution specific countercyclical capital buffer (%)

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

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

EU 9a

Systemic risk buffer (%)

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

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

Global Systemically Important Institution buffer (%)

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

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

EU 10a

Other Systemically Important Institution buffer (%)

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

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

Combined buffer requirement (%)

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

EU 11a

Overall capital requirements (OCR) (%)

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

(i) the TSCR ratio referred to in row EU 7d;

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

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

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

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

Total exposure measure

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

Leverage ratio (%)

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

EU 14a

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

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

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

EU 14b

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

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

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

EU 14c

Total SREP leverage ratio requirements (%)

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

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

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

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

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

EU 14d

Leverage ratio buffer requirement (%)

Article 92(1a) CRR

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

EU 14e

Overall leverage ratio requirement (%)

Sum of rows EU 14c and EU 14d

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

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

EU 16a

Cash outflows - Total weighted value

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

EU 16b

Cash inflows - Total weighted value

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

Total net cash outflows (Adjusted value)

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

Liquidity coverage ratio (%)

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

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

Total available stable funding

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

Total required stable funding

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

NSFR ratio (%)

NSFR ratio calculated in accordance with Article 428b CRR.

( 1 )

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

( 2 )

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

Template EU INS1 – Insurance participations: Fixed format

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

Legal references and instructions

Column number

Explanation

Exposure value

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

Risk exposure amount

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

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

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

Legal references and instructions

Row number

Explanation

Supplementary own fund requirements of the financial conglomerate (amount)

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

Capital adequacy ratio of the financial conglomerate (%)

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

( 1 )

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

Table EU OVC - ICAAP information. Flexible format

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

Legal references and instructions

Row number

Explanation

(a)

Approach to assessing the adequacy of their internal capital

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

(b)

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

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

ANNEX III

Table EU OVA - Institution risk management approach

Free format text boxes for disclosure of qualitative information

Legal basis

Row number

Qualitative information - Free format

Point (f) of Article 435(1) CRR

(a)

Disclosure of concise risk statement approved by the management body

Point (b) of Article 435(1) CRR

(b)

Information on the risk governance structure for each type of risk

Point (e) of Article 435(1) CRR

(c)

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

Point (c) of Article 435(1) CRR

(d)

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

Point (c) of Article 435(1) CRR

(e)

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

Point (a) of Article 435(1) CRR

(f)

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

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

(g)

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

Table EU OVB - Disclosure on governance arrangements

Free format text boxes for disclosure of qualitative information

Legal basis

Row number

Free format

Point (a) of Article 435(2) CRR

(a)

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

Point (b) of Article 435(2) CRR

(b)

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

Point (c) of Article 435(2) CRR

(c)

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

Point (d) of Article 435(2) CRR

(d)

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

Point (e) Article 435(2) CRR

(e)

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

ANNEX IV

Instructions for disclosure of risk management objectives and policies

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

Institutions shall disclose the information referred to Article 435(1) of Regulation (EU) 575/2013 (

) (‘CRR’) by following the instructions provided below in this Annex to complete table EU OVA which is presented in Annex III to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

(a)

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

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

(b)

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

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

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

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

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

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

(c)

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

(d)

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

(e)

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

(f)

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

(g)

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

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

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

Legal references and instructions

Row number

Explanation

(a)

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

— Institutions under the scope of Article 91(3) and (4) of Directive (EU) 2013/36 ( 1 ) (‘CRD’) shall disclose the number of directorships as counted by this Article;

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

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

(b)

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

(c)

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

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

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

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

(d)

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

(e)

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

( 1 )

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

ANNEX V

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

Carrying values as reported in published financial statements

Carrying values under scope of prudential consolidation

Carrying values of items

Subject to the credit risk framework

Subject to the CCR framework

Subject to the securitisation framework

Subject to the market risk framework

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

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

….

xxx

Total assets

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

….

xxx

Total liabilities

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

Total

Items subject to

Credit risk framework

Securitisation framework

CCR framework

Market risk framework

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

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

Total net amount under the scope of prudential consolidation

Off-balance-sheet amounts

Differences in valuations

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

Differences due to consideration of provisions

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

Differences due to credit conversion factors

Differences due to Securitisation with risk transfer

Other differences

Exposure amounts considered for regulatory purposes

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

Name of the entity

Method of accounting consolidation

Method of prudential consolidation

Description of the entity

Full consolidation

Proportional consolidation

Equity method

Neither consolidated nor deducted

Deducted

Entity A

Full consolidation

Credit institution

Entity N

Full consolidation

Credit institution

Entity Z

Full consolidation

Insurance entity

Entity AA

Full consolidation

Immaterial leasing company

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

Free format text boxes for disclosure of qualitative information

Legal basis

Row number

Qualitative information - Free format

Article 436(b) CRR

(a)

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

Article 436(d) CRR

(b)

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

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

Free format text boxes for disclosure of qualitative information

Legal basis

Row number

Qualitative information - Free format

Article 436(f) CRR

(a)

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

Article 436(g) CRR

(b)

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

Article 436(h) CRR

(c)

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

Article 436(g) CRR

(d)

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

Template EU PV1 - Prudent valuation adjustments (PVA)

Fixed format

EU e1

EU e2

Risk category

Category level AVA - Valuation uncertainty

Total category level post-diversification

Category level AVA

Equity

Interest Rates

Foreign exchange

Credit

Commodities

Unearned credit spreads AVA

Investment and funding costs AVA

Of which: Total core approach in the trading book

Of which: Total core approach in the banking book

Market price uncertainty

Not applicable

Close-out cost

Concentrated positions

Early termination

Model risk

Operational risk

Not applicable

Future administrative costs

Not applicable

Total Additional Valuation Adjustments (AVAs)

ANNEX VI

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

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

Institutions shall disclose the information referred to in point (c) of Article 436 of Regulation (EU) 575/2013 (

) (‘CRR’) by following the instructions provided below in this Annex to complete template EU LI1 which is presented in Annex V to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

1 to XXX

Total Assets

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

‘Financial reporting’ refers to the annual individual or consolidated financial statements defined in Articles 4 and 24 of Directive (EU) 2013/34 ( 1 ) , as well as (when applicable) to the financial statements in the meaning of the international accounting standards as endorsed in the EU in the application of Regulation (EC) 1606/2002 ( 2 ) .

1 to XXX

Total Liabilities

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

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

( 1 )

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

( 2 )

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

Legal references and instructions

Column reference

Explanation

Carrying values as reported in published financial statements

Amount reported on the assets side and the liabilities side of the balance sheet established following the consolidation requirements in the applicable accounting framework, including frameworks based on Directive (EU) 2013/34/EU and with Directive (EEC) 86/635 ( 1 ) , or the international accounting standards as endorsed in the EU

Carrying values under the scope of prudential consolidation

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

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

Carrying values of items subject to credit risk framework

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

Carrying values of items subject to counterparty credit risk framework

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

Carrying values of items subject to the securitisation framework

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

Carrying values of items subject to the market risk framework

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

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

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

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

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

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

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

all

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

( 1 )

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

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

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

Legal references and instructions

Row number

Explanation

Assets carrying value amount under the scope of prudential consolidation

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

Liabilities carrying value amount under the scope of prudential consolidation

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

Total net amount under scope of prudential consolidation

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

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

Off-balance-sheet amounts

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

Differences in valuations

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

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

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

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

Differences due to consideration of provisions

Re-integration in the exposure value of specific and general credit risk adjustments (as defined in the Commission Delegated Regulation (EU) 183/2014 ( 1 ) ) that have been deducted in accordance with the applicable accounting framework from the carrying amount of exposures under Chapter 3 of Title II of Part Three CRR for risk-weighting purposes. Regarding exposures risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, when the carrying amount in the financial statements under the scope of prudential consolidation has been reduced by elements qualifying as general credit risk adjustments under the aforementioned delegated regulation, these elements shall be re-integrated in the exposure value.

Differences due to the use of credit risk mitigation techniques

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

Differences due to credit conversion factors

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

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

Differences due to Securitisation with risk transfer

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

Other differences (if relevant)

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

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

Exposure amounts considered for regulatory purposes

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

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

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

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

( 1 )

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

Legal references and instructions

Column reference

Explanation

Total

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

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

Credit risk framework

Exposures in Title II of Part Three CRR

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

Securitisation framework

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

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

Counterparty Credit Risk framework (CCR)

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

Market risk framework

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

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

all

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

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

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

Legal references and instructions

Row number

Explanation

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

Legal references and instructions

Column reference

Explanation

Name of the entity

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

Method of accounting consolidation

Consolidation method used in accordance with the applicable accounting framework

c to g

Method of regulatory consolidation

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

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

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

Description of the entity

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

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

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

Legal references and instructions

Row number

Explanation

(a)

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

(b)

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

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

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

Legal references and instructions

Row number

Explanation

(a)

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

(b)

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

(c)

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

(d)

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

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

Institutions applying the core approach for the determination of the additional valuation adjustment for prudent valuation in accordance with Chapter III of the Commission Delegated Regulation (EU) 2016/101 (

) shall disclose the information referred to in point (e) of Article 436 CRR by following the instructions provided below in this Annex to complete template EU PV1 which is presented in Annex V to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

Rows 1 to 10

Category level AVA

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

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

Market price uncertainty

Article 105(10) CRR

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

Not applicable

Close-out costs

Article 105(10) CRR

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

Concentrated positions

Article 105(11) CRR

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

Early termination

Article 105(10) CRR

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

Model risk

Article 105(10) CRR

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

Operational risk

Article 105(10) CRR

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

Not applicable

Future administrative costs

Article 105(10) CRR

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

Not applicable

Total additional valuation adjustments

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

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

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

Column letter

Explanation

a-e

Breakdown by RISK CATEGORY

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

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

EU e1

Category level AVA - Valuation uncertainty: Unearned credit spreads AVA

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

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

EU e2

Category level AVA - Investment and funding costs AVA

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

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

Total category level post-diversification

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

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

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

Of which: total core approach in the trading book

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

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

Of which: total core approach in the banking book

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

ANNEX VII

Template EU CC1 - Composition of regulatory own funds

(a)

(b)

Amounts

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

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

(h)

of which: Instrument type 1

of which: Instrument type 2

of which: Instrument type 3

Retained earnings

Accumulated other comprehensive income (and other reserves)

EU-3a

Funds for general banking risk

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

Minority interests (amount allowed in consolidated CET1)

EU-5a

Independently reviewed interim profits net of any foreseeable charge or dividend

Common Equity Tier 1 (CET1) capital before regulatory adjustments

Common Equity Tier 1 (CET1) capital: regulatory adjustments

Additional value adjustments (negative amount)

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

(a)minus (d)

Not applicable

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

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

Negative amounts resulting from the calculation of expected loss amounts

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

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

Defined-benefit pension fund assets (negative amount)

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

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

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

Not applicable

EU-20a

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

EU-20b

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

EU-20c

of which: securitisation positions (negative amount)

EU-20d

of which: free deliveries (negative amount)

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

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

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

Not applicable

of which: deferred tax assets arising from temporary differences

EU-25a

Losses for the current financial year (negative amount)

EU-25b

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

Not applicable

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

27a

Other regulatory adjustments

Total regulatory adjustments to Common Equity Tier 1 (CET1)

Common Equity Tier 1 (CET1) capital

Additional Tier 1 (AT1) capital: instruments

(i)

of which: classified as equity under applicable accounting standards

of which: classified as liabilities under applicable accounting standards

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

EU-33a

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

EU-33b

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

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

of which: instruments issued by subsidiaries subject to phase out

Additional Tier 1 (AT1) capital before regulatory adjustments

Additional Tier 1 (AT1) capital: regulatory adjustments

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

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

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

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

Not applicable

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

42a

Other regulatory adjustments to AT1 capital

Total regulatory adjustments to Additional Tier 1 (AT1) capital

Additional Tier 1 (AT1) capital

Tier 1 capital (T1 = CET1 + AT1)

Tier 2 (T2) capital: instruments

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

EU-47a

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

EU-47b

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

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

of which: instruments issued by subsidiaries subject to phase out

Credit risk adjustments

Tier 2 (T2) capital before regulatory adjustments

Tier 2 (T2) capital: regulatory adjustments

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

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

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

54a

Not applicable

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

Not applicable

EU-56a

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

EU-56b

Other regulatory adjustments to T2 capital

Total regulatory adjustments to Tier 2 (T2) capital

Tier 2 (T2) capital

Total capital (TC = T1 + T2)

Total Risk exposure amount

Capital ratios and requirements including buffers

Common Equity Tier 1 capital

Tier 1 capital

Total capital

Institution CET1 overall capital requirements

of which: capital conservation buffer requirement

of which: countercyclical capital buffer requirement

of which: systemic risk buffer requirement

EU-67a

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

EU-67b

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

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

National minima (if different from Basel III)

Not applicable

Amounts below the thresholds for deduction (before risk weighting)

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

Not applicable

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

Applicable caps on the inclusion of provisions in Tier 2

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

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

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

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

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

Current cap on CET1 instruments subject to phase out arrangements

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

Current cap on AT1 instruments subject to phase out arrangements

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

Current cap on T2 instruments subject to phase out arrangements

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

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

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

Balance sheet as in published financial statements

Under regulatory scope of consolidation

Reference

As at period end

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

xxx

Total assets

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

xxx

Total liabilities

Shareholders' Equity

xxx

Total shareholders' equity

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

Qualitative or quantitative information - Free format

Issuer

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

Public or private placement

Governing law(s) of the instrument

Contractual recognition of write down and conversion powers of resolution authorities

Regulatory treatment

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

Post-transitional CRR rules

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

Instrument type (types to be specified by each jurisdiction)

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

Nominal amount of instrument

EU-9a

Issue price

EU-9b

Redemption price

Accounting classification

Original date of issuance

Perpetual or dated

Original maturity date

Issuer call subject to prior supervisory approval

Optional call date, contingent call dates and redemption amount

Subsequent call dates, if applicable

Coupons / dividends

Fixed or floating dividend/coupon

Coupon rate and any related index

Existence of a dividend stopper

EU-20a

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

EU-20b

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

Existence of step up or other incentive to redeem

Noncumulative or cumulative

Convertible or non-convertible

If convertible, conversion trigger(s)

If convertible, fully or partially

If convertible, conversion rate

If convertible, mandatory or optional conversion

If convertible, specify instrument type convertible into

If convertible, specify issuer of instrument it converts into

Write-down features

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

If write-down, full or partial

If write-down, permanent or temporary

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

34a

Type of subordination (only for eligible liabilities)

EU-34b

Ranking of the instrument in normal insolvency proceedings

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

Non-compliant transitioned features

If yes, specify non-compliant features

37a

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

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

ANNEX VIII

Instructions for own funds disclosure templates

Template EU CC1 – Composition of regulatory own funds

Institutions shall disclose the information referred to in points (a), (d), (e) and (f) of Article 437 of Regulation (EU) 575/2013 (

) (‘CRR’) by following the instructions provided in this Annex to complete template EU CC1 which is presented in Annex VII to this Implementing Regulation.

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

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

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

Legal references and instructions

Row number

Explanation

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

Retained earnings

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

Accumulated other comprehensive income (and other reserves)

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

EU-3a

Funds for general banking risk

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

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

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

Minority interests (amount allowed in consolidated CET1)

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

EU-5a

Independently reviewed interim profits net of any foreseeable charge or dividend

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

Common Equity Tier 1 (CET1) capital before regulatory adjustments

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

Additional value adjustments (negative amount)

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

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

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

Not applicable

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

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

Negative amounts resulting from the calculation of expected loss amounts

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

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

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

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

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

Defined-benefit pension fund assets (negative amount)

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

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

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

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

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

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

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

Not applicable

EU-20a

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

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

EU-20b

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

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

EU-20c

of which: securitisation positions (negative amount)

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

EU-20d

of which: free deliveries (negative amount)

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

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

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

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

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

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

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

Not applicable

of which: deferred tax assets arising from temporary differences

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

EU-25a

Losses for the current financial year (negative amount)

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

EU-25b

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

Not applicable

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

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

EU-27a

Other regulatory adjustments

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

Total regulatory adjustments to Common Equity Tier 1 CET1

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

Common Equity Tier 1 (CET1) capital

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

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

of which: classified as equity under applicable accounting standards

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

of which: classified as liabilities under applicable accounting standards

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

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

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

EU-33a

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

EU-33b

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

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

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

of which: instruments issued by subsidiaries subject to phase out

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

Additional Tier 1 (AT1) capital before regulatory adjustments

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

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

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

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

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

Not applicable

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

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

Eu-42a

Other regulatory adjustments to AT1 capital

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

Total regulatory adjustments to Additional Tier 1 (AT1) capital

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

Additional Tier 1 (AT1) capital

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

Tier 1 capital (T1 = CET1 + AT1)

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

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

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

EU-47a

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

EU-47b

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

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

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

of which: instruments issued by subsidiaries subject to phase out

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

Credit risk adjustments

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

Tier 2 (T2) capital before regulatory adjustments

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

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

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

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

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

54a

Not applicable

EU-56a

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

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

Eu-56b

Other regulatory adjustments to T2 capital

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

Total regulatory adjustments to Tier 2 (T2) capital

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

Tier 2 (T2) capital

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

Total capital (TC = T1 + T2)

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

Total Risk exposure amount

Total Risk exposure amount of the group

Common Equity Tier 1 capital

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

Tier 1 capital

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

Total capital

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

Institution CET1 overall capital requirements

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

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

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

of which: capital conservation buffer requirement

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

of which: countercyclical capital buffer requirement

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

of which: systemic risk buffer requirement

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

EU-67a

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

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

EU-67b

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

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

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

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

Not applicable

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

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

Not applicable

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

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

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

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

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

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

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

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

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

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

Current cap on CET1 instruments subject to phase out arrangements

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

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

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

Current cap on AT1 instruments subject to phase out arrangements

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

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

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

Current cap on T2 instruments subject to phase out arrangements

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

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

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

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

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

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

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

The columns are fixed and shall be disclosed as follows:

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

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

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

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

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

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

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

10.

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

11.

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

12.

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

13.

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

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

Row number

Explanation

Issuer

Institutions shall identify the legal name of the issuer.

Free text

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

Free text

EU-2a

Public or private placement

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

Select from menu: [Public] [Private]

Governing law(s) of the instrument

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

Free text

Contractual recognition of write down and conversion powers of resolution authorities

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

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

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

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

— In relation to any of the above and governed by third country law, Article 55 of Directive (EU) 2019/879 ( 1 ) (‘BRRD’).

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

Select from menu: [YES] [NO]

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

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

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

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

Post-transitional CRR rules

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

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

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

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

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

Instrument type (types to be specified by each jurisdiction)

Institutions shall specify instrument type, varying by jurisdiction.

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

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

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

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

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

Nominal amount of instrument

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

Free text

EU-9a

Issue price

Issue price of instrument

Free text

EU-9b

Redemption price

Redemption price of instrument

Free text

Accounting classification

Institutions shall specify accounting classification.

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

Original date of issuance

Institutions shall specify the date of issuance.

Free text

Perpetual or dated

Institutions shall specify whether an instrument is dated or perpetual.

Select from menu: [Perpetual] [Dated]

Original maturity date

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

Free text

Issuer call subject to prior supervisory approval

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

Select from menu: [Yes] [No]

Optional call date, contingent call dates and redemption amount

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

Free text

Subsequent call dates, if applicable

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

Free text

Fixed or floating dividend/coupon

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

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

Coupon rate and any related index

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

Free text

Existence of a dividend stopper

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

Select from menu: [yes], [no]

EU-20a

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

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

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

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

EU-20b

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

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

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

Existence of step up or other incentive to redeem

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

Select from menu: [Yes] [No]

Noncumulative or cumulative

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

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

Convertible or non-convertible

Institutions shall specify whether instrument is convertible or not.

Select from menu: [Convertible] [Nonconvertible]

If convertible, conversion trigger(s)

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

Free text

If convertible, fully or partially

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

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

If convertible, conversion rate

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

Free text

If convertible, mandatory or optional conversion

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

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

If convertible, specify instrument type convertible into

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

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

If convertible, specify issuer of instrument it converts into

Free text

Write-down features

Institutions shall specify whether there is a write down feature.

Select from menu: [Yes] [No]

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

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

Free text

If write-down, full or partial

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

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

If write-down, permanent or temporary

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

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

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

Institutions shall describe the write-up mechanism.

Free text

34a

Type of subordination (only for eligible liabilities)

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

Select from menu:

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

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

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

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

EU-34b

Ranking of the instrument in normal insolvency proceedings

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

As defined in [ITS on MREL reporting].

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

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

Free text

Non-compliant transitioned features

Institutions shall specify whether there are non-compliant features.

Select from menu: [Yes] [No]

If yes, specify non-compliant features

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

Free text

EU-37a

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

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

( 1 )

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

ANNEX IX

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

General credit exposures

Relevant credit exposures – Market risk

Securitisation exposures Exposure value for non-trading book

Total exposure value

Own fund requirements

Risk-weighted exposure amounts

Own fund requirements weights (%)

Countercyclical buffer rate (%)

Exposure value under the standardised approach

Exposure value under the IRB approach

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

Value of trading book exposures for internal models

Relevant credit risk exposures - Credit risk

Relevant credit exposures – Market risk

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

Total

Breakdown by country:

Country: 001

Country: 002

…

Country: NNN

Total

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

Total risk exposure amount

Institution specific countercyclical capital buffer rate

Institution specific countercyclical capital buffer requirement

ANNEX X

Instructions for the disclosure of information on countercyclical capital buffers

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

Institutions shall disclose the information referred to in point (a) of Article 440 of Regulation (EU) 575/2013 (

) (‘CRR’) by following the instructions provided below in this Annex to complete template EU CCyB1 which is presented in Annex IX to this Implementing Regulation.

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

) (‘CRD’).

Legal references and instructions

Row number

Explanation

010-01X

Breakdown by country

List of countries in which the institution has credit exposures relevant for the calculation of the institution specific countercyclical buffer in accordance with Commission delegated regulation (EU) 1152/2014 ( 1 )

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

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

Total

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

( 1 )

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

Legal references and instructions

Column number

Explanation

Exposure value of general credit exposures under the standardised approach

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

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

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

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

Exposure value of general credit exposures under the IRB approach

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

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

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

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

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

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

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

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

Value of trading book exposures for internal models

Sum of the following:

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

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

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

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

Securitisation exposures Exposure value for non-trading book

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

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

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

Total exposure value

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

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

Own funds requirements - Relevant credit risk exposures – Credit Risk

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

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

Own funds requirements - Relevant credit exposures – Market risk

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

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

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

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

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

Own funds requirements - Total

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

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

Risk-weighted exposure amounts

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

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

Own funds requirements weights (%)

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

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

Countercyclical capital buffer rate (%)

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

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

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

Template EU CCyB2 - Amount of institution specific countercyclical capital buffer

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

Legal references and instructions

Row number

Explanation

Total risk exposure amount

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

Institution specific countercyclical capital buffer rate

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

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

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

This value is disclosed as percentage with 2 decimal points.

Institution specific countercyclical capital buffer requirement

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

Legal references and instructions

Column number

Explanation

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

ANNEX XI

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

Applicable amount

Total assets as per published financial statements

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

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

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

(Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the total exposure measure in accordance with point (i) of Article 429a(1) CRR)

Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting

Adjustment for eligible cash pooling transactions

Adjustment for derivative financial instruments

Adjustment for securities financing transactions (SFTs)

Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures)

(Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital)

EU-11a

(Adjustment for exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR)

EU-11b

(Adjustment for exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) CRR)

Other adjustments

Total exposure measure

Template EU LR2 - LRCom: Leverage ratio common disclosure

CRR leverage ratio exposures

T-1

On-balance sheet exposures (excluding derivatives and SFTs)

On-balance sheet items (excluding derivatives, SFTs, but including collateral)

Gross-up for derivatives collateral provided, where deducted from the balance sheet assets pursuant to the applicable accounting framework

(Deductions of receivables assets for cash variation margin provided in derivatives transactions)

(Adjustment for securities received under securities financing transactions that are recognised as an asset)

(General credit risk adjustments to on-balance sheet items)

(Asset amounts deducted in determining Tier 1 capital)

Total on-balance sheet exposures (excluding derivatives and SFTs)

Derivative exposures

Replacement cost associated with SA-CCR derivatives transactions (ie net of eligible cash variation margin)

EU-8a

Derogation for derivatives: replacement costs contribution under the simplified standardised approach

Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions

EU-9a

Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach

EU-9b

Exposure determined under Original Exposure Method

(Exempted CCP leg of client-cleared trade exposures) (SA-CCR)

EU-10a

(Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach)

EU-10b

(Exempted CCP leg of client-cleared trade exposures) (Original Exposure Method)

Adjusted effective notional amount of written credit derivatives

(Adjusted effective notional offsets and add-on deductions for written credit derivatives)

Total derivatives exposures

Securities financing transaction (SFT) exposures

Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions

(Netted amounts of cash payables and cash receivables of gross SFT assets)

Counterparty credit risk exposure for SFT assets

EU-16a

Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429e(5) and 222 CRR

Agent transaction exposures

EU-17a

(Exempted CCP leg of client-cleared SFT exposure)

Total securities financing transaction exposures

Other off-balance sheet exposures

Off-balance sheet exposures at gross notional amount

(Adjustments for conversion to credit equivalent amounts)

(General provisions deducted in determining Tier 1 capital and specific provisions associated associated with off-balance sheet exposures)

Off-balance sheet exposures

Excluded exposures

EU-22a

(Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR)

EU-22b

(Exposures exempted in accordance with point (j) of Article 429a(1) CRR (on and off balance sheet))

EU-22c

(Excluded exposures of public development banks (or units) - Public sector investments)

EU-22d

(Excluded exposures of public development banks (or units) - Promotional loans)

EU-22e

(Excluded passing-through promotional loan exposures by non-public development banks (or units))

EU-22f

(Excluded guaranteed parts of exposures arising from export credits)

EU-22g

(Excluded excess collateral deposited at triparty agents)

EU-22h

(Excluded CSD related services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR)

EU-22i

(Excluded CSD related services of designated institutions in accordance with point (p) of Article 429a(1) CRR)

EU-22j

(Reduction of the exposure value of pre-financing or intermediate loans)

EU-22k

(Total exempted exposures)

Capital and total exposure measure

Tier 1 capital

Total exposure measure

Leverage ratio

Leverage ratio (%)

EU-25

Leverage ratio (excluding the impact of the exemption of public sector investments and promotional loans) (%)

25a

Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) (%)

Regulatory minimum leverage ratio requirement (%)

EU-26a

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

EU-26b

of which: to be made up of CET1 capital

Leverage ratio buffer requirement (%)

EU-27a

Overall leverage ratio requirement (%)

Choice on transitional arrangements and relevant exposures

EU-27b

Choice on transitional arrangements for the definition of the capital measure

Disclosure of mean values

Mean of daily values of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivable

Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables

Total exposure measure (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables)

30a

Total exposure measure (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables)

Leverage ratio (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables)

31a

Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables)

Template EU LR3 - LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)

CRR leverage ratio exposures

EU-1

Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which:

EU-2

Trading book exposures

EU-3

Banking book exposures, of which:

EU-4

Covered bonds

EU-5

Exposures treated as sovereigns

EU-6

Exposures to regional governments, MDB, international organisations and PSE, not treated as sovereigns

EU-7

Institutions

EU-8

Secured by mortgages of immovable properties

EU-9

Retail exposures

EU-10

Corporates

EU-11

Exposures in default

EU-12

Other exposures (eg equity, securitisations, and other non-credit obligation assets)

Table EU LRA: Disclosure of LR qualitative information

Row

Free format

(a)

Description of the processes used to manage the risk of excessive leverage

(b)

Description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers

ANNEX XII

Instructions for leverage ratio disclosures

Template EU LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures. Fixed format template.

Institutions shall apply the instructions provided in this section to complete template EU LR1 - LRSum in application of point (b) of Article 451(1) of Regulation (EU) No 575/2013 (

) (‘CRR’).

Legal references and instructions

Row number

Explanation

Total assets as per published financial statements

Institutions shall disclose the total assets as published in their financial statements under the applicable accounting framework as defined in point (77) of Article 4(1) CRR.

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

Institutions shall disclose the difference in value between the total exposure measure as disclosed in row 13 of template EU LR1 - LRSum and total accounting assets as disclosed in row 1 of template EU LR1 - LRSum, which results from differences between the accounting scope of consolidation and the scope of prudential consolidation.

If this adjustment leads to an increase in exposure, institutions shall disclose this as a positive amount. If this adjustment leads to a decrease in exposure, institutions shall place the value in this row between brackets (negative amount).

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

Point (m) of Article 429a(1) CRR

Institutions shall disclose the amount of the securitised exposures from traditional securitisations that meet the conditions for significant risk transfer set out in Article 244(2) CRR.

As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

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

Point (n) of Article 429a(1) CRR

If applicable, institutions shall disclose the amount of coins and banknotes constituting legal currency in the jurisdiction of the central bank and assets representing claims on the central bank, including reserves held at the central bank. These exposures may be temporarily exempted subject to the conditions mentioned in Article 429a(5) and (6) CRR.

As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

Institutions shall disclose the amount of derecognised fiduciary items in accordance with point (i) of Article 429a(1) CRR.

As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting

Article 429g(1) and (2) CRR

Institutions shall disclose the adjustment of the accounting value related to regular-way purchases or sales awaiting settlement subject to trade date accounting in accordance with Article 429g(1) and (2) CRR. The adjustment is the sum of:

— The amount offset between cash receivables for regular-way sales awaiting settlement and cash payables for regular-way purchases awaiting settlement allowed under the accounting framework. This is a positive amount.

— The amount offset between cash receivables and cash payables where both the related regular-way sales and purchases are settled on a delivery-versus-payment basis in accordance with Article 429g(2) CRR. This is a negative value.

Regular-way purchases or sales awaiting settlement subject to settlement date accounting in accordance with Article 429g(3) CRR shall be included in row 10 of template EU LR1 - LRSum.

Adjustment for eligible cash pooling transactions

Article 429b(2) and (3) CRR

Institutions shall disclose the difference between the accounting value and the leverage ratio exposure value of cash pooling arrangements in accordance with the conditions mentioned in Article 429b(2) and (3) CRR.

If this adjustment leads to an increase in exposure, due to transactions that are represented net under the applicable accounting framework but do not meet the conditions for net presentation under Article 429b(2) and (3) CRR, institutions shall disclose this as a positive amount. If this adjustment leads to a decrease in exposure, due to transactions that are not represented net under the applicable accounting framework but do meet the conditions for net presentation under Article 429b(2) and (3) CRR, institutions shall place the value in this row between brackets (negative amount).

Adjustment for derivative financial instruments

For credit derivatives and contracts listed in Annex II of CRR, institutions shall disclose the difference in value between the accounting value of the derivatives recognised as assets and the leverage ratio exposure value as determined by application of point (b) of Article 429(4), Article 429c, 429d, points (g) and (h) of Article 429a(1), and of Article 429(5) CRR.

Adjustment for securities financing transactions (SFTs)

For SFTs institutions shall disclose the difference in value between the accounting value of the SFTs recognised as assets and the leverage ratio exposure value as determined by application of points (a) and (c) of Article 429(4) in conjunction with Article 429e, point (b) of Article 429(7) and with point (b) of Article 429b(1), with Article 429b(4), and with points (g) and (h) of 429a(1) CRR.

If this adjustment leads to an increase in the exposure, institutions shall disclose this as a positive amount. If this adjustment leads to a decrease in exposure, institutions shall place the value in this row between brackets (negative amount).

Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off- balance sheet exposures)

Institutions shall disclose the difference in value between the leverage ratio exposure as disclosed in row 13 of template EU LR1 - LRSum and total accounting assets as disclosed in row 1 of template EU LR1 - LRSum that results from the inclusion of off-balance sheet items in the leverage ratio total exposure measure.

This includes the commitments to pay related to regular-way purchases under settlement date accounting as calculated in accordance with Article 429g(3) CRR.

As this adjustment increases the total exposure measure, it shall be disclosed as a positive amount.

(Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital)

Institutions shall disclose the amount of prudent valuation adjustments in accordance with points (a) and (b) of Article 429a(1) CRR and the amount of specific (if relevant) and general credit risk adjustments to on- and off-balance-sheet items as per the last sentence of Article 429(4) and Article 429f(2) CRR that have reduced Tier 1 capital. Specific provisions shall only be included if, in accordance with the applicable accounting framework, they are not already deducted from the gross carrying amount values.

As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

EU-11a

(Adjustment for exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR)

Point (c) of Article 429a(1) and Article 113(6) and (7) CRR

Institutions shall disclose the on-balance sheet portion of exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR.

As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

EU-11b

(Adjustment for exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) CRR

Point (j) of Article 429a(1), Article 116(4) CRR

Institutions shall disclose the on-balance sheet portion of exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) CRR.

As this adjustment reduces the total exposure measure, institutions shall place the values in this row between brackets (negative amount).

Other adjustments

Institutions shall include any remaining difference in value between the total exposure measure and total accounting assets. Institutions shall consider the exposure adjustments in accordance with Article 429(8) CRR and other exposure adjustments mentioned in points (d), (e), (f), (h), (k), (l), (o), (p) of Article 429a(1) CRR that are not disclosed anywhere in the template.

If these adjustments lead to an increase in the exposure, institutions shall disclose this as a positive amount. If these adjustments lead to a decrease in exposure, the institutions shall place the value in this row between brackets (negative amount).

Total exposure measure

Total exposure measure (also disclosed in row 24 of template EU LR2 - LRCom), which is the sum of the previous items.

Template EULR2 - LRCom: Leverage ratio common disclosure. Fixed format template

Institutions shall apply the instructions provided in this section to complete template EU LR2 - LRCom in application of points (a) and (b) of Article 451(1) CRR and of Article 451(3) CRR, taking into account, where applicable, point (c) of Article 451(1) and Article 451(2) CRR.

Institutions shall disclose in column ‘a’ the values of the different rows for the disclosure period and in column ‘b’ the values of the rows for the previous disclosure period.

Institutions shall explain in the narrative accompanying the template the composition of promotional loans disclosed in rows EU-22d and EU-22e of this template, including information by type of counterparty.

Legal references and instructions

Row number

Explanation

On-balance sheet items (excluding derivatives, SFTs, but including collateral)

Article 429 and 429b CRR

Institutions shall disclose all assets, other than contracts listed in Annex II CRR, credit derivatives, and SFTs. Institutions shall base the valuation of these assets on the principles set out in Article 429(7) and 429b(1) CRR.

Institutions shall take into account in this calculation, if applicable, points (i), (m) and (n) of Article 429a(1) CRR, Article 429g and the last paragraph of Article 429(4) CRR.

Institutions shall include in this cell cash received or any security that is provided to a counterparty via SFTs and that is retained on the balance sheet (i.e. the accounting criteria for derecognition under the applicable accounting framework are not met).

Institutions shall not take into account in this calculation Article 429(8) and points (a)-(h), (j) and (k) of Article 429a(1) CRR, i.e. they shall not reduce the amount to be disclosed in this row by those exemptions.

Gross-up for derivatives collateral provided, where deducted from the balance sheet assets pursuant to the applicable accounting framework

Article 429c(2) CRR

Institutions shall disclose the amount of any derivatives collateral provided where the provision of that collateral reduces the amount of assets under the applicable accounting framework, as set out in Article 429c(2) CRR.

Institutions shall not include in this cell initial margin for client-cleared derivative transactions with a qualifying CCP (QCCP) or eligible cash variation margin, as defined in Article 429c(3) CRR.

(Deductions of receivables assets for cash variation margin provided in derivatives transactions)

Article 429c(3) CRR

Institutions shall disclose the receivables for variation margin paid in cash to the counterparty in derivatives transactions if the institution is required, under the applicable accounting framework, to recognise these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429c(3) CRR are met.

As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

(Adjustment for securities received under securities financing transactions that are recognised as an asset)

Adjustment for securities received under a securities financing transaction where the bank has recognised the securities as an asset on its balance sheet. These amounts are to be excluded from the total exposure measure in accordance with Article 429e(6) CRR.

As the adjustments in this row reduce the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

(General credit risk adjustments to on-balance sheet items)

The amount of general credit risk adjustments corresponding to on-balance sheet items referred to in point (a) of Article 429(4) CRR, which institutions deduct in accordance with the last paragraph of Article 429(4) CRR.

As the adjustments in this row reduce the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

(Asset amounts deducted in determining Tier 1 capital)

Points (a) and (b) of Article 429a(1) and Article 499(2) CRR

Institutions shall disclose the amount of regulatory value adjustments made to Tier 1 amounts in accordance with the choice made pursuant to Article 499(2) CRR.

More specifically, institutions shall disclose the value of the sum of all the adjustments that target the value of an asset and which are required by:

— Articles 32 to 35 CRR, or

— Articles 36 to 47 CRR, or

— Articles 56 to 60 CRR, as applicable.

Institutions shall include in this cell the amount referred to in point (a) of Article 429a(1) CRR.

Where the choice to disclose Tier 1 capital is made in accordance with point (a) of Article 499(1) CRR, institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten CRR. In contrast, where the choice to disclose Tier 1 capital is made in accordance with point (b) of Article 499(1) CRR, institutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, in addition to taking into account the derogations laid down in Chapter 1 and 2 of Title I of Part Ten CRR.

To avoid double counting, institutions shall not disclose adjustments already applied pursuant to Article 111 CRR when calculating the exposure value, nor shall they disclose any adjustment that does not deduct the value of a specific asset.

As the amount in this row reduces the total exposure measure, institutions shall place the value in this cell between brackets (negative amount).

Total on-balance sheet exposures (excluding derivatives and SFTs)

Sum of rows 1 to 6

Replacement cost associated with SA-CCR transactions (i.e. net of eligible cash variation margin)

Articles 274, 275, 295, 296, 297, 298, 429c and 429c(3) CRR

Institutions shall disclose the current replacement cost as specified in Article 275(1) of contracts listed in Annex II CRR and credit derivatives including those that are off-balance sheet. These replacement costs shall be net of eligible cash variation margin in accordance with Article 429c(3) CRR whereas any cash variation margin received on an exempted CCP leg in accordance with points (g) or (h) of Article 429a(1) CRR shall not be included.

As determined by Article 429c(1) CRR, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (c) of Article 272(25) CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in point (c) of Article 295 CRR.

Institutions shall not include in this cell contracts measured by application of the approaches in accordance with Articles 429c(6), i.e. the approaches in Section 4 or 5 of Chapter 6 of Title II of Part Three CRR (the simplified SA-CCR or Original Exposure Method).

