Commission Implementing Regulation (EU) 2024/3172 of 29 November 2024 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to public disclosures by institutions of the information referred to in Part Eight, Titles II and III, of that Regulation, and repealing Commission Implementing Regulation (EU) 2021/637

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 Article 434a, the fifth paragraph, thereof,

Whereas:

(1) Commission Implementing Regulation (EU) 2021/637 (2) laid down uniform disclosure formats to ensure the uniform application of Regulation (EU) No 575/2013. Regulation (EU) 2024/1623 of the European Parliament and of the Council (3) amended Regulation (EU) No 575/2013 to incorporate into that regulation the international standards of the Basel Committee on Banking Supervision’s third International Regulatory Framework for banks (referred to as ‘Basel III’). Those international standards contain prudential disclosure standards to improve transparency and consistency in the area of prudential requirements for credit institutions. It is therefore necessary to amend the rules on uniform disclosure formats to reflect those changes in the specifications relating to disclosure obligations.

(2) The disclosure of information by institutions on their key regulatory metrics should include the disclosure of an institution’s available capital, its risk-weighted assets, its leverage, as well as the most relevant liquidity metrics.

(3) To be able to absorb losses in a going or in a gone concern situation, institutions need own funds in sufficient quantity and quality, as required by Article 92 of Regulation (EU) No 575/2013. Institutions should disclose information on their own funds composition, quantity and quality, in order to allow stakeholders to assess the banks loss absorbing capacity.

(4) Disclosure on the compliance with the requirement for a countercyclical capital buffer should reflect the fact that the countercyclical capital buffer referred to in Chapter 4 of Title VII of Directive 2013/36/EU of the European Parliament and of the Council (4) aims to ensure that banking sector capital requirements take account of the macro-financial environment in which credit institutions operate.

(5) It is crucial that the market has access to information on whether an institution should be classified as global systemically important institutions (G-SIIs). For that reason, institutions should disclose information whether the significance indicators referred to in Article 131 of Directive 2013/36/EU are met or not.

(6) Uniform templates should be laid down to ensure that institutions disclose information on their compliance with liquidity requirements, including the liquidity coverage ratio and the net stable funding ratio, in a uniform and comparable way.

(7) It is necessary to ensure coherence and consistency between the reporting obligations laid down in Regulation (EU) No 575/2013 with other Union legislation in the area of ESG risks, and in particular Regulation (EU) 2020/852 of the European Parliament and of the Council (5). Rules on the disclosure of ESG risks should therefore take into account the criteria, classifications, and definitions laid down in Articles 2 and 3 of Regulation (EU) 2020/852. In particular, those rules should take into account the criteria for the identification and classification of environmentally sustainable economic activities, as laid down in Regulation (EU) 2020/852 and in Commission Delegated Regulation (EU) 2020/1818 (6). For the same reason, when disclosing information on the energy performance of their real estate portfolio, institutions should provide that information in the form of the energy performance certificate as defined in Article 2, point 12 of Directive 2010/31/EU of the European Parliament and of the Council (7).

(8) Articles 19a and 29a of Directive 2013/34/EU of the European Parliament and of the Council (8) require certain large undertakings that are public-interest entities, or public-interest entities which are parent undertakings of a large group, respectively, to include in their management report or in their consolidated management report information about the impact of their activity on environmental, social and employee matters, respect for human rights, anti-corruption and bribery matters. That obligation does not apply, however, to other undertakings. As a result, undertakings that are not subject to Articles 19a and 29a of Directive 2013/34/EU are not required to disclose such information and may be not able to provide such information to institutions. Those undertakings that are counterparties to institutions can thus only be expected to provide that information and data on a voluntary basis.

(9) In order to implement Basel III standards, Regulation (EU) 2024/1623 has introduced into Article 92(3) of Regulation (EU) No 575/2013 a lower limit to the risk-based capital requirements calculated using internal models (‘output floor’) that is equal to a percentage of the capital requirements that would apply if standardised approaches were used. It is therefore appropriate to reflect the changes in the relevant disclosure templates. Furthermore, to provide a comparison between the risk-based capital ratios computed under the standardised and the internally modelled approaches at risk level and at exposure classes for credit risk, two new disclosure templates should be introduced.

