|
|
| Legal references and instructions |
Legal references and instructions |
| Row number |
Explanation |
| 1 |
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 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 variable remuneration |
| 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. |
| 7 |
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. |
| 13 |
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. |
| 19 |
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; sum of amounts in rows 20, 21, 22, 23 and 24 of this template |
| 25 |
Total amount Sum of amounts in rows 1, 7, 13 and 19 of this template |
| Column letter |
Explanation |
| a |
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) |
| b |
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 |
| c |
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 |
| d |
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 |
| e |
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 |
| f |
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 |
- 7.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.
- 8.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.
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| Legal references and instructions |
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 |
| a |
Number of identified staff that have been remunerated EUR 1 million or more per financial year Institutions shall disclose information based on headcount. |
- 9.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.
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| Legal references and instructions |
Legal references and instructions |
| Row number |
Explanation |
| 1 |
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. |
| 2 |
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 |
| 3 |
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 |
| 4 |
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 |
| 5 |
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 [^E0055], 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. |
| 6 |
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. |
| 7 |
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. |
| i |
All other All other business areas that were not covered in the previous columns separately Information shall be disclosed based on FTE. |
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
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Carrying amount of encumbered assets |
Carrying amount of encumbered assets |
Fair value of encumbered assets |
Fair value of encumbered assets |
Carrying amount of unencumbered assets |
Carrying amount of unencumbered assets |
Fair value of unencumbered assets |
Fair value of unencumbered assets |
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of which notionally eligible EHQLA and HQLA |
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of which notionally eligible EHQLA and HQLA |
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of which EHQLA and HQLA |
|
of which EHQLA and HQLA |
|
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010 |
030 |
040 |
050 |
060 |
080 |
090 |
100 |
| 010 |
Assets of the disclosing institution |
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| 030 |
Equity instruments |
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| 040 |
Debt securities |
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| 050 |
of which: covered bonds |
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| 060 |
of which: securitisations |
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| 070 |
of which: issued by general governments |
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| 080 |
of which: issued by financial corporations |
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| 090 |
of which: issued by non-financial corporations |
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| 120 |
Other assets |
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Template EU AE2 - Collateral received and own debt securities issued
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Fair value of encumbered collateral received or own debt securities issued |
Fair value of encumbered collateral received or own debt securities issued |
Unencumbered |
Unencumbered |
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Fair value of encumbered collateral received or own debt securities issued |
Fair value of encumbered collateral received or own debt securities issued |
Fair value of collateral received or own debt securities issued available for encumbrance |
Fair value of collateral received or own debt securities issued available for encumbrance |
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of which notionally eligible EHQLA and HQLA |
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of which EHQLA and HQLA |
|
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010 |
030 |
040 |
060 |
| 130 |
Collateral received by the disclosing institution |
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| 140 |
Loans on demand |
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| 150 |
Equity instruments |
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| 160 |
Debt securities |
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| 170 |
of which: covered bonds |
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| 180 |
of which: securitisations |
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| 190 |
of which: issued by general governments |
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| 200 |
of which: issued by financial corporations |
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| 210 |
of which: issued by non-financial corporations |
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| 220 |
Loans and advances other than loans on demand |
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| 230 |
Other collateral received |
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| 240 |
Own debt securities issued other than own covered bonds or securitisations |
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| 241 |
Own covered bonds and securitisations issued and not yet pledged |
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| 250 |
TOTAL COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED |
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Template EU AE3 - Sources of encumbrance
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Matching liabilities, contingent liabilities or securities lent |
Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered |
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010 |
030 |
| 010 |
Carrying amount of selected financial liabilities |
|
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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
- 1.Institutions shall disclose the information referred to in Article 443 of Regulation (EU) 575/2013 ([^E0056]) (‘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.
- 2.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 ([^E0057]) shall apply.
- 3.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.
- 4.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.
- 5.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.
- 6.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
- 7.Institutions shall complete template EU AE1, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below.