When calculating the replacement costs institutions shall include, in accordance with Article 429c(4) CRR, the effect of the recognition of collateral on NICA on derivative contracts with clients where those contracts are cleared by a QCCP.

The amount shall be disclosed with the 1,4 alpha factor as specified in Article 274(2) CRR.

EU-8a

Derogation for derivatives: replacement costs contribution under the simplified standardised approach

Articles 429c(6) and 281 CRR

This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR, calculated in accordance with the simplified standardised approach set out in Article 281 CRR, without the effect of collateral on NICA. The amount shall be disclosed with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. Hence the exception for derivative contracts with clients where those contracts are cleared by a QCCP in Article 429c(4) CRR shall not apply.

Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the original exposure method.

Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions

Articles 274, 275, 295, 296, 297, 298, 299 (2) and 429c CRR

Institutions shall disclose the add-on for the potential future exposure of contracts listed in Annex II of CRR and of credit derivatives including those that are off-balance sheet calculated in accordance with Article 278 CRR for contracts listed in Annex II CRR and Article 299(2) CRR for credit derivatives and applying netting rules in accordance with Article 429c(1) CRR. In determining the exposure value of those contracts, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (c) of Article 272(25) CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in point (c) of Article 295 CRR.

In accordance with Article 429c(5) CRR, institutions shall set the value of the multiplier used in the calculation of the potential future exposure in accordance with Article 278(1) CRR to one, except in the case of derivative contracts with clients where those contracts are cleared by a QCCP.

EU-9a

Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach

Article 429c(5) CRR

The potential future exposure in accordance with the simplified standardised approach set out in Article 281 CRR, assuming a multiplier of 1. The amount shall be disclosed with the 1,4 alpha factor applied as specified in Article 274(2) CRR.

Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. Hence, the exception for derivative contracts with clients where those contracts are cleared by a QCCP in Article 429c(5) CRR shall not apply.

Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the original exposure method.

EU-9b

Exposure determined under Original Exposure Method

Article 429c(6) and Section 4 or 5 of Chapter 6 of Title II of Part Three CRR

Institutions shall disclose the exposure measure of contracts listed in points 1 and 2 of Annex II CRR calculated in accordance with the Original Exposure Method set out in Section 4 or 5 of Chapter 6 of Title II of Part Three CRR.

Institutions that apply the Original Exposure Method shall not reduce the exposure measure by the amount of margin they have received in accordance with Article 429c(6) CRR.

Institutions that do not use the Original Exposure Method shall not disclose this cell.

(Exempted CCP leg of client-cleared trade exposures) (SA-CCR)

Points (g) and (h) of Article 429a(1) CRR

Institutions shall disclose the exempted trade exposures to a QCCP from client-cleared derivatives transactions (SA-CCR), provided that those items meet the conditions laid down in point (c) Article 306(1) CRR.

Since it reduces the total exposure measure, institutions shall place the value in this cell between brackets (negative amount).

The amount disclosed must also be included in the applicable cells above as if no exemption applied.

EU-10a

(Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach)

Points (g) and (h) of Article 429a(1) CRR

Institutions shall disclose the exempted trade exposures to a QCCP from client-cleared derivatives transactions (simplified standardised approach), provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount shall be disclosed with the 1,4 alpha factor applied as specified in Article 274(2) CRR (negative amount).

The disclosed amount must also be included in the applicable cells above as if no exemption applied.

EU-10b

(Exempted CCP leg of client-cleared trade exposures) (Original Exposure Method)

Points (g) and (h) of Article 429a(1) CRR

Institutions shall disclose the exempted trade exposures to a QCCP from client-cleared derivatives transactions (original exposure method), provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR.

Since it reduces the total exposure measure institutions shall place the value in this cell between brackets (negative amount).

The disclosed amount must also be included in the applicable cells above as if no exemption applied.

Adjusted effective notional amount of written credit derivatives

Article 429d CRR

Institutions shall disclose the capped notional value of written credit derivatives (i.e. where the institution is providing credit protection to a counterparty) as set out in Article 429d CRR.

(Adjusted effective notional offsets and add-on deductions for written credit derivatives)

Article 429d CRR

Institutions shall disclose the capped notional value of purchased credit derivatives (i.e. where the institution is buying credit protection from a counterparty) on the same reference names as those credit derivatives written by the institution, where the remaining maturity of the purchased protection is equal to or greater than the remaining maturity of the sold protection. Hence, the value shall not be greater than the value entered in row 11 of template EU LR2 - LRCom for each reference name.

Since the disclosed amount reduces the total exposure measure, institutions shall place the value in this cell between brackets (negative amount).

The disclosed amount must also be included in the previous cell as if no adjustment applied.

Total derivatives exposures

Sum of rows 8 to 12

Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions

Point (77) of Article 4(1), Articles 206 and 429e(6) CRR

Institutions shall disclose the accounting balance sheet value, under the applicable accounting framework, of SFTs both covered and not covered by a master netting agreement eligible under Article 206 CRR, where the contracts are recognised as assets on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation).

Furthermore, where sale accounting is achieved for a SFT under the applicable accounting framework, institutions shall reverse all sales related accounting entries in accordance with Article 429e(6) CRR.

Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met).

(Netted amounts of cash payables and cash receivables of gross SFT assets)

Point (77) of Article 4(1), Article 206, point (b) of Article 429b(1), Articles 429b(4) and 429e(6) CRR.

Institutions shall disclose the cash payables amount of gross SFT assets that have been netted in accordance with Article 429b(4) CRR.

As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

Counterparty credit risk exposure for SFT assets

Article 429e(1) CRR

Institutions shall disclose the add-on for SFTs counterparty credit risk, including those that are off-balance sheet, determined in accordance with Article 429e(2) or (3) CRR, as applicable.

Institutions shall include in this cell transactions in accordance with point (c) of Article 429e(7) CRR.

Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR.

EU-16a

Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429e(5) and 222 CRR

Articles 429e(5) and 222 CRR

Institutions shall disclose the add-on for SFTs including those that are off-balance sheet calculated in accordance with Article 222 CRR, subject to a 20 % floor for the applicable risk weight.

Institutions shall include in this cell transactions in accordance with point (c) of Article 429e(7) CRR.

Institutions shall not include in this cell transactions for which the add-on part of the leverage ratio exposure value is determined in accordance with the method defined in Article 429e(1) CRR.

Agent transaction exposures

Article 429e(2)(3) and point (a) of Article 429e(7) CRR

Institutions shall disclose the exposure value for agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR. The exposure value shall consist only of the add-on determined in accordance with Article 429e(2) or (3) CRR, as applicable.

Institutions shall not include in this cell transactions in accordance with point (c) of Article 429e(7) CRR.

EU-17a

(Exempted CCP leg of client-cleared SFT exposure)

Points (g) and (h) of Article 429a(1) and point (c) of Article 306(1) CRR.

Institutions shall disclose the exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR.

Where the exempted leg to the CCP is a security, it shall not be included in this cell, unless it is a repledged security that under the applicable accounting framework (i.e. in accordance with the first sentence of Article 111(1) CRR) is included at full value.

As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

The disclosed amount must also be included in the applicable cells above as if no exemption applied.

Total securities financing transaction exposures

Sum of rows 14 to EU-17a

Off-balance sheet exposures at gross notional amount

Article 429f CRR

Institutions shall disclose the nominal value of all off-balance sheet items as defined in Article 429f CRR, before any adjustment for conversion factors and specific credit risk adjustments.

(Adjustments for conversion to credit equivalent amounts)

Article 429f CRR

Reduction in gross amount of off-balance sheet exposures due to the application of CCFs. Since it reduces the total exposure measure, the value disclosed in this row shall contribute negatively in the calculation of the sum to be disclosed in row 22 of template EU LR2 - LRCom.

(General provisions deducted in determining Tier 1 capital and specific provisions associated with off-balance sheet exposures)

Articles 429(4) and 429f(1) and (2) CRR

Institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of general credit risk adjustments that are deducted from Tier 1 capital. The calculation shall be subject to a floor of zero.

Institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. The calculation shall be subject to a floor of zero.

The absolute value of these credit risk adjustments shall not exceed the sum of rows 19 and 20.

As these adjustments reduce the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

The disclosed amount shall also be included in the applicable cells above as if this reduction did not apply.

Off-balance sheet exposures

Articles 429f, 111(1) and 166(9) CRR; sum of rows 19 to 21

Institutions shall disclose the leverage ratio exposure values for off-balance sheet items determined in accordance with Article 429f CRR taking into account the relevant conversion factors.

Institutions shall take into account that rows 20-21 of template EU LR2 - LRCom contribute negatively in the calculation of this sum.

EU-22a

(Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR))

Point (c) of Article 429a(1) and Article 113(6) and (7) CRR

Institutions shall disclose the exposures exempted in accordance with point (c) of Article 429a(1).

The disclosed amount shall also be included in the applicable cells above as if no exemption applied.

Since this amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

EU-22b

(Exposures exempted in accordance with point (j) of Article 429a(1) CRR (on and off balance sheet))

Point (j) of Article 429a(1) CRR

Institutions shall disclose the exposures exempted in accordance with point (j) of Article 429a(1) CRR subject to the therein stated conditions being met.

The disclosed amount shall also be included in the applicable cells above as if no exemption applied.

Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

EU-22c

(Excluded exposures of public development banks (or units) – Public sector investments)

Point (d) of Article 429a(1) and Article 429a(2) CRR

The exposures arising from assets that constitute claims on central governments, regional governments, local authorities or public sector entities in relation to public sector investments, which can be excluded in accordance with point (d) of Article 429a(1) CRR. This shall only include cases where the institution is a public development credit institution, or the exposures are held within a unit treated as a public development unit in accordance with the last subparagraph of Article 429a(2) CRR.

Since the amount reduces the total exposure measure, institutions shall place the value in this cell between brackets (negative amount).

EU-22d

(Excluded exposures of public development banks (or units) – Promotional loans)

Point (d) of Article 429a(1) and Article 429a(2) CRR

Institutions shall disclose the excluded promotional loans in accordance with point (d) of Article 429a(1) CRR. This shall only include cases where the institution is a public development credit institution or promotional loans are held within a unit treated as a public development unit in accordance with the last subparagraph of Article 429a(2) CRR.

Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

EU-22e

(Excluded passing-through promotional loan exposures by non-public development banks (or units))

Point (e) of Article 429a(1) CRR

Institutions shall disclose the excluded exposures in accordance with point (e) of Article 429a(1) CRR relating to the parts of exposures arising from passing-through promotional loans to other credit institutions. This shall only include cases where the institution is not a public development credit institution and the activity is not with any unit treated as a public development unit in accordance with the last subparagraph of Article 429a(2) CRR.

Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

EU-22f

(Excluded guaranteed parts of exposures arising from export credits)

Point (f) of Article 429a(1) CRR

The guaranteed parts of exposures arising from export credits that can be excluded when the conditions of point (f) of Article 429a(1) CRR are met.

Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

EU-22g

(Excluded excess collateral deposited at triparty agents)

Point (k) of Article 429a(1) CRR

The excess collateral deposited at triparty agents that has not been lent out, which can be excluded in accordance with point (k) of Article 429a(1) CRR.

Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

EU-22h

(Excluded CSD related services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR)

Point (o) of Article 429a(1) CRR

The Central Securities Depositories (CSD) related services of CSD/ institutions that can be excluded in accordance with point (o) of Article 429a(1) CRR.

Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

EU-22i

(Excluded CSD related services of designated institutions in accordance with point (p) of Article 429a(1) CRR)

Point (p) of Article 429a(1) CRR

The CSD related services of designated institutions that can be excluded in accordance with point (p) of Article 429a(1) CRR.

Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

EU-22j

(Reduction of the exposure value of pre-financing or intermediate loans)

Article 429(8) CRR

The amount reduced from the exposure value of a pre-financing loan or an intermediate loan, in accordance with Article 429(8) CRR.

Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

EU-22k

(Total excluded exposures)

Sum of rows EU-22a to EU-22j

Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).

Tier 1 capital

Articles 429(3) and 499(1) and (2) CRR

Institutions shall disclose the amount of Tier 1 capital calculated in accordance with the choice that the institution has made pursuant to Article 499(2) CRR, as disclosed in row EU-27 of template EU LR2 - LRCom.

More specifically, where the institution has chosen to disclose Tier 1 capital in accordance with point (a) of Article 499(1) CRR, it shall disclose the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, without taking into account the derogations laid down in Chapters 1 and 2 of Title I of Part Ten of CRR.

In contrast, where the institution has chosen to disclose Tier 1 capital in accordance with point (b) of Article 499(1) CRR, it shall disclose the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, after taking into account the derogations laid down in Chapters 1 and 2 of Title I of Part Ten CRR.

Total exposure measure

Sum of amounts in rows 7, 13, 18, 22, and EU-22k of EU LR2 - LRCom

Leverage ratio (%)

Institutions shall disclose the amount in row 23 of template EU LR2 - LRCom expressed as a percentage of the amount in row 24 of template EU LR2 - LRCom.

EU-25

Leverage ratio (excluding the impact of the exemption of public sector investments and promotional loans) (%)

In accordance with Article 451(2) CRR, public development credit institutions as defined in Article 429a(2) CRR shall disclose the leverage ratio without the adjustment to the total exposure measure determined in accordance with point (d) of Article 429a(1) CRR, i.e. the adjustment that is disclosed in rows EU-22c and EU-22d of this template.

25a

Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) (%)

If an institution’s total exposure measure is subject to the temporary exemption of central bank reserves set out in point (n) of Article 429a(1) CRR, this ratio is defined as the Tier 1 capital measure divided by the sum of the total exposure measure and the amount of the central bank reserves exemption, with this ratio expressed as a percentage.

If the institution’s total exposure measure is not subject to a temporary exemption of central bank reserves, this ratio will be identical to the ratio disclosed in row 25.

Regulatory minimum leverage ratio requirement (%)

Point (d) of Article 92(1), point (n) of Article 429a(1) and Article 429a(7) CRR

Institutions shall disclose the leverage ratio requirement as set out in point (d) of Article 92(1) CRR. Where an institution excludes the exposures referred to in point (n) of Article 429a(1) CRR, it shall disclose the adjusted leverage ratio requirement calculated in accordance with Article 429a(7) CRR.

EU-26a

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

The additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) of Directive 2013/36/EU (‘CRD’), expressed as a percentage of the total exposure measure

EU-26b

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

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

Leverage ratio buffer requirement (%)

Article 92(1a) CRR

Institutions that are subject to Article 92(1a) CRR shall disclose their applicable leverage ratio buffer requirement.

EU-27a

Overall leverage ratio requirement (%)

Sum of rows 26, EU-26a, and 27 of this template

EU-27b

Choice on transitional arrangements for the definition of the capital measure

Article 499(2) CRR

Institutions shall specify their choice of transitional arrangements for capital for the purpose of disclosure requirements by disclosing one of the following two labels:

— ‘Fully phased in’ if the institution chooses to disclose the leverage ratio in accordance with point (a) of Article 499(1) CRR;

— ‘Transitional’ if the institution chooses to disclose the leverage ratio in accordance with point (b) of Article 499(1) CRR.

Mean of daily values of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables

Article 451(3) CRR; mean of the sums of rows 14 and 15, based on the sums calculated as of each day of the disclosure quarter

Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables

If rows 14 and 15 are based on quarter-end values, this amount is the sum of rows 14 and 15.

If rows 14 and 15 are based on averaged values, this amount is the sum of quarter-end values corresponding to the content of rows 14 and 15.

Article 451(3) CRR

Total exposure measure (including the impact of any applicable temporary exemption of central bank reserves), using mean values calculated as of each day of the disclosure quarter for the amounts of the exposure measure associated with gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables).

30a

Article 451(3) CRR

Total exposure measure (excluding the impact of any applicable temporary exemption of central bank reserves), using mean values calculated as of each day of the disclosure quarter for the amounts of the exposure measure associated with gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables).

If an institutions total exposure measure is not subject to a temporary exemption of central bank reserves, this value will be identical to the value disclosed in row 30 of this template.

Article 451(3) CRR

31a

Article 451(3) CRR

Template EU LR3 - LRSpl: Split-up of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures). Fixed format

Institutions shall apply the instructions provided in this section to complete template LRSpl in application of point (b) Article 451(1) CRR.

Legal references and instructions

Row number

Explanation

EU-1

Total on-balance sheet exposures (excluding derivatives and SFTs, and exempted exposures), of which:

Institutions shall disclose the sum of the amounts in row EU-2 and EU-3 of template EU LR3 - LRSpl.

EU-2

Trading book exposures

Institutions shall disclose the exposures which are part of the total exposure value of assets belonging to the trading book excluding derivatives, SFTs and exempted exposures.

EU-3

Banking book exposures, of which:

Institutions shall disclose the sum of values in rows EU-4 to EU-12 of template EU LR3-LRSpl.

EU-4

Covered Bonds

Institutions shall disclose the sum of exposures, which is the total exposure value of assets that are in the form of covered bonds as defined in Article 129 and in point (d) of Article 161(1) CRR.

Institutions shall disclose the covered bonds total exposure net of defaulted exposures.

EU-5

Exposures treated as sovereigns

Institutions shall disclose the sum of exposures, which is the total exposure value towards entities that are treated as sovereigns under CRR. (Central governments and central banks (Article 114, and point (a) of Article 147(2) CRR); regional governments and local authorities treated as sovereigns (Article 115(2) and (4), and point (a) of Article 147(3) CRR), multilateral development banks and international organisations treated as sovereigns (Articles 117(2) and 118, and points (b) and (c) of Article 147(3) CRR), public sector entities (Article 116(4) and point (a) of Article 147(3) CRR)

Institutions shall disclose the sovereign total exposure net of defaulted exposures.

EU-6

Exposures to regional governments, MDB, International organisations and PSE, not treated as sovereigns

Institutions shall disclose the sum of exposures, which is the total exposure value towards regional governments and local authorities as defined in Article 115(1), (3) and (5) CRR for SA exposures and in point (a) of Article 147(4) CRR for IRB exposures; multilateral development banks as defined in Article 117(1) and (3) CRR for SA exposures and in point (c) of Article 147(4) CRR for IRB exposures; international organisations and public sector entities as defined in Article 116(1), (2), (3) and (5) CRR for SA exposures and in point (b) of Article 147(4) CRR for IRB exposures that are not treated as sovereigns under CRR.

Institutions shall disclose the abovementioned total exposure net of defaulted exposures.

EU-7

Institutions

Institutions shall disclose the sum of exposures, which is the exposure value of exposures towards institutions that fall under Articles 119 to 121 CRR for SA exposures and for IRB exposures - that fall under point (b) of Article 147(2) CRR and are not exposures in the form of covered bonds under point (d) of Article 161 (1) CRR and do not fall under points (a) to (c) of Article 147(4) CRR.

Institutions shall disclose the total exposure net of defaulted exposures.

EU-8

Secured by mortgages of immovable properties

Institutions shall disclose the sum of exposures, which is the exposure value of assets that are exposures secured by mortgages on immovable properties that fall under Article 124 CRR in case of SA exposures and that are exposures to corporate under point (c) of Article 147(2) CRR or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR for IRB exposures.

Institutions shall disclose the total exposure net of defaulted exposures.

EU-9

Retail exposures

Institutions shall disclose the sum of exposures, which is the total exposure value of assets that are retail exposures under Article 123 CRR in case of SA exposures and that are exposures under point (d) of Article 147(2) CRR, if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR – for IRB exposures.

Institutions shall disclose the total exposure net of defaulted exposures.

EU-10

Corporates

Institutions shall disclose the sum of exposures, which is the total exposure value of assets that are corporate exposure (i.e. financial and non-financial). For SA exposures, these are exposures to corporates that fall under Article 122 CRR and for IRB exposures - that are exposures to corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR.

Financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in EU-7 of this template, whose principal activity is to acquire holdings or to pursue one or more of the activities listed in Annex I CRD, as well as undertakings as defined in point (27) of Article 4(1) CRR, other than institutions referred to in EU-7 of this template.

For the purpose of this cell, the term 'small and medium enterprise' is defined in accordance with point (b) of Article 501(2) CRR.

Institutions shall disclose the total exposure net of defaulted exposures.

EU-11

Exposures in default

Institutions shall disclose the sum of exposures, which is the total exposure value of assets that are in default and – for SA exposures - fall under Article 127 CRR or, in case of IRB exposures, are categorised in the exposures classes listed in Article 147(2) CRR if a default in accordance with Article 178 CRR has occurred.

EU-12

Other exposures (eg equity, securitisations, and other non-credit obligation assets)

Institutions shall disclose the sum of exposures, which is the total exposure value of other non-trading book exposures under CRR (e.g. equity, securitisations and non-credit obligation assets; in case of SA exposures these are assets categorised in the exposures classes listed in points (k), (m), (n), (o), (p) and (q) of Article 112 CRR, and in case of IRB exposures – in points (e), (f) and (g) of Article 147(2) CRR). Institutions shall include assets that are deducted in determining Tier 1 capital and therefore are disclosed in row 2 of template EU LR2-LRCom, unless these assets are included in row EU-2, EU-4 to EU-11 of template EU LR3- LRSpl.

Table EU LRA - Disclosure of LR qualitative information. Free format text boxes for disclosure of qualitative information

Institutions shall complete table EU LRA by applying the following instructions, in application of points (d) and (e) of Article 451(1) CRR

Legal references and instructions

Row number

Explanation

(a)

Description of the processes used to manage the risk of excessive leverage

Point (d) of Article 451(1) CRR

‘Description of the processes used to manage the risk of excessive leverage’ shall include any relevant information on:

(a) procedures and resources used to assess the risk of excessive leverage;

(b) quantitative tools, if any, used to assess the risk of excessive leverage including details on potential internal targets, and whether other indicators than the leverage ratio of CRR are being used;

(c) ways of how maturity mismatches and asset encumbrance are taken into account in managing the risk of excessive leverage;

(d) processes for reacting to leverage ratio changes, including processes and timelines for potential increase of Tier 1 capital to manage the risk of excessive leverage; or processes and timelines for adjusting the leverage ratio denominator (total exposure measure) to manage the risk of excessive leverage.

(b)

Description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers

Point (e) of Article 451(1) CRR

‘Description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers’ shall include any material information on:

(a) quantification of the change in the leverage ratio since the previous disclosure reference date;

(b) the main drivers of the leverage ratio since the previous disclosure reference date with explanatory comments on:

(1) the nature of the change and whether it was a change in the numerator of the ratio, in the denominator of the ratio, or in both;

(2) whether it resulted from an internal strategic decision and, where so, whether that strategic decision was aimed directly at the leverage ratio or whether it impacted the leverage ratio only indirectly;

(3) the most significant external factors related to the economic and financial environments that had an impact on the leverage ratio.

ANNEX XIII

Table EU LIQA - Liquidity risk management

in accordance with Article 451a(4) CRR

Row number

Qualitative information - Free format

(a)

Strategies and processes in the management of the liquidity risk, including policies on diversification in the sources and tenor of planned funding,

(b)

Structure and organisation of the liquidity risk management function (authority, statute, other arrangements).

(c)

A description of the degree of centralisation of liquidity management and interaction between the group’s units

(d)

Scope and nature of liquidity risk reporting and measurement systems.

(e)

Policies for hedging and mitigating the liquidity risk and strategies and processes for monitoring the continuing effectiveness of hedges and mitigants.

(f)

An outline of the bank's contingency funding plans.

(g)

An explanation of how stress testing is used.

(h)

A declaration approved by the management body on the adequacy of liquidity risk management arrangements of the institution providing assurance that the liquidity risk management systems put in place are adequate with regard to the institution’s profile and strategy.

(i)

A concise liquidity risk statement approved by the management body succinctly describing the institution’s overall liquidity risk profile associated with the business strategy. This statement shall include key ratios and figures (other than those already covered in the EU LIQ1 template under this ITS ) providing external stakeholders with a comprehensive view of the institution’s management of liquidity risk, including how the liquidity risk profile of the institution interacts with the risk tolerance set by the management body.

These ratios may include:

— Concentration limits on collateral pools and sources of funding (both products and counterparties)

— Customised measurement tools or metrics that assess the structure of the bank’s balance sheet or that project cash flows and future liquidity positions, taking into account off-balance sheet risks which are specific to that bank

— Liquidity exposures and funding needs at the level of individual legal entities, foreign branches and subsidiaries, taking into account legal, regulatory and operational limitations on the transferability of liquidity

— Balance sheet and off-balance sheet items broken down into maturity buckets and the resultant liquidity gaps

Template EU LIQ1 - Quantitative information of LCR

Scope of consolidation: (solo/consolidated)

Total unweighted value (average)

Total weighted value (average)

EU 1a

Quarter ending on (DD Month YYY)

T-1

T-2

T-3

T-1

T-2

T-3

EU 1b

Number of data points used in the calculation of averages

HIGH-QUALITY LIQUID ASSETS

Total high-quality liquid assets (HQLA)

CASH - OUTFLOWS

Retail deposits and deposits from small business customers, of which:

Stable deposits

Less stable deposits

Unsecured wholesale funding

Operational deposits (all counterparties) and deposits in networks of cooperative banks

Non-operational deposits (all counterparties)

Unsecured debt

Secured wholesale funding

Additional requirements

Outflows related to derivative exposures and other collateral requirements

Outflows related to loss of funding on debt products

Credit and liquidity facilities

Other contractual funding obligations

Other contingent funding obligations

TOTAL CASH OUTFLOWS

CASH - INFLOWS

Secured lending (e.g. reverse repos)

Inflows from fully performing exposures

Other cash inflows

EU-19a

(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)

EU-19b

(Excess inflows from a related specialised credit institution)

TOTAL CASH INFLOWS

EU-20a

Fully exempt inflows

EU-20b

Inflows subject to 90% cap

EU-20c

Inflows subject to 75% cap

TOTAL ADJUSTED VALUE

EU-21

LIQUIDITY BUFFER

TOTAL NET CASH OUTFLOWS

LIQUIDITY COVERAGE RATIO

Table EU LIQB on qualitative information on LCR, which complements template EU LIQ1.

in accordance with Article 451a(2) CRR

Row number

Qualitative information - Free format

(a)

Explanations on the main drivers of LCR results and the evolution of the contribution of inputs to the LCR’s calculation over time

(b)

Explanations on the changes in the LCR over time

(c)

Explanations on the actual concentration of funding sources

(d)

High-level description of the composition of the institution's liquidity buffer.

(e)

Derivative exposures and potential collateral calls

(f)

Currency mismatch in the LCR

(g)

Other items in the LCR calculation that are not captured in the LCR disclosure template but that the institution considers relevant for its liquidity profile

Template EU LIQ2: Net Stable Funding Ratio

In accordance with Article 451a(3) CRR

(in currency amount)

Unweighted value by residual maturity

Weighted value

No maturity

< 6 months

6 months to < 1yr

≥ 1yr

Available stable funding (ASF) Items

Capital items and instruments

Own funds

Other capital instruments

Retail deposits

Stable deposits

Less stable deposits

Wholesale funding:

Operational deposits

Other wholesale funding

Interdependent liabilities

Other liabilities:

NSFR derivative liabilities

All other liabilities and capital instruments not included in the above categories

Total available stable funding (ASF)

Required stable funding (RSF) Items

Total high-quality liquid assets (HQLA)

EU-15a

Assets encumbered for a residual maturity of one year or more in a cover pool

Deposits held at other financial institutions for operational purposes

Performing loans and securities:

Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut

Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions

Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which:

With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk

Performing residential mortgages, of which:

With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk

Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products

Interdependent assets

Other assets:

Physical traded commodities

Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs

NSFR derivative assets

NSFR derivative liabilities before deduction of variation margin posted

All other assets not included in the above categories

Off-balance sheet items

Total RSF

Net Stable Funding Ratio (%)

ANNEX XIV

Instructions for the liquidity requirements templates

Instructions on Table EU LIQA on liquidity risk management and on template EU LIQ1 regarding LCR

Institutions subject to Part Six of Regulation (EU) 575/2013 (

) (‘CRR’) shall disclose the information referred to in Article 451a CRR by completing table EU LIQA, template EU LIQ1 and table EU LIQB.

Table EU LIQA - Liquidity risk management

Institutions subject to Part Six CRR shall disclose the information referred to in Article 451a(4) CRR by following the instructions provided below in this Annex to complete table EU LIQA which is presented in Annex XIII to this Implementing Regulation.

For the purposes of table EU LIQA, institutions subject to Part Six CRR shall consider the text boxes provided in the table as free-text boxes. They shall provide relevant information, both qualitative and quantitative, on risk management objectives and policies for liquidity risk, depending upon their business models and liquidity risk profiles, organisation and functions involved in liquidity risk management, in accordance with Article 435(1) CRR and the Commission Delegated Regulation (EU) 2015/61 (

) with regard to liquidity coverage requirement for Credit Institutions.

Template EU LIQ1 - Quantitative information of LCR

Institutions subject to Part Six CRR shall disclose the information referred to in Article 451a(2) CRR by following the instructions provided below in this Annex to complete template EU LIQ1 as presented in Annex XIII to this Implementing Regulation.

When disclosing the information required in this template, institutions subject to Part Six CRR shall include the values and figures required for each of the four calendar quarters (January-March, April-June, July-September, October-December) preceding the disclosure date. Institutions shall calculate these values and figures as the simple averages of month-end observations over the twelve months preceding the end of each quarter.

The information required in template EU LIQ1 shall include all items irrespective of the currency in which they are denominated and shall be disclosed in the reporting currency as defined in Article 3 of Commission Delegated Regulation (EU) 2015/61.

To calculate the unweighted and weighted inflows and outflows and the weighted HQLA for the purpose of template EU LIQ1, institutions shall apply the following instructions:

(a)

Inflows/outflows: the unweighted value of inflows and outflows shall be calculated as the outstanding balances of various categories or types of liabilities, off-balance sheet items or contractual receivables. The 'weighed' value for inflows and outflows shall be calculated as the value after the inflow and outflow rates are applied.

(b)

HQLA: the 'weighted' value of High Quality Liquid Assets (HQLA) shall be calculated as the value after haircuts are applied.

In order to calculate the adjusted value of the liquidity buffer in item 21 and the adjusted value of total net cash outflows in item 22 of template EU LIQ1, institutions shall apply each of the following instructions:

(a)

the adjusted value of the liquidity buffer is the value of total HQLA after the application of both haircuts and any applicable cap;

(b)

the adjusted value of net cash outflows shall be calculated after the cap on inflows is applied, where applicable.

Legal references and instructions

Row number

Explanation

Total high quality liquid assets (HQLA)

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

Retail deposits and deposits from small business customers, of which:

Institutions shall disclose as the unweighted value the amount of the retail deposits in accordance with Articles 24 and 25 of Commission Delegated Regulation (EU) 2015/61.

Institutions shall disclose as the weighted value the outflow of the retail deposits in accordance with Articles 24 and 25 of Commission Delegated Regulation (EU) 2015/61.

Institutions shall disclose here on retail deposits in accordance with Article 411(2) CRR.

In accordance with Article 28(6) of Commission Delegated Regulation (EU) 2015/61 institutions shall also disclose within the appropriate retail deposit category the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account. Institutions will consider for this category of liability the applicable outflow rates provided for by the Commission Delegated Regulation (EU) 2015/61 for the different categories of retail deposits.

Stable deposits

Institutions shall disclose as the unweighted value the sum of the amount of the stable deposits in accordance with Article 24 of Commission Delegated Regulation (EU) 2015/61.

Institutions shall disclose as the weighted value the sum of the outflow of the stable deposits in accordance with Article 24 of Commission Delegated Regulation (EU) 2015/61.

Institutions shall disclose here the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC ( 1 ) or Directive 2014/49/EU ( 2 ) or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24 (2) and (3) of the Commission Delegated Regulation (EU) 2015/61 respectively and where:

— These deposits do not fulfil the criteria for a higher outflow rate in accordance with Article 25(2), (3), or (5) of Commission Delegated Regulation (EU) 2015/61, and

— These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Commission Delegated Regulation (EU) 2015/61.

Less stable deposits

Institutions shall disclose as the unweighted value the sum of the amount of the retail deposits in accordance with Article 25 (1), (2) and (3) of Commission Delegated Regulation (EU) 2015/61.

Institutions shall disclose as the weighted value the sum of the outflow of the retail deposits in accordance with Article 25(1), (2) and (3) of Commission Delegated Regulation (EU) 2015/61.

Unsecured wholesale funding

Institutions shall disclose the sums of the unweighted and weighted amounts that are necessary to be disclosed in row 6 'Operational deposits (all counterparties) and deposits in networks of cooperative banks', row 7 'Non-operational deposits (all counterparties)' and row 8 'Unsecured debt' of this template.

Operational deposits (all counterparties) and deposits in networks of cooperative banks

Institutions shall disclose as the unweighted value the amount of the operational deposits in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61.

Institutions shall disclose as the weighted value the outflows of the operational deposits in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61.

Institutions shall disclose here the part of the operational deposits, in accordance with Article 27 of the Commission Delegated Regulation (EU) 2015/61, which is necessary for the provision of operational services. Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall be considered non-operational deposits in accordance with Article 27(5) of Commission Delegated Regulation (EU) 2015/61.

The part of the operational deposits in excess of the amount necessary for the provision of operational services shall not be disclosed here.

Non-operational deposits (all counterparties)

Institutions shall disclose as the unweighted value the amount of the non-operational deposits following Article 27(5), Article 28(1) and Article 31A(1) of Commission Delegated Regulation (EU) 2015/61.

Institutions shall disclose as the weighted value the outflow of the non- operational deposits following Article 27(5), Article 28(1) and Article 31A(1) of Commission Delegated Regulation (EU) 2015/61.

Institutions shall disclose here on deposits arising out of a correspondent banking or from the provision of prime brokerage services in accordance with Article 27(5) of Commission Delegated Regulation (EU) 2015/61.

The part of operational deposits in accordance with Article 27(5) of Commission Delegated Regulation (EU) 2015/61, in excess of those required for the provision of operational services, shall be disclosed here.

Unsecured debt

Institutions shall disclose as the unweighted value the outstanding balance of notes, bonds and other debt securities, issued by the institution other than that disclosed as retail deposits as referred to in Article 28(6) of Commission Delegated Regulation (EU) 2015/61. This amount includes also coupons that come due in the next 30 calendar days referred to all these securities.

Institutions shall disclose as the weighted value the outflow of those notes, bonds and other debt securities indicated in the previous paragraph.

Secured Wholesale funding

Institutions shall disclose as the weighted value the sum of the outflow resulting from secured lending or capital market-driven transactions as referred to in in Article 28(3) of Commission Delegated Regulation (EU) 2015/61 and from collateral swaps and other transactions with a similar form in accordance with Articles 28(4) of Commission Delegated Regulation (EU) 2015/61.

Additional requirements

Institutions shall disclose the sums of the unweighted and weighted amounts that are necessary to be disclosed in row 11 'Outflows related to derivative exposures and other collateral requirements', row 12 'Outflows related to loss of funding on debt products' and row 13 'Credit and liquidity facilities' of this template.

Outflows related to derivative exposures and other collateral requirements

Institutions shall disclose as the unweighted value and as the weighted value the sum of the following amounts and outflows respectively:

— The market value and relevant outflows of collateral other than Level 1 collateral which is posted for contracts listed in Annex II CRR and credit derivatives, following Article 30(1) of Commission Delegated Regulation (EU) 2015/61.

— The market value and relevant outflows of Level 1 EHQ Covered Bonds assets collateral posted for contracts listed in Annex II CRR and credit derivatives following Article 30(1) of Commission Delegated Regulation (EU) 2015/61.

— The total amount of additional outflows calculated and notified to the competent authorities in accordance with Article 30(2) of Commission Delegated Regulation (EU) 2015/61 as material outflows due to deterioration of own credit quality.

— The amount of outflows stemming from an impact of an adverse market scenario on derivatives transactions as envisaged in Article 30(3) of Commission Delegated Regulation (EU) 2015/61 and calculated in accordance with Commission Delegated Regulation (EU) 2017/208 ( 3 ) .

— The amount of outflows expected over 30 calendar days from contracts listed in Annex II CRR and from credit derivatives as envisaged in Article 30(4) of Commission Delegated Regulation (EU) 2015/61 and calculated in accordance with Article 21 of Commission Delegated Regulation (EU) 2015/61.

— The market value, and relevant outflows, of excess collateral that the institution holds and that can be contractually called at any times by the counterparty as envisaged in point (a) of Article 30(6) of Commission Delegated Regulation (EU) 2015/61.

— The market value, and relevant outflows, of collateral that is due to be posted to counterparty within the 30 calendar day period as envisaged in point (b) of Article 30(6) of Commission Delegated Regulation (EU) 2015/61.

— The market value, and relevant outflows, of collateral that qualifies as liquid assets for the purpose of Title II of Commission Delegated Regulation (EU) 2015/61 that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purpose of Title II of the same Regulation without the consent of the institution, as envisaged in point (c) of Article 30(6) of Commission Delegated Regulation (EU) 2015/61.

Outflows related to loss of funding on debt products

Institutions shall disclose as the unweighted value and as the weighted value the amount and outflows respectively, of the loss of funding on structured financing activities, as envisaged in Article 30(8) to 30(10) of Commission Delegated Regulation (EU) 2015/61.

Institutions shall assume 100 % outflow for loss of funding on asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period issued by the credit institution or by sponsored conduits or SPVs.

Institutions that are providers of liquidity facilities associated with financing programs disclosed here do not need to double count the maturing financing instrument and the liquidity facility for consolidated programs.

Credit and liquidity facilities

Institutions shall disclose as the unweighted value and as the weighted value the amount and outflow respectively, of the credit and liquidity facilities in accordance with Article 31 of Commission Delegated Regulation (EU) 2015/61.

Institutions shall also disclose here on committed facilities in accordance with Article 29 of the Commission Delegated Regulation (EU) 2015/61.

Other contractual funding obligations

Institutions shall disclose as the unweighted value and as the weighted value the sum of amounts and outflows respectively, of the following items:

— Assets borrowed on an unsecured basis, and maturing within the 30 days as envisaged in Article 28(7) of Commission Delegated Regulation (EU) 2015/61. These assets shall be assumed to run off in full, leading to a 100 % outflow. Institutions shall disclose the market value of assets borrowed on an unsecured basis and maturing within the 30 days period where the credit institution does not own the securities and they do not form part of institutions liquidity buffer.

— Short positions covered by an unsecured security borrowing. As established in Article 30(5) of Commission Delegated Regulation (EU) 2015/61, institutions shall add an additional outflow corresponding to 100 % of the market value of the securities or other assets sold short unless the terms upon which the credit institution has borrowed them require their return only after 30 calendar days. If the short position is covered by a collateralized securities financing transaction, the credit institution shall assume the short positon will be maintained throughout the 30 calendar day period and received a 0 % outflow.

