02021R0637 — EN — 28.06.2021 — 001.001

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►B COMMISSION IMPLEMENTING REGULATION (EU) 2021/637 of 15 March 2021 laying down implementing technical standards with regard to public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 of the European Parliament and of the Council and repealing Commission Implementing Regulation (EU) No 1423/2013, Commission Delegated Regulation (EU) 2015/1555, Commission Implementing Regulation (EU) 2016/200 and Commission Delegated Regulation (EU) 2017/2295 (Text with EEA relevance) (OJ L 136 21.4.2021, p. 1)

Amended by:









▼B

COMMISSION IMPLEMENTING REGULATION (EU) 2021/637

of 15 March 2021

laying down implementing technical standards with regard to public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 of the European Parliament and of the Council and repealing Commission Implementing Regulation (EU) No 1423/2013, Commission Delegated Regulation (EU) 2015/1555, Commission Implementing Regulation (EU) 2016/200 and Commission Delegated Regulation (EU) 2017/2295

(Text with EEA relevance)







Article 1

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

1. Institutions shall disclose the information referred to in Article 447, points (a) to (g), and Article 438, point (b), of Regulation (EU) No 575/2013 by using template EU KM1 of Annex I to this Regulation and by following the instructions set out in Annex II to this Regulation.

2. Institutions shall disclose the information referred to in Article 438, point (d), of Regulation (EU) No 575/2013 by using template EU OV1 of Annex I to this Regulation and by following the instructions set out in Annex II to this Regulation.

3. Institutions shall disclose the information referred to in Article 438 points (a) and (c), of Regulation (EU) No 575/2013 by using table EU OVC set out in Annex I to this Regulation and by following the instructions set out in Annex II to this Regulation.

4. Institutions shall disclose the information referred to in Article 438, points (f) and (g), of Regulation (EU) No 575/2013 by using templates EU INS1 and EU INS2 set out in Annex I to this Regulation and by following the instructions set out in Annex II to this Regulation.

Article 2

Disclosure of risk management objectives and policies

Institutions shall disclose the information referred to in Article 435 of Regulation (EU) No 575/2013 by using tables EU OVA and EU OVB set out in Annex III to this Regulation and by following the instructions set out in Annex IV to this Regulation.

Article 3

Disclosure of the scope of application

1. Institutions shall disclose the information referred to in Article 436, points (b) and (c), of Regulation (EU) No 575/2013 by using templates EU LI1 and EU LI3 of Annex V to this Regulation and by following the instructions set out in Annex VI to this Regulation.

2. Institutions shall disclose the information referred to in Article 436, points (b) and (d), of Regulation (EU) No 575/2013 by using template EU LI2 and table EU LIA of Annex V to this Regulation and by following the instructions set out in Annex VI to this Regulation.

3. Institutions shall disclose the information referred to in Article 436, point (e), of Regulation (EU) No 575/2013 by using template EU PV1 of Annex V to this Regulation and by following the instructions set out in Annex VI to this Regulation.

4. Institutions shall disclose the information referred to in Article 436, points (f), (g) and (h), of Regulation (EU) No 575/2013, by using table EU LIB of Annex V to this Regulation and by following the instructions set out in Annex VI to this Regulation.

Article 4

Disclosure of own funds

Institutions shall disclose the information referred to in Article 437 of Regulation (EU) No 575/2013, as follows:

(a) the information referred to in Article 437, points (a), (d), (e) and (f), of Regulation (EU) No 575/2013 by using templates EU CC1 and EU CC2 of Annex VII to this Regulation and by following the instructions set out in Annex VIII to this Regulation;

(b) the information referred to in Article 437, points (b) and (c), of Regulation (EU) No 575/2013 by using table EU CCA of Annex VII to this Regulation and by following the instructions set out in Annex VIII to this Regulation.

Article 5

Disclosure of countercyclical capital buffers

Institutions shall disclose the information referred to in Article 440 of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 440, point (a), of Regulation (EU) No 575/2013 by using template EU CCYB1 of Annex IX to this Regulation and by following the instructions set out in Annex X to this Regulation;

(b) the information referred to in Article 440, point (b) of Regulation (EU) No 575/2013 by using template EU CCYB2 of Annex IX to this Regulation and by following the instructions set out in Annex X to this Regulation.