(10) In relation to the use of the Standardised Approach (‘SA’) for credit risk, Regulation (EU) 2024/1623 has introduced into Chapter 2 of Title II Regulation (EU) No 575/2013 a more granular risk weight treatment of different exposures, including for exposures to institutions, exposures to corporates, specialised lending exposures, retail exposures, exposures secured by real estate, subordinated debt exposures, equity exposures and defaulted exposures. It is necessary to reflect those changes in the disclosure templates, and to align the row numbering in those disclosure templates to the one used in the corresponding BCBS disclosure templates.

(11) Regulation (EU) 2024/1623 introduced into Chapter 3 Title II of Regulation (EU) No 575/2013, in relation to the use of the Internal Ratings Approach (‘IRB’) for credit risk exposures, limited the exposures classes for which the advanced IRB (A-IRB) approach can be applied to calculate own funds requirements for credit risk. Specifically, for exposures to institutions, only the foundation IRB (F-IRB) approach can now be used, and for equity exposures, only the use of the standardised approach is allowed, except for a transitional period. Moreover, new exposure classes for ‘Regional governments or local authorities’ and ‘Public sector entities’ have been created to ensure a consistent treatment of those exposures and to avoid unintended variability in the related own funds requirements. Those amendments should be reflected in the disclosure templates on the use of IRB approach. It is also necessary to align the structure of the template effect on the RWEAs of credit derivatives used as credit risk mitigation techniques (CRM) to the row numbering used in the corresponding BCBS disclosure template.

(12) Regulation (EU) 2024/1623 introduced into Title IV of Regulation (EU) No 575/2013 a new framework for calculating the own funds requirements for market risk, based on the BCBS’s Fundamental review of the trading book (FRTB). That amendment was necessary to address the deficiencies identified in the current market risk capital requirements framework for trading book positions. In accordance with the new framework, institutions are to apply a simplified standardised, an alternative standardised, or an alternative internal model approach to calculate the own funds requirements for market risk. Those amendments should be reflected in the disclosure templates by the introduction of a comprehensive set of disclosures tables and templates. That new set of disclosures tables and templates should be effective when the regulatory framework for market risk based on the Basel’s FRTB standards starts to apply in the Union. In the meantime, the disclosure requirements as currently applicable should continue to apply. To have a comprehensive understanding of the use of that new approach, institutions using the alternative internal model approach should, at the first date of application of the new disclosure framework, disclose the quantitative information together with the qualitative information.

(13) Uniform disclosure formats should be laid down to ensure uniform and comparable disclosure on credit valuation adjustments (‘CVA’) risks. It is therefore necessary to introduce new disclosure templates and tables with quantitative and qualitative information on CVA risk to that effect. Those templates should take into account that institutions subject to own funds requirements for CVA may apply the standardised, basic, or simplified approach or a combination of those approaches and that CVA risk should capture both the credit spread risk of an institution’s counterparty and the market risk of the portfolio of transactions traded by the institution with that counterparty.

(14) Regulation (EU) 2024/1623 introduced in Chapter 1 of Title III of Regulation (EU) No 575/2013 a new single non-model-based approach for the calculation of the own funds requirements for operational risk to address the lack of risk-sensitivity and of comparability of the existing approaches. Following a discretion included in the Basel III standards, the Union’s minimum own funds requirements are solely based on the calculation of the Business Indicator Component (BIC), whilst the loss history is considered for disclosure purposes only. Those amendments should be reflected in the disclosure templates, inter alia by laying down new templates to provide information on annual operational losses incurred over the past 10 years, the calculation of business indicator, components and sub-components, and the related own funds requirements and risk exposure amounts.