— Liabilities resulting from operating expenses. As established in Article 28(2) of Commission Delegated Regulation (EU) 2015/61, institutions shall disclose the amount of the outstanding balance of liabilities resulting from the credit institution's own operating expenses. These liabilities do not trigger outflows.

— Other unsecured transactions that come due in the next 30 calendar days and are not included in Articles 24 to 31 of Commission Delegated Regulation (EU) 2015/61, that, as established in Article 31A(1) of Commission Delegated Regulation (EU) 2015/61, trigger 100 % outflows.

Other contingent funding obligations

Institutions shall disclose as the unweighted value and as the weighted value the sum of amounts and outflows respectively, of the following items:

— Other products and services as referred to in Article 23 of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose here on those products or services referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. The amount to be disclosed shall be the maximum amount that could be drawn from those products or services referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61.

— Excess of contractual commitments to extend funding to non-financial customers within 30 calendar days as envisaged in Article 31A(2) of Commission Delegated Regulation (EU) 2015/61.

— Internal netting of clients positions in accordance with Article 30(11) of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose here the market value of the non-liquid assets of a client that, in relation to prime brokerage services, the credit institution has used to cover short sales of another client by internally matching them.

TOTAL CASH OUTFLOWS

Institutions shall disclose the sum of the weighted value of the following items under these instructions:

— Row 2: Retail deposits and deposits from small business customers of this template;

— Row 5: Unsecured wholesale funding of this template,

— Row 9: Secured wholesale funding of this template,

— Row 10: Additional requirements of this template,

— Row 14: Other contractual funding obligations of this template;

— Row 15: Other contingent funding obligations of this template.

Secured lending (e.g. reverse repos)

Institutions shall disclose as the unweighted value the sum of:

— The amounts of secured lending and capital market driven transactions with a residual maturity of no more than 30 days as envisaged in points (b), (c) and (f) of Article 32(3) of Commission Delegated Regulation (EU) 2015/61.

— The market value of collateral lent in collateral swaps as envisaged in Article 32(3) of Commission Delegated Regulation (EU) 2015/61.

Institutions shall disclose as the weighted value the sum of:

— Inflows from secured lending and capital market driven transactions with a residual maturity of no more than 30 days as envisaged in points (b), (c) and (f) of Article 32(3) of Commission Delegated Regulation (EU) 2015/61.

— Inflows from collateral swaps as envisaged in Article 32(3) of Commission Delegated Regulation (EU) 2015/61.

Inflows from fully performing exposures

Institutions shall disclose as the unweighted value and as the weighted value the sum of the total amounts and inflows, respectively, of the items:

— monies due from non-financial customers (except for central banks) as envisaged in point (a) of Article 32(3) of Commission Delegated Regulation (EU) 2015/61.

— monies due from central banks and financial customers as envisaged in point (a) of Article 32(2) of Commission Delegated Regulation (EU) 2015/61.

— monies due from trade financing transactions as envisaged in point (b) of Article 32(2) of Commission Delegated Regulation (EU) 2015/61 with a residual maturity of no more than 30 days.

— inflows corresponding to outflows in accordance with promotional loan commitments as referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61.

Other cash inflows

Institutions shall disclose as the unweighted value and as the weighted value the sum of the total amounts and inflows respectively, of the items:

— monies due from securities maturing within 30 days as envisaged in point (c) of Article 32(2) of Commission Delegated Regulation (EU) 2015/61.

— loans with an undefined contractual end date as envisaged in point (i) of Article 32(3) of Commission Delegated Regulation (EU) 2015/61.

— monies due from positions in major index equity instruments provided that there is no double counting with liquid assets as envisaged in point (d) of Article 32(2) of Commission Delegated Regulation (EU) 2015/61. Position shall include monies contractually due within 30 calendar days, such as cash dividends from those major indexes and cash due from those equity instruments sold but not yet settled, if they are not recognized as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61.

— inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets as envisaged in Article 32(4) of Commission Delegated Regulation (EU) 2015/61. Inflows shall only be considered if these balances are maintained in liquid assets as specified in Title II of Commission Delegated Regulation (EU) 2015/61.

— inflows from derivatives as envisaged in Article 32(5) in conjunction with Article 21 of Commission Delegated Regulation (EU) 2015/61.

— inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate in accordance with Article 34 of Commission Delegated Regulation (EU) 2015/61.

— other inflows following Article 32(2) of Commission Delegated Regulation (EU) 2015/61.

EU-19a

As envisaged in Article 32(8) of Commission Delegated Regulation (EU) 2015/61, institutions shall disclose as the weighted value the excess of those weighted inflows with respect to those outflows.

EU-19b

(Excess inflows from a related specialised credit institution)

As envisaged in point (e) of Article 2(3) and in Article 33(6) of Commission Delegated Regulation (EU) 2015/61, credit institutions, for the purposes of disclosing in a consolidated basis, shall disclose as the weighted value the inflows arising from a related specialised credit institution referred to in Article 33(3) and (4) of Commission Delegated Regulation (EU) 2015/61 that are in excess of the amount of outflows arising from the same undertaking.

TOTAL CASH INFLOWS

Institutions shall disclose the sum of the unweighted and weighted value of the following items under these instructions:

— Row 17: Secured lending (e.g. reverse repos) of this template

— Row 18: Inflows from fully performing exposures of this template

— Row 19: Other cash inflows of this template

— minus:

— Row EU-19a: (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) of this template

— Row Eu-19b: (Excess inflows from a related specialised credit institution) of this template.

EU-20a

Fully exempt inflows

Institutions shall disclose as the unweighted value and as the weighted value the total amount of assets/monies due/maximum amount that can be drawn and their relevant total inflows, respectively, which are exempted from the cap on inflows in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61.

EU-20b

Inflows subject to 90 % cap

Institutions shall disclose as the unweighted value and as the weighted value the total amount of assets/monies due/maximum amount that can be drawn and their relevant total inflows, respectively, which are subject to the 90 % inflows cap in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61.

EU-20c

Inflows subject to 75 % cap

Institutions shall disclose as the unweighted value and as the weighted value the total amount of assets/monies due/maximum amount that can be drawn and their relevant total inflows, respectively, which are subject to the 75 % inflows cap in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61.

EU-21

LIQUIDITY BUFFER

Institutions shall disclose as the adjusted value the value of the institution's Liquidity buffer calculated in accordance with Annex I – Formulae for the determination of the liquidity buffer composition of Commission Delegated Regulation (EU) 2015/61.

TOTAL NET CASH OUTFLOWS

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

LIQUIDITY COVERAGE RATIO (%)

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

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

( 1 )

DIRECTIVE 94/19/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 30 May 1994 on deposit-guarantee schemes (OJ L 135, 31.5.1994, p. 5).

( 2 )

DIRECTIVE 2014/49/EU OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 16 April 2014 on deposit guarantee schemes (OJ L 173, 12.6.2014, p. 149).

( 3 )

COMMISSION DELEGATED REGULATION (EU) 2017/208 of 31 October 2016 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for additional liquidity outflows corresponding to collateral needs resulting from the impact of an adverse market scenario on an institution's derivatives transactions (OJ L 33, 8.2.2017, p. 14).

Table EU LIQB on qualitative information on LCR, which complements template EU LIQ1.

Institutions subject to Part Six of CRR shall disclose the information referred to in Article 451a(2) CRR by following the instructions provided below in this Annex to complete table EU LIQB which is presented in Annex XIII to this Implementing Regulation.

10.

Table EU LIQB shall provide qualitative information on the items included in template EU LIQ1 on quantitative information on LCR.

11.

Institutions subject to Part Six CRR shall consider the text boxes provided in this table as free-text boxes and disclose the items included there, where possible, in accordance with their consideration in the context of the definition of the LCR in Commission Delegated Regulation (EU) 2015/61 and of the additional liquidity monitoring metrics as set out in Chapter 7b of Commission Implementing Regulation (EU) No 680/2014 (

Instructions on template EU LIQ2 on disclosure of Net Stable Funding Ratio (NSFR)

12.

Institutions subject to Part Six CRR shall disclose the information included in template EU LIQ2 in application of Article 451a(3) CRR in accordance with the instructions included in this Annex. Quarter-end figures for each quarter of the relevant disclosure period shall be disclosed. For e.g. annual disclosure this includes four data sets covering the latest and the three previous quarters.

13.

The information required in template EU LIQ2 shall include all assets, liabilities and off-balance sheet items irrespective of the currency in which they are denominated and shall be disclosed in the reporting currency as defined in Article 411(15) CRR.

14.

To avoid any double counting, institutions shall not disclose assets or liabilities that are associated with collateral posted or received as variation margin in accordance with Articles 428k(4) and with Article 428ah(2) CRR, initial margin and contribution to the default fund of a CCP in accordance with point (a) of Article 428ag and with point (b) of Article 428ag CRR.

15.

Deposits maintained in the context of an institutional protection scheme or a cooperative network that are considered as liquid assets shall be disclosed as such. Other items within a group or an institutional protection scheme shall be disclosed in the relevant general categories in the template of stable funding required or available.

16.

Institutions shall always disclose as ‘Unweighted value by residual maturity’ in columns a, b, c and d of the template the accounting values, except for the cases of derivative contracts, for which institutions shall refer to the fair value as specified in Article 428d(2) CRR.

17.

Institutions shall disclose the ‘weighted value’ in column e of this template. This value shall reflect the value in accordance with Article 428c(2) CRR which is the result of the unweighted value multiplied by the stable funding factors.

18.

The amount of assets and liabilities resulting from securities financing transactions (SFTs) with a single counterparty shall be considered on a net basis where Article 428e CRR applies. In the case that the individual transactions netted were subject to different required stable funding (RSF) factors if they were considered separately, the netted amount to be disclosed, if an asset, shall be subject to the higher RSF factor of them.

19.

Institutions shall provide in the narrative accompanying this template any explanations needed to facilitate an understanding of the results and the accompanying data. At least, institutions shall explain:

the drivers of their NSFR results and the reasons for intra-period changes as well as the changes over time (e.g., changes in strategies, funding structure, circumstances); and

the composition of the institution’s interdependent assets and liabilities and to what extent these transactions are interrelated.

Available stable funding (ASF) Items

20.

In accordance with Article 428i CRR, unless specified otherwise in Chapter 3 of Title IV of Part Six CRR, the amount of available stable funding (ASF) shall be calculated by multiplying the amount of liabilities and own funds, as unweighted value, by the available stable funding factors. The weighted value in column ‘e’ of this template reflects the amount of available stable funding.

21.

All liabilities and own funds shall be disclosed with a breakdown by their residual maturity in columns a, b, c and d of this template, calculated in accordance with Articles 428j, 428o and 428ak CRR, with the following breakdown in terms of maturity buckets:

no maturity: Items to be disclosed in the ‘no maturity’ time bucket do not have a stated maturity or are perpetual;

residual maturity of less than six months;

residual maturity of a minimum of six months but less than one year; and

residual maturity of one year or more.

Required stable funding (RSF) Items

22.

Institutions shall disclose in the appropriate category all assets on which they retain beneficial ownership even if they are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not be disclosed even if these assets are accounted for in their balance sheet.

23.

In accordance with Article 428p CRR, unless specified otherwise in Chapter 4 of Title IV of Part Six CRR, the amount of required stable funding (RSF) shall be calculated by multiplying the unweighted value of assets and off-balance sheet items by the required stable funding factors.

24.

Assets that are eligible as high-quality liquid assets (HQLA) in accordance with Commission Delegated Regulation (EU) 2015/61 shall be disclosed as such, in a designated row regardless of their residual maturity.

25.

All non-HQLA assets and off-balance sheet items shall be disclosed with a breakdown by their residual maturity in accordance with Article 428q CRR. The maturity buckets of the amounts, standard factors and applicable factors are the following:

residual maturity of less than six months or without stated maturity;

residual maturity of a minimum of six months but less than one year; and

residual maturity of one year or more.

Legal references and instructions

Row

Explanation

Available stable funding (ASF) Items

Capital items and instruments

Institutions shall disclose here the sum of amounts in row 2 and row 3 of this template.

Own funds

Points (a), (b) and (c) of Article 428o CRR

Institutions shall include here the sum of the following items:

— common Equity Tier 1 (CET1) items before the application of prudential filters, deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR;

— additional Tier 1 items (AT1) before the application of the deductions and exemptions stipulated in Articles 56 and 79 CRR; and

— tier 2 (T2) items before the application of the deductions and exemptions stipulated in Articles 66 and 79 CRR and having a residual maturity of one year or more at the disclosure reference date.

CET1 and AT1 items are perpetual instruments that shall be disclosed in the ‘no maturity’ bucket. In the case of AT1 items callable by the institution, only if the time period to the date of the call options is below one year, they will not be disclosed in the no maturity bucket but in the applicable time bucket (i.e., residual maturity of less than six months or residual maturity of a minimum of six months but less than one year). This is regardless of whether the option has been exercised or not.

Regarding T2 items, the maturity bucket of one year or more shall include those instruments with an equivalent residual maturity and, in the exceptional cases of T2 instruments with no maturity, also these instruments. In case T2 items were callable by the institution, and irrespective of whether the institution has exercised the call option, the residual maturity of the instrument will be determined by the date of the call option. In this case, the institution shall disclose these items in the relevant time bucket and shall not apply a 100 % ASF factor if the option may be exercised within one year.

Other capital instruments

Point (d) of Article 428o and point (d) of Article 428k(3) CRR

Other capital instruments with a residual maturity of one year or more at the disclosure reference date.

In case other capital instruments were callable by the institution, and irrespective of whether the institution has exercised the call option, the residual maturity of the instrument will be determined by the date of the call option. In this case, the institution shall disclose these items in the relevant time bucket and shall not apply a 100 % ASF factor if the option may be exercised within one year.

Retail deposits

Institutions shall disclose here the sum of amounts in row 5 and row 6 of this template.

Stable retail deposits

Article 428n CRR

Institutions shall include the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Articles 24(2) and (3) of Commission Delegated Regulation (EU) 2015/61 respectively and where:

— these deposits do not fulfill the criteria for a higher outflow rate in accordance with Articles 25(2), (3) and (5) of Commission Delegated Regulation (EU) 2015/61 in which case they shall be included as ‘less stable deposits’; or

— these deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Commission Delegated Regulation (EU) 2015/61 in which case they shall be included as ‘less stable deposits’.

Less stable retail deposits

Article 428m CRR

Institutions shall disclose the amount of other retail deposits than those captured as ‘stable retail deposits’ in row 5 of this template.

Wholesale funding:

Institutions shall disclose here the sum of amounts in row 8 and row 9 of this template.

Operational deposits

Point (a) of Article 428l CRR

Institutions shall disclose here the part of deposits received (both from financial customers and from other non-financial customers) that fulfil the criteria for operational deposits set out with Article 27 of Commission Delegated Regulation (EU) 2015/61 which is necessary for the provision of operational services. Operational deposits in excess of the amount necessary for the provision of operational services shall not be included here but within row 9, ‘Other wholesale funding’ of this template.

Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall be considered non-operational deposits in accordance with Article 27(5) of Commission Delegated Regulation (EU) 2015/61 and shall be disclosed under row 9 ‘Other wholesale funding’ of this template.

Other wholesale funding

Points (b) to (d) of Article 428l, Article 428g and points (c) and (d) of Article 428k (3) CRR

Institutions shall disclose here wholesale funding other than the amount of operational deposits that is necessary for the provision of operational services. This shall include liabilities provided by central governments, regional governments, local authorities, public sector entities, multilateral development banks, international organisations, central banks and by any other non-financial or financial customers as well as liabilities where the counterparty cannot be determined, including securities issued where the holder cannot be identified.

Interdependent liabilities

Point (b) of Article 428k(3) CRR

Institutions shall disclose liabilities that, having been approved by the relevant competent authority, are treated as interdependent with assets in accordance with Article 428f CRR.

Other liabilities

Institutions shall disclose here the sum of amounts in rows 12 and 13 of this template.

NSFR derivative liabilities

Article 428k(4) CRR

Institutions shall disclose the absolute amount of the negative difference between netting sets calculated in accordance with Article 428k(4) CRR.

All other liabilities and capital instruments not included in the above categories

Articles 428k(1) and 428k(3) CRR

Institutions shall disclose here the sum of the following items:

— trade date payables arising from purchases of financial instruments, foreign currencies and commodities that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transactions or that have failed to, but are still expected to settle, in accordance with point (a) of Article 428k(3) CRR;

— deferred tax liabilities, considering the nearest possible date on which their amount can be realised as residual maturity, in accordance with point (a) of Article 428k(2) CRR;

— minority interests, considering the term of the instrument as residual maturity, in accordance with point (b) of Article 428k(1) CRR; and

— other liabilities, for example short positions and open maturity positions, in accordance with Articles 428k(1) and 428k(3) CRR.

Total available stable funding (ASF )

Chapter 3 of Title IV of Part Six CRR

Institutions shall disclose here the total of the items providing available stable funding in accordance with Chapter 3 of Title IV of Part Six CRR (sum of amounts in rows 1, 4, 7, 10 and 11 of this template).

Required stable funding (RSF) Items

Total high-quality liquid assets (HQLA)

Institutions shall also include here encumbered and unencumbered high-quality liquid assets pursuant to Commission Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation, in accordance with Articles 428r to 428ae CRR.

EU-15a

Assets encumbered for a residual maturity of one year or more in a cover pool

Article 428ag(h) CRR

Institutions shall disclose here the amount of monies due from loans that are not in default in accordance with Article 178 CRR and liquid assets, that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive (EC) 2009/65 ( 1 ) or covered bonds which meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR.

Deposits held at other financial institutions for operational purposes

Point (b) of Article 428ad CRR

Institutions shall disclose here those amounts of monies due from loans that are not in default in accordance with Article 178 CRR, that are operational deposits pursuant to Commission Delegated regulation (EU) 2015/61 and necessary for the provision of operational services.

Performing loans and securities:

Institutions shall disclose here the sum of amounts in rows 18, 19, 20, 22 and 24 of this template.

Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0 % haircut

Article 428e, point (g) of Article 428r(1) and point (b) of Article 428s CRR

Institutions shall disclose here the amount of monies due from securities financing transactions, that are not in default in accordance with Article 178 CRR, with financial customers and that are collateralized by level 1 assets eligible for 0 % haircut pursuant to Commission Delegated Regulation (EU) 2015/61.

Performing securities financing transactions with financial customers collateralised by other assets and other loans and advances to financial institutions

Point (b) of Article 428s, point (d) of Article 428ad, point (b) of Article 428ah(1) and point (a) of Article 428v CRR

Institutions shall disclose here the sum of the following items:

— the amount of monies due from securities financing transactions, that are not in default in accordance with Article 178 CRR, with financial customers and are collateralized by assets other than level 1 assets eligible for 0 % haircut pursuant to Commission Delegated Regulation (EU) 2015/61; and

— the amount of monies due from other loans and advances, that are not in default in accordance with Article 178 CRR, to financial customers, in accordance with point (a) of Article 428v and with point (d)(iii) of Article 428ad CRR.

Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which:

Point (c) of Article 428ad, 428af and point (c) of Article 428ag CRR

Institutions shall disclose here those amounts of monies due from loans that are not in default in accordance with Article 178 CRR, which are residential loans fully guaranteed by an eligible protection provider as referred to in point (e) of Article 129(1) CRR or loans, excluding loans to financial customers and loans referred to in Articles 428r to 428ad except point (c) of Article 428ad CRR, regardless the risk weights assigned to these loans. This amount shall not include exposures secured by mortgages on residential property.

With a risk weight of less than or equal to 35 % under the Basel II Standardised Approach for credit risk

Point (c) of Article 428ad and 428af CRR

Institutions shall disclose here those amounts of loans from row 21 of this template which are assigned a risk weight of less than or equal to 35 % in accordance with Chapter 2 of Title II of Part Three CRR.

Performing residential mortgages, of which:

Point (c) of Article 428ad, point (a) of 428af and point (c) of 428ag CRR

Institutions shall disclose here those amounts of monies due from loans that are not in default in accordance with Article 178 CRR, which are loans secured by mortgages on residential property, excluding loans to financial customers and loans referred to in Articles 428r to 428ad CRR, except paragraph (c) of Article 428ad CRR, regardless the risk weights assigned to these loans.

With a risk weight of less than or equal to 35 % under the Basel II Standardised Approach for credit risk

Point (c) of Article 428ad and point (a) of 428af CRR

Institutions shall include here those amounts of loans from row 22 of this template, which are assigned a risk weight of less than or equal to 35 % in accordance with Chapter 2 of Title II of Part Three CRR.

Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products

Institutions shall disclose here the sum of:

— following points (e) and (f) of Article 428ag CRR, securities that are not in default in accordance with Article 178 CRR and that are not liquid assets pursuant to Commission Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements laid down therein; and

— trade finance on-balance sheet related products in accordance with point (b) of Article 428v, point (e) of 428ad and point (d) of 428ag CRR.

Interdependent assets

Article 428f and point (f) of Article 428r(1) CRR

Institutions shall disclose here assets that, having been authorized by competent authorities, are being interdependent with liabilities in accordance with Article 428f CRR.

Other assets:

Institutions shall disclose here the sum of amounts in rows 27, 28, 29, 30, and 31 of this template.

Physically traded commodities

Point (g) of Article 428ag CRR

Institutions shall disclose here the amount of physically traded commodities. This amount shall not include commodity derivatives.

Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs

Institutions shall disclose here the sum of the following amounts:

— the amount of required stable funding arising from derivatives, in accordance with Articles 428d, 428s(2), point (a) of Article 428ag and 428ah(2) CRR, which is related to initial margins for derivative contracts; and

— The amount related to items posted as contribution to the default fund of a CCP, in accordance with point (b) of Article 428ag CRR.

NSFR derivative assets

Articles 428d and 428ah(2) CRR

Institutions shall include here the amount of required stable funding arising from derivatives, in accordance with Articles 428d, 428s(2), point (a) of Article 428ag and 428ah(2) CRR, which is calculated as the absolute amount of the positive difference between netting sets calculated in accordance with Article 428ah(2) CRR.

NSFR derivative liabilities before deduction of variation margin posted

Article 428s(2) CRR

Institutions shall disclose here the amount of required stable funding related to derivative liabilities, in accordance with Articles 428d, 428s(2), point (a) of 428ag and 428ah(2) CRR, which is the absolute fair value of netting sets with a negative fair value calculated in accordance with Article 428s(2) CRR.

All other assets not included in the above categories

Institutions shall include here the sum of the following items:

— trade date receivables in accordance with point (e) of Article 428r(1) CRR;

— non-performing assets in accordance with point (b) of Article 428ah(1) CRR;

— reserves at central banks that are not considered as HQLA; and

— other assets not referred to in the previous items listed above.

Off-balance sheet items

Institutions shall disclose here the amount of off-balance sheet items that are subject to the required stable funding requirements.

Total required stable funding (RSF)

Chapter 4 of Title IV of Part Six CRR

Institutions shall include here the total items subject to the required stable funding in accordance with Chapter 4 of Title IV of Part Six CRR (sum of amounts in rows 15, EU-15a, 16, 17, 25, 26, and 32 of this template).

Net Stable Funding Ratio (%)

NSFR calculated in accordance with Article 428b(1) CRR

( 1 )

DIRECTIVE 2009/65/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).

ANNEX XV

Table EU CRA: General qualitative information about credit risk

Institutions shall describe their risk management objectives and policies for credit risk by providing the following information:

Qualitative disclosures

(a)

In the concise risk statement in accordance with point (f) of Article 435(1) CRR, how the business model translates into the components of the institution’s credit risk profile.

(b)

When discussing their strategies and processes to manage credit risk and the policies for hedging and mitigating that risk in accordance with points (a) and (d) of Article 435(1) CRR, the criteria and approach used for defining the credit risk management policy and for setting credit risk limits.

(c)

When informing on the structure and organisation of the risk management function in accordance with point (b) of Article 435(1) CRR, the structure and organisation of the credit risk management and control function.

(d)

When informing on the authority, status and other arrangements for the risk management function in accordance with point (b) of Article 435(1) CRR, the relationships between credit risk management, risk control, compliance and internal audit functions.

Table EU CRB: Additional disclosure related to the credit quality of assets

Qualitative disclosures

(a)

The scope and definitions of ‘past-due’ and ‘impaired’ exposures used for accounting purposes and the differences, if any, between the definitions of past due and default for accounting and regulatory purposes as specified by the EBA Guidelines on the application of the definition of default in accordance with Article 178 CRR.

(b)

The extent of past-due exposures (more than 90 days) that are not considered to be impaired and the reasons for this.

(c)

Description of methods used for determining general and specific credit risk adjustments.

(d)

The institution’s own definition of a restructured exposure used for the implementation of point (d) of Article 178(3) CRR specified by the EBA Guidelines on defaultin accordance with Article 178 CRR when different from the definition of forborne exposure defined in Annex V to Commission Implementing Regulation (EU) 680/2014.

Template EU CR1: Performing and non-performing exposures and related provisions.

Gross carrying amount/nominal amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions

Accumulated partial write-off

Collateral and financial guarantees received

Performing exposures

Non-performing exposures

Performing exposures – accumulated impairment and provisions

Non-performing exposures – accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions

On performing exposures

On non-performing exposures

Of which stage 1

Of which stage 2

Of which stage 3

Of which stage 1

Of which stage 2

Of which stage 3

Cash balances at central banks and other demand deposits

Loans and advances

Central banks

General governments

Credit institutions

Other financial corporations

Non-financial corporations

Of which SMEs

Households

Debt securities

Central banks

General governments

Credit institutions

Other financial corporations

Non-financial corporations

Off-balance-sheet exposures

Central banks

General governments

Credit institutions

Other financial corporations

Non-financial corporations

Households

Total

Template EU CR1-A: Maturity of exposures

Net exposure value

On demand

<= 1 year

1 year <= 5 years

5 years

No stated maturity

Total

Loans and advances

Debt securities

Total

Template EU CR2: Changes in the stock of non-performing loans and advances

Gross carrying amount

Initial stock of non-performing loans and advances

Inflows to non-performing portfolios

Outflows from non-performing portfolios

Outflows due to write-offs

Outflow due to other situations

Final stock of non-performing loans and advances

Template EU CR2a: Changes in the stock of non-performing loans and advances and related net accumulated recoveries

Gross carrying amount

Related net accumulated recoveries

Initial stock of non-performing loans and advances

Inflows to non-performing portfolios

Outflows from non-performing portfolios

Outflow to performing portfolio

Outflow due to loan repayment, partial or total

Outflow due to collateral liquidations

Outflow due to taking possession of collateral

Outflow due to sale of instruments

Outflow due to risk transfers

Outflows due to write-offs

Outflow due to other situations

Outflow due to reclassification as held for sale

Final stock of non-performing loans and advances

Template EU CQ1: Credit quality of forborne exposures

Gross carrying amount/nominal amount of exposures with forbearance measures

Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions

Collateral received and financial guarantees received on forborne exposures

Performing forborne

Non-performing forborne

On performing forborne exposures

On non-performing forborne exposures

Of which collateral and financial guarantees received on non-performing exposures with forbearance measures

Of which defaulted

Of which impaired

Cash balances at central banks and other demand deposits

Loans and advances

Central banks

General governments

Credit institutions

Other financial corporations

Non-financial corporations

Households

Debt Securities

Loan commitments given

Total

Template EU CQ2: Quality of forbearance

Gross carrying amount of forborne exposures

Loans and advances that have been forborne more than twice

Non-performing forborne loans and advances that failed to meet the non-performing exit criteria

Template EU CQ3: Credit quality of performing and non-performing exposures by past due days

Gross carrying amount/nominal amount

Performing exposures

Non-performing exposures

Not past due or past due ≤ 30 days

Past due > 30 days ≤ 90 days

Unlikely to pay that are not past due or are past due ≤ 90 days

Past due > 90 days ≤ 180 days

Past due > 180 days ≤ 1 year

Past due > 1 year ≤ 2 years

Past due > 2 years ≤ 5 years

Past due > 5 years ≤ 7 years

Past due > 7 years

Of which defaulted

Cash balances at central banks and other demand deposits

Loans and advances

Central banks

General governments

Credit institutions

Other financial corporations

Non-financial corporations

Of which SMEs

Households

Debt securities

Central banks

General governments

Credit institutions

Other financial corporations

Non-financial corporations

Off-balance-sheet exposures

Central banks

General governments

Credit institutions

Other financial corporations

Non-financial corporations

Households

Total

Template EU CQ4: Quality of non-performing exposures by geography

Gross carrying/nominal amount

Accumulated impairment

Provisions on off-balance-sheet commitments and financial guarantees given

Accumulated negative changes in fair value due to credit risk on non-performing exposures

Of which non-performing

Of which subject to impairment

Of which defaulted

On-balance-sheet exposures

Country 1

Country 2

Country 3

Country 4

Country N

Other countries

Off-balance-sheet exposures

Country 1

Country 2

Country 3

Country 4

Country N

Other countries

Total

Template EU CQ5: Credit quality of loans and advances to non-financial corporations by industry

Gross carrying amount

Accumulated impairment

Accumulated negative changes in fair value due to credit risk on non-performing exposures

Of which non-performing

Of which loans and advances subject to impairment

Of which defaulted

Agriculture, forestry and fishing

Mining and quarrying

Manufacturing

Electricity, gas, steam and air conditioning supply

Water supply

Construction

Wholesale and retail trade

Transport and storage

Accommodation and food service activities

Information and communication

Financial and insurance actvities

Real estate activities

Professional, scientific and technical activities

Administrative and support service activities

Public administration and defense, compulsory social security

Education

Human health services and social work activities

Arts, entertainment and recreation

Other services

Total

Template EU CQ6: Collateral valuation - loans and advances

Loans and advances

Performing

Non-performing

Unlikely to pay that are not past due or are past due ≤ 90 days

Past due > 90 days

Of which past due > 30 days ≤ 90 days

Of which past due > 90 days ≤ 180 days

Of which: past due > 180 days ≤ 1 year

Of which: past due > 1 years ≤ 2 years

Of which: past due > 2 years ≤ 5 years

Of which: past due > 5 years ≤ 7 years

Of which: past due > 7 years

Gross carrying amount

Of which secured

Of which secured with immovable property

Of which instruments with LTV higher than 60% and lower or equal to 80%

Of which instruments with LTV higher than 80% and lower or equal to 100%

Of which instruments with LTV higher than 100%

Accumulated impairment for secured assets

Collateral

Of which value capped at the value of exposure

Of which immovable property

Of which value above the cap

Of which immovable property

Financial guarantees received

Accumulated partial write-off

Template EU CQ7: Collateral obtained by taking possession and execution processes

Collateral obtained by taking possession

Value at initial recognition

Accumulated negative changes

Property, plant and equipment (PP&E)

Other than PP&E

Residential immovable property

Commercial Immovable property

Movable property (auto, shipping, etc.)

Equity and debt instruments

Other collateral

Total

Template EU CQ8: Collateral obtained by taking possession and execution processes – vintage breakdown

Debt balance reduction

Total collateral obtained by taking possession

Foreclosed ≤ 2 years

Foreclosed > 2 years ≤ 5 years

Foreclosed > 5 years

Of which non-current assets held-for-sale

Gross carrying amount

Accumulated negative changes

Value at initial recognition

Accumulated negative changes

Value at initial recognition

Accumulated negative changes

Value at initial recognition

Accumulated negative changes

Value at initial recognition

Accumulated negative changes

Value at initial recognition

Accumulated negative changes

Collateral obtained by taking possession classified as PP&E

Collateral obtained by taking possession other than that classified as PP&E

Residential immovable property

Commercial immovable property

Movable property (auto, shipping, etc.)

Equity and debt instruments

Other collateral

Total

ANNEX XVI

Instructions for disclosure of risk management objectives and policies, exposures to credit risk, dilution risk and credit quality

Annex XV to this Implementing Regulation includes a set of templates that are applicable to all institutions subject to Article 442 CRR. It also includes some additional templates required to large institutions that have a ratio between the gross carrying amount of loans and advances that fall under Article 47a(3) of Regulation (EU) No 575/2013 and the total gross carrying amount of loans and advances that fall under Article 47a(1) of Regulation (EU) No 575/2013 equal to or higher than 5 %. For the purpose of this ratio, and of the templates included in Annex XV, loans and advances classified as held for sale, cash balances at central banks and other demand deposits shall be excluded both from the denominator and the numerator of the ratios, and from the rows on loans and advances included in the templates. The information on cash balances at central banks and other demand deposits is disclosed separately in some of them.

The additional templates are required to convey sufficiently comprehensive and comparable information for users of that information to assess the risk profiles of institutions. For this reason, when reading these instructions, institutions shall take into account the proportionality criteria included in Article 9 of this implementing regulation.

Table EU CRA: General qualitative information about credit risk

Institutions shall disclose the information referred to in points (a), (b), (d) and (f) of Article 435(1) of Regulation (EU) 575/2013 (

) (‘CRR’) on their risk management objectives and policies for credit risk by following the instructions set out in this Annex to complete table EU CRA which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

(a)

In the concise risk statement in accordance with point (f) of Article 435(1) CRR, how the business model translates into the components of the institution’s credit risk profile.

(b)

(c)

(d)

Table EU CRB: Additional disclosure related to the credit quality of assets

Institutions shall disclose the information referred to points (a) and (b) of Article 442 CRR by following the instructions provided below to complete table EU CRB which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

(a)

(b)

The extent of past-due exposures (more than 90 days) that are not considered to be impaired and the reasons for this.

(c)

Description of methods used for determining general and specific credit risk adjustments.

(d)

The institution’s own definition of a restructured exposure used for the implementation of point (d) of Article 178(3) CRR in accordance with Article 178 CRR when different from the definition of exposures with forbearance measures as defined in Article 47b CRR.

Template EU CR1: Performing and non-performing exposures and related provisions

Institutions shall disclose the information referred to in points (c) and (e) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CR1 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

Cash balances at central banks and other demand deposits

Institutions shall disclose this information in line with the information reported in Annexes III and IV to Commission Implementing Regulation (EU) 680/2014 ( 1 ) .

Loans and advances

Loans and advances are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with Regulation (EU) 1071/2013 (‘ECB BSI Regulation’) ( 2 ) as well as advances that cannot be classified as ‘loans’ in accordance with the ECB BSI Regulation, as defined in paragraph 32 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014, but excluding loans and advances classified as held for sale, cash balances at central banks and other demand deposits.

020 – 060, 080, 100 – 140, 160 –210

Counterparty breakdown

Institutions shall apply the breakdown by counterparty as defined in paragraph 42 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of exposures incurred jointly by more than one obligor shall be done based on the characteristics of the obligor that was the more relevant, or determinant, for the institution’s decision to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE code shall be driven by the characteristics of the more relevant or determinant obligor.

SMEs

As defined in paragraph 5(i) of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014

Debt securities

Debt securities are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation, as defined in paragraph 31 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Off-balance-sheet exposures

Off-balance sheet exposures shall include the off-balance sheet items listed in Annex I CRR.

Total

( 1 )

COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

( 2 )

REGULATION (EU) No 1071/2013 OF THE EUROPEAN CENTRAL BANK of 24 September 2013 concerning the balance sheet of the monetary financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1).

Legal references and instructions

Column number

Explanation

Gross carrying amount/nominal amount on performing exposures

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014

b, c, e, f, h, i, k and l

Of which stage 1/stage 2/stage 3

For institutions applying IFRS, categories of impairment, as defined in IFRS 9.5.5. ‘Stage 1’ refers to impairment measured in accordance with IFRS 9.5.5.5. ‘Stage 2’ refers to impairment measured in accordance with IFRS 9.5.5.3. ‘Stage 3’ refers to impairment on credit-impaired assets, as defined in Appendix A to IFRS 9.

The columns ‘Of which stage 1’, ‘Of which stage 2’ and ‘Of which stage 3’ shall not be disclosed by institutions that apply national generally accepted accounting principles based on Council Directive (EEC) 86/635 ( 1 ) on the annual accounts and consolidated accounts of banks and other financial institutions.

Gross carrying amount/nominal amount on non-performing exposures

Performing exposures – accumulated impairment and provisions

This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Non-performing – accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions

Non-performing exposures as defined in Article 47a CRR

This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Accumulated partial write-off

This is to include the accumulated partial amount at the reference date of principal and accrued past-due interest and fees for any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014, to be disclosed because the institution has no reasonable expectation of recovering the contractual cash flows. These amounts are to be disclosed until the total extinguishment of all the institution’s rights by expiry of the statute-of-limitations period, forgiveness or another cause, or until recovery. Therefore, where the written-off amounts are not recovered, they are to be disclosed while they are subject to enforcement activities.

Write-offs constitute a de-recognition event and relate to a financial asset in its entirety or (in the case of a partial write-off) to a portion of it, including where the modification of an asset leads the institution to give up its right to collect cash flows either on a portion or on the entirety of that asset.

Collateral and financial guarantees received on performing exposures

Amounts for collateral received and guarantees received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for both collateral and guarantees is to be capped at the carrying amount of the related exposure.

Collateral and financial guarantees received on non-performing exposures

Non-performing exposures as defined in Article 47a CRR

( 1 )

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

Template EU CR1-A: Maturity of exposures

Institutions shall disclose the information referred to in point (g) of Article 442 CRR by following the instructions provided below to complete template EU CR1-A which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

Loans and advances

Loans and advances are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with the ECB BSI Regulation as well as advances that cannot be classified as ‘loans’ in accordance with the ECB BSI Regulation, as defined in paragraph 32 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014, but excluding loans and advances classified as held for sale, cash balances at central banks and other demand deposits.

Debt securities

Total

Legal references and instructions

Column number

Explanation

a to e

Net exposure values

The net values shall be disclosed by residual contractual maturities.

Net value of the exposure: For on-balance-sheet items, the net value is the gross carrying value of exposure less allowances/impairments. For off-balance-sheet items, the net value is the gross carrying value of exposure less provisions.

Exposure: In accordance with Article 5 CRR, exposure refers to an asset or an off-balance-sheet item that gives rise to a credit risk exposure in accordance with the CRR.

Gross carrying values: The accounting value before any allowance/impairments but after considering write-offs. Institutions shall not take into account any CRM technique in the application of Chapter 4 of Title II of Part Three CRR. Off-balance-sheet items shall be disclosed for their nominal amount gross of any CCF applicable in accordance with Article 111 and 166 CRR or CRM techniques, and gross of any provision, particularly (a) guarantees given (the maximum amount that the institution would have to pay if the guarantee were called) and (b) loan commitments and other commitments (the total amount that the institution has committed to lend).