Article 6

Disclosure of the leverage ratio

Institutions shall disclose the information referred to in Article 451 of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 451(1), points (a), (b), and (c), and in Article 451, paragraphs 2 and 3, of Regulation (EU) No 575/2013 by using templates EU LR1, EU LR2 and EU LR3 of Annex XI to this Regulation and by following the instructions set out in Annex XII to this Regulation;

(b) the information referred to in Article 451(1), points (d) and (e), of Regulation (EU) No 575/2013 by using table EU LRA of Annex XI to this Regulation and by following the instructions set out in Annex XII to this Regulation.

▼M1

Article 6a

Disclosure of indicators of global systemic importance

1. G-SIIs shall disclose the information on the values of the indicators used for determining their score referred to in Article 441 of Regulation (EU) No 575/2013 by using the uniform disclosure format referred to in Article 434a of Regulation (EU) No 575/2013 which shall be used for the collection of the indicator values by relevant authorities as set out in Article 3(2) of Commission Delegated Regulation (EU) No 1222/2014, with the exception of any ancillary data and memorandum items collected in accordance with that Article.

2. G-SIIs shall disclose the information referred to in paragraph 1 in their year-end Pillar 3 report. G-SIIs shall redisclose the information referred to in paragraph 1 in their first Pillar 3 report following the final submission of the values of the indicators to the relevant authorities, where the submitted figures are different from the figures disclosed in the year-end Pillar 3 report.

▼B

Article 7

Disclosure of liquidity requirements

Institutions shall disclose the information referred to in Article 435(1) and in Article 451a of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 435(1) and in Article 451a(4) of Regulation (EU) No 575/2013 by using table EU LIQA of Annex XIII to this Regulation and by following the instructions set out in Annex XIV to this Regulation;

(b) the information referred to in Article 451a(2) of Regulation (EU) No 575/2013 by using template EU LIQ1 and table EU LIQB of Annex XIII to this Regulation and by following the instructions set out in Annex XIV to this Regulation;

(c) the information referred to in Article 451a(3) of Regulation (EU) No 575/2013 by using template EU LIQ2 of Annex XIII to this Regulation and by following the instructions set out in Annex XIV to this Regulation.

Article 8

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

1. Institutions shall disclose the information referred to in Articles 435 and 442 of Regulation (EU) No 575/2013 as follows: (a) the information referred to in Article 435(1), points (a), (b), (d) and (f), of Regulation (EU) No 575/2013 by using table EU CRA of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation; (b) the information referred to in Article 442, points (a) and (b), of Regulation (EU) No 575/2013 by using table EU CRB of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation; (c) the information referred to in Article 442, point (d), of Regulation (EU) No 575/2013 by using template EU CQ3 of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation; (d) the information referred to in Article 442, point (g), of Regulation (EU) No 575/2013 by using template EU CR1-A of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation; (e) the information referred to in Article 442, point (f), of Regulation (EU) No 575/2013 by using template EU CR2 of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation.

2. Institutions shall disclose the information referred to in Article 442, points (c), (e) and (f), of Regulation (EU) No 575/2013 by using templates EU CR1, EU CQ1, and EU CQ7, columns a, c, e, f and g of template EU CQ4, and columns a, c, e and f of template EU CQ5, set out in Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation.

3. Large institutions that have a ratio between the gross carrying amount of loans and advances that fall under Article 47a(3) of Regulation (EU) No 575/2013 and the total gross carrying amount of loans and advances that fall under Article 47a(1) of Regulation (EU) No 575/2013 equal to or higher than 5 % shall, in addition to the templates and columns referred to in paragraph 2, disclose the information referred to in Article 442, points (c) and (f), of Regulation (EU) No 575/2013 by using templates EU CR2a, EU CQ2, EU CQ6 and EU CQ8, and columns b and d of templates EU CQ4 and EU CQ5 set out in Annex XV to this Regulation by following the instructions set out in Annex XVI. They shall disclose that information on an annual basis.

4. For the purpose of paragraph 3, loans and advances classified as held for sale, cash balances at central banks and other demand deposits shall be excluded both from the denominator and the numerator of the ratio.

5. Institutions shall commence disclosure in accordance with paragraph 3 where they have reached or exceeded the 5 % threshold referred to in that paragraph in two consecutive quarters during the four quarters prior to the reference date of the disclosure. For the reference date of the first disclosure, institutions shall disclose the information concerned by using the templates referred to in that paragraph where they exceed the 5 % threshold on that disclosure reference date.

6. Institutions shall no longer be obliged to disclose in accordance with paragraph 3 where they have fallen below the 5 % threshold on three consecutive quarters during the four quarters prior to the disclosure reference date.

