# L_2013355EN.01006001.xml

| 31.12.2013 | EN | Official Journal of the European Union | L 355/60 |
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31.12.2013

EN

Official Journal of the European Union

L 355/60

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COMMISSION IMPLEMENTING REGULATION (EU) No 1423/2013

of 20 December 2013

laying down implementing technical standards with regard to disclosure of own funds requirements for institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council

(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 investment firms and amending Regulation (EU) No 648/2012 (1), and in particular the third subparagraph of Article 437(2) and the third subparagraph of Article 492(5) thereof,

Whereas:

| (1) | Regulation (EU) No 575/2013 incorporates the internationally-agreed standards of the Basel Committee on Banking Supervision’s third International Regulatory Framework for banks (2) (hereinafter referred to as ‘Basel III’). Therefore, and also given that the objective of disclosure requirements is to help improve transparency in the area of regulatory capital, for comparison purposes, the rules set out for disclosure by institutions supervised under Directive 2013/36/EU of the European Parliament and of the Council (3) should be consistent with the international framework reflected in the ‘Composition of Capital disclosure requirements’ (4) of the Basel Committee for Banking Supervision adapted to take into account the Union regulatory framework and its specificities. |
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(1)

Regulation (EU) No 575/2013 incorporates the internationally-agreed standards of the Basel Committee on Banking Supervision’s third International Regulatory Framework for banks (2) (hereinafter referred to as ‘Basel III’). Therefore, and also given that the objective of disclosure requirements is to help improve transparency in the area of regulatory capital, for comparison purposes, the rules set out for disclosure by institutions supervised under Directive 2013/36/EU of the European Parliament and of the Council (3) should be consistent with the international framework reflected in the ‘Composition of Capital disclosure requirements’ (4) of the Basel Committee for Banking Supervision adapted to take into account the Union regulatory framework and its specificities.

| (2) | A set of disclosure templates should be provided in order to ensure the uniform application of Regulation (EU) No 575/2013. Such disclosure templates should include an own funds disclosure template, aiming at reflecting the detailed capital position of institutions; and a capital instruments’ features template, aiming at reflecting the level of detail required to be disclosed with regard to the features of an institution’s capital instruments. |
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(2)

A set of disclosure templates should be provided in order to ensure the uniform application of Regulation (EU) No 575/2013. Such disclosure templates should include an own funds disclosure template, aiming at reflecting the detailed capital position of institutions; and a capital instruments’ features template, aiming at reflecting the level of detail required to be disclosed with regard to the features of an institution’s capital instruments.

| (3) | The scope of consolidation for accounting purposes and for regulatory purposes is different, and this results in differences between the information used in the calculation of own funds and the information used in the published financial statements, in particular for own funds items. In order to address the disparity between the data used for the calculation of own funds and the data used in institutions’ financial statements, it is necessary to also disclose how elements in the financial statements that are used to calculate own funds change when the regulatory scope of consolidation is applied. Therefore a balance sheet reconciliation methodology providing information on the reconciliation between balance sheet items used to calculate own funds and regulatory own funds should also be included in this Regulation. For that purpose, a regulatory scope balance sheet, covering only own funds items, should be used. |
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(3)

The scope of consolidation for accounting purposes and for regulatory purposes is different, and this results in differences between the information used in the calculation of own funds and the information used in the published financial statements, in particular for own funds items. In order to address the disparity between the data used for the calculation of own funds and the data used in institutions’ financial statements, it is necessary to also disclose how elements in the financial statements that are used to calculate own funds change when the regulatory scope of consolidation is applied. Therefore a balance sheet reconciliation methodology providing information on the reconciliation between balance sheet items used to calculate own funds and regulatory own funds should also be included in this Regulation. For that purpose, a regulatory scope balance sheet, covering only own funds items, should be used.

| (4) | The financial statements of some institutions subject to these disclosure requirements are extensive and complex. It is necessary to set out a uniform approach which follows clearly presented steps in order to assist institutions in establishing their balance sheet reconciliation. |
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(4)

The financial statements of some institutions subject to these disclosure requirements are extensive and complex. It is necessary to set out a uniform approach which follows clearly presented steps in order to assist institutions in establishing their balance sheet reconciliation.

| (5) | The provisions in this Regulation are closely linked, since they deal with disclosure of own funds items. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and compact access to them by persons subject to those obligations, it is desirable to include all the implementing technical standards required by Regulation (EU) No 575/2013 in relation to disclosure of own funds in a single Regulation. |
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(5)

The provisions in this Regulation are closely linked, since they deal with disclosure of own funds items. To ensure coherence between those provisions, which should enter into force at the same time, and to facilitate a comprehensive view and compact access to them by persons subject to those obligations, it is desirable to include all the implementing technical standards required by Regulation (EU) No 575/2013 in relation to disclosure of own funds in a single Regulation.

| (6) | Regulation (EU) No 575/2013 contains a substantial number of transitional provisions with regard to own funds and own funds requirements. In order to provide a meaningful picture of the solvency situation of institutions, it is appropriate to introduce a different disclosure template for the transitional period reflecting the transitional provisions of the Regulation (EU) No 575/2013. |
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(6)

Regulation (EU) No 575/2013 contains a substantial number of transitional provisions with regard to own funds and own funds requirements. In order to provide a meaningful picture of the solvency situation of institutions, it is appropriate to introduce a different disclosure template for the transitional period reflecting the transitional provisions of the Regulation (EU) No 575/2013.

| (7) | Since the date of application of Regulation (EU) No 575/2013 is 1 January 2014 and since institutions will need to adapt their systems in order to comply with the requirements laid down in this Regulation, they should be given a sufficient amount of time to do so. |
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(7)

Since the date of application of Regulation (EU) No 575/2013 is 1 January 2014 and since institutions will need to adapt their systems in order to comply with the requirements laid down in this Regulation, they should be given a sufficient amount of time to do so.

| (8) | This Regulation is based on the draft implementing technical standards submitted by the European Banking Authority to the European Commission. |
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(8)

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

| (9) | 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 opinion 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 (5), |
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(9)

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 opinion 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 (5),

HAS ADOPTED THIS REGULATION:

Article 1

Subject matter

This Regulation specifies uniform templates for the purposes of disclosure pursuant to points (a), (b), (d) and (e) of paragraph 1 of Article 437 and pursuant to paragraph 3 of Article 492 of Regulation (EU) No 575/2013.

Article 2

Full reconciliation of own funds items to audited financial statements

In order to meet the requirements for disclosure of a full reconciliation of own funds items to audited financial statements, as described in point (a) of Article 437(1) of Regulation (EU) No 575/2013, institutions shall apply the methodology referred to in Annex I and shall publish the balance sheet reconciliation information resulting from the application of this methodology

Article 3

Description of the main features of Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments issued by institutions

In order to meet the requirements for disclosure of the main features of Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments issued by institutions, as referred to in point (b) of Article 437 (1) of Regulation (EU) No 575/2013, institutions shall complete and publish the capital instruments’ main features template provided in Annex II, according to the instructions provided in Annex III.

Article 4

Disclosure of nature and amounts of specific items on own funds

In order to meet the requirements for disclosure of the specific items on own funds described in points (d) and (e) of Article 437 (1) of Regulation (EU) No 575/2013, institutions shall complete and publish the general own funds disclosure template provided in Annex IV, according to the instructions provided in Annex V.

