Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)

1. STRUCTURE AND CONVENTIONS

1.1.   STRUCTURE

• 1.Overall, the framework covers six topics:

• (a) capital adequacy, an overview of regulatory capital; total risk exposure amount; prudent valuation; NPE loss coverage;

• (b) group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity;

• (c) credit risk (including counterparty, dilution and settlement risks);

• (d) market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);

• (e) operational risk;

• (f) general governments exposures.

• 2.For each template legal references are provided. Further detailed information on more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as validation rules are included in this part of this Implementing Regulation.

• 3.Institutions are to report only those templates that are relevant depending on the approach used for determining own funds requirements.

1.2.   NUMBERING CONVENTION

• 4.The document follows the labelling convention set in points 5 to 8, when referring to the columns, rows and cells of the templates. Those numerical codes are extensively used in the validation rules.

• 5.The following general notation is followed in the instructions: {Template; Row; Column}.

• 6.In the case of validations inside a template, in which only data points of that template are used, notations do not refer to a template: {Row; Column}.

• 7.In the case of templates with only one column, only rows are referred to. {Template; Row}

• 8.An asterisk sign is used to express that the validation is done for the rows or columns specified before.

1.3.   SIGN CONVENTION

• 9.Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure is expected to be reported for that item.

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PART II: TEMPLATE RELATED INSTRUCTIONS

1. CAPITAL ADEQUACY OVERVIEW (‘CA’)

1.1.   GENERAL REMARKS

• 11.The CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and the application of Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions and is structured in five templates:

• (a) Template CA1 contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of the application of Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions per type of capital;

• (b) Template CA2 summarises the total risk exposures amounts as defined in Article 92(3) of Regulation (EU) No 575/2013;

• (c) Template CA3 contains the ratios for which Regulation (EU) No 575/2013 states a minimum level Pillar 2 ratios and some other related data;

• (d) Template CA4 contains memorandums items needed, among others, for calculating items in CA1 as well as information with regard to Directive 2013/36/EU capital buffers;

• (e) Template CA5 contains the data needed for calculating the effect of the application of Regulation (EU) No 575/2013 transitional provisions in own funds. CA5 will cease to exist once those transitional provisions expire.

• 12.The templates are to be used by all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.

• 13.The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1) and Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).

• 14.The application of Regulation (EU) No 575/2013 and Directive 2013/36/EU transitional provisions is treated as follows in CA templates:

• (a) The items in CA1 are generally gross of transitional adjustments. That means that figures in CA1 items are calculated in accordance with the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of those transitional provisions. For each type of capital (i.e. CET1; AT1 and T2), there are three different items in which all the adjustments due to those transitional provisions are included.

• (b) Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in Article 36(1), point (j) and Article 56 of Regulation (EU) No 575/2013, point (e) respectively), and thus the items containing those shortfalls may indirectly reflect the effect of those transitional provisions.

• (c) Template CA5 is exclusively used for reporting the effect due to the application of Regulation (EU) No 575/2013 transitional provisions.

• 15.The treatment of Pillar II requirements can be different within the Union (Article 104a(1) of Directive 2013/36/EU has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting required under Regulation (EU) No 575/2013.

• a) The templates CA1, CA2 or CA5 only contain data on Pillar I issues.

• b) The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. It mainly focuses on the target ratios themselves. There is no further link to the templates CA1, CA2 or CA5.

• c) The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. That cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104a(1) of Directive 2013/36/EU which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.

1.2.   C 01.00 - OWN FUNDS (CA1)

1.2.1.   Instructions concerning specific positions

Commission Delegated Regulation (EU) No 241/2014 of 7 January 2014 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for Own Funds requirements for institutions (OJ L 74, 14.3.2014, p. 8).

1.3.   C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

1.3.1.   Instructions concerning specific positions

1.4.   C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

1.4.1.   Instructions concerning specific positions