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| Legal references and instructions |
Legal references and instructions |
| Row number |
Explanation |
| 010 |
Assets of the disclosing institution International Accounting Standards (IAS) 1.9 (a), Implementation Guidance (IG) 6, in the case of IFRS institutions Total assets of the institution registered in its balance sheet, with the exception of own debt securities and own equity instruments when the applicable accounting standards allow their recognition on-balance sheet The value disclosed in this row shall be the median of the sums of four quarterly end-of-period values over the previous twelve months for rows 030, 040 and 120. |
| 030 |
Equity instruments The median values of equity instruments as defined in the applicable accounting principles (IAS 32.1 in the case of IFRS institutions), with the exception of own equity instruments when the applicable accounting standards allow their recognition on-balance sheet |
| 040 |
Debt securities The median values of debt instruments held by the institution issued as securities that are not loans in accordance with the Regulation (EU) 1071/2013 of the European Central Bank (‘ECB BSI Regulation’) [^E0058], with the exception of own debt securities when the applicable accounting standards allow their recognition on-balance sheet |
| 050 |
of which: covered bonds The median values of debt securities held by the institution that are bonds referred to in the first subparagraph of Article 52(4) of Directive (EC) 2009/65 [^E0059], irrespective of whether these instruments take the legal form of a security or not |
| 060 |
of which: securitisations The median values of debt securities held by the institution that are securitisation positions as defined in point (62) of Article 4(1) CRR |
| 070 |
of which: issued by general governments The median values of debt securities held by the institution which are issued by general governments |
| 080 |
of which: issued by financial corporations The median values of debt securities held by the institution issued by credit institutions as defined in point (1) of Article 4(1) CRR and by other financial corporations Other financial corporations shall include all financial corporations and quasi-corporations other than credit institutions such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries, financial auxiliaries and captive financial institutions and money lenders. |
| 090 |
of which: issued by non-financial corporations The median values of debt securities held by the institution issued by corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services in accordance with the ECB BSI Regulation |
| 120 |
Other assets The median value of other assets of the institution registered in the balance sheet, other than those disclosed in the above rows and different from own debt securities and own equity instruments that may not be derecognised from the balance sheet by a non-IFRS institution In this case, own debt instruments shall be included in row 240 of template EU AE2 and own equity instruments excluded from the asset encumbrance disclosure. Other assets shall include cash on hand (holding of national and foreign banknotes and coins in circulation that are commonly used to make payments), loans on demand (IAS 1.54(i) for IFRS institutions) including the balances receivable on demand at central banks and other institutions. Other assets also include loans and advances other than loans on demand, that is, debt instruments held by the institutions that are not securities, other than balances receivable on demand, including loans collateralized by immovable property as defined in point (a) of paragraph 86 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. Other assets may also include intangible assets, including goodwill, deferred tax assets, property, plant and other fixed assets, derivative assets, reverse repo and stock borrowing receivables. When underlying assets and cover pool assets of retained securitisations and retained covered bonds are loans on demand or loans and advances other than loans on demand, they shall also be included in this row. |
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).
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).
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| Legal references and instructions |
Legal references and instructions |
| Column number |
Explanation |
| 010 |
Carrying amount of encumbered assets The median value of the carrying amount of the assets held by the institution that are encumbered Carrying amount shall mean the amount on the asset side of the balance sheet. For each asset class, the disclosed carrying amount shall be the median value of the different disclosed carrying amounts at the end of each disclosure period considered for the computation of the median. |
| 030 |
of which: notionally eligible EHQLA and HQLA The median value of the carrying amount of encumbered assets which are notionally eligible to the qualification of assets of extremely high liquidity and credit quality (EHQLA) and assets of high liquidity and credit quality (HQLA) For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be those assets listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 [^E0060] and that would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with Annex XVII to Commission Implementing Regulation (EU) 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Delegated Regulation (EU) 2015/61. The carrying amount of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. For each asset class, the disclosed carrying amount shall be the median value of the different disclosed carrying amounts at the end of each disclosure period considered for the computation of the median. |
| 040 |
Fair value of encumbered assets The median value of the fair value of the debt securities held by the disclosing institution that are encumbered in accordance with the definition of asset encumbrance Fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement and IFRS 13 and Article 8 of Directive 2013/34/EU [^E0061] for non-IFRS institutions). For each asset class, disclosed fair value shall be the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