Article 5

Disclosure of nature and amounts of specific items on own funds during the transitional period

By way of derogation from Article 4 during the period from 31 March 2014 to 31 December 2017 in order to meet the requirements for disclosure of the additional items on own funds as provided for in Article 492(3) of Regulation (EU) No 575/2013, institutions shall complete and publish the transitional own funds disclosure template provided in Annex VI, according to the instructions provided in Annex VII, instead of the general own funds disclosure template provided in Annex IV, according to the instructions provided in Annex V.

Article 6

Entry into force

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

Official Journal of the European Union

It shall apply from 31 March 2014.

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

Done at Brussels, 20 December 2013.

For the Commission

The President

José Manuel BARROSO

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(1)  
  OJ L 176, 27.6.2013, p. 1.

1

(2)  http://www.bis.org/publ/bcbs189.pdf

2

(3)  Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).

3

(4)  http://www.bis.org/publ/bcbs221.pdf

4

(5)  Regulation (EU) No 1093/2010 of the European Parliament and of the Council of 24 November 2010 establishing a European Supervisory Authority (European Banking Authority), amending Decision No 716/2009/EC and repealing Commission Decision 2009/78/EC (OJ L 331, 15.12.2010, p. 12).

5

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ANNEX I

Balance Sheet Reconciliation Methodology

| (1) | Institutions shall apply the methodology described in this Annex in order to provide information on the reconciliation between balance sheet items used to calculate own funds and regulatory own funds. Own funds items in the audited financial statements shall include all items that are components of or are deducted from regulatory own funds, including equity, liabilities such as debt, or other balance sheet lines that affect regulatory own funds such as intangible assets, goodwill, deferred tax assets. |
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(1)

| (2) | Institutions shall use as a starting point the relevant balance sheet items used to calculate own funds as in their published financial statements. Financial statements shall be considered audited financial statements when reconciliation is carried out against the year-end financial statements. |
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(2)

| (3) | Where institutions meet the obligations laid down in Part Eight of Regulation (EU) No 575/2013 on a consolidated or sub-consolidated basis and where the scope of consolidation or the method for consolidation used in the balance sheet in the financial statements are different from the scope of consolidation and method for consolidation required pursuant to Chapter 2 of Title II of Part One of Regulation (EU) No 575/2013, institutions shall also disclose the regulatory scope balance sheet, meaning a balance sheet which is drawn up according to the rules on prudential consolidation pursuant to Chapter 2 of Title II of Part One of Regulation (EU) No 575/2013 and which is limited to own funds items. The regulatory scope balance sheet shall be at least as detailed as the balance sheet in the financial statements for own funds items, and its items shall be displayed side by side with a clear mapping with the own funds items of the balance sheet in the financial statements. Institutions shall provide qualitative and quantitative information on the differences in own funds items due to the scope and method for consolidation between the two balance sheets. |
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(3)

| (4) | Secondly, institutions shall expand the own funds items of the regulatory scope balance sheet such that all of the components required by the transitional disclosure template or in the own funds disclosure template appear separately. Institutions shall only expand elements of the balance sheet up to the level of granularity that is necessary for deriving the components required by the transitional disclosure template or the own funds disclosure template. |
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(4)

| (5) | Thirdly, institutions shall establish a mapping between the elements resulting from the expanding of the regulatory scope balance sheet as described in paragraph 4 with the elements included in the transitional disclosure template or in the own funds disclosure template. |
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(5)

| (6) | Where institutions comply with the obligations laid down in Part Eight of Regulation (EU) No 575/2013 on a consolidated or sub-consolidated basis but the scope of consolidation and the method for consolidation used for the balance sheet in the financial statements are identical to the scope of consolidation and the method for consolidation defined pursuant to Chapter 2 of Title II of Part One of Regulation (EU) No 575/2013, and institutions clearly state the absence of differences between the respective scopes and methods for consolidation, only paragraphs 4 and 5 of this Annex shall apply on the basis of the balance sheet in the financial statements. |
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(6)

| (7) | Where institutions meet the obligations laid down in Part Eight of Regulation (EU) No 575/2013 on an individual basis, paragraph 3 of this Annex shall not apply and paragraphs 4 and 5 of this Annex shall instead apply on the basis of the balance sheet in the financial statements. |
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(7)

| (8) | The balance sheet reconciliation information on own funds items resulting from the application of the methodology described in this Annex may be provided in an unaudited format. |
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(8)

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ANNEX II

Capital instruments’ main features template

Image 1

Capital instruments main features template (1)

1

Issuer

2

Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement)

3

Governing law(s) of the instrument

Regulatory treatment

4

Transitional CRR rules

5

Post-transitional CRR rules

6

Eligible at solo/(sub-)consolidated/ solo & (sub-)consolidated

7

Instrument type (types to be specified by each jurisdiction)

8

Amount recognised in regulatory capital (currency in million, as of most recent reporting date)

9

Nominal amount of instrument

9a

Issue price

9b

Redemption price

10

Accounting classification

11

Original date of issuance

12

Perpetual or dated

13

Original maturity date

14

Issuer call subject to prior supervisory approval

15

Optional call date, contingent call dates and redemption amount

16

Subsequent call dates, if applicable

Coupons / dividends

17

Fixed or floating dividend/coupon

18

Coupon rate and any related index

19

Existence of a dividend stopper

20a

Fully discretionary, partially discretionary or mandatory (in terms of timing)

20b

Fully discretionary, partially discretionary or mandatory (in terms of amount)

21

Existence of step up or other incentive to redeem

22

Noncumulative or cumulative

23

Convertible or non-convertible

24

If convertible, conversion trigger(s)

25

If convertible, fully or partially

26

If convertible, conversion rate

27

If convertible, mandatory or optional conversion

Image 2

28

If convertible, specify instrument type convertible into

29

If convertible, specify issuer of instrument it converts into

30

Write-down features

31

If write-down, write-down trigger(s)

32

If write-down, full or partial

33

If write-down, permanent or temporary

34

If temporary write-down, description of write-up mechanism

35

Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument)

36

Non-compliant transitioned features

37

If yes, specify non-compliant features

(1) Insert ‘N/A’ if the question is not applicable

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ANNEX III

Instructions for completing the capital instruments main features template

| (1) | Institutions shall apply the instructions provided in this Annex in order to complete the capital main features template as presented in Annex II. |
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(1)

| (2) | Institutions shall complete this template for the following categories: Common Equity Tier 1 instruments, Additional Tier 1 instruments and Tier 2 instruments. |
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(2)

| (3) | The templates shall comprise columns with the features of the different instruments. In cases where capital instruments of a same category have identical features, institutions may complete only one column disclosing these identical features and identify the issuances to which the identical features refer. |
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(3)

Image 3

Instructions for completing the capital instruments main features template

1

Identifies issuer legal entity.

Free text

2

Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement).

Free text

3

Specifies the governing law(s) of the instrument.

Free text

4

Specifies transitional regulatory capital treatment contained in Regulation (EU) No 575/2013. The original classification of the instrument is the point of reference independently of possible reclassification in lower tiers of capital.

Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Ineligible] [N/A]

Free text – specify if a fraction of the issuance has been reclassified in lower tiers of capital.