In this disclosure:

— When a counterparty has a choice of when an amount is repaid, the amount is allocated to column ‘on demand’. The column includes balances receivable on demand (call), at short notice, current accounts and similar balances (which may include loans that are overnight deposits for the borrower, regardless of their legal form). It also includes ‘overdrafts’ that are debit balances on current account balances;

— When an exposure has no stated maturity for reasons other than the counterparty having the choice of the repayment date, the amount of this exposure shall be disclosed in column ‘no stated maturity’.

— When the amount is repaid in instalments, the exposure shall be allocated in the maturity bucket corresponding to the last instalment.

Total

Template EU CR2: Changes in the stock of non-performing loans and advances

Institutions shall disclose the information referred to in point (f) of Article 442 CRR by following the instructions provided below to complete template EU CR2 which is presented in Annex XV to this Implementing Regulation. Institutions shall explain in the narrative accompanying these templates any material difference between the non-performing values disclosed in each row and the values as if the definition of defaulted in accordance with Article 178 CRR was applied.

Legal references and instructions

Row number

Explanation

Initial stock of non-performing loans and advances

The gross carrying amount of the stock of non-performing loans and advances at the end of the last financial year

Inflows to non-performing portfolios

The gross carrying amount of loans and advances that entered non-performing status during the period (since the end of last financial year)

Outflows from non-performing portfolios

The gross carrying amount of loans and advances that exited non-performing status

Outflow due to write-offs

Full or partial write-offs of total loans and advances recorded during the reference period

A write-off (full or partial) constitutes a de-recognition event. Therefore, the gross carrying amount of loans and advances is reduced by the amount of the write-offs. Furthermore, debt forgiveness in the context of forbearance measures, i.e. write-offs for which the amount of debt outstanding from the borrower was cancelled (the institution forfeits the right to legally recover it), is also to be included in this category.

Outflow due to other situations

Any other decreases to the carrying amount of loans and advances other than write-off shall be included in this row. Those adjustments might include, for instance, the outflow due to: i) loan repayment, partial or total; ii) collateral liquidations; iii) taking possession of collateral, iv) sale of instruments; v) risk transfers; vi) FX changes; vii) other closure actions; viii) reclassifications between asset classes, etc. Moreover, the adjustments shall include the outflow due to reclassification as held for sale.

Where the amount for this category is significant, institutions are asked to provide additional information in the narrative accompanying this template.

Final stock of non-performing loans and advances

The gross carrying amount of the stock of non-performing loans and advances at the disclosure reference date.

Legal references and instructions

Column number

Explanation

Gross carrying amount

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Template EU CR2a: Changes in the stock of non-performing loans and advances and related net accumulated recoveries

Institutions shall disclose the information referred to in points (c) and (f) of Article 442 CRR by following the instructions provided below to complete template EU CR2a which is presented in Annex XV to this Implementing Regulation. Institutions shall explain in the narrative accompanying these templates any material difference between the non-performing values disclosed in each row and the values as if the definition of defaulted in accordance with Article 178 CRR was applied, in particular for rows 010, 030, 100 and 130.

Legal references and instructions

Row number

Explanation

Initial stock of non-performing loans and advances

The gross carrying amount of the stock of non-performing loans and advances at the end of the last financial year

Inflows to non-performing portfolios

The gross carrying amount of loans and advances that entered non-performing status during the period (since the end of last financial year)

Outflows from non-performing portfolios

The gross carrying amount of loans and advances that exited non-performing status

Outflow to performing portfolio

The gross carrying amount of loans and advances that exited non-performing status and became performing during the period (since the end of last financial year)

Outflow due to loan repayment, partial or total

The reduction in the gross carrying amount of non-performing loans and advances due to cash payments, namely regular payments of capital and any ad hoc repayments during the period (since the end of last financial year)

Outflow due to collateral liquidations

The effect on the gross carrying amount of an instrument from the liquidation of any kind of collateral shall be disclosed in this row. Outflows due to other liquidation or legal procedures and voluntary sale of property are also to be included in this row. For the avoidance of doubt, please note that the gross carrying amount of the instrument shall be disclosed, including any potential accompanying partial write-off. Please also note that outflows might not be equal to the sum of net cumulated recoveries and partial write-offs.

060 column b

Related net accumulated recoveries

Cash recoveries or cash equivalents collected due to collateral liquidations (net of respective collateral liquidation costs) are to be disclosed in this row.

Outflow due to taking possession of collateral

The effect on the gross carrying amount of an instrument due to the foreclosure of any kind of collateral shall be disclosed in this row. Taking possession refers to the acquisition of non-cash collateral of which the institution or a group subsidiary has acquired ownership and which it has not yet sold to a third party. Debt asset swaps, voluntary surrenders and debt equity swaps are also to be included in this category. For the avoidance of doubt, please note that the gross carrying amount of the instrument shall be disclosed, including any potential accompanying partial write-offs. Please also note that outflows might not be equal to the sum of net cumulated recoveries and partial write-offs.

070 column b

Related net accumulated recoveries

The initial recognition in the institution’s balance sheet of the fair value of the collateral at the moment of taking possession is to be disclosed in this row. Cash recoveries or cash equivalents collected in the context of taking possession of collateral net of costs shall not be included in this row but be disclosed under Outflow due to loan repayment, partial or total.

Outflow due to sale of instruments

Total balance changes stemming from loans and advances sold to other institutions, excluding intragroup transactions

For the avoidance of doubt, institutions shall note that the gross carrying amount of the loans and advances sold is to be disclosed (including any potential accompanying partial write-offs) and not its valuation or price during the transaction. Institutions shall also note that outflows might not be equal to the sum of net cumulated recoveries and partial write-offs.

080 column b

Related net accumulated recoveries

Cash recoveries or cash equivalents collected in the context of the sale of loans and advances, net of selling costs, shall be included in this row.

Outflow due to risk transfers

The gross reduction in non-performing loans and advances due to securitisation or other risk transfers qualifying for de-recognition from the balance sheet

Institutions shall note that outflows might not be equal to the sum of net cumulated recoveries and partial write-offs.

090 column b

Related net accumulated recoveries

Cash recoveries or cash equivalents collected in the context of the outflows due to significant risk transfers are to be disclosed in this row.

Outflow due to write-offs

Full or partial write-offs of total loans and advances recorded during the reference period

A write-off (full or partial) constitutes a de-recognition event. Therefore, the gross carrying amount of loans and advances is reduced by the amount of the write-offs. For the avoidance of doubt, please note that this row reflects changes in the gross carrying amount of loans and advances, and any potential partial write-offs that have already been disclosed in previous rows (e.g. accompanying sale of loans and advances, collateral liquidation, taking possession of collateral or significant risk transfer) shall not be included in this row. Furthermore, debt forgiveness in the context of forbearance measures, i.e. write-offs for which the amount of debt outstanding from the borrower was cancelled (the institution forfeits the right to legally recover it), is also to be included in this category.

Outflow due to other situations

Any other decreases to the carrying amount of loans and advances that are not covered by the events mentioned above shall be included in this row. Those adjustments might include, for instance, FX changes, other closure actions, reclassifications between asset classes, etc. Where the amount for this category is significant, institutions are asked to provide additional information in the narrative accompanying this template.

Outflow due to reclassification as held for sale

Decreases to the carrying amount of non-performing loans and advances due to their reclassification as instruments held for sale

Final stock of non-performing loans and advances

The gross carrying amount of the stock of non-performing loans and advances at the disclosure reference date

Legal references and instructions

Column number

Explanation

Gross carrying amount

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Related net accumulated recoveries

Please refer to the definitions for the rows in this template.

Template EU CQ1: Credit quality of forborne exposures

Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below to complete template EU CQ1 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

Cash balances at central banks and other demand deposits

Institutions shall disclose this information in line with the information reported in Annexes III and IV Commission Implementing Regulation (EU) 680/2014.

Loans and advances

See the definition in EU-CR1: Performing and non-performing exposures and related provisions.

020 - 070

Counterparty breakdown

Institutions shall apply the breakdown by counterparty as defined in paragraph 42 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Debt securities

See the definition in EU-CR1: Performing and non-performing exposures and related provisions.

Loan commitments given

For loan commitments given, the nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014 shall be disclosed.

Total

Legal references and instructions

Column number

Explanation

Gross carrying amount/nominal amount of exposures with forbearance measures – of which performing forborne

The gross carrying amount related to the exposures subject to impairment is the net of accumulated partial and total write-off.

Depending on whether forborne exposures satisfy the required conditions set out in Articles 47a CRR, they can be identified as performing or non-performing.

Gross carrying amount/nominal amount of exposures with forbearance measures – of which non-performing forborne

The gross carrying amount related to the exposures subject to impairment is the net of accumulated partial and total write-off.

Non-performing exposures with forbearance measures (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered non-performing and are included in the non-performing exposures category. Those non-performing forborne exposures are to include the following: (a) exposures that have become non-performing due to the application of forbearance measures; (b) exposures that were non-performing prior to the extension of forbearance measures; (c) forborne exposures that have been reclassified from the performing category, including exposures reclassified pursuant to Article 47a CRR.

Of which defaulted

Forborne exposures that are also classified as defaulted in accordance with Article 178 CRR

Of which impaired

Forborne exposures that are also impaired in accordance with the applicable accounting framework under paragraph 215 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014

Accumulated impairments, accumulated negative changes in fair value due to credit risk and provisions on performing forborne exposures

Exposures with forbearance measures as defined in Article 47b CRR.

Institutions shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Depending on whether forborne exposures satisfy the required conditions set out in Article 47a and 47b CRR, they can be identified as performing or non-performing.

Accumulated impairments, accumulated negative changes in fair value due to credit risk and provisions on non-performing forborne exposures

This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Collateral received and financial guarantees received on forborne exposures

These shall be disclosed for all exposures with forbearance measures, regardless of their performing or non-performing status. Amounts for collateral received and guarantees received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for both collateral and guarantees is to be capped at the carrying amount of the related exposure.

Of which collateral and financial guarantees received on non-performing exposures with forbearance measures

Template EU CQ2: Quality of forbearance

Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ2 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

Loans and advances that have been forborne more than twice

Gross carrying amount of loans and advances that had been granted forbearance measures in the past and more than twice

Loans and advances for which forbearance was granted that exited the forborne category (i.e. cured forborne loans and advances) are also included here when a new forborne measure has been granted.

Non-performing forborne loans and advances that failed to meet the non-performing exit criteria

Gross carrying amount of non-performing forborne loans and advances that are in the category of non-performing forborne loans and advances under the cure period of 1 year and that failed to comply with the forbearance measures after the 12-month cure period and therefore did not succeed in moving towards performing forborne status but retained non-performing forborne within cure period status

Legal references and instructions

Column number

Explanation

Gross carrying amount of forborne exposures

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; exposures with forbearance measures as defined in Article 47b CRR

Depending on whether forborne exposures satisfy the required conditions set out in Article 47a or 47b CRR, they can be identified as performing or non-performing.

Template EU CQ3: Credit quality of performing and non-performing exposures by past due days

Institutions shall disclose the information referred to in point (d) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ3 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

Cash balances at central banks and other demand deposits

Institutions shall disclose this information in line with the information reported in Annexes III and IV Commission Implementing Regulation (EU) 680/2014.

Loans and advances

See the definition in EU-CR1: Performing and non-performing exposures and related provisions.

020 – 060, 080, 100 – 140, 160 –210

Counterparty breakdown

Institutions shall apply the breakdown by counterparty as defined in paragraph 42 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

SMEs

As defined in paragraph 5(i) of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014

Debt securities

See the definition in EU-CR1: Performing and non-performing exposures and related provisions.

Off-balance-sheet exposures

See the definition in EU-CR1: Performing and non-performing exposures and related provisions.

Total

Legal references and instructions

Column number

Explanation

Gross carrying amount/nominal amount on performing exposures

Of which: Not past due or past due ≤ 30 days

Subcategory of performing exposures that are not past due or are 1–30 days past due

Of which: Past due > 30 days ≤ 90 days

Subcategory of performing exposures that are 31–90 days past due

In addition, exposures that are more than 90 days past due that are not material are included in this subcategory.

Gross carrying amount/nominal amount on non-performing exposures

Of which: Unlikely to pay that are not past due or are past due ≤ 90 days

Subcategory of exposures that are either not past due or are up to 90 days past due but are nevertheless identified as non-performing, pursuant to Article 47a CRR

Of which: Past due > 90 days ≤ 180 days

Subcategory of non-performing exposures that are past due for more than 90 days, but not more than 180 days

Of which: Past due > 180 days ≤ 1 year

Subcategory of non-performing exposures that are past due for more than 180 days, but not more than 1 year

Of which: Past due > 1 year ≤ 2 years

Subcategory of non-performing exposures that are past due for more than 1 year, but not more than 2 years

Of which: Past due > 2 years ≤ 5 years

Subcategory of non-performing exposures that are past due for more than 2 years, but not more than 5 years

Of which: Past due > 5 years ≤ 7 years

Subcategory of non-performing exposures that are past due for more than 5 years, but not more than 7 years

Of which: Past due > 7 years

Subcategory of non-performing exposures that are past due for more than 7 years

Of which defaulted

Defaulted exposures in accordance with Article 178 CRR

Template EU CQ4: Quality of non-performing exposures by geography

Where non-domestic original exposures in all non-domestic countries in all exposure classes are equal to or higher than 10 % of the total (domestic and non-domestic) original exposures, institutions shall disclose the information referred to in points (c) and (e) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ4 which is s presented in Annex XV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

On-balance-sheet exposures

Total on-balance-sheet exposures

020 – 070 and 090 - 140

Country

A country in which the institution’s exposures are material in accordance with Article 432 CRR

When the materiality of countries is determined using a materiality threshold, that threshold shall be disclosed, as shall the list of immaterial countries included in the ‘Other countries’ rows.

Institutions shall allocate exposures to a significant country based on the residence of the immediate counterparty. Exposures to supranational organisations shall be assigned not to the country of residence of the institution but to ‘Other countries’.

Off-balance-sheet exposures

See the definition in EU-CR1: Performing and non-performing exposures and related provisions.

Total

Legal references and instructions

Column number

Explanation

Gross carrying amount/nominal amount

The gross carrying amount related to the exposures subject to impairment is the net of accumulated partial and total write-off.

Gross carrying amount/nominal amount – of which non-performing

Of which defaulted

Defaulted exposures in accordance with Article 178 CRR

Gross carrying amount/nominal amount – of which subject to impairment

The gross carrying or nominal amount related to exposures that are subject to the impairment requirements of the applicable accounting framework

Accumulated impairment

This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014

Provisions on off-balance-sheet commitments and financial guarantees given

This row shall include the provisions off-balance-sheet commitments and financial guarantees given.

Accumulated negative changes in fair value due to credit risk on non-performing exposures

This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Template EU CQ5: Credit quality of loans and advances to non-financial corporations by industry

Institutions shall disclose the information referred to in points (c) and (e) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ5 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

010 - 190

Counterparty breakdown by industry

Counterparty sector allocation includes only the sectors related to non-financial corporation counterparty.

The rows shall be used to disclose the material industry sectors or counterparty types to which institutions have exposures. Materiality shall be assessed in accordance with Article 432 CRR, and immaterial industry sectors or counterparty types shall be aggregated in the row ‘Other services’.

Total

Legal references and instructions

Column number

Explanation

Gross carrying amount

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014

The gross carrying amount related to the exposures subject to impairment is the net of accumulated partial and total write-off.

Gross carrying amount – of which non-performing

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; non-performing exposures as defined in Article 47a CRR

Of which defaulted

Defaulted exposures in accordance with Article 178 CRR

Gross carrying amount – of which loans and advances subject to impairment

The gross carrying amount related to loans and advances that are subject to the impairment requirements of the applicable accounting framework

Accumulated impairment

This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Accumulated negative changes in fair value due to credit risk on non-performing exposures

Non-performing exposures as defined in Article 47a CRR

Institutions shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Template EU CQ6: Collateral valuation - loans and advances

Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ6 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

Gross carrying amount

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014

Of which secured

Gross carrying amount, as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014, of secured and partially secured loans shall be disclosed in this row.

Unsecured loans and advances shall include exposures for which neither collateral was pledged nor financial guarantees were received; the unsecured part of a partially secured or partially guaranteed exposure shall be included in this row, in accordance with paragraph 323 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Therefore, secured loans and advances must be calculated as the difference between the gross carrying amount of all loans and advances and the gross carrying amount of unsecured loans and advances, and will include both the secured and the unsecured part of the loan.

In case of overcollateralization the gross carrying amount of the loan shall be disclosed.

Of which secured with immovable property

Loans collateralized by immovable property shall include loans and advances formally secured by residential or commercial immovable property collateral, independently of their loan/collateral ratio (commonly referred as ‘loan-to-value’) and the legal form of the collateral, as defined in paragraph 86(a) of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Of which instruments with LTV higher than 60 % and lower or equal to 80 %

The loan-to-value (LTV) ratio shall be calculated using the calculation method specified for ‘LTV Current’ in the Recommendation of the European Systemic Risk Board on closing real estate data gaps (ESRB/2016/14) ( 1 ) . Institutions shall disclose the gross carrying amount of loans and advances having an LTV ratio higher than 60 % and lower or equal to 80 %.

Of which instruments with LTV higher than 80% and lower or equal to 100 %

Institutions shall disclose the gross carrying amount of loans and advances having an LTV ratio higher than 80 % and lower than or equal to 100 %.

Of which instruments with LTV higher than 100 %

Gross carrying amount of loans and advances having a LTV ratio higher than 100 %

Accumulated impairment for secured assets

For secured debt instruments, accumulated impairment shall be calculated as the cumulative amount of impairment losses, net of use and reversals that has been recognised, where appropriate for each of the impairment stages (paragraph 70 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014).

The accumulated impairment related to the unsecured part of a partially secured or partially guaranteed exposure shall be included in this row.

Collateral – of which value capped at the value of exposure

Amounts for collateral received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for collateral in this row shall be capped at the carrying amount of the related exposure.

Of which immovable property

The part of the collateral consisting of residential or commercial immovable property (point (a) of paragraph 173 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014)

The sum of amounts for collateral in this row shall be capped at the carrying amount of the related exposure.

Collateral – of which value above the cap

In this row, the difference between the actual value of the collateral and the capped value of the collateral (carrying amount of the related exposure) shall be disclosed (institutions shall not apply for the calculation of the actual value of the collateral paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014).

Of which immovable property

The difference between the actual value and the capped value of the part of the collateral consisting of residential or commercial immovable property (point (a) of paragraph 173 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014)

Financial guarantees received

As defined in paragraph 114 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014

Accumulated partial write-off

( 1 )

RECOMMENDATION OF THE EUROPEAN SYSTEMIC RISK BOARD of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) (OJ C 31, 31.1.2017, p. 1).

Legal references and instructions

Column number

Explanation

Loans and advances

See the definition in template EU CR1: Performing and non-performing exposures and related provisions.

Loans and advances – of which performing

See the definition in template EU CR1: Performing and non-performing exposures and related provisions.

Of which past due > 30 days ≤ 90 days

Subcategory of performing loans and advances that are 31–90 days past due

Loans and advances – of which non-performing exposures

Non-performing exposures as defined in Article 47a CRR

See the definition in template EU CR1: Performing and non-performing exposures and related provisions.

Of which unlikely to pay that are not past due or are past due ≤ 90 days

Subcategory of loans and advances that are either not past due or are up to 90 days past due but are nevertheless identified as non-performing, because of the likelihood of non-full repayment pursuant to Article 47a CRR

Past due > 90 days

Subcategory of loans and advances that are more than 90 days past due

Of which past due > 90 days ≤ 180 days

Subcategory of loans and advances that are 91–180 days past due

Of which past due > 180 days ≤ 1 year

Subcategory of loans and advances that are 181 days to 1 year past due

Of which past due > 1 years ≤ 2 years

Subcategory of loans and advances that are 1–2 years past due

Of which past due > 2 years ≤ 5 years

Subcategory of loans and advances that are 2–5 years past due

Of which past due > 5 years ≤ 7 years

Subcategory of loans and advances that are 5–7 years past due

Of which past due > 7 years

Subcategory of loans and advances that are more than 7 years past due.

Template EU CQ7: Collateral obtained by taking possession and execution processes

Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ7 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

Property, plant and equipment (PP&E)

Institutions shall disclose the stock of collateral obtained by taking possession that remains recognised in the balance sheet at the reporting reference date and that is classified as PP&E.

Other than PP&E

The stock of collateral obtained by taking possession that remains recognised in the balance sheet at the reporting reference date and is not classified as PP&E will automatically be disclosed in this row. The total stock will be calculated taking into account the initial stock (since the end of the last financial year), and the inflows and the outflows that occurred during the disclosure period (since the end of the last financial year). Collateral obtained by taking possession (other than PP&E) is in rows by type of collateral.

Residential immovable property

Collateral obtained by taking possession of residential property (e.g. houses, apartments, etc.) or property with potential use in the future as such (e.g. unfinished residential property etc.)

Commercial immovable property

Collateral obtained by taking possession of commercial or industrial property that can be used for business and/or investment purposes, or of any immovable property that is not residential property, as described above

Land (both non-agricultural and agricultural) shall also be included in this category.

Movable property (auto, shipping, etc.)

Collateral obtained by taking possession of property other than immovable property shall be disclosed in this row.

Equity and debt instruments

Collateral obtained by taking possession of equity or debt instruments shall be disclosed in this row.

Other collateral

Collateral obtained by taking possession not falling into the categories of the other rows

If the amount in this row is relatively material, institutions shall provide additional information in the narrative accompanying this template.

Total

Legal references and instructions

Column number

Explanation

Collateral obtained by taking possession - Value at initial recognition

Institutions shall disclose in this column the gross carrying amount of the collateral obtained by taking possession at initial recognition in the institution’s balance sheet.

Collateral obtained by taking possession - Accumulated negative changes

Accumulated impairment or accumulated negative changes to the initial recognition value of the collateral obtained by taking possession, as described above

Institutions shall also include accumulated negative changes due to amortisation in the case of PP&E and investment properties, if applicable.

Template EU CQ8: Collateral obtained by taking possession and execution processes – vintage breakdown

Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ8 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

Property, plant and equipment (PP&E)

Institutions shall disclose the stock of collateral obtained by taking possession that remains recognised in the balance sheet at the reporting reference date and that is classified as PP&E.

Other than PP&E

Residential immovable property

Collateral obtained by taking possession of residential property (e.g. houses, apartments, etc.) or property with potential use in the future as such (e.g. unfinished residential property etc.)

Commercial immovable property

Land (both non-agricultural and agricultural) shall also be included in this category.

Movable property (auto, shipping, etc.)

Collateral obtained by taking possession of property other than immovable property shall be disclosed in this row.

Equity and debt instruments

Collateral obtained by taking possession of equity or debt instruments shall be disclosed in this row.

Other collateral

Collateral obtained by taking possession not falling into the categories of the other rows.

If the amount in this row is relatively material, institutions shall provide additional information in the narrative accompanying this template.

Total

Legal references and instructions

Column number

Explanation

Debt balance reduction - Gross carrying amount

The gross amount of the debt that was cancelled in exchange for the collateral obtained by taking possession, at the exact moment of the exchange, through judicial procedures or bilateral agreement

The gross amount shall be calculated as the gross reduction of the instrument balance, not taking into account any provisions. For the avoidance of doubt, balance reductions due to other reasons (e.g. cash collections) shall not be in this column.

Debt balance reduction - Accumulated negative changes

Accumulated impairment or accumulated negative changes to the initial recognition value of the collateral obtained by taking possession, as described above

See the definition in template CQ7, ‘Collateral obtained by taking possession and execution processes’.

Institutions shall include accumulated negative changes due to amortisation in the case of PP&E and investment properties, if applicable.

Total collateral obtained by taking possession - Value at initial recognition

The gross carrying amount of the collateral obtained by taking possession at initial recognition in the institution’s balance sheet shall be disclosed in this column.

Total collateral obtained by taking possession - Accumulated negative changes

Accumulated impairment or accumulated negative changes to the initial recognition value of the collateral obtained by taking possession, as described above

Institutions shall include accumulated negative changes due to amortisation in the case of PP&E and investment properties, if applicable.

Total collateral obtained by taking possession - Foreclosed ≤ 2 years – of which value at initial recognition

Value at initial recognition for collateral obtained by taking possession and recognised in the balance sheet for 2 years or less at the reporting reference date

Total collateral obtained by taking possession - Foreclosed ≤ 2 years – of which accumulated negative changes

Accumulated negative changes for collateral obtained by taking possession and recognised in the balance sheet for 2 years or less at the reporting reference date

Total collateral obtained by taking possession - Foreclosed > 2 years ≤ 5 years – of which value at initial recognition

Value at initial recognition for collateral obtained by taking possession and recognised in the balance sheet for more than 2 years and up to 5 years at the reporting reference date

Total collateral obtained by taking possession - Foreclosed > 2 years ≤ 5 years – of which accumulated negative changes

Accumulated negative changes for collateral obtained by taking possession and recognised in the balance sheet for more than 2 years and up to 5 years at the reporting reference date

Total collateral obtained by taking possession - Foreclosed > 5 years – of which value at initial recognition

Value at initial recognition for collateral obtained by taking possession and recognised in the balance sheet for more than 5 years at the reporting reference date

Total collateral obtained by taking possession - Foreclosed > 5 years – of which accumulated negative changes

Accumulated negative changes for collateral obtained by taking possession and recognised in the balance sheet for more than 5 years at the reporting reference date

Total collateral obtained by taking possession - Of which non-current assets held for sale – of which value at initial recognition

Initial value for collateral obtained by taking possession that is classified as non-current assets held for sale shall be disclosed. If this classification is not relevant in accordance with the accounting framework applicable to the institution, this information shall not be provided.

Total collateral obtained by taking possession - Of which non-current assets held for sale – of which accumulated negative changes

Accumulated negative changes for collateral obtained by taking possession that is classified as non-current assets held for sale shall be disclosed. If this classification is not relevant in accordance with the accounting framework applicable to the institution, this information shall not be provided.

ANNEX XVII

Table EU CRC – Qualitative disclosure requirements related to CRM techniques

Free format text boxes for disclosure of qualitative information

Legal basis

Row number

Free format

Article 453 (a) CRR

(a)

A description of the core features of the policies and processes for on- and off-balance sheet netting and an indication of the extent to which institutions make use of balance sheet netting;

Article 453 (b) CRR

(b)

The core features of policies and processes for eligible collateral evaluation and management;

Article 453 (c) CRR

(c)

A description of the main types of collateral taken by the institution to mitigate credit risk;

Article 453 (d) CRR

(d)

For guarantees and credit derivatives used as credit protection, the main types of guarantor and credit derivative counterparty and their creditworthiness used for the purposes of reducing capital requirements, excluding those used as part of synthetic securitisation structures;

Article 453 (e) CRR

(e)

Information about market or credit risk concentrations within the credit mitigation taken;

Template EU CR3 – CRM techniques overview: Disclosure of the use of credit risk mitigation techniques

Unsecured carrying amount

Secured carrying amount

Of which secured by collateral

Of which secured by financial guarantees

Of which secured by credit derivatives

Loans and advances

Debt securities

Total

Of which non-performing exposures

EU-5

Of which defaulted

ANNEX XVIII

Disclosure of the use of credit risk mitigation techniques

Table EU CRC – Qualitative disclosure requirements related to CRM techniques. Flexible table

Institutions shall disclose the information referred to in points (a) to (e) of Article 453 of Regulation (EU) 575/2013 (

) (‘CRR’) by following the instructions provided below in this Annex to complete table EU CRC which is presented in Annex XVII.

Row reference

Legal reference and instructions

Explanation

(a)

Point (a) of Article 453 CRR

When disclosing information on their netting policies and use of netting in accordance with point (a) of Article 453 CRR, institutions shall provide a clear description of CRM policies and processes concerning on-balance-sheet, off-balance-sheet netting and master netting agreements. They shall also indicate to what extent on-balance-sheet, off-balance-sheet netting and master netting agreements have been used and their importance regarding credit risk management. Institutions could especially mention details about the techniques in use as well as the positions covered by on-balance-sheet netting agreements and the financial instruments included in the master netting agreements. Furthermore, the conditions necessary to assure effectiveness of these techniques and the controls in place for legal risk could also be described.

(b)

Point (b) of Article 453 CRR

As part of their disclosures on the core features of their policies and processes for eligible collateral valuation and management in accordance with point (b) of Article 453 CRR, institutions shall disclose:

— the basis for the assessment and evaluation of the pledged collateral including assessment of legal certainty of CRM techniques;

— type of valuation (market value, mortgage lending value, other types of values);

— to what extent the calculated value of collateral is reduced by a haircut;

— the process, frequency and methods in place to monitor the value of mortgage collateral and other physical collateral.

Additionally, institutions could also disclose if there is a system of credit exposure limits in place and the impact of accepted collateral in the quantification of those limits.

(c)

Point (c) of Article 453 CRR

When describing the collateral taken in accordance with point (c) of Article 453 CRR, institutions shall provide a detailed description of the main types of collateral accepted to mitigate credit risk, by type of exposures.

(d)

Point (d) of Article 453 CRR

The description of the main types of guarantors and counterparties in credit derivatives and their creditworthiness to be disclosed in accordance with point (d) of Article 453 CRR shall cover credit derivatives used for the purposes of reducing capital requirements, excluding those used as part of synthetic securitisation structures. Institutions could also include description of the methods used to recognise the effects of the guarantees or credit derivatives provided by the main types of guarantors and counterparties.

(e)

Point (e) of Article 453 CRR

When disclosing information about market or credit risk concentrations within CRM taken in accordance with point (e) of Article 453 CRR, institutions shall provide an analysis of any concentration that arises due to CRM measures and may prevent CRM instruments from being effective. Concentrations in the scope of those disclosures could include concentrations by type of instrument used as collateral, entity (concentration by guarantor type and credit derivative providers), sector, geographical area, currency, rating or other factors that potentially impact the value of the protection and thereby reduce this protection.

Template EU CR3 – CRM techniques overview: Disclosure of the use of credit risk mitigation techniques. Fixed template.

Institution shall disclose the information referred to in point (f) of Article 453 CRR by following the instructions provided below in this Annex to complete template EU CR3 which is presented in Annex XVII to this Implementing Regulation.

This template covers all CRM techniques recognised under the applicable accounting framework regardless of whether these techniques are recognised under CRR, including, but not only, all types of collateral, financial guarantees and credit derivatives used for all secured exposures, irrespective of whether the standardised approach or the IRB approach is used for the calculation of risk weighted exposure amount (RWEA). Institutions shall supplement the template with a narrative commentary to explain any significant changes over the disclosure period and the key drivers of such changes.

Column reference

Legal references and instructions

Explanation

Unsecured carrying amount:

The carrying amount of exposures (net of allowances/impairments) that do not benefit from any CRM technique, regardless of whether this technique is recognised under CRR

In particular, it refers to exposures for which neither collateral was pledged nor financial guarantee were received. The unsecured part of a partially secured or partially guaranteed exposure shall not be included.

Secured carrying amount:

Carrying amount of exposures that have at least one CRM technique (collateral, financial guarantees, credit derivatives) associated with them

In case the value of collateral, financial guarantees and credit derivatives securing an exposure exceeds the carrying amount of that exposure, only the values up to the carrying amount of that exposure shall be included. In case the carrying amount of an exposure exceeds the value of collateral, financial guarantees and credit derivatives securing that exposure, the full carrying amount of that exposure shall be included.

For the purpose of the following columns c, d and e, the allocation of the carrying amount of multi-secured exposures to their different CRM techniques is made by order of priority, starting with the CRM technique expected to be called first in the event of non-payment, and within the limits of the carrying amount of the secured exposures. Any part of exposure shall be included in only one of the columns c, d or e of this template.

Of which secured by collateral:

This is a subset of column b of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by collateral. In case an exposure is secured by collateral and other CRM technique(s) expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by collateral is the remaining share of the exposure after consideration of the shares of the exposures already secured by other mitigation techniques, up to the carrying amount of that exposure.

Of which secured by financial guarantees:

This is a subset of column b of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by guarantees. In case an exposure is secured by guarantees and other CRM techniques expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by guarantees is the remaining part of the exposure after consideration of the shares of the exposure already secured by other mitigation techniques, up to the carrying amount of that exposure.

Of which secured by credit derivatives:

This is a subset of column d (financial guarantees) of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by credit derivatives. In case an exposure is secured by credit derivatives and other CRM techniques expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by credit derivatives is the remaining share of the exposure after consideration of the shares of the exposure already secured by other mitigation techniques, up to the carrying amount of that exposure.

Row reference

Legal references and instructions

Explanation

Loans and advances

‘Loans and advances’ are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with Regulation (EU) 1071/2013 (‘ECB BSI Regulation’) ( 1 ) as well as advances that cannot be classified as ‘loans’ in accordance with the ECB BSI Regulation, as defined in paragraph 32 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014 ( 2 ) .

Debt securities

Total

Sum of amounts in rows 1 and 2 of this template

Of which non-performing exposures

Non-performing exposures in accordance with Article 47a CRR

EU-5

Of which defaulted

Defaulted exposures in accordance with Article 178 CRR

( 1 )

REGULATION (EU) No 1071/2013 OF THE EUROPEAN CENTRAL BANK of 24 September 2013 concerning the balance sheet of the monetary financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1).

( 2 )

ANNEX XIX

Table EU CRD – Qualitative disclosure requirements related to standardised approach

Legal basis

Row number

Qualitative information - Free format

Article 444 (a) CRR

(a)

Names of the external credit assessment institutions (ECAIs) and export credit agencies (ECAs) nominated by the institution, and the reasons for any changes over the disclosure period;

Article 444 (b) CRR

(b)

The exposure classes for which each ECAI or ECA is used;

Article 444 (c) CRR

(c)

A description of the process used to transfer the issuer and issue credit ratings onto comparable assets items not included in the trading book;

Article 444 (d) CRR

(d)

The association of the external rating of each nominated ECAI or ECA (as referred to in row (a)) with the risk weights that correspond with the credit quality steps as set out in Chapter 2 of Title II of Part Three CRR (except where the institution complies with the standard association published by the EBA).

Template EU CR4 – standardised approach – Credit risk exposure and CRM effects

Exposure classes

Exposures before CCF and before CRM

Exposures post CCF and post CRM

RWAs and RWAs density

On-balance-sheet exposures

Off-balance-sheet exposures

On-balance-sheet exposures

Off-balance-sheet exposures

RWAs

RWAs density (%)

Central governments or central banks

Regional government or local authorities

Public sector entities

Multilateral development banks

International organisations

Institutions

Corporates

Retail

Secured by mortgages on immovable property

Exposures in default

Exposures associated with particularly high risk

Covered bonds

Institutions and corporates with a short-term credit assessment

Collective investment undertakings

Equity

Other items

TOTAL

Template EU CR5 – standardised approach

Exposure classes

Risk weight

Total

Of which unrated

0 %

2 %

4 %

10 %

20 %

35 %

50 %

70 %

75 %

100 %

150 %

250 %

370 %

1 250 %

Others

Central governments or central banks

Regional government or local authorities

Public sector entities

Multilateral development banks

International organisations

Institutions

Corporates

Retail exposures

Exposures secured by mortgages on immovable property

Exposures in default

Exposures associated with particularly high risk

Covered bonds

Exposures to institutions and corporates with a short-term credit assessment

Units or shares in collective investment undertakings

Equity exposures

Other items

TOTAL

ANNEX XX

Instructions regarding disclosure of the use of the credit risk standardised approach (excluding counterparty credit risk and securitisation positions)

Instruments subject to Chapter 6 of Title II of Part Three CRR (exposures to CCR), as well as instruments to which the requirements in Chapter 5 of Title II of Part Three CRR (securitisation exposures) apply, are not covered by the templates for which instructions are provided in this Annex.

Table EU CRD – Qualitative disclosure requirements related to standardised approach. Flexible format

Institutions shall disclose the information referred to in points (a) to (d) of Article 444 of Regulation (EU) 575/2013 (

) (‘CRR’) by following the instructions provided below in this Annex to complete table EU CRD which is presented in Annex XIX to this Implementing Regulation.

Row reference

Legal reference and instructions

Explanation

(a)

Point (a) of Article 444 CRR

Institutions shall disclose the names of the nominated external credit assessment institutions (ECAIs) and export credit agencies (ECAs) used and the reasons for any changes in those nominations over the disclosure period.

(b)

Point (b) of Article 444 CRR

Institutions shall indicate the exposure classes, specified in Article 112 CRR, for which institutions calculate the risk-weighted exposure amounts in accordance with Chapter 2 of Title II of Part Three CRR using the credit assessment of the nominated ECAI or ECA.

(c)

Point (c) of Article 444 CRR

When an issuer or an issue credit assessment is used to determine the risk weight to be assigned to an exposure not included in the trading book in accordance with Article 139 of Chapter 2 of Title II of Part Three CRR, the institutions shall describe the process used.

(d)

Point (d) of Article 444 CRR

Institutions shall indicate, for each of the exposure classes specified in Article 112 CRR, the alphanumerical scale of each nominated ECAI/ECA (as referred to in row (a) of this template) with the risk weights that correspond with the credit quality steps as set out in Chapter 2 of Title II of Part Three CRR, except where the institution complies with the standard association published by the EBA

Template EU CR4 – Credit risk exposure and CRM effects. Fixed format

Institutions calculating the risk-weighted exposure amounts for credit risk in accordance with Chapter 2 of Title II of Part Three CRR shall disclose the information referred to points (g), (h) and (i) of Article 453 CRR and of point (e) of Article 444 CRR by following the instructions provided below in this Annex to complete template EU CR4 which is presented in Annex XIX to this Implementing Regulation.

Column reference

Legal references and instructions

Explanation

Exposures before CCF and before CRM – On-balance-sheet exposures:

Institutions shall disclose the on-balance-sheet exposure value under the scope of prudential consolidation in accordance with Article 111 CRR, after specific credit risk adjustments in accordance with Article 110 CRR, additional value adjustments in accordance with Articles 34 and 105 CRR, deducted amounts in accordance with point (m) of Article 36(1) CRR, other own funds reductions and write-offs (as defined in the applicable accounting framework), but before (i) the application of credit conversion factors as specified in the same Article and (ii) the application of CRM techniques specified in Chapter 4 of Title II of Part Three CRR. Exposure values for leases are subject to Article 134(7) CRR.

