LegalizeCommission 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)
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.
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.
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.
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.
Article 17
Disclosure of remuneration policy
Institutions shall disclose the information referred to in Article 450 of Regulation (EU) No 575/2013, as follows:
- (a) the information referred to in Article 450(1), points (a) to (f), and points (j) and (k), and the information referred to in Article 450(2) of that Regulation, by using table EU REMA of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;
- (b) the information referred to in Article 450(1), points (h)(i) and (h)(ii), of Regulation (EU) No 575/2013 by using template EU REM1 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;
- (c) the information referred to in Article 450(1), points (h)(v), (h)(vi) and (h)(vii), of Regulation (EU) No 575/2013 by using template EU REM2 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;
- (d) the information referred to in Article 450(1), points (h)(iii) and (h)(iv), of Regulation (EU) No 575/2013 by using template EU REM3 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;
- (e) the information referred to in Article 450(1), points (g) and (i), of Regulation (EU) No 575/2013 by using templates EU REM4 and EU REM5 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation.
Article 18
Disclosure of encumbered and unencumbered assets
Institutions shall disclose the information referred to in Article 443 of Regulation (EU) No 575/2013 by using templates EU AE1, EU AE2 and EU AE3 and table EU AE4 of Annex XXXV to this Regulation and by following the instructions set out in Annex XXXVI to this Regulation.
Article 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 ([^E0001]) towards those counterparties that are subject to Articles 19a or 29a of Directive 2013/34/EU of the European Parliament and of the Council ([^E0002]), 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 ([^E0003]), 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 ([^E0004]), 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.
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 risk exposure amounts (TREA) | Total own funds requirements | ||
|---|---|---|---|---|
| a | b | c | ||
| T | T-1 | T | ||
| 1 | Credit risk (excluding CCR) | |||
| 2 | Of which the standardised approach | |||
| 3 | Of which the Foundation IRB (F-IRB) approach | |||
| 4 | Of which slotting approach | |||
| EU 4a | Of which equities under the simple riskweighted approach | |||
| 5 | Of which the Advanced IRB (A-IRB) approach | |||
| 6 | Counterparty credit risk - CCR | |||
| 7 | Of which the standardised approach | |||
| 8 | Of which internal model method (IMM) | |||
| EU 8a | Of which exposures to a CCP | |||
| EU 8b | Of which credit valuation adjustment - CVA | |||
| 9 | Of which other CCR | |||
| 10 | Not applicable | |||
| 11 | Not applicable | |||
| 12 | Not applicable | |||
| 13 | Not applicable | |||
| 14 | Not applicable | |||
| 15 | Settlement risk | |||
| 16 | Securitisation exposures in the non-trading book (after the cap) | |||
| 17 | Of which SEC-IRBA approach | |||
| 18 | Of which SEC-ERBA (including IAA) | |||
| 19 | Of which SEC-SA approach | |||
| EU 19a | Of which 1 250 % / deduction | |||
| 20 | Position, foreign exchange and commodities risks (Market risk) | |||
| 21 | Of which the standardised approach | |||
| 22 | Of which IMA | |||
| EU 22a | Large exposures | |||
| 23 | Operational risk | |||
| EU 23a | Of which basic indicator approach | |||
| EU 23b | Of which standardised approach | |||
| EU 23c | Of which advanced measurement approach | |||
| 24 | Amounts below the thresholds for deduction (subject to 250 % risk weight) | |||
| 25 | Not applicable | |||
| 26 | Not applicable | |||
| 27 | Not applicable | |||
| 28 | Not applicable | |||
| 29 | Total |
Template EU KM1 - Key metrics template
| a | b | c | d | e | ||
|---|---|---|---|---|---|---|
| T | T-1 | T-2 | T-3 | T-4 | ||
| Available own funds (amounts) | Available own funds (amounts) | Available own funds (amounts) | Available own funds (amounts) | Available own funds (amounts) | Available own funds (amounts) | |
| 1 | Common Equity Tier 1 (CET1) capital | |||||
| 2 | Tier 1 capital | |||||
| 3 | Total capital | |||||
| Risk-weighted exposure amounts | Risk-weighted exposure amounts | Risk-weighted exposure amounts | Risk-weighted exposure amounts | Risk-weighted exposure amounts | Risk-weighted exposure amounts | |
| 4 | Total risk exposure amount | |||||