5

Specifies regulatory capital treatment under rules contained in Regulation (EU) No 575/2013 without taking into account the transitional treatment.

Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Ineligible]

6

Specifies the level(s) within the group at which the instrument is included in the capital.

Select from menu: [Solo] [(Sub-)Consolidated] [Solo and (Sub-)Consolidated]

7

Specifies instrument type, varying by jurisdiction.

Select from menu: menu options to be provided to institutions by each jurisdiction – legal references of Regulation (EU) No 575/2013 articles for each type of instrument to be inserted

For CET1 instruments, CET1 as published in the EBA list (art. 26(3).

8

Specifies the amount recognised in regulatory capital (total amount of the instrument recognised in regulatory capital before transitional provisions for the relevant level of the disclosure - currency used for the reporting obligations).

Free text – specify in particular if some parts of the instruments are in different tiers of the regulatory capital and if the amount recognised in regulatory capital is different from the amount issued.

9

Nominal amount of instrument (in currency of issuance and currency used for the reporting obligations).

Free text

9a

Issue price of instrument.

Free text

9b

Redemption price of instrument.

Free text

Image 4

10

Specifies accounting classification.

Select from menu: [Shareholders’ equity] [Liability – amortised cost] [Liability – fair value option] [Non-controlling interest in consolidated subsidiary]

11

Specifies date of issuance.

Free text

12

Specifies whether dated or perpetual.

Select from menu: [Perpetual] [Dated]

13

For dated instrument, specifies original maturity date (day, month and year). For perpetual instrument put ‘no maturity’.

Free text

14

Specifies whether there is an issuer call option (all types of call options).

Select from menu: [Yes] [No]

15

For instrument with issuer call option, specifies first date of call if the instrument has a call option on a specific date (day, month and year) and, in addition, specifies whether the instrument has a tax and/or regulatory event call. Also specifies the redemption price. Helps to assess permanence.

Free text

16

Specifies the existence and frequency of subsequent call dates, if applicable. Helps to assess permanence.

Free text

17

Specifies whether the coupon/dividend is: either fixed over the life of the instrument, or floating over the life of the instrument, or currently fixed but will move to a floating rate in the future, or currently floating but will move to a fixed rate in the future.

Select from menu: [Fixed], [Floating] [Fixed to floating], [Floating to fixed]

18

Specifies the coupon rate of the instrument and any related index that the coupon/dividend rate references.

Free text

19

Specifies whether the non-payment of a coupon or dividend on the instrument prohibits the payment of dividends on common shares (i.e. whether there is a dividend stopper).

Select from menu: [yes], [no]

20a

Specifies whether the issuer has full discretion, partial discretion or no discretion over whether a coupon/dividend is paid. If the institution has full discretion to cancel coupon/dividend payments under all circumstances it must select ‘fully discretionary’ (including when there is a dividend stopper that does not have the effect of preventing the institution from cancelling payments on the instrument). If there are conditions that must be met before payment can be cancelled (e.g. capital below a certain threshold), the institution must select ‘partially discretionary’. If the institution is unable to cancel the payment outside of insolvency the institution must select ‘mandatory’.

Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory]

Free text (specify the reasons for discretion, existence of dividend pushers, dividend stoppers, ACSM)

20b

Specifies whether the issuer has full discretion, partial discretion or no discretion over the amount of the coupon/dividend.

Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory]

21

Specifies whether there is a step-up or other incentive to redeem.

Select from menu: [Yes] [No]

22

Specifies whether dividends/coupons are cumulative or noncumulative.

Select from menu: [Noncumulative] [Cumulative] [ACSM]

Image 5

23

Specifies whether instrument is convertible or not.

Select from menu: [Convertible] [Nonconvertible]

24

Specifies the conditions under which the instrument will convert, including point of non-viability. Where one or more authorities have the ability to trigger conversion, the authorities should be listed. For each of the authorities it should be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger conversion (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach).

Free text

25

Specifies whether the instrument will always convert fully, may convert fully or partially, or will always convert partially.

Select from menu: [Always Fully] [Fully or Partially] [Always partially]

26

Specifies rate of conversion into the more loss absorbent instrument.

Free text

27

For convertible instruments, specifies whether conversion is mandatory or optional.

Select from menu: [Mandatory] [Optional] [NA] and [at the option of the holders] [at the option of the issuer] [at the option of both the holders and the issuer]

28

For convertible instruments, specifies instrument type convertible into. Helps to assess loss absorbency.

Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Other]

29

If convertible, specify issuer of instrument it converts into.

Free text

30

Specifies whether there is a write down feature.

Select from menu: [Yes] [No]

31

Specifies the triggers at which write-down occurs, including point of non-viability. Where one or more authorities have the ability to trigger write-down, the authorities should be listed. For each of the authorities it should be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger write-down (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach

Free text

32

Specifies whether the instrument will always be written down fully, may be written down partially, or will always be written down partially. Helps assess the level of loss absorbency at write-down.

Select from menu: [Always Fully] [Fully or Partially] [Always partially] ]

33

For write down instrument, specifies whether write down is permanent or temporary.

Select from menu: [Permanent] [Temporary] [NA]

34

Describes the write-up mechanism.

Free text

35

Specifies instrument to which it is most immediately subordinate. Where applicable, banks should specify the column numbers of the instruments in the completed main features template to which the instrument is most immediately subordinate.

Free text

36

Specifies whether there are non-compliant features.

Select from menu: [Yes] [No]

37

If there are non-compliant features, asks institution to specify which ones.

Free text

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ANNEX IV

Own funds disclosure template

Image 6

Own funds disclosure template

Regulation (EU) No 575/2013 Article Reference

Common Equity Tier 1 (CET1) capital: instruments and reserves

1

Capital instruments and the related share premium accounts

26 (1), 27, 28, 29

of which: Instrument type 1

EBA list 26 (3)

of which: Instrument type 2

EBA list 26 (3)

of which: Instrument type 3

EBA list 26 (3)

2

Retained earnings

26 (1) (c)

3

Accumulated other comprehensive income (and other reserves)

26 (1)

3a

Funds for general banking risk

26 (1) (f)

4

Amount of qualifying items referred to in Article 484 (3) and the related share premium accounts subject to phase out from CET1

486 (2)

5

Minority interests (amount allowed in consolidated CET1)

84

5a

Independently reviewed interim profits net of any foreseeable charge or dividend

26 (2)

6

Common Equity Tier 1 (CET1) capital before regulatory adjustments

Sum of rows 1 to 5a

Common Equity Tier 1 (CET1) capital: regulatory adjustments

7

Additional value adjustments (negative amount)

34, 105

8

Intangible assets (net of related tax liability) (negative amount)

36 (1) (b), 37

9

Empty set in the EU

10

Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) are met) (negative amount)

36 (1) (c), 38,

11

Fair value reserves related to gains or losses on cash flow hedges

33(1) (a)

12

Negative amounts resulting from the calculation of expected loss amounts

36 (1) (d), 40, 159

13

Any increase in equity that results from securitised assets (negative amount)

32 (1)

14

Gains or losses on liabilities valued at fair value resulting from changes in own credit standing

33(1) (b)

15

Defined-benefit pension fund assets (negative amount)

36 (1) (e), 41

16

Direct and indirect holdings by an institution of own CET1 instruments (negative amount)