| 050 |
of which: notionally eligible EHQLA and HQLA The median value of the fair value of encumbered assets that are notionally eligible to the qualification of EHQLA and HQLA. For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA are those assets listed in Articles 10, 11, 12, 13, 15 and 16 of Delegated Regulation (EU) 2015/61 and that would comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, were it not for their status as encumbered assets in accordance with Annex XVII to Commission Implementing Regulation (EU) 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. For each asset class, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
| 060 |
Carrying amount of unencumbered assets The median value of the carrying amount of the assets held by the institution that are unencumbered in accordance with the definition provided of asset encumbrance. Carrying amount means the disclosed amount in the asset side of the balance sheet. For each asset class, the disclosed carrying amount is the median value of the different disclosed carrying amounts at the end of each disclosure period considered for the computation of the median. |
| 080 |
of which: EHQLA and HQLA The median value of the carrying amount of unencumbered EHQLA and HQLA as listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 and that comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The carrying amount of EHQLA and HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. For each asset class, the disclosed carrying amount is the median value of the different disclosed carrying amounts at the end of each disclosure period considered for the computation of the median. |
| 090 |
Fair value of unencumbered assets The median value of fair value of the debt securities held by the institution that are unencumbered. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement and IFRS 13 and Article 8 of Directive (EU) 2013/34). For each asset class, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
| 100 |
of which: EHQLA and HQLA The median value of the fair value of unencumbered EHQLA and HQLA as listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 and that comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. For each asset class, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
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).
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).
Template EU AE2 - Collateral received and own debt securities issued
- 8.Institutions shall complete template EU AE2, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below.
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| Legal references and instructions |
Legal references and instructions |
| Row number |
Explanation |
| 130 |
Collateral received by the disclosing institution All classes of collateral received by the institution. All securities received by a borrower institution in any securities borrowing transactions shall be disclosed in this row. The total collateral received by the institution is the median of the sums of four quarterly end of period values over the previous twelve months for rows 140 to 160, 220 and 230. |
| 140 |
Loans on demand The median value of collateral received by the institution that comprises loans on demand shall be disclosed in this row (see legal references and instructions regarding row 120 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
| 150 |
Equity instruments The median value of collateral received by the institution that comprises equity instruments (see legal references and instructions regarding row 030 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transactions. |
| 160 |
Debt securities The median value of collateral received by the institution that comprises debt securities (see legal references and instructions regarding row 040 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
| 170 |
of which: covered bonds The median value of collateral received by the institution that comprises covered bonds (see legal references and instructions regarding row 050 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
| 180 |
of which: securitisations The median value of collateral received by the institution that comprises asset- backed securities (see legal references and instructions regarding row 060 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
| 190 |
of which: issued by general governments The median value of collateral received by the institution that comprises debt securities issued by general governments (see legal references and instructions regarding row 070 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
| 200 |
of which: issued by financial corporations The median value of collateral received by the institution that comprises debt securities issued by financial corporations (see legal references and instructions regarding row 080 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
| 210 |
of which: issued by non-financial corporations The median value of collateral received by the institution that comprises debt securities issued by non-financial corporations (see legal references and instructions regarding row 090 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
| 220 |
Loans and advances other than loans on demand The median value of collateral received by the institution that comprises loans and advances other than loans on demand (see legal references and instructions regarding row 120 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
| 230 |
Other collateral received The median value of collateral received by the institution that comprises other assets (see legal references and instructions regarding row 120 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction. |
| 240 |
