Commission Implementing Regulation (EU) 2022/1994 of 21 November 2022 amending the implementing technical standards laid down in Implementing Regulation (EU) 2021/451 as regards own funds, asset encumbrance, liquidity and reporting for the purposes of identifying global systemically important institutions (Text with EEA relevance)

THE EUROPEAN COMMISSION,

Having regard to the Treaty on the Functioning of the European Union,

Having regard to Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and amending Regulation (EU) No 648/2012 ¹ and in particular to Article 415(3), first subparagraph, Article 415(3a), first subparagraph, Article 430(7), first subparagraph and Article 430(9), second subparagraph thereof,

Whereas:

• (1) Commission Implementing Regulation (EU) 2021/451 ² lays down technical standards with regard to supervisory reporting and specifies the modalities according to which institutions are required to report information relevant to their compliance with Regulation (EU) No 575/2013. That Implementing Regulation should be amended to reflect the elements introduced in Regulation (EU) No 575/2013 by Regulation (EU) 2019/876 of the European Parliament and of the Council ³.

• (2) Regulation (EU) 2019/876 amended Regulation (EU) No 575/2013 to increase, inter alia, the degree of proportionality of the reporting requirements on liquidity. Therefore, it is necessary to specify the revised the scope of the reporting requirements on additional liquidity monitoring metrics that are applicable to small and non-complex institutions in the Union in accordance with Implementing Regulation (EU) 2021/451. In line with the recommendations from the final report of the European Banking Authority (EBA) on the cost of compliance with reporting requirements referred to in Article 430(8) of Regulation (EU) No 575/2013, institutions that are not small and non-complex, but are neither large institutions, should, to some extent, also benefit from an increased degree of proportionality in additional liquidity monitoring metrics.

• (3) Regulation (EU) 2021/558 of the European Parliament and of the Council ⁴ together with Regulation (EU) 2021/557 of the European Parliament and of the Council ⁵ amended Regulation (EU) No 575/2013 and Regulation (EU) 2017/2402 ⁶, respectively, to introduce targeted adjustments to the securitisations framework. Those targeted adjustments should be reflected in the reporting requirements of Implementing Regulation (EU) 2021/451.

• (4) Regulation (EU) 2019/876 amended Regulation (EU) No 575/2013 with respect to the treatment of prudently valued software assets. In this respect, Commission Delegated Regulation (EU) 2020/2176 ⁷ amended Delegated Regulation (EU) No 241/2014 ⁸ to clarify the exemption of software assets from the deduction from Common Equity Tier 1 items. Implementing Regulation (EU) 2021/451 should be amended to provide competent authorities with information on institutions’ implementation of the requirements of that Delegated Regulation.

• (5) The final report of the EBA on the cost of compliance recommended to exempt small and non-complex institutions from the reporting of certain asset encumbrance templates and to adjust the definition of the level of asset encumbrance. The Commission agrees with the recommendations on reducing the cost of compliance included in that report. It is therefore necessary to amend the corresponding provisions on reporting on asset encumbrance on an individual and a consolidated basis of Regulation (EU) 2021/451.

• (6) Implementing Regulation (EU) 2021/451 lays down the requirements for reporting of core information for the purposes of identifying global systemically important institutions (G-SIIs) and assigning G-SII buffer rates in accordance with a Union-specific methodology laid down in Commission Delegated Regulation (EU) No 1222/2014 ⁹. The indicators through which systemic importance is measured are equally applicable to banking groups and standalone institutions. Therefore, the reporting obligations should be extended to standalone institutions that meet the criteria for being included in the G-SII assessment exercise.

• (7) In order to improve the ability of competent authorities to effectively monitor and assess the institutions’ risk profile, the institutions’ compliance with prudential requirements, and to identify the risks that institutions may pose to the financial sector, a number of Annexes to Implementing Regulation (EU) 2021/451 should be amended.

• (8) In order to give clarity and sufficient time to prepare for the implementation of the reporting requirements introduced by this Regulation, institutions should start reporting in accordance with this Regulation not earlier than six months from its date of entry into force, in accordance with Article 430(7) of Regulation (EU) No 575/2013.