36 (1) (f), 42

17

Direct, indirect and synthetic holdings of the CET 1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

36 (1) (g), 44

Image 7

18

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount)

36 (1) (h), 43, 45, 46, 49 (2) (3), 79

19

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount)

36 (1) (i), 43, 45, 47, 48 (1) (b), 49 (1) to (3), 79

20

Empty set in the EU

20a

Exposure amount of the following items which qualify for a RW of 1250 %, where the institution opts for the deduction alternative

36 (1) (k)

20b

of which: qualifying holdings outside the financial sector (negative amount)

36 (1) (k) (i), 89 to 91

20c

of which: securitisation positions (negative amount)

36 (1) (k) (ii), 243 (1) (b), 244 (1) (b), 258

20d

of which: free deliveries (negative amount)

36 (1) (k) (iii), 379 (3)

21

Deferred tax assets arising from temporary differences (amount above 10 % threshold, net of related tax liability where the conditions in Article 38 (3) are met) (negative amount)

36 (1) (c), 38, 48 (1) (a)

22

Amount exceeding the 15 % threshold (negative amount)

48 (1)

23

of which: direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities

36 (1) (i), 48 (1) (b)

24

Empty set in the EU

25

of which: deferred tax assets arising from temporary differences

36 (1) (c), 38, 48 (1) (a)

25a

Losses for the current financial year (negative amount)

36 (1) (a)

25b

Foreseeable tax charges relating to CET1 items (negative amount)

36 (1) (l)

27

Qualifying AT1 deductions that exceed the AT1 capital of the institution (negative amount)

36 (1) (j)

28

Total regulatory adjustments to Common Equity Tier 1 (CET1)

Sum of rows 7 to 20a, 21, 22 and 25a to 27

29

Common Equity Tier 1 (CET1) capital

Row 6 minus row 28

Additional Tier 1 (AT1) capital: instruments

30

Capital instruments and the related share premium accounts

51, 52

31

of which: classified as equity under applicable accounting standards

32

of which: classified as liabilities under applicable accounting standards

33

Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1

486 (3)

34

Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties

85, 86

Image 8

35

of which: instruments issued by subsidiaries subject to phase out

486 (3)

36

Additional Tier 1 (AT1) capital before regulatory adjustments

Sum of rows 30, 33 and 34

Additional Tier 1 (AT1) capital: regulatory adjustments

37

Direct and indirect holdings by an institution of own AT1 instruments (negative amount)

52 (1) (b), 56 (a), 57

38

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

56 (b), 58

39

Direct, indirect and synthetic holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount)

56 (c), 59, 60, 79

40

Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)

56 (d), 59, 79

41

Empty set in the EU

42

Qualifying T2 deductions that exceed the T2 capital of the institution (negative amount)

56 (e)

43

Total regulatory adjustments to Additional Tier 1 (AT1) capital

Sum of rows 37 to 42

44

Additional Tier 1 (AT1) capital

Row 36 minus row 43

45

Tier 1 capital (T1 = CET1 + AT1)

Sum of row 29 and row 44

Tier 2 (T2) capital: instruments and provisions

46

Capital instruments and the related share premium accounts

62, 63

47

Amount of qualifying items referred to in Article 484 (5) and the related share premium accounts subject to phase out from T2

486 (4)

48

Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties

87, 88

49

of which: instruments issued by subsidiaries subject to phase out

486 (4)

50

Credit risk adjustments

62 (c) & (d)

51

Tier 2 (T2) capital before regulatory adjustments

Tier 2 (T2) capital: regulatory adjustments

52

Direct and indirect holdings by an institution of own T2 instruments and subordinated loans (negative amount)

63 (b) (i), 66 (a), 67

53

Holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

66 (b), 68

54

Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) (negative amount)

66 (c), 69, 70, 79

Image 9

55

Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)

66 (d), 69, 79

56

Empty set in the EU

57

Total regulatory adjustments to Tier 2 (T2) capital

Sum of rows 52 to 56

58

Tier 2 (T2) capital

Row 51 minus row 57

59

Total capital (TC = T1 + T2)

Sum of row 45 and row 58

60

Total risk weighted assets

Capital ratios and buffers

61

Common Equity Tier 1 (as a percentage of total risk exposure amount)

92 (2) (a)

62

Tier 1 (as a percentage of total risk exposure amount)

92 (2) (b)

63

Total capital (as a percentage of total risk exposure amount)

92 (2) (c)

64

Institution specific buffer requirement (CET1 requirement in accordance with article 92 (1) (a) plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer, plus systemically important institution buffer expressed as a percentage of risk exposure amount)

CRD 128, 129, 130, 131, 133

65

of which: capital conservation buffer requirement

66

of which: countercyclical buffer requirement

67

of which: systemic risk buffer requirement

67a

of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer

68

Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount)

CRD 128

69

[non relevant in EU regulation]

70

[non relevant in EU regulation]

71

[non relevant in EU regulation]

Amounts below the thresholds for deduction (before risk weighting)

72

Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions)

36 (1) (h), 46, 45 56 (c), 59, 60 66 (c), 69, 70

73

Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 10 % threshold and net of eligible short positions)

36 (1) (i), 45, 48

74

Empty set in the EU

75

Deferred tax assets arising from temporary differences (amount below 10 % threshold, net of related tax liability where the conditions in Article 38 (3) are met)

36 (1) (c), 38, 48

Image 10

Applicable caps on the inclusion of provisions in Tier 2

76

Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap)

62

77

Cap on inclusion of credit risk adjustments in T2 under standardised approach

62

78

Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap)

62

79

Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach

62

Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022)

80

Current cap on CET1 instruments subject to phase out arrangements

484 (3), 486 (2) & (5)

81

Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)

484 (3), 486 (2) & (5)

82

Current cap on AT1 instruments subject to phase out arrangements

484 (4), 486 (3) & (5)

83

Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)

484 (4), 486 (3) & (5)

84

Current cap on T2 instruments subject to phase out arrangements

484 (5), 486 (4) & (5)

85

Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)

484 (5), 486 (4) & (5)

---

ANNEX V

Instructions for completing the own funds disclosure template

For the purposes of the own funds disclosure template, regulatory adjustments comprise deductions from own funds and prudential filters.

Image 11

Instructions for completing the own funds disclosure template

Row number

Explanation

1

Capital instruments and the related share premium accounts in accordance with Articles 26 (1), 27, 28, 29 of Regulation (EU) No 575/2013 and the EBA list as referred to in Article 26 (3) of the same regulation.

2

Retained earnings prior to all regulatory adjustments in accordance with Article 26 (1) (c) of Regulation (EU) No 575/2013 (prior to the inclusion of any interim net profits or losses).

3

Amount of accumulated other comprehensive income and other reserves in accordance with Article 26 (1) (d) and (e) of Regulation (EU) No 575/2013.

3a

Amount of funds for general banking risk in accordance with Article 26 (1) (f) of Regulation (EU) No 575/2013.

4

Amount of qualifying items referred to in Article 484 (3) of Regulation (EU) No 575/2013 and the related share premium accounts subject to phase out from CET1 as described in Article 486 (2) of Regulation (EU) No 575/2013.

5

Minority interests (amount allowed in consolidated CET1) as per Article 84 of Regulation (EU) No 575/2013.