Exposures before CCF and before CRM – Off-balance-sheet exposures:

Institutions shall disclose the off-balance-sheet exposure value under the scope of prudential consolidation, after reduction of specific credit risk adjustments and deducted amounts in accordance with point (m) of Article 36 (1) CRR, but before the application of credit conversion factors in accordance with Article 111 CRR and before the effect of CRM techniques (in application of Chapter 4 of Title II of Part Three CRR).

Exposures post CCF and post CRM – On-balance-sheet exposures:

Institutions shall disclose the amount of the on-balance-sheet exposure value under the scope of prudential consolidation (in accordance with Article 111 CRR), after specific credit risk adjustments in accordance with Article 110 CRR, additional value adjustments in accordance with Article 34 and 105 CRR, deducted amounts in accordance with point (m) of Article 36(1) CRR, other own funds reductions and write-offs as defined in the applicable accounting framework, after the application of all credit risk mitigants and credit conversion factors. This is the amount to which the risk weights (in accordance with Article 113 CRR and with Section 1 of Chapter 2 of Title II of Part Three CRR) are applied. It is a net credit equivalent amount, after having applied CRM techniques and CCF.

Exposures post CCF and post CRM – Off-balance-sheet exposures:

Institutions shall disclose the amount of the off-balance-sheet exposure value after taking into account specific credit risk adjustments as defined in the Commission Delegated Regulation (EU) 183/2014 ( 1 ) , additional value adjustments and other own funds reductions, after the application of all credit risk mitigants and credit conversion factors. This is the amount to which the risk weights (in accordance with Article 113 CRR and with Section 1 of Chapter 2 of Title II of Part Three CRR) are applied. It is a net credit equivalent amount, after having applied CRM techniques and CCF.

RWEAs

The risk-weighted exposure amounts (RWEAs) calculated in accordance with Section 1 of Chapter 2 of Title II of Part Three CRR

RWEA density

(Column e/Columns(c+d) of this template)

The ratio shall be calculated by dividing the RWEAs of the respective exposure class (column e of this template) by the amount of the respective exposures after taking into account all credit risk mitigants and credit conversion factors (sum of amounts in columns c and d of this template).

( 1 )

Row number

Legal references and instructions

Explanation

1 - 16

Exposure classes as defined in accordance with Article 112 CRR

Exposures assigned to exposure class ‘items representing securitisation positions’ that is referred to in point (m) of Article 112 CRR are not included.

‘Other items’ exposure class refers to:

— assets subject to a specific risk weight set out in Article 134 CRR;

— assets not deducted in application of Article 39 CRR (tax overpayments, tax loss carrybacks and deferred tax assets that do not rely on future profitability), Article 41 CRR (defined benefit pension fund assets), Article 46 CRR (non-significant investments in CET1 of financial sector entities), Article 48 CRR (deferred tax assets and direct, indirect and synthetic investments in CET1 instruments of financial sector entities up to the defined threshold), Article 49 CRR and Article 471 CRR (participations in insurance entities whether or not insurance entities are supervised under the conglomerate directive), Article 60 CRR and Article 475 CRR (non-significant and significant direct, indirect and synthetic investments in CET1, additional tier 1 (AT1) and Tier 2 (T2) instruments issued by financial sector entities), Article 70 CRR (insignificant and significant direct, indirect and synthetic holdings of T2 (T2) issued by a financial sector entity) when not allocated to other exposure classes, and to qualifying holdings outside the financial sector when they are not 1 250 % risk-weighted (in application of point (k) of Article 36 of Chapter 1 of Title I of Part Two CRR).

Template EU CR5 – Standardised approach . Fixed format

Institutions shall disclose the information referred to in point (e) of Article 444 CRR by following the instructions provided below in this Annex to complete template EU CR5 which is presented in Annex XIX to this Implementing Regulation.

Column reference

Legal references and instructions

Explanation

a - o

Risk weight:

Institutions shall disclose the information on the allocation of risk weights within the respective exposure class according to Section 2 of Chapter 2 of Title II of Part Three CRR.

Total:

Total amount of on-balance-sheet and off-balance-sheet exposures under the scope of prudential consolidation:

— after specific credit risk adjustments in accordance with Article 110 CRR, additional value adjustments in accordance with Articles 34 and 105 CRR, deducted amounts in accordance with point (m) of Article 36(1) CRR, other own funds reductions and write-offs (as defined in the applicable accounting framework) for on-balance-sheet exposures, in accordance with Article 111 CRR;

— after reduction of specific credit risk adjustments and deducted amounts in accordance with point (m) of Article 36(1) CRR for off-balance-sheet exposures, in accordance with Article 111 CRR;

— after (i) the application of conversion factors as specified in the same Article and (ii) the application of CRM techniques specified in Chapter 4 of Title II of Part Three CRR for both on-balance-sheet and off-balance-sheet exposures

Of which unrated:

Exposures for which a credit assessment by a nominated ECAI is not available and that are applied specific risk weights depending on their exposure class, as specified in Article 113 to Article 134 CRR

Row number

Legal references and instructions

Explanation

1 - 16

Exposure classes in accordance with Article 112 CRR

Exposures assigned to exposure class ‘items representing securitisation positions’ that is referred to in point (m) of Article 112 CRR are not included.

‘Other items’ exposure class refers to:

— assets subject to a specific risk weight set out in Article 134 of Chapter 4 of Title II of Part Three CRR;

— assets not deducted in application of Article 39 CRR(tax overpayments, tax loss carrybacks and deferred tax assets that do not rely on future profitability), Article 41 CRR(defined benefit pension fund assets), Article 46 and Article 469 CRR (non-significant investments in CET1 of financial sector entities), Article 49 and Article 471 CRR (participations in insurance entities whether or not insurance entities are supervised under the conglomerate directive), Article 60 and Article 475 CRR (non-significant and significant direct, indirect and synthetic investments in additional tier 1 (AT1) of financial sector entities), Article 70 and Article 477 CRR (insignificant and significant direct, indirect and synthetic holdings of T2 from a financial sector entity) when not allocated to other exposure classes, and to qualifying holdings outside the financial sector when they are not 1 250 % risk-weighted (in application of point (k) of Article 36 of Chapter 1 of Title I of Part Two CRR).

ANNEX XXI

Table EU CRE – Qualitative disclosure requirements related to IRB approach

Free format text boxes for disclosure of qualitative information

Legal basis

Row number

Free format

Article 452 (a) CRR

(a)

The competent authority's permission of the approach or approved transition

Article 452 (c) CRR

(b)

(c) The control mechanisms for rating systems at the different stages of model development, controls and changes, which shall include information on:

(i) the relationship between the risk management function and the internal audit function;

(ii) the rating system review;

(iii) procedure to ensure the independence of the function in charge of reviewing the models from the functions responsible for the development of the models;

(iv) the procedure to ensure the accountability of the functions in charge of developing and reviewing the models

Article 452 (d) CRR

(c)

The role of the functions involved in the development, approval and subsequent changes of the credit risk models;

Article 452 (e) CRR

(d)

The scope and main content of the reporting related to credit risk models;

Article 452 (f) CRR

(e)

A description of the internal ratings process by exposure class, including the number of key models used with respect to each portfolio and a brief discussion of the main differences between the models within the same portfolio, covering:

(i) the definitions, methods and data for estimation and validation of PD, which shall include information on how PDs are estimated for low default portfolios, whether there are regulatory floors and the drivers for differences observed between PD and actual default rates at least for the last three periods;

(ii) where applicable, the definitions, methods and data for estimation and validation of LGD, such as methods to calculate downturn LGD, how LGDs are estimated for low default portfolio and the time lapse between the default event and the closure of the exposure;

(iii) where applicable, the definitions, methods and data for estimation and validation of credit conversion factors, including assumptions employed in the derivation of those variables.

Template EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range

A-IRB

PD range

On-balance sheet exposures

Off-balance-sheet exposures pre-CCF

Exposure weighted average CCF

Exposure post CCF and post CRM

Exposure weighted average PD (%)

Number of obligors

Exposure weighted average LGD (%)

Exposure weighted average maturity (years)

Risk weighted exposure amount after supporting factors

Density of risk weighted exposure amount

Expected loss amount

Value adjust-ments and provisions

Exposure class X

0,00 to < 0,15

0,00 to < 0,10

0,10 to < 0,15

0,15 to < 0,25

0,25 to < 0,50

0,50 to < 0,75

0,75 to < 2,50

0,75 to < 1,75

1,75 to < 2,5

2,50 to < 10,00

2,5 to < 5

5 to < 10

10,00 to < 100,00

10 to < 20

20 to < 30

30,00 to < 100,00

100,00 (Default)

Subtotal (exposure class)

Total (all exposures classes)

F-IRB

PD range

On-balance sheet exposures

Off-balance-sheet exposures pre-CCF

Exposure weighted average CCF

Exposure post CCF and post CRM

Exposure weighted average PD (%)

Number of obligors

Exposure weighted average LGD (%)

Exposure weighted average maturity (years)

Risk weighted exposure amount after supporting factors

Density of risk weighted exposure amount

Expected loss amount

Value adjust-ments and provisions

Exposure class X

0,00 to < 0,15

0,00 to < 0,10

0,10 to < 0,15

0,15 to < 0,25

0,25 to < 0,50

0,50 to < 0,75

0,75 to < 2,50

0,75 to < 1,75

1,75 to < 2,5

2,50 to < 10,00

2,5 to < 5

5 to < 10

10,00 to < 100,00

10 to < 20

20 to < 30

30,00 to < 100,00

100,00 (Default)

Subtotal (exposure class)

Total (all exposures classes)

Template EU CR6-A – Scope of the use of IRB and SA approaches

Exposure value as defined in Article 166 CRR for exposrues subject to IRB approach

Total exposure value for exposures subject to the Standardised approach and to the IRB approach

Percentage of total exposure value subject to the permanent partial use of the SA (%)

Percentage of total exposure value subject to IRB Approach (%)

Percentage of total exposurevalue subject to a roll-out plan (%)

Central governments or central banks

1,1

Of which Regional governments or local authorities

1,2

Of which Public sector entities

Institutions

Corporates

3,1

Of which Corporates - Specialised lending, excluding slotting approach

3,2

Of which Corporates - Specialised lending under slotting approach

Retail

4,1

of which Retail – Secured by real estate SMEs

4,2

of which Retail – Secured by real estate non-SMEs

4,3

of which Retail – Qualifying revolving

4,4

of which Retail – Other SMEs

4,5

of which Retail – Other non-SMEs

Equity

Other non-credit obligation assets

Total

Template EU CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques

Pre-credit derivatives risk weighted exposure amount

Actual risk weighted exposure amount

Exposures under F-IRB

Central governments and central banks

Institutions

Corporates

4,1

of which Corporates - SMEs

4,2

of which Corporates - Specialised lending

Exposures under A-IRB

Central governments and central banks

Institutions

Corporates

8,1

of which Corporates - SMEs

8,2

of which Corporates - Specialised lending

Retail

9,1

of which Retail – SMEs - Secured by immovable property collateral

9,2

of which Retail – non-SMEs - Secured by immovable property collateral

9,3

of which Retail – Qualifying revolving

9,4

of which Retail – SMEs - Other

9,5

of which Retail – Non-SMEs- Other

TOTAL (including F-IRB exposures and A-IRB exposures)

Template EU CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques

A-IRB

Total exposures

Credit risk Mitigation techniques

Credit risk Mitigation methods in the calculation of RWEAs

Funded credit Protection (FCP)

Unfunded credit Protection (UFCP)

RWEA without substitution effects

(reduction effects only)

RWEA with substitution effects

(both reduction and sustitution effects)

Part of exposures covered by Financial Collaterals (%)

Part of exposures covered by Other eligible collaterals (%)

Part of exposures covered by Other funded credit protection (%)

Part of exposures covered by Guarantees (%)

Part of exposures covered by Credit Derivatives (%)

Part of exposures covered by Immovable property Collaterals (%)

Part of exposures covered by Receivables (%)

Part of exposures covered by Other physical collateral (%)

Part of exposures covered by Cash on deposit (%)

Part of exposures covered by Life insurance policies (%)

Part of exposures covered by Instruments held by a third party (%)

Central governments and central banks

Institutions

Corporates

3,1

Of which Corporates – SMEs

3,2

Of which Corporates – Specialised lending

3,3

Of which Corporates – Other

Retail

4,1

Of which Retail – Immovable property SMEs

4,2

Of which Retail – Immovable property non-SMEs

4,3

Of which Retail – Qualifying revolving

4,4

Of which Retail – Other SMEs

4,5

Of which Retail – Other non-SMEs

Total

F-IRB

Total exposures

Credit risk Mitigation techniques

Credit risk Mitigation methods in the calculation of RWEAs

Funded credit Protection (FCP)

Unfunded credit Protection (UFCP)

RWEA without substitution effects

(reduction effects only)

RWEA with substitution effects

(both reduction and sustitution effects)

Part of exposures covered by Financial Collaterals (% )

Part of exposures covered by Other eligible collaterals (%)

Part of exposures covered by Other funded credit protection (%)

Part of exposures covered by Guarantees (%)

Part of exposures covered by Credit Derivatives (%)

Part of exposures covered by Immovable property Collaterals (%)

Part of exposures covered by Receivables (%)

Part of exposures covered by Other physical collateral (%)

Part of exposures covered by Cash on deposit (%)

Part of exposures covered by Life insurance policies (%)

Part of exposures covered by Instruments held by a third party (%)

Central governments and central banks

Institutions

Corporates

3,1

Of which Corporates – SMEs

3,2

Of which Corporates – Specialised lending

3,3

Of which Corporates – Other

Total

Template EU CR8 – RWEA flow statements of credit risk exposures under the IRB approach

Risk weighted exposure amount

Risk weighted exposure amount as at the end of the previous reporting period

Asset size (+/–)

Asset quality (+/–)

Model updates (+/–)

Methodology and policy (+/–)

Acquisitions and disposals (+/–)

Foreign exchange movements (+/–)

Other (+/–)

Risk weighted exposure amount as at the end of the reporting period

Template CR9 –IRB approach – Back-testing of PD per exposure class (fixed PD scale)

A-IRB

Exposure class

PD range

Number of obligors at the end of previous year

Observed average default rate (%)

Exposures weighted average PD (%)

Average PD (%)

Average historical annual default rate (%)

Of which number of obligors which defaulted in the year

0,00 to < 0,15

0,00 to < 0,10

0,10 to < 0,15

0,15 to < 0,25

0,25 to < 0,50

0,50 to < 0,75

0,75 to < 2,50

0,75 to < 1,75

1,75 to < 2,5

2,50 to < 10,00

2,5 to < 5

5 to < 10

10,00 to < 100,00

10 to < 20

20 to < 30

30,00 to < 100,00

100,00 (Default)

F-IRB

Exposure class

PD range

Number of obligors in the end of previous year

Observed average default rate (%)

Exposure weighted average PD (%)

Average PD (%)

Average historical annual default rate (%)

Of which number of obligors which defaulted in the year

0,00 to < 0,15

0,00 to < 0,10

0,10 to < 0,15

0,15 to < 0,25

0,25 to < 0,50

0,50 to < 0,75

0,75 to < 2,50

0,75 to < 1,75

1,75 to < 2,5

2,50 to < 10,00

2,5 to < 5

5 to < 10

10,00 to < 100,00

10 to < 20

20 to < 30

30,00 to < 100,00

100,00 (Default)

Template CR9.1 –IRB approach – Back-testing of PD per exposure class (only for PD estimates according to point (f) of Article 180(1) CRR)

A-IRB

Exposure class

PD range

External rating equivalent

Number of obligors at the end of previous year

Observed average default rate (%)

Average PD (%)

Average historical annual default rate (%)

Of which number of obligors which defaulted in the year

F-IRB

Exposure class

PD range

External rating equivalent

Number of obligors in the end of previous year

Observed average default rate (%)

Average PD (%)

Average historical annual default rate (%)

Of which number of obligors which defaulted in the year

ANNEX XXII

Disclosure of the use of the IRB Approach to credit risk (excluding counterparty credit risk)

Table EU CRE – Qualitative disclosure requirements related to IRB Approach. Flexible table.

Institutions shall disclose the information referred to of points (a) to (f) of Article 452 of Regulation (EU) 575/2013 (

) (‘CRR’) by following the instructions provided below in this Annex to complete table EU CRE which is presented in Annex XXI to this Implementing Regulation.

Row reference

Legal references and instructions

Explanation

(a)

Point (a) of Article 452 CRR

When disclosing information on the scope of the competent authority’s permission of approach or approved transition in accordance with point (a) of Article 452 CRR, institutions shall describe the main characteristics of the rating systems used under the IRB Approach for which the permission has been granted by a competent authority and the types of exposures covered by these rating systems. Institutions shall also describe the types of exposures for which they have permission to use permanent partial use of the Standardised Approach in accordance with Article 150 CRR and which are under their IRB roll-out plans in accordance with Article 148 CRR. The description shall be provided at the group level.

(b)

Point (c)(i)-(iv) of Article 452 CRR

The description of the control mechanisms for rating systems shall cover the estimation of risk parameters, including internal model development and calibration, as well as controls in the application of the models and changes to rating systems.

In accordance with point (c)(i)-(iv) of Article 452 CRR the description of the role of the functions referred to above shall also include:

(i) the relationships between the risk management function and the internal audit function,

(ii) the processes and methods for the reviews of the rating systems, including regular reviews of estimates in accordance with point (c) of Article 179(1) CRR and validations,

(iii) the procedures and organisational arrangements to ensure the independence of the function in charge of reviewing the models (validation function) from the functions responsible for model development and calibration,

(iv) and the procedure to ensure the accountability of the functions in charge of developing and reviewing the models.

(c)

Point (d) of Article 452 CRR

Institutions shall specify the role of the functions involved in the model development, calibration, approval and subsequent changes of the rating systems.

(d)

Point (e) of Article 452 CRR

Institutions shall disclose the scope and main content of management reporting related to IRB models referred to in Article 189 CRR, as well as addressees and frequency of such reporting.

(e)

Point (f) of Article 452 CRR

The disclosure of the internal rating systems by exposure class shall include the number of key models used in each exposure class with respect different types of exposures, with a brief description of the main differences among the models within the same exposure class. It shall also include a description of the main characteristics of the key approved models, in particular:

(i) the definitions, methods and data for estimation and validation of PD, including estimation and validation of PDs for low default portfolios, any applicable regulatory floors, and the drivers for differences observed between PD estimates and actual default rates at least for the last three years;

(ii) where applicable, the definitions, methods and data for the estimation and validation of LGD, including estimation and validation of downturn LGD, information on how LGDs are estimated for low default portfolio, and the average time lapse between the default event and the closure of the exposure;

(iii) the definitions, methods and data for estimation and validation of conversion factors, including assumptions employed in the derivation of those estimates.

Template EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range. Fixed template.

Institutions shall disclose the information referred to in point (g)(i)-(v) of Article 452 CRR on the main parameters used for the calculation of capital requirements for IRB approach by following the instructions provided below in this Annex to complete template EU CR6 which is presented in Annex XXI to this Implementing Regulation. Information disclosed in this template shall not include data on specialised lending referred to in Article 153(4) CRR. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), securitisation exposures and equity exposures.

Column reference

Legal references and instruction s

Explanation

PD range

This is a fixed PD range which shall not be altered.

In case that the data on defaulted exposures in accordance with Article 178 CRR is further broken down in accordance with possible definitions for categories of defaulted exposures, the definitions and amounts for categories of defaulted exposures shall be explained in an accompanying narrative.

Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). All defaulted exposures shall be included in the bucket representing PD of 100 %.

On-balance sheet exposures

Exposure value calculated in accordance with Article 166(1) to (7) CRR without taking into account any credit risk adjustments and any conversion factors

Off-balance sheet exposures pre-conversion factors (CCF)

Exposure value in accordance with Article 166(1) to (7) CRR, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) CRR, or any percentages specified in Article 166(10) CRR

Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I to CRR.

Exposure weighted average CCF

For all exposures included in each bucket of the fixed PD scale, the average conversion factor used by institutions in their calculation of risk-weighted exposure amounts, weighted by the off-balance sheet exposure pre-CCF as in column c of this template

Exposure value post CCF and post CRM

Exposure value in accordance with Article 166 CRR

This column includes the sum of exposure value of on-balance sheet exposures and off-balance sheet exposures post conversion factors and percentages in accordance with Article 166(8) to (10) CRR.

Exposure weighted average PD (%)

For all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post-CCF and CRM as in column e of this template

Number of obligors

The number of legal entities or obligors allocated to each bucket of the fixed PD range, which were separately rated, regardless of the number of different loans or exposures granted

Joint obligors shall be treated the same as for the purpose of PD calibration. Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place within the retail exposure class if the definition of default is applied at the level of individual credit facility in accordance with the last sentence of Article 178(1) CRR, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR in other exposure classes.

Exposure weighted average LGD (%)

For all exposures included in each bucket of the fixed PD range, the average of the LGD estimates for each exposure, weighted by the exposure value post-CCF and post-CRM as in column e of this template

The disclosed LGD shall correspond to the final LGD estimate used in the calculation of risk weighted amounts obtained after considering any CRM effects and downturn conditions where relevant. For retail exposures secured by immovable properties the disclosed LGD shall take into account the floors specified in Article 164(4) CRR.

In the case of exposures subject to the double default treatment the LGD to be disclosed shall correspond to the one selected in accordance with Article 161 (4) CRR.

For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The disclosed LGD shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies.

Exposure-weighted average maturity (years)

For all exposures included in each bucket of the fixed PD range, the average maturity of each exposure, weighted by the exposure value post-CCF as in column e of this template

The disclosed value of maturity reflects Article 162 CRR.

The average maturity shall be disclosed in years.

This data shall not be disclosed for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts in accordance with Chapter 3 of Title II of Part Three CRR. This means that this column shall not be filled in for the exposure class ‘retail’.

Risk weighted exposure amount after supporting factors

For exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with Article 153(1) to (4) CRR; for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 CRR

The SME and infrastructure supporting factors in accordance with Article 501 and Article 501a CRR shall be taken into account.

Density of risk weighted exposure amounts

Ratio between the sum of risk weighted exposure amounts after supporting factors as in column j of this template and the exposure value as in column e of this template

Expected loss amount

The expected loss amount calculated in accordance with Article 158 CRR

The expected loss amount to be disclosed shall be based on the actual risk parameters used in the internal rating system approved by the respective competent authority.

Value adjustments and provisions

Specific and general credit risk adjustments in accordance with the Commission Delegated Regulation (EU) 183/2014 ( 1 ) , additional value adjustments in accordance with Articles 34 and 110 CRR, as well as other own funds reductions related to the exposures allocated to each bucket on the fixed PD range

These value adjustments and provisions shall be those considered for the implementation of Article 159 CRR.

General provisions shall be disclosed by assigning the amount pro rata – in accordance with the expected loss of different obligor grades.

( 1 )

Row reference

Legal references and instructions

Explanation

Exposure class X

Where institutions have received permission to use own LGDs and convertion factors for the calculation of risk-weighted exposure amounts, they shall disclose the information required in this template separately for the exposure classes subject to that permission (A-IRB). For the exposure classes for which the institution does not have permission to use own estimates of LGD and conversion factors (F-IRB) the institution shall disclose the information on the relevant exposures separately using the F-IRB template.

A-IRB

Exposure class X

For each exposure class listed in Article 147(2) CRR, with the exceptions indicated above, institutions shall disclose a separate template, with a further breakdown for the following exposure classes:

— within the exposure class ‘exposures to corporates’ (point (c) of Article 147(2) CRR), breakdown into: — a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies;

b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR;

c.exposures to corporates – other.

— within the exposure class ‘retail exposures’ (point (d) of Article 147(2) and Article 147(5) CRR), breakdown into: — a.Retail exposures – SME secured by immovable property collateral (point (d) of Article 147 (2) CRR in conjunction with Article 154(2) and (3) CRR);

b.Retail exposures – SME other;

c.Retail exposures – non-SME secured by immovable property collateral (point (d) of Article 147 (2) CRR in conjunction with Article 154(3) CRR);

d.Retail exposures – Qualifying revolving (point (d) of Article 147 (2) CRR in conjunction with Article 154(4) CRR);

e.Retail exposures – non-SME other.

The total exposures row shall be included at the end of each separate template per exposure class.

F-IRB

Exposure class X

b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR;

c.exposures to corporates – other.

Template EU CR6-A – IRB Approach – Scope of the use of IRB and SA approaches. Fixed template

Institutions calculating the risk-weighted exposure amounts under the IRB Approach to credit risk shall disclose information referred to in point (b) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CR6-A which is presented in Annex XXI to this Implememting Regulation.

For the purpose of this template, institutions shall allocate their exposures subject to the Standardised Approach laid down in Chapter 2 of Title II of Part Three or to the IRB Approach laid down in Chapter 3 of Title II of Part Three to the exposure classes as defined under the IRB Approach. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), and securitisation exposures.

Institutions shall explain in the accompanying narrative to the template any material difference between the exposure value as defined in Article 166 for IRB exposures as in column a of the template and the exposure value for the same exposures in accordance with Article 429(4) CRR, as in columns b and d of this template.

Legal references and instructions

Column reference

Explanation

Exposure value as defined in Article 166 CRR for exposures subject to IRB approach

Institutions shall disclose in this column the exposure value as defined in Article 166 CRR, only for those exposures under the IRB approach.

Total exposure value for exposures subject to the Standardised approach and to the IRB approach

Institutions shall use the e x posure value in accordance with Article 429(4) CRR to disclose the total exposure value, including both the exposures under the standardized approach and the exposures under the IRB approach.

Percentage of total exposure value subject to the permanent partial use of the SA (%)

Part of exposure for each exposure class subject to the Standardised Approach (exposure subject to the Standardised Approach laid down in Chapter 2 of Title II of Part Three, in accordance with the scope of permission for permanent partial use of the Standardised Approach received from a competent authority in accordance with Article 150 CRR), over the total exposure in that exposure class as in column b of this template.

Percentage of total exposure value subject to IRB Approach (%)

Part of exposure for each exposure class subject to the IRB approach (exposure subject to the IRB Approach laid down in Chapter 3 of Title II of Part Three over the total exposure in that exposure class), respecting the scope of permission received from a competent authority to use the IRB Approach in accordance with Article 143 CRR, over the total exposure in that exposure class as in column b of this template. This shall include both exposures where institutions have the permission to use their own estimation of LGD and conversion factors or not (F-IRB and A-IRB), including supervisory slotting approach for specialized lending exposures and equity exposures under the simple risk weight approach.

Percentage of total exposure value subject to a roll-out plan (%)

Part of exposure for each asset class subject to the sequential implementation of IRB approach pursuant to Article 148 CRR, over the total exposure in that exposure class as in column b. This shall include:

— both exposures where institutions plan to apply IRB approach with or without their own estimation of LGD and conversion factors(F-IRB or A-IRB)

— Immaterial equity exposures not included in columns c and d of this template

— exposures already under F-IRB where an institution is planning to apply A-IRB in the future.

— specialised lending exposures under the supervisory slotting approach not included in column d of this template.

Row number

Legal references and instructions

Explanation

Exposure classes

Institutions shall include the information in template CR 6-A by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.

Template EU CR7 – IRB approach – Effect on the Risk Weighted Exposure amounts of credit derivatives used as CRM techniques. Fixed template.

Institutions shall disclose information referred to in point (j) of Article 453 CRR by following instructions provided below in this Annex to complete template EU CR7 as presented in Annex XXI to this Implementing Regulation. Institutions shall supplement the template with a narrative to explain the effect of credit derivatives on risk weighted exposure amounts. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR ), securitisation exposures, other non-credit obligation assets and equity exposures.

Column reference

Legal references and instructions

Explanation

Pre-credit derivatives risk weighted exposure amount

Hypothetical risk weighted exposure amount calculated the actual RWEA assuming only the absence of recognition of the credit derivative as a CRM technique as specified in Article 204 CRR. The amounts shall be presented in the exposure classes relevant for the exposures to the original obligor.

Actual risk weighted exposure amount

Risk weighted exposure amount calculated taking into account the impact of the credit derivatives. Where institutions substitute the risk weight or the risk parameters of the obligor with the risk weight or risk parameters of the protection provider, the risk weighted exposure amounts shall be presented in the exposure class relevant for direct exposures to the protection provider.

Row reference

Legal references and instructions

Explanation

1 to 9

Institutions shall include the breakdown of pre-credit derivatives risk weighted exposure amount and actual risk weighted exposure by exposure class, in accordance with the exposure classes listed in Article 147 CRR with further breakdown as included in the template, and separately for exposures under F-IRB approach and exposures under A-IRB approach. Institutions shall disclose under rows 1 and 6 of this template the subtotals for F-IRB exposures and for A-IRB exposures.

Institutions shall disclose further breakdown for exposure class ‘exposures to corporates’ (point (c) of Article 147(2) CRR) in accordance with the below:

a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies;

b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR, excluding specialised lending exposures under the slotting approach;

c.exposures to corporates – other.

Institutions shall disclose further breakdown for exposure class ‘retail exposures’ (point (d) of Article 147(2) and Article 147(5) CRR) Institutions shall disclose further breakdown for:

a.Retail exposures – SME secured by immovable property collateral (in conjunction with Article 154(2) and (3) CRR);

b.Retail exposures – non-SME secured by immovable property collateral (in conjunction with Article 154(3) CRR);

c.Retail exposures – Qualifying revolving (in conjunction with Article 154(4) CRR);

d.Retail exposures – SME other;

e.Retail exposures – non-SME other.

TOTAL EXPOSURES (including F-IRB exposures and A-IRB exposures)

Total pre-credit derivatives risk weighted exposure amount, and total actual risk weighted exposure amount for all IRB exposures (including F-IRB and A-IRB)

Template EU CR7-A IRB approach – Disclosure of the extent of the use of CRM techniques

Institutions shall disclose the information referred to in point (g) of Article 453 CRR separately for exposures under A-IRB and F-IRB by following the instructions provided below in this Annex to complete template EU CR7-A which is presented in Annex XXI to this Implementing Regulation. In case an item of funded credit protection applies to more than one exposure, the sum of the exposures considered secured by it may not exceed the value of the item of the credit protection.

Column reference

Legal references and instructions

Explanation

Total exposures

Exposure value (post conversion factors) in accordance with Articles 166 to 167 CRR

Exposures shall be disclosed in accordance with the exposure class applicable to the obligor, without taking into account any substitution effects due to the existence of a guarantee.

Institutions applying the simple risk weight approach shall also consider the offsetting provisions referred to in Article 155(2) CRR.

FCP - Part of exposures covered by financial collateral (%)

Percentage of exposures secured by financial collateral over total exposures as in column a of this template.

Financial collateral, including cash collateral, debt securities, and gold, as listed in Articles 197 and 198 CRR, shall be included in the numerator where all the requirements laid down in Article 207 (2) to (4) CRR are met. The value of collateral disclosed shall be limited to the value of the exposure at the level of an individual exposure.

When own estimates of LGD are used: financial collateral taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181 (1) CRR. The amount to be disclosed shall be the estimated market value of the collateral.

FCP - Part of exposures covered by other eligible collaterals (%)

Percentage of exposures secured by other eligible collateral over total exposures as in column a of this template

The values disclosed in this column shall be the sum of the values in columns d to f of this template.

Where own estimates of LGD are not used: Article 199 (1) to (8) CRR and Article 229 CRR.

Where own estimates of LGD are used: other collateral taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181 (1) CRR.

FCP - Part of exposures covered by immovable property collaterals (%)

Percentage of exposures secured by immovable property collateral including leasing in accordance with Article 199(7) CRR over total exposures as in column a of this template

Immovable property collateral shall be included in the numerator where they meet all the eligibility requirements laid down in Article 208(2) to (5) CRR.

Leasing on immovable property shall be included in the numerator where they meet all the eligibility requirements laid down in Article 211 CRR. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure.

Part of exposures covered by Receivables (%)

Percentage of exposures secured by receivables in accordance with Article 199 (5) CRR over total exposures as in column a of this template

Receivables shall be included in the numerator where they meet all the eligibility requirements laid down in Article 209 CRR. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure

Part of exposures covered by Other physical collateral (%)

Percentage of exposures secured by other physical collateral including leasing of those collaterals in accordance with Article 199 (6) and (8) CRR over total exposures as in column a of this template

Other physical collateral shall be included in the numerator where they meet all the eligibility requirements laid down in Article 210 CRR. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure.

FCP - Part of exposures covered by Other funded credit protection (%)

Percentage of exposures secured by other FCP over total exposures as in column a

The values in this column shall be the sum of the values in columns h, i and j of this template.

FCP - Part of exposures covered by cash on deposit (%)

Percentage of exposures secured by cash or cash assimilated instruments held by third party institution over total exposures as in column a of this template; in accordance with point (a) of Article 200 CRR, other funded credit protection includes cash on deposit with, or cash assimilated instruments held by third party institution in a non-custodial arrangement and pledged to the lending institution.

The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure.

FCP - Part of exposures covered by life insurance policies (%)

Percentage of exposures secured by life insurance policies over total exposures as in column a of this template

In accordance with point (b) of Article 200 CRR, other funded credit protection includes life insurance policies pledged to the lending institution. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure.

FCP - Part of exposures covered by instrument held by a third party (%)

Percentage of exposures secured by collateral in the form of instruments held by a third party over total exposures as in column a of this template; part of exposures covered by instruments issued by a third party over total exposures

In accordance with point (c) of Article 200 CRR, the disclosed value shall include instruments issued by a third party institution which will be repurchased by that institution on request. The value of collateral shall be limited to the value of the exposure at the level of an individual exposure. The percentage shall exclude those exposures covered by instruments held by a third party where, following Article 232 (4) CRR institutions treat instruments repurchased on request that are eligible under point (c) of Article 200 CRR as a guarantee by the issuing institution.

UFCP - Part of exposures covered by guarantees (%)

Percentage of exposures secured by guarantees over total exposures as in column a of this template.

The guarantees shall meet the requirement laid down in Articles 213, 214, 215 and, when relevant, 217 and 232(4) CRR. The value of guarantees shall be limited to the value of the exposure at the level of an individual exposure.

UFCP - Part of exposures covered by credit derivatives (%)

Percentage of exposures secured by credit derivatives over total exposures as in column a of this template.

Credit derivatives include the following:

— credit default swaps

— total returns swaps

— credit linked notes to the extent of their cash funding.

These instruments shall meet the requirement laid down in Articles 204(1) and (2), 213, 216, and when relevant, Article 217 CRR. The value of credit derivatives shall be limited to the value of the exposure at the level of an individual exposure.

RWEA without substitution effects (reduction effects only)

The risk-weighted exposure amounts calculated in accordance with points (a) and (f) of Article 92(3) CRR, including any reduction of RWEA due to the existence of funded or unfunded credit protection, including where the PD and LGD or the risk weight is substituted due to the existence of unfunded credit protection. Nevertheless, in all cases, including where substitution approach is used, exposures are disclosed in the original exposure classes applicable to the obligor.

RWEA with substitution effects (both reduction and substitution effects)

The risk-weighted exposure amounts calculated in accordance with Article 153 to 157 CRR, including any reduction of RWEA due to the existence of funded or unfunded credit protection. Where the PD and LGD or the risk weight is substituted due to the existence of unfunded credit protection, exposures are disclosed in the exposure class applicable to the protection provider.

Row reference

Legal references and instructions

Explanation

This disclosure shall be made separately for exposures under A-IRB approach, F-IRB approach as well as specialised lending under the slotting approach and equity exposures.

A-IRB

Institutions shall include the information on credit risk mitigation techniques included in this template by exposure class, in accordance with the exposure classes listed in Article 147 CRR with further breakdown for exposure class ‘Corporates’ (point (c) of Article 147(2) CRR) in accordance with the below:

a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies;

b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR excluding specialised lending exposures under the slotting approach;

c.exposures to corporates – other.

Institutions shall disclose further breakdown for exposure class ‘Retail’ (point (d) of Article 147(2) and Article 147(5) CRR) Institutions shall disclose further breakdown for:

a.Retail exposures – SME secured by immovable property collateral (in conjunction with Article 154(2) and (3) CRR);

b.Retail exposures – non-SME secured by immovable property collateral (in conjunction with Article 154(3) CRR);

c.Retail exposures – Qualifying revolving (in conjunction with Article 154(4) CRR);

d.Retail exposures – SME other;

e.Retail exposures – non-SME other.

F-IRB

‘Corporates’ (point (c) of Article 147(2) CRR) in accordance with the below:

a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies;

b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR excluding specialised lending exposures under the slotting approach;

c.exposures to corporates – other.

Template EU CR8 – RWEA flow statements of credit risk exposures under the IRB approach. Fixed template.

Institutions shall disclose the information referred to in point (h) of Article 438 CRR by following the instructions provided below in this Annex to complete template EU CR8 which is presented in Annex XXI to this Implementing Regulation. The information in this template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).

Institutions shall disclose the flows of RWEA as the changes between the risk-weighted exposure amounts at the end of the disclosure reference period (as specified below in row 9 of this template) and the weighted exposure amounts at end of the prior disclosure reference period (as specified below in row 1 of this template; in the case of quarterly disclosures, end-of-quarter prior to the quarter of the disclosure reference period). Institutions may complement their Pillar 3 disclosures by disclosing the same information for the three previous quarters.

10.

Institutions shall supplement the template with a narrative commentary to explain figures in row 8 of this template, i.e. any other drivers that contribute significantly to RWEA variations.

Column reference

Legal references and instructions

Explanation

Risk weighted exposure amount

Total risk weighted exposure amount for credit risk calculated under the IRB Approach, taking into account supporting factors in accordance with Articles 501 and 501a CRR.

Row number

Legal references and instructions

Explanation

Risk weighted exposure amount at the end of the previous disclosure period

Asset size (+/-)

Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to asset size, i.e. organic changes in book size and composition (including the origination of new businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities

Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.

Asset quality (+/-)

Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to asset quality, i.e. changes in the assessed quality of the institution’s assets due to changes in borrower risk, such as rating grade migration or similar effects

Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.

Model updates (+/-)

Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to model updates, i.e. changes due to implementation of new models, changes in the models, changes in model scope, or any other changes intended to address model weaknesses

Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.

Methodology and policy (+/-)

Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to methodology and policy i.e. changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations, excluding changes in models, which are included in row 4 of this template

Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.

Acquisitions and disposals (+/-)

Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to acquisitions and disposals, i.e. changes in book sizes due to acquisitions and/or disposals

Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.

Foreign exchange movements (+/-)

Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to foreign exchange movements, i.e. changes arising from foreign currency translation movements

Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.