| Capital ratios (as a percentage of risk-weighted exposure amount) | Capital ratios (as a percentage of risk-weighted exposure amount) | Capital ratios (as a percentage of risk-weighted exposure amount) | Capital ratios (as a percentage of risk-weighted exposure amount) | Capital ratios (as a percentage of risk-weighted exposure amount) | Capital ratios (as a percentage of risk-weighted exposure amount) | |
| 5 | Common Equity Tier 1 ratio (%) | |||||
| 6 | Tier 1 ratio (%) | |||||
| 7 | Total capital ratio (%) | |||||
| Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount) | Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount) | Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount) | Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount) | Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount) | 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) | Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount) | Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount) | Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount) | Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount) | Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount) | |
| 8 | Capital conservation buffer (%) | |||||
| EU 8a | Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%) | |||||
| 9 | Institution specific countercyclical capital buffer (%) | |||||
| EU 9a | Systemic risk buffer (%) | |||||
| 10 | Global Systemically Important Institution buffer (%) | |||||
| EU 10a | Other Systemically Important Institution buffer (%) | |||||
| 11 | Combined buffer requirement (%) | |||||
| EU 11a | Overall capital requirements (%) | |||||
| 12 | CET1 available after meeting the total SREP own funds requirements (%) | |||||
| Leverage ratio | Leverage ratio | Leverage ratio | Leverage ratio | Leverage ratio | Leverage ratio | |
| 13 | Total exposure measure | |||||
| 14 | Leverage ratio (%) | |||||
| Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure) | Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure) | Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure) | Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure) | Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure) | 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) | Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure) | Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure) | Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure) | Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure) | 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 | Liquidity Coverage Ratio | Liquidity Coverage Ratio | Liquidity Coverage Ratio | Liquidity Coverage Ratio | Liquidity Coverage Ratio | |
| 15 | Total high-quality liquid assets (HQLA) (Weighted value -average) | |||||
| EU 16a | Cash outflows - Total weighted value | |||||
| EU 16b | Cash inflows - Total weighted value | |||||
| 16 | Total net cash outflows (adjusted value) | |||||
| 17 | Liquidity coverage ratio (%) | |||||
| Net Stable Funding Ratio | Net Stable Funding Ratio | Net Stable Funding Ratio | Net Stable Funding Ratio | Net Stable Funding Ratio | Net Stable Funding Ratio | |
| 18 | Total available stable funding | |||||
| 19 | Total required stable funding | |||||
| 20 | NSFR ratio (%) |
Template EU INS1 - Insurance participations
| a | b | ||
|---|---|---|---|
| Exposure value | Risk exposure amount | ||
| 1 | Own fund instruments held in insurance or re-insurance undertakings or insurance holding company not deducted from own funds |
Template EU INS2 - Financial conglomerates information on own funds and capital adequacy ratio
| a | ||
|---|---|---|
| T | ||
| 1 | Supplementary own fund requirements of the financial conglomerate (amount) | |
| 2 | Capital adequacy ratio of the financial conglomerate (%) |
Table EU OVC - ICAAP information
Internal Capital Adequacy Assessment Process + ongoing assessment of the bank's risks, how the bank intends to mitigate those risks and how much current and future capital is necessary having considered other mitigating factors
Free format text boxes for disclosure on qualitative items
| Legal basis | Row number | Free format |
|---|---|---|
| Article 438(a) CRR | (a) | Approach to assessing the adequacy of the internal capital |
| Article 438(c) CRR | (b) | Upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process |
ANNEX II
Instructions for overview disclosure templates
Template EU OV1 – Overview of total risk exposure amounts. Fixed format
- 1.Institutions shall apply the instructions below to complete template EU OV1 as presented in Annex I to this Implementing Regulation, in application of point (d) of Article 438 of Regulation (EU) No 575/2013 ([^E0005]) (‘CRR’).