5a

Independently reviewed interim profits net of any foreseeable charge or dividend as per Article 26 (2) of Regulation (EU) No 575/2013.

6

Sum of rows 1 to 5a.

7

Additional value adjustments in accordance with Article 34 and 105 of Regulation (EU) No 575/2013 (negative amount).

8

Intangible assets (net of related tax liability) in accordance with Articles 36 (1) (b) and 37 of Regulation (EU) No 575/2013.

9

[An Empty Set under Regulation (EU) No 575/2013].

10

Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) are met) in accordance with Articles 36 (1) (c) and 38 of Regulation (EU) No 575/2013 (negative amount).

11

Fair value reserves related to gains or losses on cash flow hedges in accordance with Article 33 (a) of Regulation (EU) No 575/2013.

12

Negative amounts resulting from the calculation of expected loss amounts in accordance with Articles 36 (1) (d) and 40 of Regulation (EU) No 575/2013.

13

Any increase in equity that results from securitised assets in accordance with Article 32 (1) of Regulation (EU) No 575/2013 (negative amount).

14

Gains or losses on liabilities valued at fair value resulting from changes in own credit standing in accordance with Article 33 (b) of Regulation (EU) No 575/2013.

15

Defined-benefit pension fund assets in accordance with Articles 36 (1) (e) and 41 of Regulation (EU) No 575/2013 (negative amount).

16

Direct and indirect holdings by an institution of own CET1 instruments as described in Articles 36 (1) (f) and 42 of Regulation (EU) No 575/2013 (negative amount).

17

Direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution as described in Articles 36 (1) (g) and 44 of Regulation (EU) No 575/2013 (negative amount).

Image 12

18

Direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) as described in Articles 36 (1) (h), 43, 45, 46 and 49 (2) (3) of Regulation (EU) No 575/2013 (negative amount).

19

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) as described in Articles 36 (1) (i), 43, 45, 47, 48 (1) (b), and 49 (1) to (3) of Regulation (EU) No 575/2013 (negative amount).

20

[An Empty Set under Regulation (EU) No 575/2013]

20a

Exposure amount which qualifies for a RW of 1250%, where the institution opts for the deduction alternative, as described in Article 36 (1) (k) of Regulation (EU) No 575/2013.

20b

Of the amount reported in 20a, the amount relating to qualifying holdings outside the financial sector in accordance with Articles 36 (1) (k) and 89 to 86 of Regulation (EU) No 575/2013 (negative amount).

20c

Of the amount reported in 20a, the amount relating to securitization positions, in accordance with Articles 36 (1) (k) (ii), 243 (1) (b), 244 (1) (b) and 258 of Regulation (EU) No 575/2013 (negative amount).

20d

Of the amount reported in 20a, the amount relating to free deliveries in accordance with Articles 36 (1) (k) (ii) and 379(3) of Regulation (EU) No 575/2013 (negative amount).

21

Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in Article 38 (3) are met) as described in Articles 36 (1) (c), 38 and 48 (1) (a) of Regulation (EU) No 575/2013 (negative amount).

22

Amount exceeding the 15% threshold in accordance with Article 48 (1) of Regulation (EU) No 575/2013 (negative amount).

23

Of the amount reported in 22, the amount of direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities as described in Articles 36 (1) (i) and 48 (1) (b) of Regulation (EU) No 575/2013.

24

[An Empty Set under Regulation (EU) No 575/2013].

25

Of the amount reported in 22 the amount of deferred tax assets arising from temporary differences as described in Articles 36 (1) (c), 38 and 48 (1) (a) of Regulation (EU) No 575/2013.

25a

Losses for the financial year in accordance with Article 36 (1) (a) of Regulation (EU) No 575/2013 (negative amount).

25b

Amount of foreseeable tax charges relating to CET1 items foreseeable at the moment of their calculation, except where the institution suitably adjusts the amount of CET1 items insofar as such tax charges reduce the amount up to which those items may be applied to cover risks or losses, in accordance with Article 36 (1) (l) of Regulation (EU) No 575/2013 (negative amount).

27

Qualifying AT1 deductions that exceed the AT1 capital of the institution as described in Article 36 (1) (j) of Regulation (EU) No 575/2013 (negative amount).

28

Total regulatory adjustments to CET1, to be calculated as the sum of rows 7 to 20a, 21, 22 and 25a to 27.

29

Common Equity Tier 1 (CET1) capital, to be calculated as row 6 minus row 28.

30

Capital instruments and the related share premium accounts as per Articles 51 and 52 of Regulation (EU) No 575/2013.

31

The amount in row 30 classified as equity under applicable accounting standards.

32

The amount in row 30 classified as liabilities under applicable accounting standards.

33

Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1 as described in Article 486 (3) of Regulation (EU) No 575/2013

34

Qualifying T1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties as described in Articles 85 and 86 of Regulation (EU) No 575/2013.

Image 13

35

The amount reported in row 34 that relates to the instruments issued by subsidiaries subject to phase out as described in Article 486 (3) of Regulation (EU) No 575/2013.

36

The sum of rows 30, 33 and 34.

37

Direct and indirect holdings by an institution of own AT1 instruments as described in Articles 52 (1) (b), 56 (a) and 57 of Regulation (EU) No 575/2013 (negative amount).

38

Holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution as described in Articles 56 (b) and 58 of Regulation (EU) No 575/2013 (negative amount).

39

Direct and indirect holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) as described in Articles 56 (c), 60 and 59 of Regulation (EU) No 575/2013 (negative amount).

40

Direct and indirect holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) as described in Articles 56 (d) and 59 of Regulation (EU) No 575/2013 (negative amount).

41

[An Empty Set under Regulation (EU) No 575/2013.

42

Qualifying T2 deductions that exceed the T2 capital of the institution as described in Articles 56 (e) of Regulation (EU) No 575/2013 (negative amount).

43

The sum of rows 37 to 42.

44

Additional Tier 1 (AT1) capital, to be calculated as row 36 minus row 43.

45

Tier 1 capital, to be calculated as row 29 plus row 44.

46

Capital instruments and the related share premium accounts as described in Articles 62 and 63 of Regulation (EU) No 575/2013.

47

Amount of qualifying items referred to in Article 484 (5) and the related share premium accounts subject to phase out from T2 as described in Article 486 (4) of Regulation (EU) No 575/2013.

48

Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or34) issued by subsidiaries and held by third parties as described in Articles 87 and 88 of Regulation (EU) No 575/2013.

49

Of the amount reported in 48, the amount relating to instruments issued by subsidiaries subject to phase out, as described in Article 486 (4) of Regulation (EU) No 575/2013.

50

Credit risk adjustments in accordance with Articles 62 (c) and (d) of Regulation (EU) No 575/2013.

51

The sum of rows 46 to 48 and row 50.

52

Direct and indirect holdings by an institution of own T2 instruments and subordinated loans as described in Articles 63 (b) (i), 66 (a) and 67 of Regulation (EU) No 575/2013.

53

Holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution as described in Article 66 (b) and 68 of Regulation (EU) No 575/2013 (negative amount).

54

Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) as described in Articles 66 (c), 69 and 70 of Regulation (EU) No 575/2013 (negative amount).

55

Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) as described in Articles 66 (d) and 69 of Regulation (EU) No 575/2013 (negative amount).