Other (+/-)

Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to other drivers

This category shall be used to capture changes that cannot be attributed to any other category. Institutions shall further describe any other material drivers of risk weighted amounts movements over the disclosure period included in this row in the accompanying narrative for this template.

Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.

Risk weighted exposure amount at the end of the disclosure period

Template EU CR9 – IRB approach – Back-testing of PD per exposure class. Fixed template.

11.

Institutions shall disclose information referred to in point (h) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CR9 which is presented in Annex XXI to this Implementing Regulation. When an institution makes use of both F-IRB approach and A-IRB approach, it shall disclose two separate sets of templates, one for F-IRB and one for A-IRB, with one template per exposure class in each set.

12.

Institution shall consider the models used within each exposure class and they shall explain the percentage of risk weighted exposure amount of the relevant exposure class covered by the models for which back-testing results are disclosed here.

13.

Institutions shall explain, in the accompanying narrative, the total number of obligors with short-term contracts at the disclosure date, indicating which exposure classes feature a larger number short-term contract obligors. Short-term contracts refer to contracts whose residual maturity is less than 12 months. Institutions shall also explain if there are overlapping windows in the calculation of long run average PD rates.

14.

This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), securitisation positions, other non credit-obligation assets and equity exposures.

Column reference

Legal references and instructions

Explanation

a (A-IRB)

Exposure classes

For each exposure class listed in Article 147(2) CRR, institutions shall disclose a separate template, with a further breakdown for the following exposure classes:

b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR;

c.exposures to corporates – other.

b.Retail exposures – non-SME secured by immovable property collateral (point (d) of Article 147 (2) CRR in conjunction with Article 154(3) CRR);

c.Retail exposures – Qualifying revolving (point (d) of Article 147 (2) CRR in conjunction with Article 154(4) CRR);

d.Retail exposures – SME other;

e.Retail exposures – non-SME other.

a (F-IRB)

Exposure classes

For each exposure class listed in Article 147(2) CRR, institutions shall disclose a separate template, with a further breakdown for the following exposure classes:

b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR;

c.exposures to corporates – other.

PD range

This is a fixed PD range that shall not be altered.

Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated at the beginning of the disclosure period for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). All defaulted exposures shall be included in the bucket representing PD of 100 %.

c, d

Number of obligors at the end of the previous year

Institutions shall disclose the following two sets of information:

(i) the number of obligors at the end of the previous year (column C of this template);

Number of obligors at the end of the year subject to disclosure

In both cases all obligors carrying a credit obligation at the relevant point in time shall be included.

Institutions shall disclose the number of legal entities or obligors allocated to each bucket of the fixed PD range by the end of the previous year, which were separately rated, regardless of the number of different loans or exposures granted.

Joint obligors shall be treated the same as for the purpose of PD calibration. Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place within the retail exposure class, where the definition of default is applied at the level of individual credit facility in accordance with the last sentence of Article 178(1) CRR. Such situation can also take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with second sentence of point (e) of Article 172(1) CRR in other exposure classes.

(ii) of which number of obligors that defaulted during the year preceding the disclosure date (column d of this template)

This shall be a subset of column C of this template and represent the number of obligors that defaulted during the year. Defaults shall be determined in accordance with Article 178 CRR. Each defaulted obligor shall be counted only once in the numerator and denominator of the one-year default rate calculation, even if the obligor defaulted more than once during the relevant one-year period.

Observed average default rate

Arithmetic average of one-year default rates as defined in point (78) of Article 4(1) CRR, observed within the available dataset.

When calculating one-year default rates institutions shall ensure both of the following:

(a) that the denominator consists of the number of non-defaulted obligors with any credit obligation observed at the beginning of the one-year observation period (beginning of the previous disclosure period, i.e. beginning of the year prior to the disclosure reference date); in this context a credit obligation refers to both of the following: (i) any on-balance sheet item, including any amount of principal, interest and fees; (ii) any off-balance sheet items, including guarantees issued by the institution as a guarantor.

(b) that the numerator includes all those obligors considered in the denominator that had at least one default event during the one-year observation period (year prior to the disclosure reference date).

Institutions shall choose an appropriate approach between an approach based on overlapping one-year time windows, and an approach based on non-overlapping one-year time windows, to calculate the observed average default rate.

Exposure weighted average PD (%)

Exposure weighted average PD (%) as in column f of template EU CR6; for all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post-CCF and CRM as in column e of template EU CR6

Average PD at the disclosure date (%)

Arithmetic average of PD at the beginning of the disclosure period of the obligors that fall within the bucket of the fixed PD range and counted in d (average weighted by the number of obligors)

Average historical annual default rate (%)

The simple average of the annual default rate of at least five most recent years (obligors at the beginning of each year that are defaulted during that year/total number of obligors at the beginning of the year)

The institution may use a longer historical period that is consistent with the institution’s actual risk management practices. If the institution uses a longer historical period they shall explain and clarify this in the accompanying narrative to the template.

Template EU CR9.1 – IRB approach– Back-testing of PD per exposure class (only for PD estimates in accordance with point (f) of Article 180(1) CRR

15.

In addition to template EU CR9, institutions shall disclose information in template EU CR9.1 in case where they apply point (f) of Article 180(1) CRR for PD estimation and only for PD estimates in accordance with the same Article. Instructions are the same as for template EU CR9, with the following exceptions:

Under column b of this template institutions shall disclose the PD ranges in accordance with their internal grades that they map to the scale used by the external ECAI, instead of a fixed external PD range;

Institutions shall disclose one column for each ECAI considered following point (f) of Article 180(1) CRR. Institutions shall include in these columns the external rating to which their internal PD ranges are mapped.

ANNEX XXIII

Template EU CR10 – Specialised lending and equity exposures under the simple riskweighted approach

Template EU CR10.1

Specialised lending: Project finance (Slotting approach)

Regulatory categories

Remaining maturity

On-balancesheet exposure

Off-balancesheet exposure

Risk weight

Exposure value

Risk weighted exposure amount

Expected loss amount

Category 1

Less than 2.5 years

50 %

Equal to or more than 2.5 years

70 %

Category 2

Less than 2.5 years

70 %

Equal to or more than 2.5 years

90 %

Category 3

Less than 2.5 years

115 %

Equal to or more than 2.5 years

115 %

Category 4

Less than 2.5 years

250 %

Equal to or more than 2.5 years

250 %

Category 5

Less than 2.5 years

—

Equal to or more than 2.5 years

—

Total

Less than 2.5 years

Equal to or more than 2.5 years

Template EU CR10.2

Specialised lending: Income-producing real estate and high volatility commercial real estate (Slotting approach)

Regulatory categories

Remaining maturity

On-balancesheet exposure

Off-balancesheet exposure

Risk weight

Exposure value

Risk weighted exposure amount

Expected loss amount

Category 1

Less than 2.5 years

50 %

Equal to or more than 2.5 years

70 %

Category 2

Less than 2.5 years

70 %

Equal to or more than 2.5 years

90 %

Category 3

Less than 2.5 years

115 %

Equal to or more than 2.5 years

115 %

Category 4

Less than 2.5 years

250 %

Equal to or more than 2.5 years

250 %

Category 5

Less than 2.5 years

—

Equal to or more than 2.5 years

—

Total

Less than 2.5 years

Equal to or more than 2.5 years

Template EU CR10.3

Specialised lending: Object finance (Slotting approach)

Regulatory categories

Remaining maturity

On-balancesheet exposure

Off-balancesheet exposure

Risk weight

Exposure value

Risk weighted exposure amount

Expected loss amount

Category 1

Less than 2.5 years

50 %

Equal to or more than 2.5 years

70 %

Category 2

Less than 2.5 years

70 %

Equal to or more than 2.5 years

90 %

Category 3

Less than 2.5 years

115 %

Equal to or more than 2.5 years

115 %

Category 4

Less than 2.5 years

250 %

Equal to or more than 2.5 years

250 %

Category 5

Less than 2.5 years

—

Equal to or more than 2.5 years

—

Total

Less than 2.5 years

Equal to or more than 2.5 years

Template EU CR10.4

Specialised lending: Commodities finance (Slotting approach)

Regulatory categories

Remaining maturity

On-balancesheet exposure

Off-balancesheet exposure

Risk weight

Exposure value

Risk weighted exposure amount

Expected loss amount

Category 1

Less than 2.5 years

50 %

Equal to or more than 2.5 years

70 %

Category 2

Less than 2.5 years

70 %

Equal to or more than 2.5 years

90 %

Category 3

Less than 2.5 years

115 %

Equal to or more than 2.5 years

115 %

Category 4

Less than 2.5 years

250 %

Equal to or more than 2.5 years

250 %

Category 5

Less than 2.5 years

—

Equal to or more than 2.5 years

—

Total

Less than 2.5 years

Equal to or more than 2.5 years

Template EU CR10.5

Equity exposures under the simple risk-weighted approach

Categories

Template EU CR10.5

Regulatory categories applicable to equities under the simple risk-weight approach in accordance with Article 155(2) CRR

ANNEX XXV

Table EU CCRA – Qualitative disclosure related to CCR

Flexible format disclosure

(a)

Article 439 (a) CRR

Description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties

(b)

Article 439 (b) CRR

Description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves

(c)

Article 439 (c) CRR

Description of policies with respect to Wrong-Way risk as defined in Article 291 of the CRR

(d)

Article 431 (3) and (4) CRR

Any other risk management objectives and relevant policies related to CCR

(e)

Article 439 (d) CRR

The amount of collateral the institution would have to provide if its credit rating was downgraded

Template EU CCR1 – Analysis of CCR exposure by approach

Fixed format

Replacement cost (RC)

Potential future exposure (PFE)

EEPE

Alpha used for computing regulatory exposure value

Exposure value pre-CRM

Exposure value post-CRM

Exposure value

RWEA

EU-1

EU - Original Exposure Method (for derivatives)

1,4

EU-2

EU - Simplified SA-CCR (for derivatives)

1,4

SA-CCR (for derivatives)

1,4

IMM (for derivatives and SFTs)

Of which securities financing transactions netting sets

Of which derivatives and long settlement transactions netting sets

Of which from contractual cross-product netting sets

Financial collateral simple method (for SFTs)

Financial collateral comprehensive method (for SFTs)

VaR for SFTs

Total

Template EU CCR2 – Transactions subject to own funds requirements for CVA risk

Fixed format

Exposure value

RWEA

Total transactions subject to the Advanced method

(i) VaR component (including the 3× multiplier)

(ii) stressed VaR component (including the 3× multiplier)

Transactions subject to the Standardised method

EU-4

Transactions subject to the Alternative approach (Based on the Original Exposure Method)

Total transactions subject to own funds requirements for CVA risk

Template EU CCR3 – Standardised approach – CCR exposures by regulatory exposure class and risk weights

Fixed format

Exposure classes

Risk weight

0 %

2 %

4 %

10 %

20 %

50 %

70 %

75 %

100 %

150 %

Others

Total exposure value

Central governments or central banks

Regional government or local authorities

Public sector entities

Multilateral development banks

International organisations

Institutions

Corporates

Retail

Institutions and corporates with a short-term credit assessment

Other items

Total exposure value

Template EU CCR4 – IRB approach – CCR exposures by exposure class and PD scale

Fixed format

PD scale

Exposure value

Exposure weighted average PD (%)

Number of obligors

Exposure weighted average LGD (%)

Exposure weighted average maturity (years)

RWEA

Density of risk weighted exposure amounts

1 … x

Exposure class X

0,00 to < 0,15

0,15 to < 0,25

0,25 to < 0,50

0,50 to < 0,75

0,75 to < 2,50

2,50 to < 10,00

10,00 to < 100,00

100,00 (Default)

Sub-total (Exposure class X)

Total (all CCR relevant exposure classes)

Template EU CCR5 – Composition of collateral for CCR exposure s

Fixed columns

Collateral used in derivative transactions

Collateral used in SFTs

Collateral type

Fair value of collateral received

Fair value of posted collateral

Fair value of collateral received

Fair value of posted collateral

Segregated

Unsegregated

Segregated

Unsegregated

Segregated

Unsegregated

Segregated

Unsegregated

Cash – domestic currency

Cash – other currencies

Domestic sovereign debt

Other sovereign debt

Government agency debt

Corporate bonds

Equity securities

Other collateral

Total

Template EU CCR6 – Credit derivatives exposures

Fixed

Protection bought

Protection sold

Notionals

Single-name credit default swaps

Index credit default swaps

Total return swaps

Credit options

Other credit derivatives

Total notionals

Fair values

Positive fair value (asset)

Negative fair value (liability)

Template EU CCR7 – RWEA flow statements of CCR exposures under the IMM

Fixed format

RWEA

RWEA as at the end of the previous reporting period

Asset size

Credit quality of counterparties

Model updates (IMM only)

Methodology and policy (IMM only)

Acquisitions and disposals

Foreign exchange movements

Other

RWEA as at the end of the current reporting period

Template EU CCR8 – Exposures to CCPs

Fixed format

Exposure value

RWEA

Exposures to QCCPs (total)

Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which

(i) OTC derivatives

(ii) Exchange-traded derivatives

(iii) SFTs

(iv) Netting sets where cross-product netting has been approved

Segregated initial margin

Non-segregated initial margin

Prefunded default fund contributions

Unfunded default fund contributions

Exposures to non-QCCPs (total)

Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which

(i) OTC derivatives

(ii) Exchange-traded derivatives

(iii) SFTs

(iv) Netting sets where cross-product netting has been approved

Segregated initial margin

Non-segregated initial margin

Prefunded default fund contributions

Unfunded default fund contributions

ANNEX XXVI

Counterparty credit risk disclosure tables and templates: Instructions

Institutions shall disclose the information referred to Article 439 CRR regarding their exposure to counterparty credit risk as referred to in Chapter 6 of Title II of Part Three of Regulation (EU) 575/2013 (

) (‘CRR’) by following the instructions provided in this Annex to complete tables and templates which are presented in Annex XXV to this Implementing Regulation.

Table EU CCRA - Qualitative disclosure related to counterparty credit risk (CCR): Free format text boxes

Institutions shall disclose information referred to in points (a) to (d) of Article 439 CRR by following the instructions provided below in this Annex to complete table EU CCRA which is presented in Annex XXV to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

(a)

When disclosing information required in point (a) of Article 439 CRR, institutions shall provide a description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties.

(b)

When disclosing information required in point (b) of Article 439 CRR, institutions shall provide a description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves.

(c)

When disclosing information required in point (c) of Article 439 CRR, institutions shall provide a description of policies with respect to Wrong-Way risk as defined in Article 291 CRR.

(d)

In accordance with Article 431 (3) and (4) CRR institutions shall complement the above information by any other risk management objectives and relevant policies related to CCR.

(e)

When disclosing information required in point (d) of Article 439 CRR institutions shall provide the amount of collateral the institutions would have to provide if their credit rating was downgraded.

Where the central bank of a Member State undertakes liquidity assistance in the form of collateral swap transactions, the competent authority may exempt institutions to provide this information where it deems that the disclosure of the information referred to therein could reveal the provision of emergency liquidity assistance. For these purposes, the competent authority shall set out appropriate thresholds and objective criteria.

Template EU CCR1 - Analysis of CCR exposure by approach: Fixed format

Institutions shall disclose information referred to in points (f), (g), and (k) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR1 which is presented in Annex XXV to this Implementing Regulation.

This template excludes own funds requirements for CVA risk (Title VI of Part Three CRR) and exposures to a central counterparty (Section 9 of Chapter 6 of Title II of Part Three CRR) as defined for the purpose of template EU CCR8. For securities financing transactions, it includes the exposure values before and after the effect of credit risk mitigation as determined under the methods set out in Chapters 4 and 6 of Title II of Part Three CRR, whichever method is used, in accordance with Article 439 (g) CRR, and the associated risk exposure amounts broken down by applicable method.

Institutions using the methods set out in Sections 4 to 5 of Chapter 6 of Title II of Part Three CRR shall indicate, in the narrative accompanying the template, the size of their on- and off-balance-sheet derivative business as calculated in accordance with Article 273a(1) or (2) CRR, as applicable, in application of point (m) of Article 439 CRR.

Legal references and instructions

Row number

Explanation

EU-1

Original Exposure Method (for derivatives)

Derivatives and long settlement transactions for which the institutions have chosen to calculate the exposure value as alpha*(RC+PFE) with α = 1,4, RC and PFE computed in accordance with Article 282 of Section 5 of Chapter 6 of Title II of Part Three CRR

This simplified method for calculating the exposure value of derivative positions can only be used by institutions meeting the conditions laid down in Article 273a (2) or (4) of Chapter 6 of Title II of Part Three CRR.

EU-2

Simplified Standardised Approach for CCR (Simplified SA-CCR for derivatives)

Derivatives and long settlement transactions for which the institutions have chosen to calculate the exposure value as alpha*(RC+PFE) with α = 1,4, RC and PFE computed in accordance with Article 281 of Section 4 of Chapter 6 of Title II of Part Three CRR

This simplified standardised approach for calculating the exposure value of derivative positions can only be used by institutions meeting the conditions laid down in Article 273a (1) or (4) of Chapter 6 of Title II of Part Three CRR.

Standardised Approach for CCR (SA-CCR for derivatives)

Derivatives and long settlement transactions for which the institutions have chosen to calculate the exposure value as alpha*(RC+PFE) with α = 1,4, RC and PFE computed in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR

IMM (for derivatives and SFTs)

Derivatives and long settlement transactions and SFTs for which institutions have been permitted to calculate the exposure value using the Internal Model Method (IMM) in accordance with Section 6 of Chapter 6 of Title II of Part Three CRR

EU-2a

Of which securities financing transactions netting sets

Netting sets containing only SFTs, as defined in point (139) of Article 4(1) CRR, for which institutions have been permitted to determine the exposure value using the IMM

EU-2b

Of which derivatives and long settlement transactions netting sets

Netting sets containing only derivative instruments listed in Annex II to CRR and long settlement transactions as defined in point (2) of Article 272 CRR, for which institutions have been permitted to determine the exposure value using the IMM

EU-2c

Of which from contractual cross-product netting sets

Netting sets containing transactions of different product categories (point (11) of Article 272 CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in point (25) of Article 272 CRR exists and for which institutions have been permitted to determine the exposure value using the IMM

3, 4

Financial collateral simple method (for SFTs) and Financial collateral comprehensive method (for SFTs)

Repurchase transactions, securities or commodities lending or borrowing transactions and margin lending transactions for which institutions have chosen to determine the exposure value in accordance with Articles 222 and 223 of Chapter 4 of Title II of Part Three CRR, as opposed to Article 271(2) of Chapter 6 of Title II of Part Three CRR

VaR for SFTs

Repurchase transactions, securities or commodities lending or borrowing transactions, margin lending transactions, or other capital market-driven transactions other than derivative transactions for which (in accordance with Article 221 CRR) the exposure value is calculated using an internal model approach (IMA) that takes into account correlation effects between security positions subject to the master netting agreement, as well as the liquidity of the instruments concerned

Total

Column letter

Explanation

a, b

Replacement cost (RC) and Potential future exposure (PFE)

RC and PFE shall be computed:

— in accordance with Article 282 (3) and (4) of Section 5 of Chapter 6 of Title II of Part Three CRR for the Original Exposure Method (row EU-1 of this template),

— in accordance with Article 281 of Section 5 of Chapter 6 of Title II of Part Three CRR for the Simplified SA-CCR (row EU-2 of this template),

— in accordance with Articles 275 and 278 of Sections 4 and 5 of Chapter 6 of Title II of Part Three CRR for the SA-CCR (row 1 of this template)

Institutions shall disclose the sum of the replacement costs for all netting sets in the corresponding rows.

Effective expected positive exposure (EEPE)

The EEPE per netting set is defined in point (22) of Article 272 CRR and shall be calculated in accordance with Article 284(6) CRR.

The EEPE to be disclosed here shall be the one applied for the determination of own funds requirements in accordance with Article 284 (3) CRR, i.e. either the EEPE calculated using current market data, or the EEPE calculated using a stress calibration, whichever leads to a higher own funds requirement.

Institutions shall specify in the narrative accompanying this template which EEPE has been inserted.

Alpha used for computing regulatory exposure value

The value of α is fixed as 1,4 in rows EU-1, EU-2 and 1 of this template in accordance with Articles 282(2), 281(1) and 274(2) CRR

For IMM purposes, the value of α can either be the default of 1,4 or different when competent authorities require a higher α in accordance with Article 284(4) CRR or permit institutions to use their own estimates in accordance with Article 284(9) of Section 6 of Chapter 6 of Title II of Part Three CRR.

Exposure value pre-CRM

The exposure value pre-CRM for CCR business shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR taking into account the effect of netting, but disregarding any other credit risk mitigation techniques (e.g. through margin collateral).

In the case of SFTs the security leg shall not be considered in the determination of the exposure value pre-CRM when collateral is received and therefore shall not decrease the exposure value. On the contrary, the SFTs security leg shall be considered in the determination of the exposure value pre-CRM in the regular way when collateral is posted.

Furthermore, collateralised business shall be handled as uncollateralised, i.e. no margining effects apply.

For transactions where specific wrong way risk has been identified, the exposure value pre-CRM must be determined in accordance with Article 291 CRR.

The exposure value pre-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) CRR.

The institution shall disclose the sum of all exposure values pre-CRM in the respective row.

Exposure value (post-CRM)

The exposure value post-CRM for CCR business shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR

For transactions where specific wrong way risk has been identified, the exposure value shall be determined in accordance with Article 291 CRR.

In accordance with Article 273(6) CRR, the incurred CVA loss shall not be deducted from the exposure value post-CRM.

The institution shall disclose the sum of all exposure values post-CRM in the respective row.

Exposure value

Exposure value for CCR business calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, which is the relevant amount for the own funds requirement calculation, i.e. having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss in accordance with Article 273 (6) CRR

The exposure value for transactions where specific wrong way risk has been identified shall be determined in accordance with Article 291 CRR.

For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in each CCR approach reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty.

The institution shall disclose the sum of all exposure values post-CRM in the respective row.

RWEA

Risk weighted exposure amounts as defined in Article 92 (3) and (4) CRR calculated in accordance with Article 107 CRR, for elements whose risk weights are estimated on the basis of the requirements in Chapters 2 and 3 of Title II of Part Three CRR and for which the exposure value for CCR business is calculated in accordance with Chapters 4 and 6 of Title II of Part Three CRR

Template EU CCR2 – Transactions subject to own funds requirements for CVA risk: Fixed format

Institutions shall disclose information referred to in point (h) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR2 which is presented in Annex XXV to this Implementing Regulation.

This template shall be filled with regulatory CVA information for all transactions subject to own funds requirements for CVA risk (Title VI of Part Three CRR).

Legal references and instructions

Row number

Explanation

Total transactions subject to the Advanced method

Transactions subject to the advanced method to calculate own funds requirements for CVA risk in accordance with Article 383 CRR

VaR component (including the 3 × multiplier)

Transactions subject to own funds requirements for CVA risk for which the risk weighed exposure amounts are obtained via the formula in Article 383 CRR, using VaR calculation based on internal models for market risk (with current parameter calibrations for expected exposure as set out in the first subparagraph of Article 292 (2) CRR).

The calculation shall includes the use of a multiplier that is at least 3 (set by the supervisor).

Stressed VaR component (including the 3 × multiplier)

Transactions subject to own funds requirements for CVA risk for which the risk weighted exposure amounts are obtained via the formula in Article 383 CRR using stressed VaR calculation based on internal models for market risk (with stressed parameters for the calibration of the formula as set out in the first subparagraph of Article 292 (2) CRR).

The calculation shall include the use of a multiplier that is at least 3 (set by the supervisor).

Transactions subject to the Standardised method

Transactions subject to the standardised method to calculate own funds requirements for CVA risk in accordance with Article 384 CRR

EU-4

Transactions subject to the Alternative approach (Based on the Original Exposure Method)

Transactions subject to the alternative approach to calculate own funds requirements for CVA risk, in accordance with Article 385 CRR

Total transactions subject to own funds requirements for CVA risk

Column letter

Explanation

Exposure value

Exposure value that is determined in accordance with Chapter 6 of Title II of Part Three CRR (or in the case of transactions in the scope of Article 271(2) CRR, in accordance with Chapter 4 of Title II of Part Three CRR) for transactions that are in the scope of Title VI of Part Three CRR

The exposure value shall be the value used in the calculation of own funds requirements for CVA risk considering mitigation effects in accordance with Title VI of Part Three CRR. For transactions treated under the Original Exposure Method (alternative approach), the exposure value shall be the value that has been used for computing risk weighted exposure amounts.

RWEA

Risk weighted exposure amounts in accordance with point (d) of Article 438 and with point (d) of Article 92 (3) CRR, i.e. own funds requirements for CVA risk calculated via the chosen method multiplied by 12.5 in accordance with point (b) of Article 92(4) CRR

Template EU CCR3 - Standardised approach – CCR exposures by regulatory exposure class and risk weights: Fixed format

Institutions shall disclose the information referred to in point (e) of Article 444 CRR by following the instructions provided below in this Annex to complete template EU CCR3 which is presented in Annex XXV to this Implementing Regulation.

Institutions using the credit risk standardised approach to compute risk weighted exposure amounts (excluding those derived from own funds requirements for CVA risk and for exposures cleared through a CCP) for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure values in accordance with Chapters 4 and 6 of Title II of Part Three CRR, shall disclose the following information.

10.

If an institution deems that the information requested in this template is not meaningful because the exposure and risk weighted exposure amounts are not material, the institution may choose not to disclose the template. The institution is, however, required to explain in a narrative commentary why it considers the information not to be meaningful, including a description of the exposures in the portfolios concerned and the aggregate total of risk weighted exposures amounts from such exposures.

Legal references and instructions

Row number

Explanation

1-9

Exposure classes

These rows refer to the regulatory exposure classes as defined in Article 112 to Article 134 of Chapter 4 of Title II of Part Three CRR. In each line, the corresponding exposure values (see definition provided in column g of template EU CCR1) shall be disclosed.

Other items

This refers to assets subject to a specific risk weight set out in Article 134 of Chapter 4 of Title II of Part Three CRR and any other items not covered in rows 1 to 9 of this template. It also refers to assets not deducted in the application of Article 39 CRR (tax overpayments, tax loss carrybacks and deferred tax assets that do not rely on future profitability), Article 41 CRR (defined benefit pension fund assets), Article 46 and Article 469 CRR (non-significant investments in CET1 of financial sector entities), Article 49 and Article 471 CRR (participations in insurance entities whether or not insurance entities are supervised under the conglomerate directive), Article 60 and Article 475 CRR (non-significant and significant indirect and investments in AT1 of financial sector entities), Article 70 and Article 477 CRR (insignificant and significant indirect and synthetic holdings of T2 from a financial sector entity) when not allocated to other exposure classes, and to qualifying holdings outside the financial sector when they are not 1 250 % risk-weighted in the application of point (k) of Article 36 of Chapter 2 of Title I of Part Two CRR.

Total exposure value

Column letter

Explanation

a-k

These columns refer to the credit risk quality steps/risk weights as set out in Chapter 2 of Title II of Part Three CRR for which the corresponding exposure values (see definition provided in column g of template EU CCR1) shall be disclosed.

Total exposure value

Template EU CCR4 - IRB approach – CCR exposures by exposure class and PD scale: Fixed format

11.

Institutions shall disclose the information referred to in point (g) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CCR4 which is presented in Annex XXV to this Implementing Regulation.

12.

Institutions using either the advanced or the foundation IRB approach to compute risk weighted exposure amounts (excluding those derived from own funds requirements for CVA risk and for exposures cleared through a CCP) for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure value in accordance with Chapters 4 and 6 of Title II of Part Three CRR shall disclose the following information.

Legal references and instructions

Row number

Explanation

1 to 8

PD scale

CCR exposures shall be allocated to the appropriate bucket of the fixed PD scale based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution due to existence of guarantee or credit derivative). Institutions shall map exposure by exposure to the PD scale provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.

1 to x

Exposure class X

This refers to the different exposure classes listed in Article 147 of Chapter 3 of Title II of Part Three CRR.

x and y

Sub-total (Exposure class X) / Total (all CCR relevant exposure classes)

The (sub-) total of exposure values, risk weighted exposure amounts and number of obligors shall just be the sum of the respective columns. Concerning the different parameters Average PD, Average LGD, Average Maturity and RWEA density the below definitions apply with respect to the sample of exposure class X or all CCR relevant exposure classes.

Column letter

Explanation

Exposure value

Exposure value (see definition provided in column g of template EU CCR1), broken down by exposure classes and the given PD scale as set out in Chapter 3 of Title II of Part Three CRR

Exposure weighted average PD (%)

Average of individual obligor grade PDs weighted by their corresponding exposure value in column a of this template

Number of obligors

The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which were separately rated, regardless of the number of different loans or exposures granted

Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR.

Exposure weighted average LGD (%)

Average of obligor grade LGDs weighted by their corresponding exposure value

The disclosed LGD shall correspond to the final LGD estimate used in the calculation of own funds requirements obtained after considering any CRM effects and downturn conditions where relevant.

In the case of exposures subject to the double default treatment the LGD to be disclosed shall correspond to the one selected in accordance with Article 161 (4) CRR.

For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The disclosed LGD shall correspond to the estimate of LGD in-default.

Exposure weighted average maturity (years)

Average of obligor maturities in years weighted by their corresponding exposure value in column a of this template.

The disclosed value of maturity shall be determined in accordance with Article 162 CRR.

RWEA

Risk weighted exposure amounts calculated in accordance with the requirements laid down in Chapter 3 of Title II of Part Three CRR; for exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with Article 153(1) to (4) CRR; the SME and infrastructure supporting factor determined in accordance with Article 501 CRR and Article 501a CRR shall be taken into account; for equity exposures under the PD/LGD approach, the risk weighted exposure amount calculated in accordance with Article 155(3) CRR

Density of risk weighted exposure amounts

Ratio of the total risk weighted exposure amounts (in column f of this template) to the exposure value (in column a of this template)

Template EU CCR5 - Composition of collateral for CCR exposures: Fixed columns

13.

Institutions shall disclose the information referred to in point (e) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR5 as presented in Annex XXV to this Implementing Regulation.

14.

This template shall be filled with fair values of collateral (posed or received) used in CCR exposures related to derivative transactions or to SFTs, whether or not the transactions are cleared through a CCP and whether or not collateral is posted to a CCP.

15.

Where the central bank of a Member State undertakes liquidity assistance in the form of collateral swap transactions, the competent authority may exempt institutions to provide information in this template where it deems that the disclosure of this information could reveal the provision of emergency liquidity assistance. For these purposes, the competent authority shall set out appropriate thresholds and objective criteria.

Legal references and instructions

Row number

Explanation

1-8

Collateral type

Breakdown by type of collateral

Total

Column letter

Explanation

a, c, e and g

Segregated

Collateral that is held in a bankruptcy-remote manner as defined in Article 300(1) CRR

b, d, f and h

Unsegregated

Collateral that is not held in a bankruptcy-remote manner as defined in Article 300(1) CRR

a to d

Collateral used in derivative transactions

Collateral (including the initial margin and variation margin collateral) that is used in CCR exposures related to any derivative instrument listed in Annex II CRR or a long settlement transaction as per Article 271(2) CRR not qualifying as an SFTs

e to h

Collateral used in SFTs

Collateral (including the initial margin and variation margin collateral as well as the collateral appearing in the security leg of the SFT) that is used in CCR exposures related to any SFT or a long settlement transaction not qualifying as a derivative

Template EU CCR6 - Credit derivatives exposures: Fixed format

Legal references and instructions

Row number

Explanation

1-6

Notionals

Sum of absolute notional derivative amounts before any netting broken down by product type

7-8

Fair values

Fair values broken down by assets (positive fair values) and liabilities (negative fair values)

Column letter

Explanation

a-b

Credit derivative protection

Credit derivative protection bought or sold in accordance with Chapter 6 of Title II of Part Three CRR

16.

Institutions shall disclose the information referred to in point (j) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR6 which is presented in Annex XXV to this Implementing Regulation.

Template EU CCR7 - RWEA flow statements of CCR exposures under the IMM: Fixed format

17.

Institutions shall disclose the information referred to in point (h) of Article 438 CRR by following the instructions provided below in this Annex to complete template EU CCR7 which is presented in Annex XXV to this Implementing Regulation.

18.

Institutions using the IMM to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Chapter 6 of Title II of Part Three CRR, irrespective of the credit risk approach used to determine the corresponding risk weights shall disclose a flow statement explaining changes in risk weighted exposure amounts of derivatives and SFTs in the IMM scope differentiated by key drivers and based on reasonable estimations.

19.

This template excludes risk weighted exposure amounts for CVA risk (Title VI of Part Three CRR) and exposures to a central counterparty (Section 9 of Chapter 6 of Title II of Part Three CRR).

20.

Institutions shall disclose the flows of RWEA as the changes between the risk-weighted exposure amounts at the end of the disclosure reference period (as specified below in row 9 of this template) and the risk-weighted exposure amounts at end of the prior disclosure reference period (as specified below in row 1 of this template; in the case of quarterly disclosures, end-of-quarter prior to the quarter of the disclosure reference period). Institutions may complement their Pillar 3 disclosures by disclosing the same information for the three previous quarters.

21.

Institutions shall explain in the accompanying narrative to the template the figures disclosed in row 8 of this template, i.e. any other drivers that contribute significantly to RWEA variations.

Legal references and instructions

Row number

Explanation

RWEA as at the end of the previous disclosure period

Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the previous disclosure period

Asset size

RWEA changes (positive or negative) due to organic changes in book size and composition (including the origination of new businesses and maturing exposures) but excluding changes in book size due to acquisitions and disposal of entities

Credit quality of counterparties

RWEA changes (positive or negative) due to changes in the assessed quality of the institution’s counterparties as measured under the credit risk framework, whatever approach the institution uses

This row shall include potential RWEA changes due to IRB models when the institution uses an IRB approach.

Model updates (IMM only)

RWEA changes (positive or negative) due to model implementation, changes in model scope, or any changes intended to address model weaknesses

This row shall reflect only changes in the IMM.

Methodology and policy (IMM only)

RWEA changes (positive or negative) due to methodological changes in calculations driven by regulatory policy changes, such as new regulations (only in the IMM)

Acquisitions and disposals

RWEA changes (positive or negative) due to changes in book sizes due to acquisitions and disposal of entities

Foreign exchange movements

RWEA changes (positive or negative) due to changes arising from foreign currency translation movements

Other

This category shall be used to capture RWEA changes (positive or negative) that cannot be attributed to the above categories. Institutions shall include the sum of these RWEA changes in this row. Institutions shall further describe any other material drivers of risk weighted amounts movements over the disclosure period in the accompanying narrative for this template.

RWEA as at the end of the current disclosure period

Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the current disclosure period

Column letter

Explanation

RWEA

Template EU CCR8 - Exposures to CCPs: Fixed format

22.

Institutions shall disclose the information referred to in point (i) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR8 which is presented in Annex XXV to this Implementing Regulation.

23.

Exposures to CCPs: Contracts and transactions listed in Article 301(1) CRR for as long as they are outstanding with a CCP, including exposures to CCP-related transactions in accordance with Article 300(2) CRR, for which the own funds requirements are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR.

Legal references and instructions

Row number

Explanation

1-10

Qualifying CCP (QCCP)

A qualifying central counterparty or ‘QCCP’ as defined in point (88) of Article 4(1) CRR

7 and 8

17 and 18

Initial margin

Institutions shall disclose the fair values of collateral received or posted as initial margin defined in point (140) of Article 4(1) CRR.

For the purposes of this template, initial margin does not include contributions to a CCP for mutualised loss-sharing arrangements (i.e. in cases where a CCP uses initial margin to mutualise losses among the clearing members, it will be treated as a default fund exposure).

9 and 19

Prefunded default fund contributions

The contribution to the default fund of a CCP that is paid in by the institutions

‘Default fund’ is defined in point (89) of Article 4(1) CRR.

Unfunded default fund contributions

Contributions that an institution acting as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members. ‘Default fund’ is defined in point (89) of Article 4(1) CRR.

7 and 17

Segregated

See definition in included in template EU CCR5.

8 and 18

Unsegregated

See definition in included in template EU CCR5.

Column letter

Explanation

Exposure value

Exposure value calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR for transactions in the scope of Section 9 of Chapter 6 of Title II of Part Three CRR, after the application of the relevant adjustments provided for by Articles 304, 306 and 308 of that section

An exposure can be a trade exposure, as defined in point (91) of Article 4(1) CRR. The disclosed exposure value is the amount relevant for the own funds requirements calculation in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, considering the requirements in Article 497 CRR during the transitional period provided for by that Article.

RWEA

Risk weighted exposure amounts referred to in point (a) of Article 92(3) CRR calculated in accordance with Article 107 of Section 9 of Chapter 6 of Title II of Part Three CRR.