- 2.Institutions shall explain, where relevant, in the narrative accompanying the template, the effect that applying capital floors and not deducting items from own funds has on the calculation of own funds and risk exposure amounts.
| Legal references and instructions | Legal references and instructions |
| Column number | Explanation |
| a | Total risk exposure amounts (TREA) Total risk exposure amount calculated in accordance with Articles 92(3) and Articles 95, 96 and 98 CRR |
| b | TREA (T-1) TREA as disclosed in the previous disclosure period |
| c | Total own funds requirements Own fund requirements corresponding to the RWEAs for the different risk categories |
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 1 | Credit risk (excluding CCR) RWEAs and own funds requirements calculated in accordance with Chapters 1 to 4 of Title II of Part Three CRR, and with Article 379 CRR. RWEAs for securitisation exposures in the non-trading book and for CCR are excluded and disclosed in rows 6 and 16 of this template. Institutions shall include, in the amount disclosed in this row, RWEAs and own funds requirements for free deliveries risk calculated in accordance with Article 379 CRR. |
| 2 | Credit risk (excluding CCR) - Of which the standardised approach RWEAs and own funds requirements calculated in accordance with the CR standardised approach (Chapter 2 of Title II of Part Three CRR and Article 379 CRR). |
| 3 | Credit risk (excluding CCR) - Of which the Foundation IRB (F-IRB) approach RWEAs and own funds requirements calculated in accordance with the CR – Foundation Internal Ratings Based Approach (Chapter 3 of Title II of Part Three CRR), excluding the RWEAs disclosed in row 4 for specialised lending exposures subject to the slotting approach, and in row EU 4a for equities under the simple risk weighted approach, and including the RWEAs and own funds requirements calculated in accordance with Article 379 CRR. |
| 4 | Credit risk (excluding CCR) - Of which: slotting approach RWEAs and own funds requirements for specialised lending exposures subject to the slotting approach calculated in accordance with Article 153(5) CRR. |
| EU 4a | Credit risk (excluding CCR) - Of which: equities under the simple risk weighted approach RWEAs and own funds requirements for equities under the simple risk weighted approach calculated in accordance with Article 155(2) CRR. |
| 5 | Credit risk (excluding CCR) - Of which the Advanced IRB (A-IRB) approach RWEAs and own funds requirements calculated in accordance with the CR – Advanced Internal Ratings Based Approach (Chapter 3 of Title II of Part Three CRR), excluding the RWEAs disclosed in row 4 for specialised lending exposures subject to the slotting approach and in row EU 4a for equities under the simple risk weighted approach and including the RWEAs and own funds requirements calculated in accordance with Article 379 CRR. |
| 6 | Counterparty credit risk – CCR RWEAs and own funds requirements calculated in accordance with Chapter 6 of Title II of Part Three CRR for counterparty credit risk. |
| 7 | CCR - Of which the standardised approach RWEAs and own funds requirements calculated in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR. |
| 8 | CCR - Of which internal model method (IMM) RWEAs and own funds requirements calculated in accordance with Article 283 CRR. |
| EU 8a | CCR – Of which exposures to a CCP RWEAs and own funds requirements calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR. |
| EU 8b | CCR – Of which credit valuation adjustment – CVA RWEAs and own funds requirements calculated in accordance with Title VI of Part Three CRR. |
| 9 | CCR - Of which other CCR CCR RWEAs and own funds requirements that are not disclosed under rows 7, 8, EU 8a and EU 8b. |
| 10 | Not applicable |
| 11 | Not applicable |
| 12 | Not applicable |
| 13 | Not applicable |
| 14 | Not applicable |
| 15 | Settlement risk Risk exposure amount (REA) and own funds requirements calculated for settlement/delivery risk in accordance with Article 378 CRR. |
| 16 | Securitisation exposures in the non-trading book (after the cap) RWEAs and own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR. |
| 17 | Securitisation - Of which SEC-IRBA approach RWEAs and own funds requirements calculated in accordance with the SEC-IRBA regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR. |
| 18 | Securitisation - Of which SEC-ERBA (including IAA) RWEAs and own funds requirements calculated in accordance with the SEC-ERBA (including IAA) regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR. |
| 19 | Securitisation - Of which SEC-SA approach RWEAs and own funds requirements calculated in accordance with the SEC-SA regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR. |
| EU 19a | Securitisation - Of which 1 250 % / deduction RWEAs and own funds requirements for securitisation exposures on the non-trading book risk-weigh at 1 250 % or deducted from own funds in accordance with Chapter 5 of Title II of Part Three CRR. |