56

[An Empty Set under Regulation (EU) No 575/2013]

57

The sum of rows 52 to 56.

Image 14

58

Tier 2 (T2) capital, to be calculated as row 51 minus row 57.

59

Total capital, to be calculated as row 45 plus row 58.

60

Total risk weighted assets of the reporting group.

61

Common Equity Tier 1 (as a percentage of risk exposure amount), to be calculated as row 29 divided by row 60 (expressed as a percentage) in accordance with Article 92 (2) (a) of Regulation (EU) No 575/2013.

62

Tier 1 (as a percentage of risk exposure amount), to be calculated as row 45 divided by row 60 (expressed as a percentage) in accordance with Article 92 (2) (b) of Regulation (EU) No 575/2013.

63

Total capital (as a percentage of risk exposure amount), to be calculated as row 59 divided by row 60 (expressed as a percentage) in accordance with Article 92 (2) (c) of Regulation (EU) No 575/2013.

64

Institution-specific buffer requirement (CET1 requirement in accordance with Article 92 (1) (a) of Regulation (EU) No 575/2013 plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer requirement, plus systemically important institution buffer expressed as a percentage of risk exposure amount). To be calculated as 4.5% plus 2.5% plus the countercyclical buffer requirement calculated in accordance with Articles 128, 129 and 130 of Directive 2013/36/EU, plus the systemic buffer requirement (where applicable) calculated in accordance with Article 133 of Directive 2013/36/EU, plus the systemically important institution buffer (G-SII or O-SII buffer) calculated in accordance with Article 131 of Directive 2013/36/EU. This row will show the CET1 ratio below which the institution will become subject to constraints on distributions.

65

The amount in row 64 (expressed as a percentage of risk weighed assets) that relates to the capital conservation buffer), i.e. banks will report 2.5% here.

66

The amount in row 64 (expressed as a percentage of risk weighed assets) that relates to the countercyclical buffer requirement.

67

The amount in row 64 (expressed as a percentage of risk weighed assets) that relates to the systemic risk buffer requirement.

67a

The amount in row 64 (expressed as a percentage of risk weighed assets) that relates to the G-SII or O-SII buffer requirement.

68

Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount). To be calculated as the CET1 capital of the institution, less any Common Equity Tier 1 items used to meet the institution's Tier 1 and Total capital requirements.

69

[non relevant in EU regulation]

71

[non relevant in EU regulation]

71

[non relevant in EU regulation]

72

Direct and indirect holdings of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions) in accordance with Articles 36 (1) (h), 45, 46, 56 (c), 59, 60, 66 (c), 70 and 69 of Regulation (EU) No 575/2013.

73

Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 10% threshold and net of eligible short positions) in accordance with Articles 36 (1) (i), 45 and 48 of Regulation (EU) No 575/2013.

74

[An Empty Set under Regulation (EU) No 575/2013]

75

Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability where the conditions in Article 38 (3) are met) in accordance with Articles 36 (1) (c), 38 and 48 of Regulation (EU) No 575/2013.

76

Credit Risk Adjustments included in T2 in respect of exposures subject to standardized approach in accordance with Article 62 of Regulation (EU) No 575/2013.

77

Cap on inclusion of credit risk adjustments in T2 under standardized approach in accordance with Article 62 of Regulation (EU) No 575/2013.

78

Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach in accordance with Article 62 of Regulation (EU) No 575/2013.

Image 15

79

Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach in accordance with Article 62 of Regulation (EU) No 575/2013.

80

Current cap on CET1 instruments subject to phase out arrangements in accordance with Articles 484 (3), 486 (2) and (5) of Regulation (EU) No 575/2013.

81

Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) in accordance with Articles 484 (3), 486 (2) and (5) of Regulation (EU) No 575/2013.

82

Current cap on AT1 instruments subject to phase out arrangements in accordance with Articles 484 (4), 486 (3) and (5) of Regulation (EU) No 575/2013.

83

Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) in accordance with Articles 484 (4), 486 (3) and (5) of Regulation (EU) No 575/2013.

84

Current cap on T2 instruments subject to phase out arrangements in accordance with Articles 484 (5), 486 (4) and (5) of Regulation (EU) No 575/2013.

85

Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) in accordance with Articles 484 (5), 486 (4) and (5) of Regulation (EU) No 575/2013.

---

ANNEX VI

Transitional own funds disclosure template

Image 16

Common Equity Tier 1 capital: instruments and reserves

(A)

AMOUNT AT DISCLOSURE DATE

(B)

REGULATION (EU) No 575/2013 ARTICLE REFERENCE

(C)

AMOUNTS SUBJECT TO PRE- REGULATION (EU) No 575/2013 TREATMENT OR PRESCRIBED RESIDUAL AMOUNT OF REGULATION (EU) No 575/2013

1

Capital instruments and the related share premium accounts

26 (1), 27, 28, 29, EBA list 26 (3)

of which: Instrument type 1

EBA list 26 (3)

of which: Instrument type 2

EBA list 26 (3)

of which: Instrument type 3

EBA list 26 (3)

2

Retained earnings

26 (1) (c)

3

Accumulated other comprehensive income (and other reserves, to include unrealised gains and losses under the applicable accounting standards)

26 (1)

3a

Funds for general banking risk

26 (1) (f)

4

Amount of qualifying items referred to in Article 484 (3) and the related share premium accounts subject to phase out from CET1

486 (2)

Public sector capital injections grandfathered until 1 January 2018

483 (2)

5

Minority Interests (amount allowed in consolidated CET1)

84, 479, 480

5a

Independently reviewed interim profits net of any foreseeable charge or dividend

26 (2)

6

Common Equity Tier 1 (CET1) capital before regulatory adjustments

Common Equity Tier 1 (CET1) capital: regulatory adjustments

7

Additional value adjustments (negative amount)

34, 105

8

Intangible assets (net of related tax liability) (negative amount)

36 (1) (b), 37, 472 (4)

9

Empty Set in the EU

10

Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) are met) (negative amount)

36 (1) (c), 38, 472 (5)

Image 17

11

Fair value reserves related to gains or losses on cash flow hedges

33 (a)

12

Negative amounts resulting from the calculation of expected loss amounts

36 (1) (d), 40, 159, 472 (6)

13

Any increase in equity that results from securitised assets (negative amount)

32 (1)

14

Gains or losses on liabilities valued at fair value resulting from changes in own credit standing

33 (b)

15

Defined-benefit pension fund assets (negative amount)

36 (1) (e), 41, 472 (7)

16

Direct and indirect holdings by an institution of own CET1 instruments (negative amount)

36 (1) (f), 42, 472 (8)

17

Holdings of the CET1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

36 (1) (g), 44, 472 (9)

18

Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10% threshold and net of eligible short positions) (negative amount)

36 (1) (h), 43, 45, 46, 49 (2) (3), 79, 472 (10)

19

Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)

36 (1) (i), 43, 45, 47, 48 (1) (b), 49 (1) to (3), 79, 470, 472 (11)

20

Empty Set in the EU

20a

Exposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative

36 (1) (k)

20b

of which: qualifying holdings outside the financial sector (negative amount)

36 (1) (k) (i), 89 to 91

20c

of which: securitisation positions (negative amount)