ANNEX XXVII

Table EU-SECA - Qualitative disclosure requirements related to securitisation exposures

Free format text boxes for disclosure of qualitative information

Legal basis

Row number

Qualitative information - Free format

Article 449(a) CRR

(a)

Description of securitisation and re-securitisation activities; including institutions' risk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions whether they use the Simple Transparent and Standardised (STS) securitisation framework and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy

Article 449(b) CRR

(b)

The type of risk that institutions are exposed to in their securitisation and re-securitisation activities by level of seniority of the relevant securitisation positions, providing a distinction between STS and non-STS positions and:

i) risk retained in own-originated transactions;

ii) risk incurred in relation to transactions originated by third parties

Article 449(c ) CRR

(c)

Institutions’ approaches to calculating the risk-weighted exposure amounts that they apply to their securitisation activities, including the types of securitisation positions to which each approach applies with a distinction between STS and non-STS positions

Article 449(d) CRR

(d)

A list of SSPEs falling into any of the following categories, with a description of types of institution's exposures to those SSPEs, including derivatives contracts:

(i) SSPEs which acquire exposures originated by the institutions;

(ii) SSPEs sponsored by the institutions;

(iii) SSPEs and other legal entities for which the institutions provide securitisation-related services, such as advisory, asset servicing or management services;

(iv) SSPEs included in the institutions' regulatory scope of consolidation

Article 449(e ) CRR

(e)

A list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with Chapter 5 of Title II of Part Three CRR

Article 449(f) CRR

(f)

A list of legal entities affiliated with the institutions and that invest in securitisations originated by the institutions or in securitisation positions issued by SSPEs sponsored by the institutions

Article 449(g) CRR

(g)

A summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions

Article 449(h) CRR

(h)

The names of the ECAIs used for securitisations and the types of exposure for which each agency is used

Article 449(i) CRR

(i)

Where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three CRR including the structure of the internal assessment process and the relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels

Template EU-SEC1 - Securitisation exposures in the non-trading book

Institution acts as originator

Institution acts as sponsor

Institution acts as investor

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

STS

Non-STS

of which SRT

STS

Non-STS

STS

Non-STS

of which SRT

Total exposures

Retail (total)

residential mortgage

credit card

other retail exposures

re-securitisation

Wholesale (total)

loans to corporates

commercial mortgage

lease and receivables

other wholesale

re-securitisation

Template EU-SEC2 - Securitisation exposures in the trading book

Institution acts as originator

Institution acts as sponsor

Institution acts as investor

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

STS

Non-STS

STS

Non-STS

STS

Non-STS

Total exposures

Retail (total)

residential mortgage

credit card

other retail exposures

re-securitisation

Wholesale (total)

loans to corporates

commercial mortgage

lease and receivables

other wholesale

re-securitisation

Template EU-SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor

EU-p

EU-q

Exposure values (by RW bands/deductions)

Exposure values (by regulatory approach)

RWEA (by regulatory approach)

Capital charge after cap

≤ 20 % RW

20 % to 50 % RW

50 % to 100 % RW

100 % to < 1 250 % RW

1 250 % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250 % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250 % RW/

deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250 % RW/

deductions

Total exposures

Traditional transactions

Securitisation

Retail

Of which STS

Wholesale

Of which STS

Re-securitisation

Synthetic transactions

Securitisation

Retail underlying

Wholesale

Re-securitisation

Template EU-SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor

EU-p

EU-q

Exposure values (by RW bands/deductions)

Exposure values (by regulatory approach)

RWEA (by regulatory approach)

Capital charge after cap

≤ 20 % RW

20 % to 50 % RW

50 % to 100 % RW

100 % to < 1 250 % RW

1 250 % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250 % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250 % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250 % RW/ deductions

Total exposures

Traditional securitisation

Securitisation

Retail underlying

Of which STS

Wholesale

Of which STS

Re-securitisation

Synthetic securitisation

Securitisation

Retail underlying

Wholesale

Re-securitisation

Template EU-SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments

Exposures securitised by the institution - Institution acts as originator or as sponsor

Total outstanding nominal amount

Total amount of specific credit risk adjustments made during the period

Of which exposures in default

Total exposures

Retail (total)

residential mortgage

credit card

other retail exposures

re-securitisation

Wholesale (total)

loans to corporates

commercial mortgage

lease and receivables

other wholesale

re-securitisation

ANNEX XXVIII

Instructions for disclosure on exposures to securitisation positions

Table EU SECA - Qualitative disclosure requirements related to securitisation exposures. Free format text boxes for disclosure of qualitative information

Institutions shall disclose the information referred to in points (a) to (i) of Article 449 of Regulation (EU) 575/2013 (

) (‘CRR’) by following the instructions provided below in this Annex to complete table EU SECA which is presented in Annex XXVII to this Implementing Regulation.

Legal references and instructions

Row reference

Explanation

(a)

Description of securitisation and re-securitisation activities; includingrisk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions whether they use the Simple Transparent and Standardised (STS) securitisation framework and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy, in accordance with point (a) of Article 449 CRR

(b)

i) risk retained in own-originated transactions;

ii) risk incurred in relation to transactions originated by third parties,

in accordance with point (b) of Article 449 CRR

(c)

(d)

A list of SSPEs falling into any of the following categories, with a description of types of institution’s exposures to those SSPEs, including derivatives contracts:

(i) SSPEs which acquire exposures originated by the institutions;

(ii) SSPEs sponsored by the institutions;

(iii) SSPEs and other legal entities for which the institutions provide securitisation-related services, such as advisory, asset servicing or management services;

(iv) SSPEs included in the institutions' scope of prudential consolidation,

in accordance with point (d) of Article 449 CRR

(e)

A list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with point (e) of Article 449 of Chapter 5 of Title II of Part Three CRR

(f)

(g)

A summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions, in accordance with point (g) of Article 449 CRR

(h)

The names of the ECAIs used for securitisations and the types of exposure for which each agency is used, in accordance with point (h) of Article 449 CRR

(i)

Where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three CRR, including the structure of the internal assessment process and the relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels, in accordance with point (i) of Article 449 CRR

EU-SEC1 - Securitisation exposures in the non-trading book. Fixed format.

Institutions shall disclose the information referred to in point (j) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC1 which is presented in Annex XXVII to this Implementing Regulation. Institutions shall explain in the narrative accompanying the template if they have within their traditional securitisations, ABCP programmes, and, if they have, the volume of ABCP transactions.

Legal references and instructions

Column reference

Explanation

a - g

Institution acts as originator

When the ‘institution acts as originator’, as defined in point (13) of Article 4 (1) CRR, the securitisation exposures are the retained positions, even where not eligible for the securitisation framework due to the absence of significant risk transfer. Securitisation exposures in transactions that have achieved significant risk transfer (SRT) shall be presented separately.

Originator institutions shall disclose the carrying amount at the disclosure date of all current securitisation exposures they hold in the securitisation transactions that they originated. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) in those securitisation shall be disclosed.

h - k

Institution acts as sponsor

When ‘the institution acts as sponsor’ (as defined in point (14) of Article 4(1) CRR) the securitisation exposures shall include exposures to commercial paper conduits to which the institution provides programme-wide enhancements, liquidity and other facilities. Where the institution acts both as originator and sponsor, it shall avoid double-counting. In this regard, the institution can merge the two columns of ‘institution acts as originator’ and ‘institution acts as sponsor’ and use ‘institution acts as originator/sponsor’ columns.

l - o

Institution acts as investor

Securitisation exposures when ‘the institution acts as an investor’ are the investment positions purchased in third-party deals.

The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither the originator, nor the sponsor.

In case the pool of securitised exposures is a mix of the types of securitisation position, the institution shall indicate the most important type.

a – d; h, i, l, m

Traditional transactions

In accordance with point (13) of Article 242 CRR, in connection with point (9) of Article 2 of Regulation (EU) 2017/2402 ( 1 ) , ‘traditional securitisation’ means a securitisation involving the transfer of the economic interest in the exposures being securitised. This shall be accomplished by the transfer of ownership of the securitised exposures from the originator institution to an SSPE or through sub-participation by an SSPE. The securities issued do not represent payment obligations of the originator institution.

In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the disclosing of this template.

e, f, j, n

Synthetic transactions

In accordance with point (14) of Article 242 CRR, in connection with point (10) of Article 2 of Regulation (EU) 2017/2402, ‘synthetic securitisation’ means a securitisation where the transfer of risk is achieved by the use of credit derivatives or guarantees, and the exposures being securitised remain exposures of the originator institution.

If the institution has purchased protection it shall disclose the net exposure amounts to which it is exposed and which are not subject to the purchased protection under columns originator/sponsor (i.e. the amount that is not secured) of this template. If the institution has sold protection, the exposure amount of the credit protection shall be disclosed in the ‘investor’ column of this template.

a, b, h, l,

STS exposure

Total amount of STS securitisation positions in accordance with the criteria set out in Articles 18 to 26 of the Regulation (EU) 2017/2402

b, d, f

SRT exposure

Total amount of securitisation positions in respect of which the originator institution has achieved significant risk transfer (SRT) in accordance with Article 244 (traditional securitisation) and Article 245 (synthetic securitisation) CRR

( 1 )

REGULATION (EU) 2017/2402 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ 347, 28.12.2017, p. 35).

Legal references and instructions

Row number

Explanation

06, 12

Re-securitisation

Total amount of outstanding re-securitisation positions as defined in points (63) and (64) of Article 4(1) CRR

All securitisation exposures related to re-securitisation shall be completed in rows ‘re-securitisation’, and not in the preceding rows (by type of underlying asset) which contain only securitisation exposures other than re-securitisation.

Template EU SEC2 - Securitisation exposures in the trading book. Fixed format.

Institutions shall disclose the information referred to point (j) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC2 which is presented in Annex XXVII to this Implementing Regulation.

Institutions shall refer to instructions to template EU SEC1 - Securitisation exposures in the non-trading book.

Template EU SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor. Fixed format.

Institutions shall disclose the information referred to in point (k)(i) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC3 which is presented in Annex XXVII to this Implementing Regulation.

Legal references and instructions

Column reference

Explanation

a to d

Exposure values (by risk weight bands /deductions)

Values to be disclosed in columns (a) to (d) of this template in relation to regulatory risk weights shall be determined in accordance with Chapter 5 of Title II of Part Three CRR.

f to h

Exposure values (by regulatory approach)

Columns (f) to (h) of this template corresponding to the regulatory approach used in accordance with the hierarchy of approaches of Article 254 CRR

j, k, l

RWEA (by regulatory approach)

Risk weighted exposure amount (RWEA) by regulatory approach in accordance with Chapter 5 of Title II of Part Three CRR Part Three before application of cap

n to EU-p

Capital charge after cap

These columns refer to capital charge after application of the cap in accordance with Articles 267 and 268 CRR.

e, i, m, EU-q

1 250 % RW/deductions

Columns refer to items:

— Subject to a 1 250 % risk weight or deducted in accordance with Chapter 5 of Title II of Part Three CRR;

— Subject to a 1 250 % risk weight or deducted in accordance with point (b) of Article 244(1)) and with point (b) of Article 245(1) CRR;

— Subject to a 1 250 % risk weight in accordance with Article 254(7) CRR;

— or deducted in accordance with Article 253 CRR

Legal references and instructions

Row number

Explanation

Total Exposures

Total exposures shall refer to the total amount of securitisation and re-securitisation positions held by the institution acting as originator or sponsor. This row shall summarise information on traditional and synthetic securitisation disclosed by originators and sponsors in subsequent rows.

Traditional transactions

See explanation for template EU SEC1.

3, 10

Securitisation

Total amount of outstanding securitisation positions as defined in point (62) of Article 4(1) CRR that are not re-securitisation positions as defined in point (64) of Article 4(1) CRR

5, 7

STS

See explanation for template EU SEC1.

8, 13

Re-securitisation

See explanation for template EU SEC1.

Synthetic transactions

See explanation for template EU SEC1.

Template EU SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor. Fixed format.

Institutions shall disclose the information referred to in point (k)(ii) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC4 which is presented in Annex XXVII to this Implementing Regulation.

Institutions shall refer to instructions to template EU SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor.

Template EU SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments. Fixed format.

Institutions shall disclose the information referred to in Article 449(l) CRR by type of securitisation exposure, by following the instructions provided below in this Annex to complete template EU SEC5 which is presented in Annex XXVII to this Implementing Regulation.

Legal references and instructions

Column reference

Explanation

Total outstanding nominal amount

Total outstanding nominal amount of exposures securitised by the institution (institution acts as originator or as sponsor), broken down by type of securitisation exposure

Total outstanding nominal amount - Of which exposures in default

Total outstanding nominal amount of exposures securitised by the institution (institution acts as originator or as sponsor) which have been classified as ‘defaulted exposures’ in accordance with Article 178 CRR, broken down by type of securitisation exposure

Specific credit risk adjustments made during the period

Amount of the specific credit risk adjustments made during the period, in accordance with Article 110 CRR, on the exposures securitised by the institution (institution acts as originator or as sponsor), broken down by type of securitisation exposure

ANNEX XXIX

Table EU MRA: Qualitative disclosure requirements related to market risk

Flexible format disclosure

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

A description of the institution's strategies and processes to manage market risk, including:

— An explanation of management’s strategic objectives in undertaking trading activities, as well as the processes implemented to identify, measure, monitor and control the institution’s market risks

— A description of their policies for hedging and mitigating risk and strategies and processes for monitoring the continuing effectiveness of hedges

Point (b) of Article 435 (1) CRR

A description of the structure and organisation of the market risk management function, including a description of the market risk governance structure established to implement the strategies and processes of the institution discussed in row (a) above, and that describes the relationships and the communication mechanisms between the different parties involved in market risk management.

Point (c ) of Article 435 (1) CRR

Scope and nature of risk reporting and measurement systems

Template EU MR1 - Market risk under the standardised approach

RWEAs

Outright products

Interest rate risk (general and specific)

Equity risk (general and specific)

Foreign exchange risk

Commodity risk

Options

Simplified approach

Delta-plus approach

Scenario approach

Securitisation (specific risk)

Total

Table EU MRB: Qualitative disclosure requirements for institutions using the internal Market Risk Models

Flexible format disclosure

EU (a)

Article 455(c) CRR

Description of the procedures and systems implemented for the assurance of tradability of the positions included in the trading book in order to comply with the requirements of Article 104.

Description of the methodology used to ensure that the policies and procedures implemented for the overall management of the trading book are appropriate.

EU (b)

Article 455(c) CRR

For exposures from the trading and the non-trading book that are measured at fair value in accordance with the applicable accounting framework and that have their exposure value adjusted in accordance with Part Two, Title I, Chapter 2, Article 34 and Part Three, Title I, Chapter 3, Article 105 of the CRR (as well as the Commission Delegated Regulation (EU) No 2016/101), institutions shall describe systems and controls to ensure that the valuation estimates are prudent and reliable. These disclosures shall be provided as part of the market risk disclosures for exposures from the trading book.

Point (i) of Article 455(a) CRR

(A) Institutions using VaR models and SVaR models must disclose the following information:

(a)

Point (i) of Article 455 (a) and Article 455 (b) CRR

Description of activities and risks covered by VaR and SVaR models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.

(b)

Article 455(b) CRR

Description of the scope of application of the VaR and SVaR models for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, as well as the percentage of own funds requirements covered by the models or if the same models of VaR/SVaR are used for all entities with market risk exposure

Point (i) of Article 455(a) CRR

Characteristics of the models used, including:

(c)

General description of regulatory VaR and SVaR models

(d)

Discussion of the main differences, if any, between the model used for management purposes and the model used for regulatory purposes (10 day 99%) for VaR and SVaR models.

(e)

For VaR models:

(i)

Data updating frequency;

(ii)

Length of the data period that is used to calibrate the model. Describe the weighting scheme that is used (if any);

(iii)

How the institutions determines the 10-day holding period (for example, does it scale up a 1-day VaR by the square root of 10, or does it directly model the 10-day VaR?);

(iv)

Aggregation approach, which is the method for aggregating the specific and general risk (i.e. do the institutions calculate the specific charge as a stand-alone charge by using a different method than the one used to calculate the general risk or do the institutions use a single model that diversifies general and specific risk?);

(v)

Valuation approach (full revaluation or use of approximations);

(vi)

Whether, when simulating potential movements in risk factors, absolute or relative returns (or a mixed approach) are used (i.e. proportional change in prices or rates or absolute change in prices or rates).

(f)

For SVaR models, specify:

(i)

How the 10-day holding period is determined. For example, does the institution scale up a 1-day VaR by the square root of 10, or does it directly model the 10-day VaR? If the approach is the same as for the VaR models, the institutions may confirm this and refer to disclosure (e) (iii) above;

(ii)

The stress period chosen by the institution and the rationale for this choice;

(iii)

Valuation approach (full revaluation or use of approximations).

(g)

Point (iii) of Article 455(a) CRR

Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the VaR and SVaR models apply at the group level).

(h)

Point (iv) of Article 455(a) CRR

Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the internal models and modelling processes.

Point (ii) of Article 455(a) CRR

(B) Institutions using internal models to measure the own funds requirements for the incremental default and migration risk (IRC) must disclose the following information:

(a)

Point (ii) of Article 455 (a) and Article 455 (b) CRR

Description of risks covered by the IRC models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.

(b)

Article 455(b) CRR

Description of the scope of application of the IRC model for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, the percentage of own funds requirements covered by the models /or if the same models of IRC is used for all entities with market risk exposure

(c)

Point (ii) of Article 455(a) CRR

General description of the methodology used for internal models for incremental default and migration risk, including:

(i)

Information about the overall modelling approach (notably, the use of spread-based models or transition matrix-based models);

(ii)

Information on the calibration of the transition matrix;

(iii)

Information about correlation assumptions;

(d)

Approach used to determine liquidity horizons;

(e)

Methodology used to achieve a capital assessment that is consistent with the required soundness standard;

(f)

Approach used in the validation of the models.

(g)

Point (iii) of Article 455(a) CRR

Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the IRC models apply at the group level).

(h)

Point (iv) of Article 455(a) CRR

Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the IRC internal models and modelling processes.

Point (ii) of Article 455(a) CRR

(C) Institutions using internal models to measure own funds requirements for correlation trading portfolio (comprehensive risk measure) must disclosure the following information:

(a)

Point (ii) of Article 455 (a) and Article 455 (b) CRR

Description of risks covered by the comprehensive risk measure models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.

(b)

Article 455(b) CRR

Description of the scope of application of the comprehensive risk measure models for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, including the percentage of own funds requirements covered by the models /or if the same models of IRC is used for all entities with market risk exposure

(c)

Point (ii) of Article 455(a) CRR

General description of the methodology used for correlation trading, including:

(i)

Information about the overall modelling approach (choice of model correlation between default/migrations and spread: (i) separate but correlated stochastic processes driving migration/default and spread movement; (ii) spread changes driving migration/default; or (iii) default/migrations driving spread changes);

(ii)

Information used to calibrate the parameters of the base correlation: LGD pricing of the tranches (constant or stochastic);

(iii)

Information on the choice of whether to age positions (profits and losses based on the simulated market movement in the model calculated based on the time to expiry of each position at the end of the 1-year capital horizon or using their time to expiry at the calculation date);

(d)

Approach used to determine liquidity horizons.

(e)

Methodology used to achieve a capital assessment that is consistent with the required soundness standard.

(f)

Approach used in the validation of the models.

(g)

Point (iii) of Article 455(a) CRR

Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the comprehensive risk measure models apply at the group level).

(h)

Point (iv) of Article 455(a) CRR

Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the comprehensive risk measure internal models and modelling processes.

(i)

Point (f) of Article 455 CRR

Information on weighted average liquidity horizon for each subportfolio covered by the internal models for incremental default and migration risk and for correlation trading

Template EU MR2-A - Market risk under the internal Model Approach (IMA)

RWEAs

Own funds requirements

VaR (higher of values a and b)

(a)

Previous day’s VaR (VaRt-1)

(b)

Multiplication factor (mc) x average of previous 60 working days (VaRavg)

SVaR (higher of values a and b)

(a)

Latest available SVaR (SVaRt-1))

(b)

Multiplication factor (ms) x average of previous 60 working days (sVaRavg)

IRC (higher of values a and b)

(a)

Most recent IRC measure

(b)

12 weeks average IRC measure

Comprehensive risk measure (higher of values a, b and c)

(a)

Most recent risk measure of comprehensive risk measure

(b)

12 weeks average of comprehensive risk measure

(c)

Comprehensive risk measure - Floor

Other

Total

Template EU MR2-B - RWEA flow statements of market risk exposures under the IMA

VaR

SVaR

IRC

Comprehensive risk measure

Other

Total RWEAs

Total own funds requirements

RWEAs at previous period end

Regulatory adjustment

RWEAs at the previous quarter-end (end of the day)

Movement in risk levels

Model updates/changes

Methodology and policy

Acquisitions and disposals

Foreign exchange movements

Other

RWEAs at the end of the disclosure period (end of the day)

Regulatory adjustment

RWEAs at the end of the disclosure period

Template EU MR3 - IMA values for trading portfolios

VaR (10 day 99%)

Maximum value

Average value

Minimum value

Period end

SVaR (10 day 99%)

Maximum value

Average value

Minimum value

Period end

IRC (99.9%)

Maximum value

Average value

Minimum value

Period end

Comprehensive risk measure (99.9%)

Maximum value

Average value

Minimum value

Period end

Template EU MR4 - Comparison of VaR estimates with gains/losses

Institutions must present an analysis of ‘outliers’ (backtesting exceptions as per Article 366 CRR) in backtested results, specifying the dates and the corresponding excess (VaR-P&L), including at least the key drivers of the exceptions, with similar comparisons for actual P&L and hypothetical P&L (as per Article 366 CRR).

Information about actual gains/losses, and especially a clarification whether they include reserves and, if not, how reserves are integrated into the backtesting process.

ANNEX XXX

Market risk standardized and internal approach disclosure tables and templates: Instructions

This annex includes the instructions that institutions shall follow when disclosing the information referred to in Articles 435, 445 and 455 of Regulation (EU) 575/2013 (

) (‘CRR’) to complete the market risk disclosure tables and templates which are presented in Annex XXIX to this Implementing Regulation.

Table EU MRA - Qualitative disclosure requirements related to market risk: Free format text boxes

Institutions shall disclose the information referred to in points (a) to (d) of Article 435(1) CRR with regards to market risk by following the instructions provided below in this Annex to complete table EU MRA which is presented in Annex XXIX to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

(a)

When disclosing information referred to in points (a) and (d) of Article 435 (1) CRR on the risk management objectives and policies to manage market risk, institutions shall include:

— an explanation of their management’s strategic objectives in undertaking trading activities;

— the processes implemented to identify, measure, monitor and control the institution’s market risks;

— the policies for hedging and mitigating risk;

— strategies and processes for monitoring the continuing effectiveness of hedges.

(b)

When disclosing information referred to in point (b) of Article 435 (1) CRR on the structure and organisation of the market risk management function, institutions shall include:

— a description of the market risk governance structure established to implement the strategies and processes of the institution discussed in row (a) above,

— a description of the relationships and the communication mechanisms between the different parties involved in market risk management.

(c)

When disclosing information referred to in point (c) of Article 435 (1) CRR on the scope and nature of market risk disclosure and measurement systems, institutions shall provide a description of the scope and nature of market risk disclosure and the measurement systems.

Template EU MR1 - Market risk under the standardised approach : fixed format

Institutions shall disclose the information referred to in Article 445 CRR by following the instructions provided below in this Annex to complete template EU MR1 which is presented in Annex XXIX to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

Outright products

Interest rate risk (general and specific)

General and specific risk of positions in traded debt instruments in the trading book, in accordance with Chapter 2 of Title IV of Part Three CRR, excluding specific risk related to securitisation, and which are not optional

Equity risk (general and specific)

General and specific risk of positions in equities in the trading book, in accordance with Chapter 2 of Title IV of Part Three CRR, excluding optional instruments

Foreign exchange risk

Risk of positions in foreign exchange in accordance with Chapter 3 of Title IV of Part Three CRR, excluding optional instruments

Commodity risk

Risk of positions in commodities in accordance with Chapter 4 of Title IV of Part Three CRR, excluding optional instruments

Options

Simplified approach

Options or warrants as defined in Article 329 (3) of Chapter 2 of Title IV of Part Three CRR for which institutions calculate the own funds requirements related to the non-delta risk using the simplified approach ( 1 )

Delta plus approach

Options or warrants in the trading book as defined in Article 329 (3) of Chapter 2 of Title IV of Part Three CRR for which institutions calculate the own funds requirements related to the non-delta risk using the delta plus approach ( 2 ) .

Scenario approach

Securitisation (specific risk)

Specific risk of securitisation positions in the trading book in accordance with in Articles 337 and 338 of Chapter 2 of Title IV of Part Three CRR.

Total

Sum of amounts in rows 1 to 8 of this template.

Column letter

Explanation

RWEAs

Disclosure of risk weighted exposures referred to in point (d) of Article 438 CRR, computed as the value in column b multiplied by 12.5 in accordance with point (b) of Article 92 (4) CRR

( 1 )

As defined in COMMISSION DELEGATED REGULATION (EU) No 528/2014 of 12 March 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for non-delta risk of options in the standardised market risk approach (OJ L 148, 20.5.2014, p. 29).

( 2 )

( 3 )

Table EU MRB: Qualitative disclosure requirements for institutions using the internal Market Risk Models : free text format

Institutions shall disclose the information referred to of points (a), (b), (c) and (f) of Article 455 CRR by following the instructions provided below in this Annex to complete table EU MRB which is presented in Annex XXIX to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

EU (a)

When disclosing information referred to in point (c) of Article 455 CRR on the extent and methodologies for compliance with the requirements of Article 104 CRR, institutions shall include:

— a description of the procedures and systems implemented for the assurance of tradability of the positions included in the trading book to comply with the requirements of Article 104 CRR;

— a description of the methodology used to ensure that the policies and procedures implemented for the overall management of the trading book are appropriate.

EU (b)

When disclosing information referred to in point (c) of Article 455 CRR on the extent and methodologies for compliance with the requirements of Article 105 CRR, institutions shall include:

— a description of the valuation methodologies, including an explanation of how far mark-to-market and mark-to-model methodologies are used;

— description of the independent price verification process;

— procedures for valuation adjustments or reserves (including a description of the process and the methodology for valuing trading positions by type of instrument).

(A)

Institutions using VaR models and SVaR models, as defined in Article 365 CRR

(a)

When disclosing information referred to in point (a)(i) of Article 455 and point (b) of Article 455 CRR, institutions shall include a description of activities and risks covered by the VaR and SVaR models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.

(b)

When disclosing referred to in point (b) of Article 455 CRR, institutions shall include:

— a description of the scope of application of the VaR and SVaR models for which the competent authority has granted permission;

— when relevant, information on which entities in the group use these models and how the models represent all the models used at the group level, as well as the percentage of own funds requirements covered by the models /or if the same models of VaR/SVaR are used for all entities with market risk exposure.

Disclosures of information referred to in point (a)(i) of Article 455 CRR on the characteristics of the model used shall include:

(c)

A general description of regulatory VaR and SVaR models

(d)

A discussion of the main differences, if any, between the models used for management purposes and the model used for regulatory purposes (10 day 99%) for VaR and SVaR models

(e)

For VaR models:

(i)

The data updating frequency;

(ii)

The length of the data period that is used to calibrate the model. A description of the weighting scheme that is used (if any);

(iii)

A description on how the institutions determines the 10-day holding period (for example, does it scale up a 1-day VaR by the square root of 10, or does it directly model the 10-day VaR?);

(iv)

A description of the aggregation approach, which is the method for aggregating the specific and general risk (i.e. do the institutions calculate the specific charge as a stand-alone charge by using a different method than the one used to calculate the general risk or do the institutions use a single model that diversifies general and specific risk?);

(v)

Valuation approach (full revaluation or use of approximations);

(vi)

(f)

For SVaR models:

(i)

A description on how the 10-day holding period is determined. For example, does the institution scale up a 1-day VaR by the square root of 10, or does it directly model the 10-day VaR? If the approach is the same as for the VaR models, the institutions may confirm this and refer to disclosure (e) (iii) above;

(ii)

A description of the stress period chosen by the institution and the rationale for this choice;

(iii)

A description of the valuation approach (full revaluation or use of approximations).

(g)

When disclosing information referred to in point (a)(iii) of Article 455 CRR, institutions shall include a description of stress testing applied to the modelling parameters consistent with information disclosed under (A)(a) above (main scenarios developed to capture the characteristics of the portfolios to which the VaR and SVaR models apply at the group level).

(h)

When disclosing information referred to in point (a)(iv) of Article 455 CRR, institutions shall disclose a description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the internal models and modelling processes.

(B)

Institutions using internal models to measure the own funds requirements for the incremental default and migration risk (IRC) in accordance with Sections 3 and 4 of Chapter 5 of Title IV of Part Three CRR

(a)

When disclosing information referred to in point (a)(ii) of Article 455 and with point (b) of Article 455 CRR, institutions shall include a description of risks covered by the IRC models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.

(b)

Information referred to in point (b) of Article 455 CRR shall include a description of the scope of application of the IRC model for which the competent authority has granted permission, and shall be complemented by information on which entities in the group use these models and how the models represent all the models used at the group level, including the percentage of own funds requirements covered by the models or if the same models of IRC is used for all entities with market risk exposure.

Information referred to in point (a)(ii) of Article 455 CRR on the characteristics of the IRC models used shall include:

(c)

A general description of the methodology used for internal models for incremental default and migration risk, including:

(i)

Information about the overall modelling approach (notably, the use of spread-based models or transition matrix-based models);

(ii)

Information on the calibration of the transition matrix;

(iii)

Information about correlation assumptions;

(d)

Institutions shall include a description of the approach used to determine liquidity horizons;

(e)

Institutions shall include a description of the methodology used to achieve a capital assessment that is consistent with the required soundness standard;

(f)

Institutions shall include a description of the approach used in the validation of the models.

(g)

Information referred to in point (a)(iii) of Article 455 CRR shall include a description of the stress testing applied to the modelling parameters consistent with information disclosed under (B)(a) above (main scenarios developed to capture the characteristics of the portfolios to which the IRC models apply at the group level).

(h)

Information referred to in point (a)(iv) of Article 455 CRR shall include a description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the IRC internal models and modelling processes

(C)

Institutions using internal models to measure own funds requirements for correlation trading portfolio (comprehensive risk measure) in accordance with Section 5 of Chapter 5 of Title IV of Part Three CRR

(a)

When disclosing information referred to in point (a)(ii) of Article 455 and point (b) of Article 455 CRR, institutions shall include a description of risks covered by the comprehensive risk measure models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.

(b)

Information referred to in point (b) of Article 455 CRR shall include a description of the scope of application of the comprehensive risk measure models for which the competent authority has granted permission. It shall be complemented by information on which entities in the group use these models and how the models represent all the models used at the group level, including the percentage of own funds requirements covered by the models or if the same models of IRC is used for all entities with market risk exposure.

Information referred to in point (a)(ii) of Article 455 CRR on the characteristics of the comprehensive risk measure models used shall include:

(c)

A general description of the methodology used for correlation trading, including:

(i)

(ii)

Information used to calibrate the parameters of the base correlation: LGD pricing of the tranches (constant or stochastic);

(iii)

(d)

Institutions shall include a description of the approach used to determine liquidity horizons.

(e)

Institutions shall include a description of the methodology used to achieve a capital assessment that is consistent with the required soundness standard.

(f)

Institutions shall include a description of the approach used in the validation of the models.

(g)

Information referred to in point (a)(iii) of Article 455 CRR shall include a description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the comprehensive risk measure models apply at the group level).

(h)

Information referred to in point (a)(iv) of Article 455 CRR shall include a description of the approach used for backtesting or validating the accuracy and internal consistency of data and parameters used for the comprehensive risk measure internal models and modelling processes.

(i)

Institutions shall complement the disclosed information regarding the internal models for the incremental default and migration risk and for correlation trading portfolios with the information referred to in point (f) of Article 455 on the weighted average liquidity horizon for sub-portfolios, coherent with the description provided under rows (B) (a) and (d) and (C) (a) and (d)) of table EU MRB.

Template EU MR2-A - Market risk under the internal Model Approach (IMA): fixed format

Institutions shall disclose the information referred to point (e) of Article 455 CRR by following the instructions provided below in this Annex to complete template EU MR2-A which is presented in Annex XXIX to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

VaR (higher of values a and b)

Previous day’s VaR (VaRt-1)

Previous day’s value at-risk number (VaR t-1 ) calculated in accordance with Article 365(1) CRR

Multiplication factor (mc) x average of previous 60 working days (VaRavg)

Average of the daily value at-risk numbers calculated in accordance with Article 365(1) CRR, on each of the preceding 60 business days (VaR avg ) x multiplied by the multiplication factor (mc) in accordance with Article 366 CRR

SVaR (higher of values a and b)

Latest available SVaR (SVaRt-1))

Latest available stressed-value-at-risk number (sVaR t-1 ) calculated in accordance with Article 365(2) CRR

Multiplication factor (ms) x average of previous 60 working days (sVaRavg)

Average of the stressed value-at-risk numbers calculated in the manner and frequency specified in Article 365(2) CRR during the preceding sixty business days (sVaR avg ), multiplied by the multiplication factor (ms) in accordance with Article 366 CRR

IRC (higher of values a and b)

Most recent IRC measure

Most recent risk number for the incremental default and migration risk calculated in accordance with Section 3 of Chapter 5 of Title IV of Part Three CRR

12 weeks average IRC measure

Average of risk number for the incremental default and migration risk calculated in accordance with Section 3 of Chapter 5 of Title IV of Part Three CRR over the preceding 12 weeks

Comprehensive risk measure (higher of values a, b and c)

Most recent risk measure of comprehensive risk measure

Most recent risk number for the correlation trading portfolio calculated in accordance with Section 5 of Chapter 5 of Title IV of Part Three CRR

12 weeks average of comprehensive risk measure

Average of the risk number for the correlation trading portfolio calculated in accordance with Section 5 of Chapter 5 of Title IV of Part Three CRR, over the preceding 12-weeks

Comprehensive risk measure – Floor

8 % of the own funds requirement that would, at the time of calculation of the most recent risk number referred to in row (a) of this template, be calculated in accordance with Article 338 (4) CRR, for all those positions incorporated into the internal model for the correlation trading portfolio

Other

Other refers to additional own funds required by supervisors for institutions using the internal model approach for market risk (e.g. additional capital according to Article 101 of Directive 2013/36/UE).

Total (1+2+3+ 4+5)

Column letter

Explanation

RWEAs

Disclosure of risk weighted exposures referred to in point (d) of Article 438 CRR, computed as the value in column b multiplied by 12.5 in accordance with point (b) of Article 92(4) CRR.

Own funds requirements

Own funds requirements for market risk as determined in Chapter 5 of Title IV of Part Three CRR in accordance with instructions in rows 1 to 4 above.

Template EU MR2-B - RWEA flow statements of market risk exposures under the IMA: fixed format

Institutions shall disclose the information referred to in point (h) of Article 438 CRR by following the instructions provided below in this Annex to complete template EU MR2-B which is presented in Annex XXIX to this Implementing Regulation.

Institutions shall disclose the flows of RWEA as the changes between the risk-weighted exposure amounts at the end of the disclosure reference period (as specified below in row 8) and the risk-weighted exposure amounts at end of the prior disclosure reference period (as specified below in row 1; in the case of quaterly disclosures, end-of-quarter prior to the quarter of the disclosure reference period). Institutions may complement their Pillar 3 disclosures by disclosing the same information for the three previous quarters.

Institutions shall explain in the accompanying narrative to the template the figures disclosed in row 8 of this template, i.e. any other drivers that contribute significantly to RWEA variations.

Legal references and instructions

Row number

Explanation

RWEAs at previous period end

Risk weighted exposure amounts at the end of the previous period derived from the sum of own funds requirements in accordance with Article 364 CRR with the exception of point (a) of Article 364 (2) CRR, and any additional own funds required by supervisors for institutions using the internal model approach for market risk, multiplied by 12.5 in accordance with point (b) of Article 92(4) CRR

Movement in risk levels

Changes due to position changes, other than those driven by regulatory policy changes

Model changes

Significant updates to the model to reflect recent experience (e.g. recalibration), as well as significant changes in model scope. If more than one model update has taken place, additional rows could be necessary.

Methodology and policy

Methodology changes to the calculations driven by regulatory policy changes

Acquisitions and disposals

Modifications due to acquisition or disposal of business/product lines or entities

Foreign exchange movements

Changes arising from foreign currency translation movements

Other

This category shall be used to capture changes that cannot be attributed to any category of drivers included in rows 2 to 6 of this template, and the explanations regarding the drivers of these changes must be provided in the accompanying narrative.

RWEAs at the end of the disclosure period

Risk weighted exposure amounts at the end of the period derived from the sum of own funds requirements in accordance with Article 364 CRR with the exception of point (a) of Article 364 (2) CRR, and any additional own funds required by supervisors for institutions using the internal model approach for market risk, multiplied by 12.5 in accordance with point (b) of Article 92(4) CRR

1a/1b/ 8a/8b

Rows 1a/1b and 8a/8b of this template shall be used when the RWEA/own funds requirement for any of the columns a to d of this template is the 60-day average (for VaR and SVaR) or the 12-week average measure or the floor measure (for IRC and Comprehensive risk measure) and not the RWEA/own funds requirement at the end of the period (previous or disclosure) in accordance with points (a)(i) and (b)(i) of Article 364 (1), with point (b)(i) of Article 364(2) and with point (a) of Article 364(3) CRR. The amount in additional rows 1a and 8b shall be the difference between the final derived RWEA on average measures, as disclosed in rows 1 or 8 of this template, and the measures derived directly from the models in rows 1b/8a of this template. In these cases, additional rows for regulatory adjustment (1a and 8b of this template) ensure that the institution is able to provide the source of changes in RWEA/own funds requirement on the basis of the last RWEA/own funds requirement measure at the end of the period (previous or disclosure), in rows 1b and 8a of this template. In this case, rows 2, 3, 4, 5, 6, 7 of this template reconcile the value in row 1b and 8a ( 1 ) of this template.

Column letter

Explanation

VaR Key drivers of changes over the period in accordance with row (2) to (7) of this template (on the basis of a reasonable estimation), of the value at-risk RWEAs derived from the own funds requirements in accordance with point (a) of Article 364(1) CRR.

SVaR

Key drivers of changes over the period in accordance with row (2) to (7) of this template (on the basis of a reasonable estimation), of the stressed value at-risk RWEAs derived from the own funds requirements in accordance with point (b) of Article 364 (1) CRR, and any additional own funds required by supervisors

IRC

Key drivers of changes over the period in accordance with row (2) to (7) of this template (on the basis of a reasonable estimation), of the incremental default and migration RWEAs derived from the own funds requirements in accordance with point (b) of Article 364(2) CRR, and any additional own funds required by supervisors

Comprehensive risk measure

Key drivers of changes over the period in accordance with row (2) to (7) of this template (on the basis of a reasonable estimation), of the correlation trading portfolio RWEAs derived from the own funds requirements in accordance with Article 364(3) CRR, and any additional own funds required by supervisors

Other

Key drivers of changes over the period in accordance with row (2) to (7) of this template of RWEAs on the basis of model approaches not reported in columns (a) to (d)

Total RWEAs (a + b + c + d + e)

Total own funds requirements (f × 8%)

( 1 )

See the illustration in Basel Committee on Banking Supervision of the Bank for International Settlements, DIS Disclosure requirements DIS 99 Worked examples , December 2019.

Template EU MR3 - IMA values for trading portfolios: fixed format

Institutions shall disclose the information referred to point (d) of Article 455 CRR by following the instructions provided below in this Annex to complete template EU MR3 which is presented in Annex XXIX to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

VaR (10 day 99%)

Value at-risk measure in accordance with Article 365(1) CRR

The amounts shall not include additional own fund requirements on supervisor’s decision (related to the multiplier, for instance).

1 to 4

Highest/Lowest/mean of daily value at-risk measures over the period and period end daily value at-risk measure.

SVaR (10 day 99%)

Stressed Value at-risk measure in accordance with Article 365(2) CRR

The amounts shall not include additional own fund requirements on supervisor’s decision (multiplier).

5 to 8

Highest/Lowest/mean of stressed daily value at-risk measure over the period and period end daily value at-risk measure.