Own debt securities issued other than own covered bonds or securitisations The median value of own debt securities issued other than own covered bonds or securitisations. As the retained or repurchased own debt securities issued, in accordance with IAS 39.42, for IFRS institutions, decrease the relating financial liabilities, these securities are not included in the category of assets of the disclosing institution. Own debt securities that may not be derecognised from the balance sheet by a non-IFRS institution shall be included in this row. |
| 241 |
Own covered bonds and securitisations issued and not yet pledged The median value of own covered bonds and securitisations issued that are retained by the disclosing institution and not encumbered. To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the disclosing institution: (a) where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be disclosed in template EU AE1 as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations. (b) where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be disclosed in template EU AE1 as unencumbered assets. |
| 250 |
Total collateral received and own debt securities issued All classes of collateral received by the institution and own debt securities issued retained by the institution that are not own covered bonds issued or own securitisations issued. This row is the sum of the median values for row 010 in template EU AE1 and rows 130 and 240 in template EU AE2. |
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| Legal references and instructions |
Legal references and instructions |
| Column number |
Explanation |
| 010 |
Fair value of encumbered collateral received or own debt securities issued The median of the fair value of the collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are encumbered in accordance with Article 100 CRR. The fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (as in IFRS 13 Fair Value Measurement for IFRS institutions). For each item of collateral, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
| 030 |
of which: notionally eligible EHQLA and HQLA The median value of the fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA. For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA are items of collateral received or own debt securities issued held/retained by the institution listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 and that would comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, were it not for their status as encumbered assets in accordance with Annex XVII to Commission Implementing Regulation (EU) 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. For each item of collateral, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
| 040 |
Fair value of collateral received or own debt securities issued available for encumbrance The median of the fair value of the collateral received, including in any securities borrowing transaction, by the institution that are unencumbered but are available for encumbrance since the institution is permitted to sell or re-pledge it in absence of default by the owner of the collateral. It also includes the fair value of own debt securities issued, other than own covered bonds or securitisation positions, that are unencumbered but available for encumbrance. For each item of collateral, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. |
| 060 |
of which: EHQLA and HQLA The median value of the fair value of the unencumbered collateral received or own debt securities issued held/retained by the institution other than own covered bonds or securitisation positions available for encumbrance which qualify as EHQLA and HQLA as listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 and that comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. |
Template EU AE3 - Sources of encumbrance
- 9.Institutions shall complete template EU AE3, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below.
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| Legal references and instructions |
Legal references and instructions |
| Row number |
Explanation |
| 010 |
Carrying amount of selected financial liabilities The median value of the item ‘Carrying amount of selected financial liabilities’ of the institution, insofar as these liabilities entail asset encumbrance for that institution. |
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| --- |
--- |
| Legal references and instructions |
Legal references and instructions |
| Column number |
Explanation |
| 010 |
Matching liabilities, contingent liabilities or securities lent The median values of matching liabilities, contingent liabilities (loan commitments received and financial guarantees received) or securities lent with non-cash collateral, insofar as these transactions entail asset encumbrance for that institution. Financial liabilities are disclosed at their carrying amount; contingent liabilities are disclosed at their nominal value; and securities lent with non-cash collateral are disclosed at their fair values. Disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. Liabilities without any associated funding, such as derivatives, shall be included. |
| 030 |
Assets, collateral received and own securities issued other than covered bonds and securitisations encumbered The amount of the assets, collateral received and own securities issued other than covered bonds and securitisations that are encumbered as a result of the different types of transactions hereby disclosed. To ensure consistency with the criteria in templates EU AE1 and EU AE2, assets of the institution registered in the balance sheet shall be disclosed at the median value of their carrying amount, whereas re-used collateral received and encumbered own securities issued other than covered bonds and securitisations shall be disclosed at the median value of their fair value. Disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. Assets encumbered without matching liabilities shall also be included. |
- 10.Institutions shall complete table EU AE4, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below.