| 20 | Position, foreign exchange and commodities risks (Market risk) RWEAs and own funds requirements calculated in accordance with Title IV of Part Three CRR. |
| 21 | Market risk - Of which the standardised approach RWEAs and own funds requirements calculated in accordance with Chapters 2 to 4 of Title IV of Part Three CRR. |
| 22 | Market risk - Of which IMA REA and own funds requirements calculated in accordance with Chapter 5 of Title IV of Part Three CRR. |
| EU 22a | Large exposures REA and own funds requirements calculated in accordance with point (b)(ii) of Article 92(3) CRR. |
| 23 | Operational risk REA and own funds requirements calculated in accordance with Title III of Part Three CRR. |
| EU 23a | Operational risk - Of which basic indicator approach REA and own funds requirements calculated in accordance with Chapter 2 of Title III of Part Three CRR. |
| EU 23b | Operational risk - Of which standardised approach REA and own funds requirements calculated in accordance with Chapter 3 of Title III of Part Three CRR. |
| EU 23c | Operational risk - Of which advanced measurement approach REA and own funds requirements calculated in accordance with Chapter 4 of Title III of Part Three CRR. |
| 24 | Amount below the thresholds for deduction (subject to 250% risk weight) The amount shall correspond to the sum of amounts of the items subject to a 250% risk weight referred to in Article 48(4) CRR after application of the 250% risk weight. Those amounts include: — deferred tax assets that are dependent on future profitability and arise from temporary differences, and in aggregate are equal to or less than 10 % of the Common Equity Tier 1 items of the institution calculated in accordance with point (a) of Article 48(1) CRR. — significant investments in a financial sector entity, the direct, indirect and synthetic holdings of that institution of the Common Equity Tier 1 instruments of those entities that in aggregate are equal to, or less than, 10 % of the Common Equity Tier 1 items of the institution calculated in accordance with point (b) of Article 48(1) CRR. The information in this row is disclosed for information purposes only as the amount included here is also included in row 1, where institutions are asked to disclose information on credit risk. |
| 25 | Not applicable |
| 26 | Not applicable |
| 27 | Not applicable |
| 28 | Not applicable |
| 29 | Total Total risk exposure amount calculated in accordance with Article 92(3) and Articles 95, 96 and 98 CRR. |
Template EU KM1 – Key metrics template. Fixed format
- 3.Institutions shall apply the instructions provided below in this Annex to complete template EU KM1 presented in Annex I to this Implementing Regulation, in application of points (a) to (g) of Article 447 CRR and in application of point (b) of Article 438 CRR.
| Legal references and instructions | 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 | Legal references and instructions |
| Row number | Explanation |
| 1 | Common Equity Tier 1 (CET1) capital Amount of CET1 capital shall be the amount disclosed by institutions inf Annex VII to this Implementing Regulation (row 29 of template EU CC1 Composition of regulatory own funds) |
| 2 | Tier 1 capital Amount of Tier 1 capital shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 45 of template EU CC1 Composition of regulatory own funds) |
| 3 | Total capital Amount of total capital shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 59 of template EU CC1 Composition of regulatory own funds) |
| 4 | Total risk exposure amount Amount of total risk exposure amount (TREA) shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 60 of template EU CC1 Composition of regulatory own funds) |
| 5 | Common Equity Tier 1 ratio (%) CET1 capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 61 of template EU CC1 Composition of regulatory own funds) |
| 6 | Tier 1 ratio (%) Tier 1 capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 62 of template EU CC1 Composition of regulatory own funds) |
| 7 | Total capital ratio (%) Total capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 63 of template EU CC1 Composition of regulatory own funds) |
| EU 7a | Additional own funds requirements to address risks other than the risk of excessive leverage (%) Additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total risk exposure amount. |
| EU 7b | of which: to be made up of CET1 capital (percentage points) The part of the additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with Common Equity Tier 1 capital in accordance with the first and third subparagraph of Article 104a(4). |
| EU 7c | of which: to be made up of Tier 1 capital (percentage points) The part of the additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with Tier 1 capital in accordance with the first and third subparagraph of Article 104a(4). |