IRC (99.9%)

Incremental default and migration risk value in accordance with Section 3 of Chapter 5 of Title IV of Part Three CRR

The amounts shall not include additional own fund requirements on supervisor’s decision (multiplier).

9 to 12

Highest/lowest/mean of IRC measures over the period and period end daily value at-risk measure

Comprehensive risk measure (99.9%)

Correlation trading portfolios value in accordance with Section 5 of Chapter 5 of Title IV of Part Three CRR

13 to 16

Highest/lowest/mean of correlation trading portfolios measures over the period and period end daily value at-risk measure

Column letter

Explanation

Highest/lowest/mean values over the disclosure period and end of period values corresponding to rows (1) to (16) of this template

Template EU MR4 - Comparison of VaR estimates with gains/losses: Flexible template

10.

With respect to information referred to in point (g) of Article 455 CRR institutions shall disclose a chart which is presented in Annex XXIX to this Implementing Regulation, including the information indicated in this table.

Legal references and instructions

Explanation

Information referred to in point (g) of Article 455 CRR shall include the value of the risk measure used for regulatory purposes in accordance with Article 365(1) CRR, calibrated to a 1-day holding period to compare with the 99 % confidence level with institution’s trading outcomes

Institutions shall present an analysis of ‘outliers’ (backtesting exceptions as per Article 366 CRR) in backtested results, specifying the dates and the corresponding excess (VaR-P&L). The analysis should at least specify the key drivers of the exceptions.

Institutions shall disclose similar comparisons for actual P&L and hypothetical P&L (i.e. on the basis of hypothetical changes in portfolio values that would occur if end-of-day positions remain unchanged) as per Article 366 CRR.

Institutions shall complement this information with information about actual gains/losses, and especially a clarification whether they include reserves and, if not, how reserves are integrated into the backtesting process.

ANNEX XXXI

Table EU ORA - Qualitative information on operational risk

Free format text boxes for disclosure of qualitative information

Legal basis

Row number

Qualitative information - Free format

Points (a), (b), (c) and(d) of Article 435(1) CRR

(a)

Disclosure of the risk management objectives and policies

Article 446 CRR

(b)

Disclosure of the approaches for the assessment of minimum own funds requirements

Article 446 CRR

(c)

Description of the AMA methodology approach used (if applicable)

Article 454 CRRR

(d)

Disclose the use of insurance for risk mitigation in the Advanced Measurement Approach (if applicable)

Template EU OR1 - Operational risk own funds requirements and risk-weighted exposure amounts

Banking activities

Relevant indicator

Own funds requirements

Risk exposure amount

Year-3

Year-2

Last year

Banking activities subject to basic indicator approach (BIA)

Banking activities subject to standardised (TSA) / alternative standardised (ASA) approaches

Subject to TSA:

Subject to ASA:

Banking activities subject to advanced measurement approaches AMA

ANNEX XXXII

Instructions for operational risk disclosure templates

Table EU ORA - Qualitative information on operational risk. Flexible table

Institutions shall disclose the information included in this table in application of Articles 435(1), 446 and 454 of Regulation (EU) 575/2013 (

) (‘CRR’).

Institutions shall follow the instructions provided below in this Annex to complete the Operational Risk disclosure table EU ORA as presented in Annex XXXI to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

(a)

Disclosure of the risk management objectives and policies

In accordance with Article 435(1) CRR, institutions shall disclose their risk management objectives and policies for operational risk, including:

— strategies and processes;

— structure and organisation of risk management function for operational risk;

— risk measurements and control;

— operational risk reporting;

— policies for hedging and mitigating operational risk.

(b)

Disclosure of the approaches for the assessment of minimum own fund requirements

Institutions shall provide a description of the methods used for calculating the own funds requirements for operational risk and the methods for identifying, assessing and managing operational risk.

In case of partial use of methodologies, institutions shall disclose the scope and coverage of the different methodologies used.

(c)

Description of the AMA methodology approach used (if applicable)

Institutions that disclose the information on the operational risk in accordance with Article 312(2) CRR shall disclose a description of the methodology used, including a description of standards on the external and internal data referred to in Articles 322(3) and (4) CRR.

(d)

Disclose the use of insurance for risk mitigation in the Advanced Measurement Approach (if applicable)

Institutions should provide information on the use of insurances and other risk transfer mechanism for operational risk mitigation when using Advance measurement approaches in accordance with Article 454 CRR.

Template EU OR1 - Operational risk own funds requirements and risk-weighted exposure amounts. Fixed template

Institutions shall disclose the information referred to in Articles 446 and 454 CRR by following the instructions provided below in this Annex to complete the Operational Risk disclosure template EU OR1 as presented in Annex XXXI to this Implementing Regulation. This template provides information on the calculation of own funds requirements in accordance with Articles 312 to 324 (for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA)) of Title III of Part Three CRR.

Institutions using the BIA, TSA and/or ASA shall specify in the narrative accompanying the template if the information at financial year end that they are using for the calculation of own funds requirements is: a) based on audited figures, or: b) in case that they are not available, it is based on business estimates. In the latter case, institutions shall specify any exceptional circumstance that led to changes in these figures (e.g. recent acquisitions or disposals of entities or activities).

Instructions for completing the disclosure template EU OR1

Column

Explanation

a, b, c

Relevant Indicator

The term ‘relevant indicator’ refers to ‘the sum of the elements’ at the end of the financial year as defined in Table 1 (for institutions using BIA) included in Article 316(1) CRR. For institutions using TSA or ASA the ‘relevant indicator’ at the end of financial year as defined in Articles 317 to 319 CRR.

Institutions using the relevant indicator to calculate the own funds requirements for operational risk (BIA, TSA and ASA) shall disclose the relevant indicator for the respective years in columns a to c of this template. Moreover, in the case of a combined use of different approaches as referred in Article 314 CRR, institutions also disclose the relevant indicator for the activities subject to AMA. AMA banks shall also disclose the relevant indicator for the activities subject to AMA.

If the institution has less than 3 years of data on ‘relevant indicator’ available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the template. If, for instance, historical data for only one year is available, it shall be disclosed in column c of this template. If it seems reasonable, the forward looking estimates shall then be included in column b (estimate of next year) and column a (estimate of year +2) of this template.

Furthermore if there are no historical data on ‘relevant indicator’ available the institution may disclose forward-looking business estimates used for own funds requirements computation.

Own fund requirements

The own fund requirements calculated in accordance with the approach used, in accordance with Articles 312 to 324 CRR. The resulting amount is disclosed in column d of this template.

Risk exposure amount

Point (e) of Article 92(3) and Article 92(4) CRR. Own funds requirements in column d of this template multiplied by 12.5.

Row

Explanation

Banking activities subject to Basic indicator approach (BIA)

This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirements for operational risk (Articles 315 and 316 CRR).

Banking activities subject to Standardised (TSA) / Alternative Standardised (ASA) approaches

This row shall present the own funds requirements calculated in accordance with the TSA and ASA (Articles 317 to 320 CRR).

Subject to TSA

In the case of using the TSA, relevant indicator for each respective year shall include all the business lines as defined in table 2, included in Article 317 CRR.

Subject to ASA

Institutions using the ASA (Article 319 CRR) shall disclose the relevant indicator for the respective years.

Banking activities subject to Advanced measurement approaches AMA

The relevant data for AMA institutions (Article 312(2) and Articles 321 to 323 CRR) shall be disclosed.

In the case of combined use of different approaches in accordance with Article 314 CRR, the relevant indicator for activities subject to AMA shall also be disclosed. AMA banks shall also disclose the relevant indicator for the activities subject to AMA.

ANNEX XXXIII

Table EU REMA - Remuneration policy

Institutions shall describe the main elements of their remuneration policies and how they implement these policies. In particular, the following elements, where relevant, shall be described:

Qualitative disclosures

(a)

Information relating to the bodies that oversee remuneration. Disclosures shall include:

— Name, composition and mandate of the main body (management body or remuneration committee as applicable) overseeing the remuneration policy and the number of meetings held by that main body during the financial year.

— External consultants whose advice has been sought, the body by which they were commissioned, and in which areas of the remuneration framework.

— A description of the scope of the institution’s remuneration policy (eg by regions, business lines), including the extent to which it is applicable to subsidiaries and branches located in third countries.

— A description of the staff or categories of staff whose professional activities have a material impact on institutions' risk profile.

(b)

Information relating to the design and structure of the remuneration system for identified staff. Disclosures shall include:

— An overview of the key features and objectives of remuneration policy, and information about the decision-making process used for determining the remuneration policy and the role of the relevant stakeholders.

— Information on the criteria used for performance measurement and ex ante and ex post risk adjustment.

— Whether the management body or the remuneration committee where established reviewed the institution’s remuneration policy during the past year, and if so, an overview of any changes that were made, the reasons for those changes and their impact on remuneration.

— Information of how the institution ensures that staff in internal control functions are remunerated independently of the businesses they oversee.

— Policies and criteria applied for the award of guaranteed variable remuneration and severance payments.

(c)

Description of the ways in which current and future risks are taken into account in the remuneration processes. Disclosures shall include an overview of the key risks, their measurement and how these measures affect remuneration.

(d)

The ratios between fixed and variable remuneration set in accordance with point (g) of Article 94(1) CRD.

(e)

Description of the ways in which the institution seeks to link performance during a performance measurement period with levels of remuneration. Disclosures shall include:

— An overview of main performance criteria and metrics for institution, business lines and individuals.

— An overview of how amounts of individual variable remuneration are linked to institution-wide and individual performance.

— Information on the criteria used to determine the balance between different types of instruments awarded including shares, equivalent ownership interest, options and other instruments.

— Information of the measures the institution will implement to adjust variable remuneration in the event that performance metrics are weak, including the institution’s criteria for determining ‘weak’ performance metrics.

(f)

Description of the ways in which the institution seeks to adjust remuneration to take account of longterm performance. Disclosures shall include:

— An overview of the institution’s policy on deferral, payout in instrument, retention periods and vesting of variable remuneration including where it is different among staff or categories of staff.

— Information of the institution’ criteria for ex post adjustments (malus during deferral and clawback after vesting, if permitted by national law).

— Where applicable, shareholding requirements that may be imposed on identified staff.

(g)

The description of the main parameters and rationale for any variable components scheme and any other non-cash benefit in accordance with point (f) of Article 450(1) CRR. Disclosures shall include:

— Information on the specific performance indicators used to determine the variable components of remuneration and the criteria used to determine the balance between different types of instruments awarded, including shares, equivalent ownership interests, share-linked instruments, equivalent non cash-instruments, options and other instruments.

(h)

Upon demand from the relevant Member State or competent authority, the total remuneration for each member of the management body or senior management.

(i)

Information on whether the institution benefits from a derogation laid down in Article 94(3) CRD in accordance with point (k) of Article 450(1) CRR.

— For the purposes of this point, institutions that benefit from such a derogation shall indicate whether this is on the basis of point (a) and/or point (b) of Article 94(3) CRD. They shall also indicate for which of the remuneration principles they apply the derogation(s), the number of staff members that benefit from the derogation(s) and their total remuneration, split into fixed and variable remuneration.

(j)

Large institutions shall disclose the quantitative information on the remuneration of their collective management body, differentiating between executive and non-executive members in accordance with Article 450(2) CRR.

Template EU REM1 - Remuneration awarded for the financial year

MB Supervisory function

MB Management function

Other senior management

Other identified staff

Fixed remuneration

Number of identified staff

Total fixed remuneration

Of which: cash-based

(Not applicable in the EU)

EU-4a

Of which: shares or equivalent ownership interests

Of which: share-linked instruments or equivalent non-cash instruments

EU-5x

Of which: other instruments

(Not applicable in the EU)

Of which: other forms

(Not applicable in the EU)

Variable remuneration

Number of identified staff

Total variable remuneration

Of which: cash-based

Of which: deferred

EU-13a

Of which: shares or equivalent ownership interests

EU-14a

Of which: deferred

EU-13b

Of which: share-linked instruments or equivalent non-cash instruments

EU-14b

Of which: deferred

EU-14x

Of which: other instruments

EU-14y

Of which: deferred

Of which: other forms

Of which: deferred

Total remuneration (2 + 10)

Template EU REM2 - Special payments to staff whose professional activities have a material impact on institutions’ risk profile (identified staff)

MB Supervisory function

MB Management function

Other senior management

Other identified staff

Guaranteed variable remuneration awards

Guaranteed variable remuneration awards - Number of identified staff

Guaranteed variable remuneration awards -Total amount

Of which guaranteed variable remuneration awards paid during the financial year, that are not taken into account in the bonus cap

Severance payments awarded in previous periods, that have been paid out during the financial year

Severance payments awarded in previous periods, that have been paid out during the financial year - Number of identified staff

Severance payments awarded in previous periods, that have been paid out during the financial year - Total amount

Severance payments awarded during the financial year

Severance payments awarded during the financial year - Number of identified staff

Severance payments awarded during the financial year - Total amount

Of which paid during the financial year

Of which deferred

Of which severance payments paid during the financial year, that are not taken into account in the bonus cap

Of which highest payment that has been awarded to a single person

Template EU REM3 - Deferred remuneration

EU - g

EU - h

Deferred and retained remuneration

Total amount of deferred remuneration awarded for previous performance periods

Of which due to vest in the financial year

Of which vesting in subsequent financial years

Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in the financial year

Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in future performance years

Total amount of adjustment during the financial year due to ex post implicit adjustments (i.e.changes of value of deferred remuneration due to the changes of prices of instruments)

Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year

Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods

MB Supervisory function

Cash-based

Shares or equivalent ownership interests

Share-linked instruments or equivalent non-cash instruments

Other instruments

Other forms

MB Management function

Cash-based

Shares or equivalent ownership interests

Share-linked instruments or equivalent non-cash instruments

Other instruments

Other forms

Other senior management

Cash-based

Shares or equivalent ownership interests

Share-linked instruments or equivalent non-cash instruments

Other instruments

Other forms

Other identified staff

Cash-based

Shares or equivalent ownership interests

Share-linked instruments or equivalent non-cash instruments

Other instruments

Other forms

Total amount

Template EU REM4 - Remuneration of 1 million EUR or more per year

EUR

Identified staff that are high earners as set out in Article 450(i) CRR

1 000 000 to below 1 500 000

1 500 000 to below 2 000 000

2 000 000 to below 2 500 000

2 500 000 to below 3 000 000

3 000 000 to below 3 500 000

3 500 000 to below 4 000 000

4 000 000 to below 4 500 000

4 500 000 to below 5 000 000

5 000 000 to below 6 000 000

6 000 000 to below 7 000 000

7 000 000 to below 8 000 000

To be extended as appropriate, if further payment bands are needed.

Template EU REM5 - Information on remuneration of staff whose professional activities have a material impact on institutions’ risk profile (identified staff)

Management body remuneration

Business areas

MB Supervisory function

MB Management function

Total MB

Investment banking

Retail banking

Asset management

Corporate functions

Independent internal control functions

All other

Total

Total number of identified staff

Of which: members of the MB

Of which: other senior management

Of which: other identified staff

Total remuneration of identified staff

Of which: variable remuneration

Of which: fixed remuneration

ANNEX XXXIV

Instructions for the disclosure of remuneration policy templates

Table EU REMA – Remuneration policy: Flexible format

Institutions shall disclose the information referred to in points (a), (b), (c), (d), (e), (f), (j) and (k) of Article 450(1) and of Article 450(2) CRR (

) by following the instructions provided below in this Annex to complete table EU REMA which is presented in Annex XXXIII to this Implementing Regulation.

This table has a flexible format. In case that institutions apply a different format, they shall provide information comparable with the information required in this table, with a similar level of granularity and including all the substance information required.

For the purpose of this table and the templates explained in this annex, award means the granting of variable remuneration for a specific accrual period, independently of the actual point in time where the awarded amount is paid.

Legal references and instructions

Row number

Explanation

(a)

Information relating to the bodies that oversee remuneration. Disclosures shall include:

— name, composition and mandate of the main body (management body and remuneration committee where established) overseeing the remuneration policy and the number of meetings held by that main body during the financial year;

— external consultants whose advice has been sought, the body by which they were commissioned, and in which areas of the remuneration framework;

— a description of the scope of the institution’s remuneration policy (eg by regions, business lines), including the extent to which it is applicable to subsidiaries and branches located in third countries;

— a description of the staff or categories of staff whose professional activities have a material impact on institutions’ risk profile (identified staff).

(b)

Information relating to the design and structure of the remuneration system for identified staff. Disclosures shall include:

— an overview of the key features and objectives of remuneration policy, and information about the decision-making process used for determining the remuneration policy and the role of the relevant stakeholders (e.g. the shareholders’ meeting);

— information on the criteria used for performance measurement and ex ante and ex post risk adjustment;

— whether the management body and the remuneration committee, where established, reviewed the institution’s remuneration policy during the past year, and if so, an overview of any changes that were made, the reasons for those changes and their impact on remuneration;

— information of how the institution ensures that staff in internal control functions are remunerated independently of the businesses they oversee;

— policies and criteria applied for the award of guaranteed variable remuneration and severance payments.

(c)

Description of the ways in which current and future risks are taken into account in the remuneration processes

Disclosures shall include an overview of the key risks, their measurement and how these measures affect remuneration.

(d)

The ratios between fixed and variable remuneration set in accordance with point (g) of Article 94(1) of Directive (EU) 2013/36(‘CRD’) ( 1 )

(e)

Description of the ways in which the institution seeks to link performance during a performance measurement period with levels of remuneration

Disclosures shall include:

— an overview of main performance criteria and metrics for institution, business lines and individuals.

— an overview of how amounts of individual variable remuneration are linked to institution-wide and individual performance.

— information on the criteria used to determine the balance between different types of instruments awarded including shares, equivalent ownership interest, options and other instruments

— information of the measures the institution will implement to adjust variable remuneration in the event that performance metrics are weak, including the institution’s criteria for determining performance metrics when the performance metrics are considered ‘weak’. In accordance with point (n) of Article 94(1) CRD, to be paid or vested the variable remuneration has to be justified on the basis of the performance of the institution, the business unit and the individual concerned. Institutions shall explain the criteria/thresholds for determining that the performance is weak and that does not justify that the variable remuneration can be paid or vested.

(f)

Description of the ways in which the institution seeks to adjust remuneration to take account of long-term performance

Disclosures shall include:

— an overview of the institution’s policy on deferral, payout in instrument, retention periods and vesting of variable remuneration including where it is different among staff or categories of staff.

— information of the institution’ criteria for ex post adjustments (malus during deferral and clawback after vesting, if permitted by national law).

— where applicable, shareholding requirements that may be imposed on identified staff.

(g)

The description of the main parameters and rationale for any variable components scheme and any other non-cash benefit, as referred to in point (f) of Article 450(1) CRR. Disclosures shall include:

— Information on the specific risk/performance indicators used to determine the variable components of remuneration and the criteria used to determine the balance between different types of instruments awarded, including shares, equivalent ownership interests, share-linked instruments, equivalent non cash-instruments, options and other instruments.

(h)

Upon demand from the relevant Member State or competent authority, the total remuneration for each member of the management body or senior management, as referred to in point (j) of Article 450(1) CRR

(i)

Information on whether the institution benefits from a derogation laid down in Article 94(3) CRD, as referred to in point (k) of Article 450(1) CRR

For the purposes of this point, institutions that benefit from such a derogation shall indicate whether this is on the basis of point (a) and/or point (b) of Article 94(3) CRD. They shall also indicate which of the remuneration requirements they apply the derogation(s), (i.e., point (l) and/or (m) and/or (o) of Article 94(1) CRD), the number of staff members that benefit from the derogation(s) and their total remuneration, split into fixed and variable remuneration.

(j)

( 1 )

Template EU REM1 – Remuneration awarded for the financial year: Fixed format

Institutions shall apply the instructions provided below in this Annex to complete template EU REM1 as presented in Annex XXXIII to this Implementing Regulation, in application of point (h)(i)-(ii) of Article 450(1) CRR.

Legal references and instructions

Row number

Explanation

1 and 9

Number of identified staff

The number of staff whose professional activities have a material impact on the institutions’ risk profile in accordance with Article 92 CRD and the Commission Delegated Regulation on identified staff ( 1 ) implementing Article 94(2) CRD (identified staff) and are beneficiaries of the remuneration components listed in this template. It shall be calculated using the FTE (full time equivalent) approach for identified staff other than members of the management body where numbers shall be disclosed as headcount.

Total fixed remuneration

Sum of amounts in rows 3 to 7 of this template

Of which: cash-based

The amount of cash-based remuneration within the fixed remuneration

EU-4a

Of which: shares or equivalent ownership interests

The sum of the amounts of shares or equivalent ownership interests, subject to the legal structure of the institution concerned referred to in point (l)(i) of Article 94(1) CRD, within the fixed remuneration.

Of which: share-linked instruments or equivalent non-cash instruments

The sum of the amounts of share-linked instruments or equivalent non-cash instruments referred to in point (l)(i) of Article 94(1) CRD, within the fixed remuneration

EU-5x

Of which: other instruments

The amount of other instruments referred to in point (l)(ii) of Article 94(1) CRD, within the fixed remuneration

Of which: other forms

The amounts of fixed remuneration awarded for the financial year that are other than disclosed in other rows under the total fixed remuneration heading

This could include proportionate regular pension contributions, or benefits (where such benefits are without consideration of any performance criteria), referred to in recital (64) CRD or other forms of remuneration like car allowances.

Total variable remuneration

Sum of amounts in rows 11, EU-13a, EU-13b, EU-14x and 15 of this template

The sum of all remuneration components that are not fixed remuneration that is disclosed in row 2 of this template, including guaranteed variable and severance payments awarded during that year.

Of which: cash-based

The amount of cash-based remuneration within the variable remuneration

12, EU-14a, EU-14b, EU-14y and 16

Of which: deferred

The amounts of variable remuneration by different types of component that are deferred, determined in accordance with Article 94 CRD.

EU-13a

Of which: shares or equivalent ownership interests

EU-13b

Of which: share-linked instruments or equivalent non-cash instruments

The sum of the amounts of share-linked instruments or equivalent non-cash instruments referred to in point (l)(i) of Article 94(1) CRD, within the variable remuneration

EU-14x

Of which: other instruments

The amount of other instruments referred to in point (l)(ii) of Article 94(1) CRD, within the variable remuneration

Of which: other forms

The amounts of variable remuneration awarded for the financial year that are other than those disclosed in other rows under the variable remuneration heading

Total remuneration

Sum of amounts in rows 2 and 10 of this template.

Column letter

Explanation

MB Supervisory function

The Management Body in its Supervisory function, as the management body acting in its role of overseeing and monitoring management decision-making, as defined in point (8) of Article 3(1) CRD

Institutions shall disclose information based on headcount.

In accordance with Article 13 CRR, EU parent institutions shall disclose this information on the basis of their consolidated situation and large subsidiaries of EU parents institutions shall disclose this information on an individual basis or, where applicable in accordance with this Regulation and with CRD, on a sub-consolidated basis. The disclosure entity will reflect in this column information on their management body. If following Articles 6 and 13 CRR, the disclosure is at consolidated or sub-consolidated level, information on the identified staff of the management bodies of the subsidiaries shall be disclosed under the relevant business area

MB Management function

The members of the Management Body, who are responsible for its Management functions

Institutions shall disclose information based on headcount.

Institutions shall disclose information based on headcount. In accordance with Article 13 CRR. EU parent institutions shall disclose this information on the basis of their consolidated situation and large subsidiaries of EU parents institutions shall disclose this information on an individual basis or, where applicable in accordance with this Regulation and with CRD, on a sub-consolidated basis .The disclosure entity will reflect in this column information on their management body. If following Articles 6 and 13 CRR, the disclosure is at consolidated or sub-consolidated level, information on the identified staff of the management bodies of the subsidiaries shall be disclosed under the relevant business area

Other senior management

Senior management as defined in point (9) of Article 3(1) CRD

Institutions shall disclose the number of senior managers that are not disclosed under Management Body in its management function and as Other identified staff. Institutions shall disclose information based on FTE.

Other identified staff

Other staff than Management Body in its Supervisory function or in its Management function, and other than senior management, whose professional activities have a material impact on the institution’s risk profile in accordance with the criteria set out in the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD and where appropriate in addition based on institutions’ criteria

Institutions may include in this template the breakdown by business areas proposed in template EU REM5. Institutions shall disclose information based on FTE.

( 1 )

COMMISSION DELEGATED REGULATION (EU) No 604/2014 of 4 March 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards with respect to qualitative and appropriate quantitative criteria to identify categories of staff whose professional activities have a material impact on an institution's risk profile (OJ L 167, 6.6.2014, p. 30).

Template EU REM2 – Special payments to staff whose professional activities have a material impact on institutions’ risk profile (identified staff): Fixed format

Institutions shall disclose the information referred to in point (h)(v)-(vii) of Article 450(1) CRR by following the instructions provided below in this Annex to complete template EU REM2 which is presented in Annex XXXIII to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

1, 4 and 6

Number of identified staff

The number of identified staff whose professional activities have a material impact on the institutions’ risk profile in accordance with Article 92 CRD and the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD, for each specific remuneration components

For columns a and b (MB) of this template the value shall be based on headcount. For columns c and d of this template the value shall be calculated using the FTE (full time equivalent) method.

Row 4 of this template refers to severance payments awarded in previous periods and paid out during the financial year (present year) while row 6 of this template refers to awarded during the financial year (present year).

Guaranteed variable remuneration awards – Total amount

The amount of guaranteed variable remuneration awards, as referred to in point (e) of Article 94(1) CRD.

Of which, guaranteed variable remuneration awards paid during the financial year, that are not taken into account in the bonus cap

The amounts of guaranteed variable remuneration awards as referred to in point (e) of Article 94(1) CRD paid during the financial year (present year), which are not taken into account in the bonus cap

With regard to the disclosed information referred to in points (g) and (h)(v)-(vi) of Article 450(1) CRR, institutions shall clearly state whether the aggregate quantitative information on remuneration broken down by business area reflects the bonus cap when new sign-on and severance payments are involved.

Severance payments awarded in previous periods, that have been paid out during the financial year – Total amount

The amount of severance payments as referred to in point (h) of Article 94(1) CRD that have been awarded in previous periods and have been paid out during the financial year (present year)

Severance payments awarded during the financial year – Total amount

The amount of severance payments as referred to in point (h) of Article 94(1) CRD, awarded during the financial year (present year)

Of which, severance payments awarded during the financial year – Paid during the financial year

The amount of severance payments as referred to in point (h) of Article 94(1) CRD, awarded during the financial year that has been paid during the financial year

Of which, severance payments awarded during the financial year – Deferred

The amounts of severance payments as referred to in point (h) of Article 94(1) CRD, awarded during the financial year, which are deferred, determined in accordance with Article 94 CRD

Of which, severance payments paid during the financial year, that are not taken into account in the bonus cap

The amounts of severance payments as referred to in point (h) of Article 94(1) CRD, paid during the financial year, which are not taken into account in the bonus cap

Of which, severance payments awarded during the financial year – Highest payment that has been awarded to a single person

The amount of the highest severance payment, as referred to in point (h) of Article 94(1) CRD, that has been awarded to a single person during the financial year.

Column letter

Explanation

MB Supervisory function

The Management Body in its Supervisory function, as the management body acting in its role of overseeing and monitoring management decision-making, as defined in point (8) of Article 3(1) CRD (Headcount)

MB Management function

The members of the Management Body, who are responsible for its Management functions (Headcount)

Other senior management

Senior management as defined in point (9) of Article 3(1) CRD

Institutions shall disclose the number of senior managers that are not disclosed under Management Body in its management function and as Other identified staff (FTE).

Other identified staff

Institutions may include in this template the breakdown by business areas proposed in template EU REM5 (FTE).

Template EU REM3 –Deferred remuneration: Fixed format

Institutions shall disclose the information referred point (h)(iii)-(iv) of Article 450(1) CRR following the instructions provided below in this Annex to complete template EU REM3 which is presented in Annex XXXIII to this Implementing Regulation.

Legal references and instructions

Row number

Explanation

MB Supervisory function

The Management Body in its Supervisory function, as the management body acting in its role of overseeing and monitoring management decision-making, as defined in point (8) of Article 3(1) CRD

Sum of amounts in rows 2, 3, 4, 5, and 6 of this template

2, 8, 14 and 20

Cash-based

The amount of cash-based remuneration within the variable remuneration

3, 9, 15 and 21

Shares or equivalent ownership interests

4, 10, 16 and 22

Share-linked instruments or equivalent non-cash instruments

The sum of the amounts of share-linked instruments or equivalent non-cash instruments referred to in point (l)(i) of Article 94(1) CRD, within the variable remuneration

5, 11, 17 and 23

Other instruments

The amount of other instruments referred to in point (l)(ii) of Article 94(1) CRD, within the variable remuneration

6, 12, 18 and 24

Other forms

The amounts of variable remuneration other than disclosed in rows ‘Cash-based’, ‘Shares or equivalent ownership interests, subject to the legal structure of the institution concerned or share-linked instruments or equivalent non-cash instruments’ and ‘Other instruments’

This could include proportionate regular pension contributions, or benefits (where such benefits are without consideration of any performance criteria), referred to in recital (64) CRD, or other forms of remuneration like car allowances.

MB Management function

The members of the Management Body, who are responsible for its Management functions; sum of amounts in rows 8, 9, 10, 11 and 12 of this template.

Other senior management

Senior management as defined in point (9) of Article 3(1) CRD; sum of amounts in rows 14, 15, 16, 17 and 18 of this template

Institutions shall disclose the number of senior managers that are not disclosed under Management Body in its management function and as Other identified staff.

Other identified staff

Total amount

Sum of amounts in rows 1, 7, 13 and 19 of this template

Column letter

Explanation

Total amount of deferred remuneration awarded for previous performance periods

The amount of deferred remuneration, as determined in accordance with Article 94 CRD, that has been awarded for previous performance periods (sum of amounts in columns b and c of this template)

Of which due to vest in the financial year

The amount of deferred remuneration awarded for previous performance periods, as determined in accordance with Article 94 CRD, that is due to vest in the financial year

Of which vesting in subsequent financial years

The amount of deferred remuneration awarded for previous performance periods, as determined in accordance with Article 94 CRD, that will be vested in the subsequent financial years

Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in the financial year

The amount of performance adjustment to deferred remuneration, as determined in accordance with Article 94 CRD, that was due to vest in the financial years

Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in future financial years

The amount of performance adjustment to deferred remuneration, as determined in accordance with Article 94 CRD, that was due to vest in future performance years

Total amount of adjustment during the financial year due to ex post implicit adjustments during the financial year (i.e. changes of value of deferred remuneration due to the changes of prices of instruments)

When relevant the amount of change of value during the financial year due to ex post implicit adjustments, like changes of value of deferred remuneration due to the changes of prices of instruments, estimated on a best effort basis.

EU - g

Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year

The amount of deferred remuneration, as determined in accordance with Article 94 CRD, that has been paid out in the financial year

As soon as the deferred remuneration is vested it shall be considered as paid out.

EU - h

Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods

The amount of deferred remuneration, awarded for previous performance periods, that has been vested but is subject to retention periods, as determined in accordance with Article 94 CRD

Template EU REM4 – Remuneration of 1 million EUR or more per year: Fixed format

Institutions shall disclose the information referred to point (i) of Article 450(1) CRR by following the instructions provided below in this Annex to complete template EU REM4 which is presented in Annex XXXIII to this Implementing Regulation.

Data shall be submitted using accounting year-end figures in EUR. All amounts shall be disclosed as full amounts, i.e. not rounded amounts, in euro (e.g. EUR 1 234 567 instead of EUR 1.2 million). Where remuneration is in a currency other than EUR, the exchange rate used by the Commission for financial programming and the budget for December of the reporting year shall be used for the conversion of the consolidated figures to be disclosed.

Legal references and instructions

Row number

Explanation

1 to 8

Remuneration between 1 and 5 million EUR per financial year, broken down by 500.000 EUR bands

9 to x

Remuneration more than 5 million EUR per financial year, broken down by 1 million EUR bands

Column letter

Explanation

Number of identified staff that have been remunerated EUR 1 million or more per financial year

Institutions shall disclose information based on headcount.

Template EU REM5 – Information of staff whose professional activities have a material impact on institutions’ risk profile (identified staff): Fixed format

Institutions shall disclose the information referred to point (g) of Article 450(1) CRR by following the instructions provided below in this Annex to complete template EU REM5 which is presented in Annex XXXIII to this Implementing Regulation.

10.

Regarding the columns with the business areas breakdown, all lending, including wholesale lending, shall be included in retail lending. For investment banking, it shall include corporate finance and trading and sales. Further guidance on the activities comprised in those business lines can be found in Article 317 CRR within the table defining the business lines within the standardised approach for operational risk.

Legal references and instructions

Row number

Explanation

Total number of identified staff

Staff members, whose professional activities have a material impact on institutions’ risk profile (identified staff) of an institution and its subsidiaries, including subsidiaries not subject to the CRD and all members of their respective management bodies

The value shall be disclosed based on FTE.

Of which: members of the MB

The number of members in the respective Management body in its Supervisory function and in its Management function, and in the whole Management body

Of which: other senior management

Other staff than the members of the Management Body, who are senior management as defined in point (9) of Article 3(1) CRD

Of which: other identified staff

Other staff than members of the Management Body, and other than senior management, whose professional activities have a material impact on the institution’s risk profile in accordance with the criteria set out in the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD and where appropriate in addition based on institutions’ criteria

Total remuneration of identified staff

The total amount of remuneration shall mean all forms of fixed and variable remuneration and shall include payments and benefits, monetary or non-monetary, awarded directly to staff by or on behalf of institutions in exchange for professional services rendered by staff, carried interest payments within the meaning of point (d) of Article 4(1) of Directive 2011/61/EU ( 1 ) , and other payments made via methods and vehicles which, if they were not considered as remuneration, would lead to a circumvention of the remuneration requirements of CRD.

Of which: variable remuneration

The sum of all remuneration components which are not fixed remuneration that are referred to in row 7 of this template.

Of which: fixed remuneration

Institutions shall consider remuneration fixed where the conditions for its award and its amount:

a. are based on a predetermined criteria;

b. are non-discretionary reflecting the level of professional experience and seniority of staff;

c. are transparent with respect to the individual amount awarded to the individual staff member;

d. are permanent, i.e. maintained over a period tied to the specific role and organisational responsibilities;

e. are non-revocable; the permanent amount is only changed via collective bargaining or following renegotiation in line with national criteria on wage setting;

f. cannot be reduced, suspended or cancelled by the institution;

g. do not provide incentives for risk assumption; and

h. do not depend on performance.

Column letter

Explanation

a, b and c

Management body (MB)

The Management body of the institution, with the breakdown of Supervisory function and Management function

Institutions shall disclose information based on headcount.

d to h

Business areas

The major business areas of the institution, as Investment banking, Retail banking, Asset management, Corporate functions, Independent internal control functions

Information shall be disclosed based on FTE.

All other

All other business areas that were not covered in the previous columns separately

Information shall be disclosed based on FTE.

( 1 )

Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1)

ANNEX XXXV

Template EU AE1 - Encumbered and unencumbered assets

Carrying amount of encumbered assets

Fair value of encumbered assets

Carrying amount of unencumbered assets

Fair value of unencumbered assets

of which notionally eligible EHQLA and HQLA

of which EHQLA and HQLA

Assets of the disclosing institution

Equity instruments

Debt securities

of which: covered bonds

of which: securitisations

of which: issued by general governments

of which: issued by financial corporations

of which: issued by non-financial corporations

Other assets

Template EU AE2 - Collateral received and own debt securities issued

Fair value of encumbered collateral received or own debt securities issued

Unencumbered

Fair value of collateral received or own debt securities issued available for encumbrance

of which notionally eligible EHQLA and HQLA

of which EHQLA and HQLA

Collateral received by the disclosing institution

Loans on demand

Equity instruments

Debt securities

of which: covered bonds

of which: securitisations

of which: issued by general governments

of which: issued by financial corporations

of which: issued by non-financial corporations

Loans and advances other than loans on demand

Other collateral received

Own debt securities issued other than own covered bonds or securitisations

Own covered bonds and securitisations issued and not yet pledged

TOTAL COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED

Template EU AE3 - Sources of encumbrance

Matching liabilities, contingent liabilities or securities lent

Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered

Carrying amount of selected financial liabilities

Table EU AE4 - Accompanying narrative information

Free format text boxes for disclosure of qualitative information, in accordance with Article 443 CRR

Row number

Qualitative information - Free format

(a)

General narrative information on asset encumbrance

(b)

Narrative information on the impact of the business model on assets encumbrance and the importance of encumbrance to the institution's business model, which provides users with the context of the disclosures required in Template EU AE1 and EU AE2.

ANNEX XXXVI

Instructions for the assets encumbrance disclosure templates

Institutions shall disclose the information referred to in Article 443 of Regulation (EU) 575/2013 (

) (‘CRR’) by following the instructions provided below in this Annex to complete templates EU AE1 to EU AE4 which are presented in Annex XXXV to this Implementing Regulation.

For the purpose of the Asset encumbrance disclosure templates, the definition of asset encumbrance included in point 1.7 of Annex XVII (instructions for reporting templates on asset encumbrance) to Commission Implementing Regulation (EU) 680/2014 (

) shall apply.

Institutions shall disclose the items referred in templates EU AE1, EU AE2 and EU AE3 in the same manner as reported in accordance with Annex XVI (reporting templates on asset encumbrance) to Commission Implementing Regulation (EU) 680/2014, unless otherwise specifically provided in those tables.

The items referred to in paragraph 3 shall be disclosed using median values. Median values shall be rolling quarterly medians over the previous twelve months and shall be determined by interpolation.

When disclosures take place on a consolidated basis, the applicable scope of consolidation shall be the scope of prudential consolidation as defined in Section 2 or Chapter 2 of Title II of Part One CRR.

Asset quality indicators by asset type in columns C030, C050, C080 and C100 of template EU AE1 and by types of collateral received and debt securities issued, including covered bonds and securitisations, in columns C030 and C060 as set out in template EU AE2 shall apply only to credit institutions that meet either of the following conditions:

(a)

their total assets, calculated in accordance with paragraph 10 of point 1.6 of Annex XVII to Commission Implementing Regulation (EU) 680/2014, amount to more than EUR 30 billion;

(b)

their asset encumbrance level, calculated in accordance with paragraph 9 of point 1.6 of Annex XVII to Commission Implementing Regulation (EU) 680/2014, is above 15 %.

Template EU AE1- Encumbered and unencumbered assets

Institutions shall complete template EU AE1, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below.

Legal references and instructions

Row number

Explanation

Assets of the disclosing institution