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|
| Legal references and instructions |
Legal references and instructions |
| Row number |
Explanation |
| a |
General narrative information on asset encumbrance, including: (a) an explanation of any difference between the regulatory consolidation scope used for the purpose of the disclosures on asset encumbrance and the scope retained for the application of the liquidity requirements on a consolidated basis as defined in Chapter 2 of Title I of Part Two CRR, which is used to define (E)HQLA eligibility; (b) an explanation of any difference between, on the one hand, pledged and transferred assets in accordance with the applicable accounting frameworks and as applied by the institution and, on the other hand, encumbered assets and an indication of any difference of treatment of transactions, such as when some transactions are deemed to lead to pledge or transfer of assets but not to encumbrance of assets, or vice versa; (c) the exposure value used for the purposes of disclosure and how median exposure values are derived. |
| b |
Narrative information relating to the impact of the institution’s business model on its level of encumbrance and the importance of encumbrance on the institution’s funding model, including the following: (a) the main sources and types of encumbrance, detailing, where applicable, encumbrance due to significant activities with derivatives, securities lending, repos, covered bonds issuance and securitisation; (b) the structure of encumbrance between entities within a group, and especially whether the encumbrance level of the consolidated group stems from particular entities and whether there is significant intragroup encumbrance; (c) information on over-collateralisation, especially regarding covered bonds and securitisations, and the incidence of over-collateralisation on the levels of encumbrance; (d) additional information on encumbrance of assets, collateral and off-balance sheet items and the sources of encumbrance by any significant currencies other than the reporting currency as referred to in Article 415(2) CRR; (e) a general description of the proportion of items included in column 060 'Carrying amount of unencumbered assets' in template EU AE1 that the institution would not deem available for encumbrance in the normal course of its business (e.g. intangible assets, including goodwill, deferred tax assets, property, plant and other fixed assets, derivative assets, reverse repo and stock borrowing receivables); (f) the amount of underlying assets and of cover pool assets of retained securitisations and retained covered bonds, and whether those underlying and cover pool assets are encumbered or unencumbered, along with the amount of associated retained securitisations and retained covered bonds; (g) where relevant for explaining the impact of their business model on their level of encumbrance, details (including quantitative information if relevant) on each of the following: (i) the types and amounts of encumbered and unencumbered assets included in row 120 of template EU AE1; (ii) the amounts and types of encumbered assets and off-balance sheet items included in row 010 of template EU AE3 that are not associated with any liabilities; (h) where relevant in the context of their use of encumbrance in relation to their business model, additional information on the breakdown of the following rows in the templates EU AE1, EU AE2 and EU AE3: (i) Row 120 of template EU AE1 - ‘Other assets’, (ii) Row 230 of template EU AE2 ‘Other collateral received’, (iii) Row 010 of template EU AE3 - ‘Carrying amount of selected financial liabilities’ (especially if part of the encumbrance of assets is associated with liabilities and another part is not). |
ANNEX XXXVII
Free format text boxes for disclosure of qualitative information
| Row number |
Qualitative information - free format |
Qualitative information - free format |
Legal basis |
| (a) |
A description of how the institution defines IRRBB for purposes of risk control and measurement |
|
Article 448(1), point (e) |
| (b) |
A description of the institution's overall IRRBB management and mitigation strategies |
|
Article 448(1), point (f) |
| (c) |
The periodicity of the calculation of the institution's IRRBB measures, and a description of the specific measures that the institution uses to gauge its sensitivity to IRRBB |
|
Article 448(1), points (e) (i) and (v); Article 448(2) |
| (d) |
A description of the interest rate shock and stress scenarios that the institution uses to estimate changes in the economic value and in net interest income (if applicable) |
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Article 448(1), point (e) (iii); Article 448(2) |
| (e ) |
A description of the key modelling and parametric assumptions different from those used for disclosure of template EU IRRBB1 (if applicable) |
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Article 448(1), point (e) (ii); Article 448(2) |
| (f) |
A high-level description of how the Institution hedges its IRRBB, as well as the associated accounting treatment (if applicable) |
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Article 448(1), point (e) (iv); Article 448(2) |
| (g) |
A description of key modelling and parametric assumptions used for the IRRBB measures in template EU IRRBB1 (if applicable) |
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Article 448(1), point (c); Article 448(2) |
| (h) |
Explanation of the significance of the IRRBB measures and of their significant variations since previous disclosures |
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Article 448(1), point (d) |
| (i) |
Any other relevant information regarding the IRRBB measures disclosed in template EU IRRBB1 (optional) |
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|
| (1) (2) |
Disclosure of the average and longest repricing maturity assigned to non-maturity deposits |
|
Article 448(1), point (g) |
Template EU IRRBB1 - Interest rate risks of non-trading book activities
| Supervisory shock scenarios |
Supervisory shock scenarios |
a |
b |
c |
d |
| Supervisory shock scenarios |
Supervisory shock scenarios |
Changes of the economic value of equity |
Changes of the economic value of equity |
Changes of the net interest income |
Changes of the net interest income |
| Supervisory shock scenarios |
Supervisory shock scenarios |
Current period |
Last period |
Current period |
Last period |
| 1 |
Parallel up |
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| 2 |
Parallel down |
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| 3 |
Steepener |
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| 4 |
Flattener |
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| 5 |
Short rates up |
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| 6 |
Short rates down |
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ANNEX XXXVIII
Instructions for interest rate risk on positions not held in the trading book disclosure templates
Disclosure instructions for Template EU IRRBBA
Institutions are to disclose the qualitative information specified below on the basis of their internal risk measurement system methodology, standardised methodology or the simplified standardised methodology, when applicable, in accordance with Article 84 of Directive 2013/36/EU.