Article 9

Disclosure of the use of credit risk mitigation techniques

Institutions shall disclose the information referred to in Article 453, points (a) to (f), of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 453, points (a) to (e), of Regulation (EU) No 575/2013 by using table EU CRC of Annex XVII to this Regulation and by following the instructions set out in Annex XVIII to this Regulation;

(b) the information referred to in Article 453, point (f), of Regulation (EU) No 575/2013 by using template EU CR3 of Annex XVII to this Regulation and by following the instructions set out in Annex XVIII to this Regulation.

Article 10

Disclosure of the use of the standardised approach

Institutions calculating risk-weighted exposure amounts under the Standardised Approach shall disclose the information referred to in Article 444 and in Article 453, points (g), (h) and (i), of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 444, points (a) to (d), of Regulation (EU) No 575/2013 by using table EU CRD of Annex XIX to this Regulation and by following the instructions set out in Annex XX to this Regulation;

(b) the information referred to in Article 453, points (g), (h) and (i), of and Article 444, point (e), of Regulation (EU) No 575/2013 by using template EU CR4 of Annex XIX to this Regulation and by following the instructions set out in Annex XX to this Regulation;

(c) the information referred to in Article 444, point (e), of Regulation (EU) No 575/2013 by using template EU CR5 of Annex XIX to this Regulation and by following the instructions set out in Annex XX to this Regulation and, for the information on the exposure values deducted from own funds referred to in that same Article, by using template EU CC1 of Annex VII to this Regulation and by following the instructions set out in Annex VIII to this Regulation.

Article 11

Disclosure of the use of the IRB approach to credit risk

Institutions calculating risk-weighted exposure amounts under the IRB Approach shall disclose the information referred to in Articles 438 and 452 and in Article 453, points (g) and (j), of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 452, points (a) to (f), of Regulation (EU) No 575/2013 by using table EU CRE and template EU CR6-A of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation;

(b) the information referred to in Article 452, point (g), of Regulation (EU) No 575/2013 by using template EU CR6 of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation;

(c) the information referred to in Article 453, points (g) and (j), of Regulation (EU) No 575/2013 by using templates EU CR7-A and EU CR7 of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation;

(d) the information referred to in Article 438, point (h), of Regulation (EU) No 575/2013 by using template EU CR8 of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation;

(e) the information referred to in Article 452, point (h), of Regulation (EU) No 575/2013 by using templates EU CR9 and EU CR9.1 of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation.

Article 12

Disclosure of specialised lending and equity exposure under the simple risk weight approach

Institutions shall disclose the information referred to in Article 438, point (e), of Regulation (EU) No 575/2013 by using template EU CR10 of Annex XXIII to this Regulation and by following the instructions set out in Annex XXIV to this Regulation.

Article 13

Disclosure of exposures to counterparty credit risk

Institutions shall disclose the information referred to in Article 438, point (h), and Article 439 of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 439, points (a), (b), (c) and (d), of Regulation (EU) No 575/2013 by using table EU CCRA of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(b) the information referred to in Article 439, points (f), (g), (k) and (m), of Regulation (EU) No 575/2013 by using template EU CCR1 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(c) the information referred to in Article 439, point (h), of Regulation (EU) No 575/2013 by using template EU CCR2 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(d) the information referred to in Article 439, point (l) of Regulation (EU) No 575/2013 by using templates EU CCR3 and EU CCR4 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(e) the information referred to in Article 439, point (e), of Regulation (EU) No 575/2013 by using template EU CCR5 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(f) the information referred to in Article 439, point (j), of Regulation (EU) No 575/2013 by using, template EU CCR6 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(g) the information referred to in Article 438, point (h), of Regulation (EU) No 575/2013 by using template EU CCR7 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(h) the information referred to in Article 439, point (i) of Regulation (EU) No 575/2013 by using template EU CCR8 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation.

Article 14

Disclosure of exposures to securitisation positions

Institutions shall disclose the information referred to in Article 449 of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 449, points (a) to (i), of Regulation (EU) No 575/2013 by using table EU SECA of Annex XXVII to this Regulation and by following the instructions set out in Annex XXVIII to this Regulation;

(b) the information referred to in Article 449, point (j), of Regulation (EU) No 575/2013 by using templates EU SEC1 and EU SEC2 of Annex XXVII to this Regulation and by following the instructions set out in Annex XXVIII to this Regulation;

(c) the information referred to in Article 449, point (k), of Regulation (EU) No 575/2013 by using templates EU SEC3 and EU SEC4 of Annex XXVII to this Regulation and by following the instructions set out in Annex XXVIII to this Regulation;

(d) the information referred to in Article 449, point (l) of Regulation (EU) No 575/2013 by using template EU SEC5 of Annex XXVII to this Regulation and by following the instructions set out in Annex XXVIII to this Regulation.

