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)

Article 1

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

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

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

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.

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 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

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 (¹) towards those counterparties that are subject to Articles 19a or 29a of Directive 2013/34/EU of the European Parliament and of the Council (²), 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 (³), 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.

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;