These instructions have been developed based on the requirements in Article 448 of Regulation (EU) No 575/2013 and in line with the Basel Pillar 3 disclosure standard.
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| Legal references and instructions |
Legal references and instructions |
| Row number |
Explanation |
| (a) |
A description of how the institution defines IRRBB for purposes of risk control and measurement In accordance with Article 448(1), point (e), of Regulation (EU) No 575/2013, institutions are to provide a general description of how the interest rate risk of their non-trading book activities for the purposes of the competent authorities’ review in accordance with Article 84 of Directive 2013/36/EU is defined, measured, mitigated and controlled. |
| (b) |
A description of the institution’s overall IRRBB management and mitigation strategies In accordance with Article 448(1), point (f), of Regulation (EU) No 575/2013, institutions are to provide a general description of the overall IRRBB management and mitigation strategies, including:: the monitoring of economic value of equity and net interest income in relation to established limits, hedging practices, conduct of stress testing, outcome analysis, the role of independent audit, the role and practices of the asset and liability management committee, the institution’s practices to ensure appropriate model validation, and timely model updates in response to changing market conditions. |
| (c) |
The periodicity of the calculation of the institution’s IRRBB measures, and a description of the specific measures that the institution uses to gauge its sensitivity to IRRBB In accordance with Article 448(1), point (e)(i) and (v), of Regulation (EU) No 575/2013, institutions are to provide a general description of the specific risk measures that are used to estimate changes in their economic value of equity and in their net interest income and indicate the periodicity of the evaluation of the interest rate risks. In accordance with Article 448(2) of Regulation (EU) No 575/2013, the description of the specific risk measures used to gauge the sensitivity to IRRBB are not to apply to institutions that use the standardised methodology or the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU. |
| (d) |
A description of the interest rate shock and stress scenarios that the institution uses to estimate changes in the economic value and in net interest income (if applicable) In accordance with Article 448(1), point (e)(iii), of Regulation (EU) No 575/2013, institutions are to provide a general description of the interest rate shock scenarios used to estimate the interest rate risk. In accordance with Article 448(2) of Regulation (EU) No 575/2013, those disclosure requirements are not to apply to institutions that use the standardised methodology or the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU. |
| (e) |
A description of the key modelling and parametric assumptions different from those used for disclosure of template EU IRRBB1 (if applicable) In accordance with Article 448(1), point (e)(ii), of Regulation (EU) No 575/2013, where key modelling and parametric assumptions used in the institution’s internal measurement systems differ from those referred to in Article 98(5a) of Directive 2013/36/EU used for disclosure of template EU IRRBB1, the institution is to provide a general description of those assumptions, including the rationale for those differences (e.g. historical data, published research, management judgement and analysis, etc.). In accordance with Article 448(2) of Regulation (EU) No 575/2013, those disclosure requirements are not to apply to institutions that use the standardised methodology or the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU. |
| (f) |
A high-level description of how the institution hedges its IRRBB, as well as the associated accounting treatment (if applicable) Specifically, in accordance with Article 448(1), point (e)(iv), of Regulation (EU) No 575/2013, institutions are to identify the effect of hedges against their interest rate risks, including internal hedges that meet the requirements laid down in Article 106(3) of Regulation (EU) No 575/2013. In accordance with Article 448(2) of Regulation (EU) No 575/2013, those disclosure requirements are not to apply to institutions that use the standardised methodology or the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU. |
| (g) |
A description of key modelling and parametric assumptions used for the IRRBB measures in template EU IRRBB1 (if applicable) In accordance with Article 448(1), point (c), of Regulation (EU) No 575/2013, institutions are to provide a general description of the key modelling and parametric assumptions, other than those referred to in Article 98(5a), points (b) and (c), of Directive 2013/36/EU used for the purpose of calculating changes to the economic value of equity and to the net interest income in template EU IRRBB1. This general description is to include at least: (a) how the average repricing maturity of non-maturity deposits has been determined, including any unique product features that affect the assumed behavioural repricing date; (b) the methodology used to estimate the loan prepayment rates, and/or the early withdrawal rates for fixed-term deposits, and other significant assumptions; (c) any other assumptions, including for instruments with behavioural optionalities, that have a material impact on the IRRBB measures disclosed in template EU IRRBB1, including an explanation of why these are material. In accordance with Article 448(2) of Regulation (EU) No 575/2013, those disclosure requirements are not to apply to institutions that use the standardised methodology or the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU. |