Article 15

Disclosure of the use of the standardised approach and of the internal models for market risk

1. Institutions shall disclose the information referred to in Article 445 of Regulation (EU) No 575/2013 by using template EU MR1 of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation.

2. Institutions shall disclose the information referred to in Articles 435, 438 and 455 of Regulation (EU) No 575/2013 as follows: (a) the information regarding market risk referred to in Article 435(1), points (a) to (d), of Regulation (EU) No 575/2013 by using table EU MRA of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation; (b) the information referred to in Article 455, points (a), (b), (c) and (f), of Regulation (EU) No 575/2013 by using table EU MRB of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation; (c) the information referred to in Article 455, point (e), of Regulation (EU) No 575/2013 by using template EU MR2-A of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation; (d) the information regarding internal market risk models referred to in Article 438, point (h), of Regulation (EU) No 575/2013 by using template EU MR2-B of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation; (e) the information referred to in Article 455, point (d), of Regulation (EU) No 575/2013 by using template EU MR3 of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation; (f) the information referred to in Article 455, point (g), of Regulation (EU) No 575/2013 by using template EU MR4 of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation.

Article 16

Disclosure of operational risk

Institutions shall disclose the information referred to in Article 435, Article 438, point (d), and Articles 446 and 454 of Regulation (EU) No 575/2013 by using table EU ORA and template EU OR1 of Annex XXXI to this Regulation and by following the instructions set out in Annex XXXII to this Regulation.

Article 17

Disclosure of remuneration policy

Institutions shall disclose the information referred to in Article 450 of Regulation (EU) No 575/2013, as follows:

(a) the information referred to in Article 450(1), points (a) to (f), and points (j) and (k), and the information referred to in Article 450(2) of that Regulation, by using table EU REMA of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;

(b) the information referred to in Article 450(1), points (h)(i) and (h)(ii), of Regulation (EU) No 575/2013 by using template EU REM1 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;

(c) the information referred to in Article 450(1), points (h)(v), (h)(vi) and (h)(vii), of Regulation (EU) No 575/2013 by using template EU REM2 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;

(d) the information referred to in Article 450(1), points (h)(iii) and (h)(iv), of Regulation (EU) No 575/2013 by using template EU REM3 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;

(e) the information referred to in Article 450(1), points (g) and (i), of Regulation (EU) No 575/2013 by using templates EU REM4 and EU REM5 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation.

Article 18

Disclosure of encumbered and unencumbered assets

Institutions shall disclose the information referred to in Article 443 of Regulation (EU) No 575/2013 by using templates EU AE1, EU AE2 and EU AE3 and table EU AE4 of Annex XXXV to this Regulation and by following the instructions set out in Annex XXXVI to this Regulation.

Article 19

General provisions

1. The numbering of rows or columns shall not be altered where an institution omits one or more disclosures in accordance with Article 432 of Regulation (EU) No 575/2013.

2. Institutions shall make a clear note in the narrative accompanying the template or table concerned indicating which rows or columns are not populated and stating the reason of the omission of the disclosure.

3. The information required by Article 431 of Regulation (EU) No 575/2013 shall be clear and comprehensive, enabling users of that information to understand the quantitative disclosures, and shall be placed next to the templates to which that information relates.

4. Numeric values shall be presented as follows: (a) quantitative monetary data shall be disclosed using a minimum precision equivalent to millions of units; (b) quantitative data disclosed as ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals.

5. Institutions shall, in addition to the information disclosed in accordance with this Regulation, also provide the following information: (a) disclosure reference date and reference period; (b) reporting currency; (c) name and, where relevant, legal entity identifier (LEI) of the disclosing institution; (d) where relevant, the accounting standard used; (e) where relevant, the scope of consolidation.

Article 20

Repeal

Implementing Regulation (EU) No 1423/2013, Delegated Regulation (EU) 2015/1555, Implementing Regulation (EU) 2016/200 and Delegated Regulation (EU) 2017/2295 are repealed.

Article 21

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.

It shall apply from 28 June 2021.