• (9) The provisions in this Regulation are closely linked, since Article 415(3), first subparagraph and Article 415(3a), first subparagraph, concern institutions’ reporting obligations that are substantially aligned to other institutions’ reporting obligations in accordance with Article 430 of Regulation (EU) No 575/2013. To ensure coherence between those provisions, the relevant implementing technical standards should be included in a single Regulation.

• (10) Implementing Regulation (EU) 2021/451 should therefore be amended accordingly.

• (11) This Regulation is based on the draft implementing technical standards submitted to the Commission by EBA.

• (12) EBA has conducted open public consultations on the draft implementing technical standards on which this Regulation is based, analysed the potential related costs and benefits and requested the advice of the Banking Stakeholder Group established in accordance with Article 37 of Regulation (EU) No 1093/2010 of the European Parliament and of the Council ¹⁰,

HAS ADOPTED THIS REGULATION:

Article 1

Implementing Regulation (EU) 2021/451 is amended as follows:

• (1) Article 18 is replaced by the following:

‘Article 18

Reporting on additional liquidity monitoring metrics on an individual and a consolidated basis

When reporting information on additional liquidity monitoring metrics in accordance with Article 430(1), point (d), of Regulation (EU) No 575/2013 on an individual and a consolidated basis, institutions shall submit information as follows:

• (a) large institutions within the meaning of Article 4(1), point (146), of Regulation (EU) No 575/2013 shall submit with a monthly frequency the information set out in template 66.1 of Annex XXII to this Regulation in accordance with the instructions set out in Annex XXIII to this Regulation, templates 67, 68, 69 and 70 of Annex XVIII to this Regulation in accordance with the instructions set out in Annex XIX to this Regulation and template 71 of Annex XX to this Regulation in accordance with the instructions in Annex XXI to this Regulation;

• (b) small and non-complex institution within the meaning of Article 4(1), point (145), of Regulation (EU) No 575/2013 shall submit with a quarterly frequency the information set out in template 66.1 in Annex XXII to this Regulation in accordance with the instructions set out in Annex XXIII to this Regulation, template 67 of Annex XVIII to this Regulation in accordance with the instructions set out in Annex XIX to this Regulation and template 71 of Annex XX to this Regulation in accordance with the instructions set out in Annex XXI to this Regulation;

• (c) institutions that do not fall withing the scope of points (a) and (b) shall submit with a monthly frequency the information set out in template 66.1 of Annex XXII in accordance with the instructions set out in Annex XXIII, templates 67, 68 and 69 of Annex XVIII in accordance with the instructions set out in Annex XIX and template 71 of Annex XX in accordance with the instructions set out in Annex XXI.’;

• (2) Article 19 is amended as follows:

• (a) paragraphs 2 and 3 are replaced by the following:

‘2.   The information referred to in paragraph 1 shall be submitted with the following frequency:

• (a) the information specified in Annex XVI, Parts A, B and D, with a quarterly frequency;

• (b) the information specified in Annex XVI, Part C, with an annual frequency;

• (c) the information specified in Annex XVI, Part E, with a semi-annual frequency.

1. The information referred to in paragraph 1 shall be submitted as follows:

• (a) institutions shall submit the information specified in Annex XVI, Part A;

• (b) large institutions shall submit the information specified in Annex XVI, Parts B, C and E;

• (c) institutions that are neither large institutions nor small and non-complex institutions shall submit the information specified in Annex XVI, Parts B, C and E, where the asset encumbrance level of the institution, as calculated in accordance with Annex XVII, point 1.6, sub-point 9, is equal to or above 15 %;

• (d) institutions shall report the information specified in Annex XVI, Part D, only where they issue bonds referred to in Article 52(4), first subparagraph, of Directive 2009/65/EC of the European Parliament and of the Council[^ntr*1-L_2022329EN.01000101-E0011].

[^ntr*1-L_2022329EN.01000101-E0011]: 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).’;"

The entry and exit criteria of Article 4(3) shall apply.

• (b) paragraph 4 is deleted;

• (3) Article 20 is replaced by the following:

‘Article 20

Supplementary reporting for the purposes of identifying G-SIIs and assigning G-SII buffer rates

1. When reporting supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, EU parent institutions, EU parent financial holdings and EU parent mixed financial holdings shall submit the information as specified in Annex XXVI to this Regulation, in accordance with the instructions set out in Annex XXVII to this Regulation, on a consolidated basis with a quarterly frequency, where both of the following conditions are met:

• (a) the total exposure measure of the group, including insurance subsidiaries, is equal to or exceeds EUR 125 000 000 000;

• (b) the EU parent or any of its subsidiaries or any branch operated by the parent or by a subsidiary is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014 of the European Parliament and of the Council[^ntr*2-L_2022329EN.01000101-E0012].