| (h) |
Explanation of the significance of the IRRBB measures and of their significant variations since previous disclosures In accordance with Article 448(1), point (d), of Regulation (EU) No 575/2013, institutions are to provide a general explanation of the significance of the IRRBB measures disclosed in template EU IRRBB1 and of any significant variations of those IRRBB measures since the previous disclosure reference date. |
| (i) |
Any other relevant information regarding the IRRBB measures disclosed in template EU IRRBB1 (optional) Any other relevant information which institutions wish to disclose regarding the IRRBB measures included in template EU IRRBB1. . Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, institutions are to disclose the parameters used for the supervisory shock scenarios, the definition of net interest income they are using and any other relevant information for understanding how the changes of net interest income have been computed in template EU IRRBB1. |
| (1), (2) |
Disclosure of the average and longest repricing maturity assigned to non-maturity deposits In accordance with Article 448(1), point (g), of Regulation (EU) No 575/2013, institutions are to disclose the average and longest repricing maturity assigned to non-maturity deposits from retail and non-financial wholesale counterparties. The disclosure shall refer separately to both the core part and the full amount of non-maturity deposits from retail and non-financial wholesale counterparties. |
Disclosure instructions for Template EU IRRBB1
- 1.Institutions are to assess the interest rate risk of non-trading book activities on the basis of their internal measurement system methodology, standardised methodology or simplified standardised methodology, when applicable, as defined in accordance with Article 84 of Directive 2013/36/EU, given the supervisory shock scenarios and the common modelling and parametric assumptions defined in Article 98(5a) of Directive 2013/36/EU.
- 2.These instructions have been developed based on the requirements in Article 448 of Regulation (EU) No 575/2013 and in line with the Basel Pillar 3 disclosure standard.
- 3.Institutions are not required to provide in their first-time disclosure the information for the previous period.
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| Instructions for completing the disclosure template EU IRRBB1 |
Instructions for completing the disclosure template EU IRRBB1 |
| Column |
Explanation |
| a, b |
Changes of the economic value of equity Article 448(1), point (a), of Regulation (EU) No 575/2013. Institutions shall report the changes in the economic value of equity under each supervisory interest rate shock scenario, for the current and previous period, in accordance with the requirements under Articles 84 and 98(5) of Directive 2013/36/EU. |
| c, d |
Changes of the net interest income Article 448(1), point (b), of Regulation (EU) No 575/2013. Institutions shall report the changes in the net interest income under the two supervisory interest rate shock scenarios envisaged in the template for the current and previous period, in accordance with the requirements under Articles 84 and 98(5) of Directive 2013/36/EU. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, institutions shall describe the definition and key characteristics (scenarios, assumptions and net interest income horizons) of net interest income they are using in point (i) of table EU IRRBBA or, if they leave those columns blank, they shall explain the reasons in point (i) of table EU IRRBBA. |
| Row |
Explanation |
| 1 |
Parallel up Institutions are to disclose the changes of the economic value of equity and the changes of the net interest income under a constant parallel upward shock in the yield curve. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA. |
| 2 |
Parallel down Institutions are to disclose the changes of the economic value of equity and the changes of the net interest income under a constant parallel downward shock in the yield curve. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA. |
| 3 |
Steepener Institutions are to disclose the changes of the economic value of equity under a scenario of short rates down and long rates up of the yield curve. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA. |
| 4 |
Flattener Institutions are to disclose the changes of the economic value of equity under a scenario of short rates up and long rates down of the yield curve. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA. |
| 5 |
Short rates up Institutions are to disclose the changes of the economic value of equity under a scenario of short rates up of the yield curve. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA. |
| 6 |
Short rates down Institutions are to disclose the changes of the economic value of equity under a scenario of short rates down of the yield curve. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA. |