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









ANNEX I







Template EU OV1 – Overview of total risk exposure amounts Total risk exposure amounts (TREA) Total own funds requirements a b c T T-1 T 1 Credit risk (excluding CCR) 2 Of which the standardised approach 3 Of which the Foundation IRB (F-IRB) approach 4 Of which slotting approach EU 4a Of which equities under the simple riskweighted approach 5 Of which the Advanced IRB (A-IRB) approach 6 Counterparty credit risk - CCR 7 Of which the standardised approach 8 Of which internal model method (IMM) EU 8a Of which exposures to a CCP EU 8b Of which credit valuation adjustment - CVA 9 Of which other CCR 10 Not applicable 11 Not applicable 12 Not applicable 13 Not applicable 14 Not applicable 15 Settlement risk 16 Securitisation exposures in the non-trading book (after the cap) 17 Of which SEC-IRBA approach 18 Of which SEC-ERBA (including IAA) 19 Of which SEC-SA approach EU 19a Of which 1 250 % / deduction 20 Position, foreign exchange and commodities risks (Market risk) 21 Of which the standardised approach 22 Of which IMA EU 22a Large exposures 23 Operational risk EU 23a Of which basic indicator approach EU 23b Of which standardised approach EU 23c Of which advanced measurement approach 24 Amounts below the thresholds for deduction (subject to 250 % risk weight) 25 Not applicable 26 Not applicable 27 Not applicable 28 Not applicable 29 Total







Template EU KM1 - Key metrics template a b c d e T T-1 T-2 T-3 T-4 Available own funds (amounts) 1 Common Equity Tier 1 (CET1) capital 2 Tier 1 capital 3 Total capital Risk-weighted exposure amounts 4 Total risk exposure amount Capital ratios (as a percentage of risk-weighted exposure amount) 5 Common Equity Tier 1 ratio (%) 6 Tier 1 ratio (%) 7 Total capital ratio (%) Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure amount) EU 7a Additional own funds requirements to address risks other than the risk of excessive leverage (%) EU 7b of which: to be made up of CET1 capital (percentage points) EU 7c of which: to be made up of Tier 1 capital (percentage points) EU 7d Total SREP own funds requirements (%) Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount) 8 Capital conservation buffer (%) EU 8a Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%) 9 Institution specific countercyclical capital buffer (%) EU 9a Systemic risk buffer (%) 10 Global Systemically Important Institution buffer (%) EU 10a Other Systemically Important Institution buffer (%) 11 Combined buffer requirement (%) EU 11a Overall capital requirements (%) 12 CET1 available after meeting the total SREP own funds requirements (%) Leverage ratio 13 Total exposure measure 14 Leverage ratio (%) Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure) EU 14a Additional own funds requirements to address the risk of excessive leverage (%) EU 14b of which: to be made up of CET1 capital (percentage points) EU 14c Total SREP leverage ratio requirements (%) Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure) EU 14d Leverage ratio buffer requirement (%) EU 14e Overall leverage ratio requirement (%) Liquidity Coverage Ratio 15 Total high-quality liquid assets (HQLA) (Weighted value -average) EU 16a Cash outflows - Total weighted value EU 16b Cash inflows - Total weighted value 16 Total net cash outflows (adjusted value) 17 Liquidity coverage ratio (%) Net Stable Funding Ratio 18 Total available stable funding 19 Total required stable funding 20 NSFR ratio (%)







Template EU INS1 - Insurance participations a b Exposure value Risk exposure amount 1 Own fund instruments held in insurance or re-insurance undertakings or insurance holding company not deducted from own funds







Template EU INS2 - Financial conglomerates information on own funds and capital adequacy ratio a T 1 Supplementary own fund requirements of the financial conglomerate (amount) 2 Capital adequacy ratio of the financial conglomerate (%)







Table EU OVC - ICAAP information Internal Capital Adequacy Assessment Process + ongoing assessment of the bank's risks, how the bank intends to mitigate those risks and how much current and future capital is necessary having considered other mitigating factors Free format text boxes for disclosure on qualitative items Legal basis Row number Free format Article 438(a) CRR (a) Approach to assessing the adequacy of the internal capital Article 438(c) CRR (b) Upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process









ANNEX II

Instructions for overview disclosure templates

Template EU OV1 – Overview of total risk exposure amounts. Fixed format

1. Institutions shall apply the instructions below to complete template EU OV1 as presented in Annex I to this Implementing Regulation, in application of point (d) of Article 438 of Regulation (EU) No 575/2013 ( 1 ) (‘CRR’).

2. Institutions shall explain, where relevant, in the narrative accompanying the template, the effect that applying capital floors and not deducting items from own funds has on the calculation of own funds and risk exposure amounts.