| EU 7d | Total SREP own funds requirements (TSCR ratio) (%) The sum of values determined under points (i) and (ii) as follows: (i) the total capital ratio (8%) as specified in point (c) of Article 92(1) CRR; (ii) the additional own funds requirements to address risks other than the risk of excessive leverage (Pillar 2 Requirements – P2R) imposed by the competent authority under point (a) of Article 104(1) CRD and determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing [^E0006] (‘EBA SREP GL’), expressed as a percentage of the total RWEAs. This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 EBA SREP GL. Where no additional own funds requirements imposed to address risks other than the risk of excessive leverage were communicated by the competent authority, only point (i) shall be disclosed. |
| 8 | Capital conservation buffer (%) Amount of own funds that institutions are required to maintain in accordance with Article 128(1) and Article 129 CRD, expressed as a percentage of total RWEAs. |
| EU 8a | Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%) Amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, expressed as a percentage of total RWEAs. |
| 9 | Institution specific countercyclical capital buffer (%) Amount of own funds that institutions are required to maintain in accordance with Article 128(2), Article 130, and Articles 135 to 140 CRD, expressed as a percentage of total RWEAs. The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date. |
| EU 9a | Systemic risk buffer (%) Amount of own funds that institutions are required to maintain in accordance with Article 128(5), Articles 133 and 134 CRD, expressed as a percentage of total RWEAs. The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date. |
| 10 | Global Systemically Important Institution buffer (%) Amount of own funds that institutions are required to maintain in accordance with Article 128 (3) and Article 131 CRD, expressed as a percentage of total RWEAs. The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date. |
| EU 10a | Other Systemically Important Institution buffer (%) Amount of own funds that institutions are required to maintain in accordance with Article 128(4) and Article 131 CRD, expressed as a percentage of total RWEAs. The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date. |
| 11 | Combined buffer requirement (%) In accordance with point (6) of Article 128 CRD, expressed as a percentage of total RWEAs. |
| EU 11a | Overall capital requirements (OCR) (%) The sum of (i) and (ii) as follows: (i) the TSCR ratio referred to in row EU 7d; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD. This item shall reflect the Overall Capital Requirement (OCR) ratio as defined in Section 1.2 EBA SREP GL. Where no buffer requirement is applicable, only point (i) shall be disclosed. |
| 12 | CET1 available after meeting the total SREP own funds requirements (%) |
| 13 | Total exposure measure Total exposure measure in accordance with the amount disclosed by institutions in Annex XI to this Implementing Regulation (row 24 of template EU LR2 - LRCom: Leverage ratio common disclosure) |
| 14 | Leverage ratio (%) Leverage ratio in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row 25 of template EU LR2 - LRCom: Leverage ratio common disclosure) |
| EU 14a | Additional own funds requirements to address the risk of excessive leverage (%) The additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total exposure measure. Additional own funds requirements in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row EU-26a of template EU LR2 - LRCom: Leverage ratio common disclosure). |
| EU 14b | of which: to be made up of CET1 capital (percentage points) The part of the additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with CET1 capital in accordance with the third subparagraph of Article 104a(4). Additional own funds requirements in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row EU-26b of template EU LR2 - LRCom: Leverage ratio common disclosure). |
| EU 14c | Total SREP leverage ratio requirements (%) The sum of (i) and (ii) as follows: (i) the minimum leverage ratio requirement as specified in point (d) of Article 92(1) CRR or the adjusted leverage ratio requirement calculated in accordance with Article 429a(7) CRR, as applicable; (ii) the additional own funds requirements to address the risk of excessive leverage (Pillar 2 Requirements – P2R) imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total exposure measure. This item shall reflect the total SREP leverage ratio requirement (TSLRR) as communicated to the institution by the competent authority. If no additional own funds requirements to address the risk of excessive leverage were imposed by the competent authority, only point (i) shall be disclosed. |
| EU 14d | Leverage ratio buffer requirement (%) Article 92(1a) CRR Applicable leverage ratio buffer in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row 27 of template EU LR2 - LRCom: Leverage ratio common disclosure) |
| EU 14e | Overall leverage ratio requirement (%) Sum of rows EU 14c and EU 14d |