1. In order to report supplementary information for the purposes of identifying G-SIIs and assigning G-SII buffer rates under Article 131 of Directive 2013/36/EU, institutions shall submit the information as specified in Annex XXVI to this Regulation, in accordance with the instructions set out in Annex XXVII to this Regulation, on an individual basis with a quarterly frequency, where all of the following conditions are met:

• (a) the total exposure measure of the institution is equal to or exceeds EUR 125 000 000 000;

• (b) the institution is located in a participating Member State as referred to in Article 4 of Regulation (EU) No 806/2014;

• (c) the institution is not part of a group that is subject to consolidated supervision in accordance with Chapter 1, Title II, Part One of Regulation (EU) No 575/2013 (“standalone institution”).

1. By way of derogation from Article 3(1), point (b), the information referred to in paragraphs 1 and 2 of this Article shall be submitted by close of business on the following remittance dates: 1 July, 1 October, 2 January and 1 April.

1. By way of derogation from Article 4, the following shall apply with regard to the thresholds specified in paragraph 1, point (a), and paragraph 2, point (a), of this Article:

• (a) the EU parent institution, EU parent financial holding, EU parent mixed financial holding or standalone institution, as applicable, shall immediately start reporting the information in accordance with this Article where its leverage ratio exposure measure exceeds the specified threshold as of the end of the accounting year, and shall report this information at least for the end of that accounting year and the subsequent three quarterly reference dates;

• (b) the EU parent institution, EU parent financial holding, EU parent mixed financial holding or standalone institution, as applicable, shall immediately stop reporting the information in accordance with this Article where its leverage ratio exposure measure falls below the specified threshold as of the end of their accounting year.

[^ntr*2-L_2022329EN.01000101-E0012]: Regulation (EU) No 806/2014 of the European Parliament and of the Council of 15 July 2014 establishing uniform rules and a uniform procedure for the resolution of credit institutions and certain investment firms in the framework of a Single Resolution Mechanism and a Single Resolution Fund and amending Regulation (EU) No 1093/2010 (OJ L 225, 30.7.2014, p. 1).’;"

• (4) Annex I is replaced by the text set out in Annex I to this Regulation;

• (5) Annex II is replaced by the text set out in Annex II to this Regulation;

• (6) Annex XVI is replaced by the text set out in Annex III to this Regulation;

• (7) Annex XVII is replaced by the text set out in Annex IV to this Regulation;

• (8) Annex XVIII is replaced by the text set out in Annex V to this Regulation;

• (9) Annex XIX is replaced by the text set out in Annex VI to this Regulation;

• (10) Annex XX is replaced by the text set out in Annex VII to this Regulation;

• (11) Annex XXI is replaced by the text set out in Annex VIII to this Regulation;

• (12) Annex XXII is replaced by the text set out in Annex IX to this Regulation;

• (13) Annex XXIII is replaced by the text set out in Annex X to this Regulation;

• (14) Annex XXVI is replaced by the text set out in Annex XI to this Regulation;

• (15) Annex XXVII is replaced by the text set out in Annex XII to this Regulation.

Article 2

Entry into force and application

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 11 July 2023.

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

Done at Brussels, 21 November 2022.

For the Commission

The President

Ursula VON DER LEYEN

ANNEX I

‘ANNEX I

REPORTING ON OWN FUNDS AND OWN FUNDS REQUIREMENTS

C 01.00 - OWN FUNDS (CA1)

C 02.00 - OWN FUNDS REQUIREMENTS (CA2)

C 03.00 - CAPITAL RATIOS AND CAPITAL LEVELS (CA3)

C 04.00 - MEMORANDUM ITEMS (CA4)

C 05.01 - TRANSITIONAL PROVISIONS (CA5.1)

C 05.02 - GRANDFATHERED INSTRUMENTS: INSTRUMENTS NOT CONSTITUING STATE AID (CA5.2)

C 06.01 - GROUP SOLVENCY: INFORMATION ON AFFILIATES - TOTAL (GS TOTAL)