36 (1) (k) (ii) 243 (1) (b) 244 (1) (b) 258

20d

of which: free deliveries (negative amount)

36 (1) (k) (iii), 379 (3)

21

Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in 38 (3) are met) (negative amount)

36 (1) (c), 38, 48 (1) (a), 470, 472 (5)

22

Amount exceeding the 15% threshold (negative amount)

48 (1)

Image 18

23

of which: direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities

36 (1) (i), 48 (1) (b), 470, 472 (11)

24

Empty Set in the EU

25

of which: deferred tax assets arising from temporary differences

36 (1) (c), 38, 48 (1) (a), 470, 472 (5)

25a

Losses for the current financial year (negative amount)

36 (1) (a), 472 (3)

25b

Foreseeable tax charges relating to CET1 items (negative amount)

36 (1) (l)

26

Regulatory adjustments applied to Common Equity Tier 1 in respect of amounts subject to pre-CRR treatment

26a

Regulatory adjustments relating to unrealised gains and losses pursuant to Articles 467 and 468

Of which: ... filter for unrealised loss 1

467

Of which: ... filter for unrealised loss 2

467

Of which: ... filter for unrealised gain 1

468

Of which: ... filter for unrealised gain 2

468

26b

Amount to be deducted from or added to Common Equity Tier 1 capital with regard to additional filters and deductions required pre CRR

481

Of which: ...

481

27

Qualifying AT1 deductions that exceed the AT1 capital of the institution (negative amount)

36 (1) (j)

28

Total regulatory adjustments to Common equity Tier 1 (CET1)

29

Common Equity Tier 1 (CET1) capital

Additional Tier 1 (AT1) capital: instruments

30

Capital instruments and the related share premium accounts

51, 52

31

of which: classified as equity under applicable accounting standards

32

of which: classified as liabilities under applicable accounting standards

33

Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1

486 (3)

Public sector capital injections grandfathered until 1 January 2018

483 (3)

Image 19

34

Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties

85, 86, 480

35

of which: instruments issued by subsidiaries subject to phase out

486 (3)

36

Additional Tier 1 (AT1) capital before regulatory adjustments

Additional Tier 1 (AT1) capital: regulatory adjustments

37

Direct and indirect holdings by an institution of own AT1 Instruments (negative amount)

52 (1) (b), 56 (a), 57, 475 (2)

38

Holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

56 (b), 58, 475 (3)

39

Direct and indirect holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10% threshold and net of eligible short positions) (negative amount)

56 (c), 59, 60, 79, 475 (4)

40

Direct and indirect holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above the 10% threshold net of eligible short positions) (negative amount)

56 (d), 59, 79, 475 (4)

41

Regulatory adjustments applied to additional tier 1 in respect of amounts subject to pre-CRR treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts)

41a

Residual amounts deducted from Additional Tier 1 capital with regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No 575/2013

472, 472(3)(a), 472 (4), 472 (6), 472 (8) (a), 472 (9), 472 (10) (a), 472 (11) (a)

Of which items to be detailed line by line, e.g. Material net interim losses, intangibles, shortfall of provisions to expected losses etc

41b

Residual amounts deducted from Additional Tier 1 capital with regard to deduction from Tier 2 capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/2013

477, 477 (3), 477 (4) (a)

Of which items to be detailed line by line, e.g. Reciprocal cross holdings in Tier 2 instruments, direct holdings of non-significant investments in the capital of other financial sector entities, etc

Image 20

41c

Amount to be deducted from or added to Additional Tier 1 capital with regard to additional filters and deductions required pre- CRR

467, 468, 481

Of which: ... possible filter for unrealised losses

467

Of which: ... possible filter for unrealised gains

468

Of which: ...

481

42

Qualifying T2 deductions that exceed the T2 capital of the institution (negative amount)

56 (e)

43

Total regulatory adjustments to Additional Tier 1 (AT1) capital

44

Additional Tier 1 (AT1) capital

45

Tier 1 capital (T1 = CET1 + AT1)

Tier 2 (T2) capital: instruments and provisions

46

Capital instruments and the related share premium accounts

62, 63

47

Amount of qualifying items referred to in Article 484 (5) and the related share premium accounts subject to phase out from T2

486 (4)

Public sector capital injections grandfathered until 1 January 2018

483 (4)

48

Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties

87, 88, 480

49

of which: instruments issued by subsidiaries subject to phase out

486 (4)

50

Credit risk adjustments

62 (c) & (d)

51

Tier 2 (T2) capital before regulatory adjustments

Tier 2 (T2) capital: regulatory adjustments

52

Direct and indirect holdings by an institution of own T2 instruments and subordinated loans (negative amount)

63 (b) (i), 66 (a), 67, 477 (2)

53

Holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)

66 (b), 68, 477 (3)

Image 21

54

Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)

66 (c), 69, 70, 79, 477 (4)

54a

Of which new holdings not subject to transitional arrangements

54b

Of which holdings existing before 1 January 2013 and subject to transitional arrangements

55

Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)

66 (d), 69, 79, 477 (4)

56

Regulatory adjustments applied to tier 2 in respect of amounts subject to pre-CRR treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts)

56a

Residual amounts deducted from Tier 2capital with regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No 575/2013

472, 472(3)(a), 472 (4), 472 (6), 472 (8) (a), 472 (9), 472 (10) (a), 472 (11) (a)

Of which items to be detailed line by line, e.g. Material net interim losses, intangibles, shortfall of provisions to expected losses etc

56b

Residual amounts deducted from Tier 2 capital with regard to deduction from Additional Tier 1 capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/2013

475, 475 (2) (a), 475 (3), 475 (4) (a)

Of which items to be detailed line by line, e.g. reciprocal cross holdings in at1 instruments, direct holdings of non significant investments in the capital of other financial sector entities, etc

56c

Amount to be deducted from or added to Tier 2 capital with regard to additional filters and deductions required pre CRR

467, 468, 481

Of which: ... possible filter for unrealised losses

467

Of which: ... possible filter for unrealised gains

468

Of which: ...

481

57

Total regulatory adjustments to Tier 2 (T2) capital

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58

Tier 2 (T2) capital

59

Total capital (TC = T1 + T2)

59a

Risk weighted assets in respect of amounts subject to pre-CRR treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013(i.e. CRR residual amounts)

Of which: ... items not deducted from CET1 (Regulation (EU) No 575/2013residual amounts) (items to be detailed line by line, e.g. Deferred tax assets that rely on future profitability net of related tax liability, indirect holdings of own CET1, etc)

472, 472 (5), 472 (8) (b), 472 (10) (b), 472 (11) (b)

Of which: ... items not deducted from AT1 items (Regulation (EU) No 575/2013residual amounts) (items to be detailed line by line, e.g. Reciprocal cross holdings in T2 instruments, direct holdings of non-significant investments in the capital of other financial sector entities, etc.)