(15) Article 501d(2) of Regulation (EU) No 575/2013 prescribes how institutions are to calculate their own funds requirements for crypto-asset exposures until the date of application of the legislative act referred to in Article 501d(1) of that Regulation. It is therefore necessary to lay down how institutions are to disclose their crypto-asset exposures during that transitional period.

(16) Regulation (EU) 2024/1623 amended Article 434a(1) of Regulation (EU) No 575/2013 and introduced a requirement for the EBA to develop IT solutions, including instructions, to be used by institutions for disclosures required under Titles II and III of that Regulation. Accordingly, the disclosure templates should indicate with sufficient clarity the data points and the information that institutions have to disclose to ensure that users get access to sufficient comprehensive and comparable information and that consistency with international standards on disclosures is maintained. In order to allow the EBA to develop appropriate IT solutions, those uniform disclosure formats should not be binding as concerns their structure and their representation. In particular, the EBA should be able to depart from the graphical representation and tabular structure of the disclosure templates as long as all the data points and information required are included in the IT solution.

(17) To provide institutions with a comprehensive integrated set of uniform disclosure formats and to ensure high quality disclosures, while also reflecting the approach under the revised Article 434a(1) of Regulation (EU) No 575/2013, it is necessary to repeal Implementing Regulation (EU) 2021/637 and replace that Implementing Regulation with this Regulation.

(18) To ensure timely and quality disclosures by institutions, they should be given sufficient time to adapt their internal systems in view of the changes to the existing disclosure framework reflected/incorporated in this Regulation.

(19) This Regulation is based on the draft implementing technical standards submitted to the Commission by the European Banking Authority.

(20) The European Banking Authority 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 (9),

HAS ADOPTED THIS REGULATION:

Article 1

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

Institutions shall disclose the information referred to in Article 438, points (a) to (d), (f) and (g), and Article 447, points (a) to (g), of Regulation (EU) No 575/2013 as specified in Section 1 – ‘Disclosure of overview of risk management, key prudential metrics and RWA’ in Annex I.

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 as specified in Section 2 – ‘Disclosure of risk management objectives and policies’ in Annex I.

Article 3

Disclosure of the scope of application

Institutions shall disclose the information referred to in Article 436, points (b) to (h), of Regulation (EU) No 575/2013 as specified in Section 3 – ‘Disclosure of the scope of application’ in Annex I.

Article 4

Disclosure of own funds

Institutions shall disclose the information the information referred to in Article 437, points (a) to (f), of Regulation (EU) No 575/2013 as specified in Section 4 – ‘Disclosure of own funds’ in Annex I.

Article 5

Disclosure of countercyclical capital buffers

Institutions shall disclose the information referred to in Article 440, points (a) and (b), of Regulation (EU) No 575/2013 as specified in Section 5 – ‘Disclosure of countercyclical capital buffers’ in Annex I.

Article 6

Disclosure of the leverage ratio

Institutions shall disclose the information referred to in Article 451(1), points (a) to (e), and in Article 451(2) and (3) of Regulation (EU) No 575/2013 as specified in Section 6 – ‘Disclosure of leverage ratio’ in Annex I.

Article 7

Disclosure of indicators of global systemic importance

Article 8

Disclosure of liquidity requirements

Institutions shall disclose the information referred to in Article 435(1) and in Article 451a(2), (3) and (4), of Regulation (EU) No 575/2013 as specified in Section 7 – ‘Disclosure of liquidity requirements’ in Annex I.

Article 9

Disclosure of exposures to credit risk, dilution risk and credit quality

Article 10

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 specified in Section 9 – ‘Disclosure of credit risk mitigation techniques’ in Annex I.

Article 11

Disclosure of the use of the Standardised Approach

Institutions calculating risk-weighted exposure amounts under the Standardised Approach shall disclose the following information on the use of the Standardised Approach:

(a) the information referred to in Article 444, points (a) to (e), and the information referred to in Article 453, points (g), (h) and (i), of Regulation (EU) No 575/2013 as specified in Section 10 – ‘Disclosure of credit risk SA’ in Annex I;