ANNEX XXXIX
Prudential disclosures on ESG risks (Article 449a CRR)
|
| INDEX - Prudential disclosures on ESG risks (Article 449a CRR) |
| Table 1 - Qualitative information on Environmental risk |
| Table 2 - Qualitative information on Social risk |
| Table 3 - Qualitative information on Governance risk |
| Template 1: Banking book- Indicators of potential climate Change transition risk: Credit quality of exposures by sector, emissions and residual maturity |
| Template 2: Banking book - Indicators of potential climate change transition risk: Loans collateralised by immovable property - Energy efficiency of the collateral |
| Template 3: Banking book - Indicators of potential climate change transition risk: Alignment metrics |
| Template 4: Banking book - Indicators of potential climate change transition risk: Exposures to top 20 carbon-intensive firms |
| Template 5: Banking book - Indicators of potential climate change physical risk: Exposures subject to physical risk |
| Template 6. Summary of key performance indicators (KPIs) on the Taxonomy-aligned exposures |
| Template 7 - Mitigating actions: Assets for the calculation of GAR |
| Template 8 - GAR (%) |
| Template 9 - Mitigating actions: BTAR |
| Template 10 - Other climate change mitigating actions that are not covered in Regulation (EU) 2020/852 |
in accordance with Article 449a CRR
| Row number |
Qualitative information - Free format |
Qualitative information - Free format |
|
Business strategy and processes |
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| (a) |
Institution's business strategy to integrate environmental factors and risks, taking into account the impact of environmental factors and risks on institution's business environment, business model, strategy and financial planning |
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| (b) |
Objectives, targets and limits to assess and address environmental risk in short-, medium-, and long-term, and performance assessment against these objectives, targets and limits, including forward-looking information about the design of business strategy and processes |
|
| (c) |
Current investment activities and (future) investment targets towards environmental objectives and EU Taxonomy-aligned activities |
|
| (d) |
Policies and procedures relating to direct and indirect engagement with new or existing counterparties on their strategies to mitigate and reduce environmental risks |
|
|
Governance |
|
| (e) |
Responsibilities of the management body for setting the risk framework, supervising and managing the implementation of the objectives, strategy and policies in the context of environmental risk management covering relevant transmission channels |
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| (f) |
Management body's integration of short-, medium- and long-term effects of environmental factors and risks, organisational structure both within business lines and internal control functions |
|
| (g) |
Integration of measures to manage environmental factors and risks in internal governance arrangements, including the role of committees, the allocation of tasks and responsibilities, and the feedback loop from risk management to the management body covering relevant transmission channels |
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| (h) |
Lines of reporting and frequency of reporting relating to environmental risk |
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| (i) |
Alignment of the remuneration policy with institution's environmental risk-related objectives |
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Risk management |
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| (j) |
Integration of short-, medium- and long-term effects of environmental factors and risks in the risk framework |
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| (k) |
Definitions, methodologies and international standards on which the environmental risk management framework is based |
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| (l) |
Processes to identify, measure and monitor activities and exposures (and collateral where applicable) sensitive to environmental risks, covering relevant transmission channels |
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| (m) |
Activities, commitments and exposures contributing to mitigate environmental risks |
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| (n) |
Implementation of tools for identification, measurement and management of environmental risks |
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| (o) |
Results and outcome of the risk tools implemented and the estimated impact of environmental risk on capital and liquidity risk profile |
|
| (p) |
Data availability, quality and accuracy, and efforts to improve these aspects |
|
| (q) |
Description of limits to environmental risks (as drivers of prudential risks) that are set, and triggering escalation and exclusion in the case of breaching these limits |
|
| (r) |
Description of the link (transmission channels) between environmental risks with credit risk, liquidity and funding risk, market risk, operational risk and reputational risk in the risk management framework |
|
in accordance with Article 449a CRR
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