475, 475 (2) (b), 475 (2) (c), 475 (4) (b)

Items not deducted from T2 items (Regulation (EU) No 575/2013residual amounts) (items to be detailed line by line, e.g. Indirect holdings of own t2 instruments, indirect holdings of non-significant investments in the capital of other financial sector entities, indirect holdings of significant investments in the capital of other financial sector entities etc)

477, 477 (2) (b), 477 (2) (c), 477 (4) (b)

60

Total risk weighted assets

Capital ratios and buffers

61

Common Equity Tier 1 (as a percentage of risk exposure amount)

92 (2) (a), 465

62

Tier 1 (as a percentage of risk exposure amount)

92 (2) (b), 465

63

Total capital (as a percentage of risk exposure amount)

92 (2) (c)

64

Institution specific buffer requirement (CET1 requirement in accordance with article 92 (1) (a) plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer, plus the systemically important institution buffer (G-SII or O-SII buffer), expressed as a percentage of risk exposure amount)

CRD 128, 129, 130

65

of which: capital conservation buffer requirement

66

of which: countercyclical buffer requirement

67

of which: systemic risk buffer requirement

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67a

of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer

CRD 131

68

Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount)

CRD 128

69

[non relevant in EU regulation]

70

[non relevant in EU regulation]

71

[non relevant in EU regulation]

Capital ratios and buffers

72

Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions)

36 (1) (h), 45, 46, 472 (10) 56 (c), 59, 60, 475 (4) 66 (c), 69, 70, 477 (4)

73

Direct and indirect holdings by the institution of the CET 1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 10% threshold and net of eligible short positions)

36 (1) (i), 45, 48, 470, 472 (11)

74

Empty Set in the EU

75

Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability where the conditions in Article 38 (3) are met)

36 (1) (c), 38, 48, 470, 472 (5)

Applicable caps on the inclusion of provisions in Tier 2

76

Credit risk adjustments included in T2 in respect of exposures subject to standardized approach (prior to the application of the cap)

62

77

Cap on inclusion of credit risk adjustments in T2 under standardised approach

62

78

Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap)

62

79

Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach

62

Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)

80

Current cap on CET1 instruments subject to phase out arrangements

484 (3), 486 (2) & (5)

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81

Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)

484 (3), 486 (2) & (5)

82

Current cap on AT1 instruments subject to phase out arrangements

484 (4), 486 (3) & (5)

83

Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)

484 (4), 486 (3) & (5)

84

Current cap on T2 instruments subject to phase out arrangements

484 (5), 486 (4) & (5)

85

Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)

484 (5), 486 (4) & (5)

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ANNEX VII

Instructions for completing the transitional own funds disclosure template

| (1) | Institutions shall disclose column (A) of the template called ‘Disclosure date’ the amount related to the item labelled in the corresponding row for which column (B) ‘CRR article reference’ mentions the applicable regulatory provisions (where ‘CRR’ refers to Regulation (EU) No 575/2013). The amounts disclosed in column (A) shall reflect the regulatory capital position of the institutions at the disclosure date during the transitional period and shall be net of the regulatory adjustments that have been phased-in up to the disclosure date. |
| --- | --- |

(1)

| (2) | Institutions shall disclose in the visible cells of column (C) ‘Amounts to be subject to pre-CRR treatment or CRR prescribed residual amount’ the amount related to the item labelled in the corresponding row for which column (B) ‘CRR article reference’ mentions the applicable regulatory provisions (where ‘CRR’ refers to Regulation (EU) No 575/2013). The amounts disclosed shall reflect the residual amount of the regulatory adjustment i) that, under the national transposition measures, will continue to be applied to a part of the regulatory capital other than the part to which the adjustment shall be made once the transitional period is over, or ii) that is not otherwise deducted at the point of the disclosure date. |
| --- | --- |

(2)

| (3) | By way of exception from paragraph 2, for rows 26a, 26b, 41a to 41c, 56a to 56c, 59a and all rows to these deriving from them, institutions shall disclose in column (A) the residual amount of the regulatory adjustments referred to in paragraph 3 respectively included in the calculation of the Common Equity Tier 1 capital, Additional Tier 1 capital, Tier 2 capital and Total capital. |
| --- | --- |

(3)

| (4) | With regard to unrealised losses and gains measured at fair value referred to in Articles 467 and 468 of Regulation (EU) No 575/2013, institutions shall disclose the amount excluded from Common Equity Tier 1 capital pursuant to Article 467 and 468 in column (A) under the row 26a. Institutions shall include additional rows relating to this row in order to specify the nature of assets or liabilities, like equity or debt instruments, for which the unrealised losses or gains are excluded from Common Equity Tier 1 capital. |
| --- | --- |

(4)

| (5) | With regard to deductions from Common Equity Tier 1 capital referred to in Article 469 of Regulation (EU) No 575/2013, institutions shall disclose the amounts to be deducted in column (A) and the residual amounts in column (C) under the rows related to the deductions items. The residual amounts to be deducted pursuant to Article 472 of Regulation (EU) No 575/2013 shall also be disclosed under row 41a (and below) for the amount to be deducted from Additional Tier 1 capital and under row 56a for the amount to be deducted from Tier 2 capital. Institutions shall include additional rows relating to rows 41a and 56a in order to specify the relevant items subject to this treatment. |
| --- | --- |

(5)

| (6) | With regard to deductions from Additional Tier 1 capital referred to in Article 474 of Regulation (EU) No 575/2013, institutions shall disclose the amounts to be deducted in column (A) and the residual amounts in column (C) under the rows related to the deductions items. The residual amounts to be deducted pursuant to Article 475 of Regulation (EU) No 575/2013 shall also be disclosed under row 56b for the amount to be deducted from Tier 2 capital. Institutions shall include additional rows relating to row 56b in order to specify the relevant items subject to this treatment. |
| --- | --- |

(6)

| (7) | With regard to deductions from Tier 2 capital referred to in Article 476 of Regulation (EU) No 575/2013, institutions shall disclose the amounts to be deducted in column (A) and the residual amounts in column (C) under the rows related to the deductions items. The residual amounts to be deducted pursuant to Article 477 of Regulation (EU) No 575/2013 shall also be disclosed under row 41c for the amount to be deducted from Additional Tier 1 capital. Institutions shall include additional rows relating to row 41c in order to specify the relevant items subject to this treatment. |
| --- | --- |

(7)

| (8) | With regard to minority interests, institutions shall disclose in column (A) under row 5 the sum of minority interests that qualify as Common Equity Tier 1 capital pursuant to Part Two Title II of Regulation (EU) No 575/2013 and minority interests that would qualify as consolidated reserves as referred to in Articles 479 and 480 of Regulation (EU) No 575/2013. Institutions shall also disclose in column (C) under row 5 the minority interests that would qualify as consolidated reserves as referred to in Articles 479 and 480 of Regulation (EU) No 575/2013. |
| --- | --- |

(8)

| (9) | With regard to filters and deductions referred to in Article 481 of Regulation (EU) No 575/2013, institutions shall disclose in column (A) the amount of the adjustments to be included in or deducted from Common Equity Tier 1 capital, Tier 1 capital and Tier 2 capital under rows 26b, 41c and 56c respectively. Institutions shall include additional rows relating to rows 26b, 41c and 56c in order to specify the relevant items subject to this treatment. |
| --- | --- |

(9)

| (10) | Residual amounts relating to deductions from Common Equity Tier 1 capital, Additional Tier 1 capital and Tier 2 capital that are risk weighted pursuant to Articles 470, 472, 475 and 477 of Regulation (EU) No 575/2013 shall be disclosed in column (A) under row 59a. The disclosed amount shall be the risk weighted amount. |
| --- | --- |

(10)

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