| 15 | Total high-quality liquid assets (HQLA) (Weighted value - average) Institutions shall disclose as the weighted value the value of the liquid assets in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 [^E0007] before applying the adjustment mechanism set out in Article 17(2) of Delegated Regulation (EU) 2015/61. |
| EU 16a | Cash outflows - Total weighted value Institutions shall disclose the sum of the weighted value of their cash outflows, as disclosed in Annex XIII (row 16 of Template EU LIQ1 - Quantitative information of LCR). |
| EU 16b | Cash inflows - Total weighted value Institutions shall disclose the sum of the weighted value of their cash inflows, as disclosed in Annex XIII (row 20 of Template EU LIQ1 - Quantitative information of LCR. |
| 16 | Total net cash outflows (Adjusted value) Institutions shall disclose as the adjusted value the net liquidity outflow which equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90% cap less the reduction for inflows subject to the 75% cap. |
| 17 | Liquidity coverage ratio (%) Institutions shall disclose as the adjusted value the percentage of the item 'Liquidity coverage ratio (%)' as defined in Article 4(1) of Delegated Regulation (EU) 2015/61. The liquidity coverage ratio shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar days stress period and shall be expressed as a percentage. |
| 18 | Total available stable funding Institutions shall disclose the amount of available stable funding calculated in accordance with Chapter 3 of Title IV of Part Six CRR, as disclosed in Annex XIII (row 14 of Template EU LIQ2 – Net Stable Funding Ratio). |
| 19 | Total required stable funding Institutions shall disclose the amount of required stable funding calculated in accordance with Chapter 4 of Title IV of Part Six CRR, as disclosed in Annex XIII (row 33 of Template EU LIQ2 – Net Stable Funding Ratio). |
| 20 | NSFR ratio (%) NSFR ratio calculated in accordance with Article 428b CRR. |
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.
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
- 4.Institutions shall apply the instructions provided below in this Annex to complete template EU INS1 as presented in Annex I, in application of point (f) of Article 438 CRR.
| Legal references and instructions | Legal references and instructions |
| Column number | Explanation |
| a | Exposure value Exposure value of own fund instruments held in any insurance undertaking, re-insurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 CRR when calculating their capital requirements on an individual, sub-consolidated and consolidated basis. |
| b | Risk exposure amount Risk exposure amount of own fund instruments held in any insurance undertaking, re-insurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 CRR when calculating their capital requirements on an individual, sub-consolidated and consolidated basis. |
Template EU INS2 – Financial conglomerates - Information on own funds and capital adequacy ratio. Fixed format
- 5.Institutions shall apply the instructions provided below in this Annex to complete template EU INS2 presented in Annex I to this Implementing Regulation, in application of point (g) of Article 438 CRR.
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 1 | Supplementary own fund requirements of the financial conglomerate (amount) The amount of supplementary own fund requirements of the financial conglomerate calculated in accordance with Article 6 of Directive (EC) 2002/87 of European Parliament and of the Council [^E0008] and Annex I to that Directive where methods 1 or 2 set out in Annex I are applied. |
| 2 | Capital adequacy ratio of the financial conglomerate (%) The capital adequacy ratio of the financial conglomerate calculated in accordance with Article 6 of Directive (EC) 2002/87 and Annex I to that Directive where methods 1 or 2 set out in Annex I are applied. |
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
- 6.Institutions shall apply the instructions provided below in this Annex to complete table EU OVC as presented in Annex I, in application of points (a) and (c) of Article 438 CRR.
| Legal references and instructions | 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
- 1.Institutions shall disclose the information referred to Article 435(1) of Regulation (EU) 575/2013 ([^E0009]) (‘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.
Reading this document does not replace reading the official text published in the Official Journal of the European Union. We assume no responsibility for any inaccuracies arising from the conversion of the original to this format.
This text is published under EUR-Lex's own terms of reuse, not a Legalize or public-domain licence.
EUR-Lex
Creative Commons Attribution 4.0 International (CC BY 4.0)
© European Union, https://eur-lex.europa.eu — Source: EUR-Lex (Publications Office of the European Union). Reused under the Creative Commons Attribution 4.0 International (CC BY 4.0) licence. Only EU legislation published in the printed Official Journal of the European Union is deemed authentic; consolidated texts are reproduced here for documentation purposes and have been reformatted to Markdown.