Legal references and instructions Column number Explanation a Total risk exposure amounts (TREA) Total risk exposure amount calculated in accordance with Articles 92(3) and Articles 95, 96 and 98 CRR b TREA (T-1) TREA as disclosed in the previous disclosure period c Total own funds requirements Own fund requirements corresponding to the RWEAs for the different risk categories Legal references and instructions Row number Explanation 1 Credit risk (excluding CCR) RWEAs and own funds requirements calculated in accordance with Chapters 1 to 4 of Title II of Part Three CRR, and with Article 379 CRR. RWEAs for securitisation exposures in the non-trading book and for CCR are excluded and disclosed in rows 6 and 16 of this template. Institutions shall include, in the amount disclosed in this row, RWEAs and own funds requirements for free deliveries risk calculated in accordance with Article 379 CRR. 2 Credit risk (excluding CCR) - Of which the standardised approach RWEAs and own funds requirements calculated in accordance with the CR standardised approach (Chapter 2 of Title II of Part Three CRR and Article 379 CRR). 3 Credit risk (excluding CCR) - Of which the Foundation IRB (F-IRB) approach RWEAs and own funds requirements calculated in accordance with the CR – Foundation Internal Ratings Based Approach (Chapter 3 of Title II of Part Three CRR), excluding the RWEAs disclosed in row 4 for specialised lending exposures subject to the slotting approach, and in row EU 4a for equities under the simple risk weighted approach, and including the RWEAs and own funds requirements calculated in accordance with Article 379 CRR. 4 Credit risk (excluding CCR) - Of which: slotting approach RWEAs and own funds requirements for specialised lending exposures subject to the slotting approach calculated in accordance with Article 153(5) CRR. EU 4a Credit risk (excluding CCR) - Of which: equities under the simple risk weighted approach RWEAs and own funds requirements for equities under the simple risk weighted approach calculated in accordance with Article 155(2) CRR. 5 Credit risk (excluding CCR) - Of which the Advanced IRB (A-IRB) approach RWEAs and own funds requirements calculated in accordance with the CR – Advanced Internal Ratings Based Approach (Chapter 3 of Title II of Part Three CRR), excluding the RWEAs disclosed in row 4 for specialised lending exposures subject to the slotting approach and in row EU 4a for equities under the simple risk weighted approach and including the RWEAs and own funds requirements calculated in accordance with Article 379 CRR. 6 Counterparty credit risk – CCR RWEAs and own funds requirements calculated in accordance with Chapter 6 of Title II of Part Three CRR for counterparty credit risk. 7 CCR - Of which the standardised approach RWEAs and own funds requirements calculated in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR. 8 CCR - Of which internal model method (IMM) RWEAs and own funds requirements calculated in accordance with Article 283 CRR. EU 8a CCR – Of which exposures to a CCP RWEAs and own funds requirements calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR. EU 8b CCR – Of which credit valuation adjustment – CVA RWEAs and own funds requirements calculated in accordance with Title VI of Part Three CRR. 9 CCR - Of which other CCR CCR RWEAs and own funds requirements that are not disclosed under rows 7, 8, EU 8a and EU 8b. 10 Not applicable 11 Not applicable 12 Not applicable 13 Not applicable 14 Not applicable 15 Settlement risk Risk exposure amount (REA) and own funds requirements calculated for settlement/delivery risk in accordance with Article 378 CRR. 16 Securitisation exposures in the non-trading book (after the cap) RWEAs and own funds requirements calculated in accordance with Chapter 5 of Title II of Part Three CRR. 17 Securitisation - Of which SEC-IRBA approach RWEAs and own funds requirements calculated in accordance with the SEC-IRBA regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR. 18 Securitisation - Of which SEC-ERBA (including IAA) RWEAs and own funds requirements calculated in accordance with the SEC-ERBA (including IAA) regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR. 19 Securitisation - Of which SEC-SA approach RWEAs and own funds requirements calculated in accordance with the SEC-SA regulatory approach, used in accordance with the hierarchy of approaches set out in Article 254 CRR. EU 19a Securitisation - Of which 1 250 % / deduction RWEAs and own funds requirements for securitisation exposures on the non-trading book risk-weigh at 1 250 % or deducted from own funds in accordance with Chapter 5 of Title II of Part Three CRR. 20 Position, foreign exchange and commodities risks (Market risk) RWEAs and own funds requirements calculated in accordance with Title IV of Part Three CRR. 21 Market risk - Of which the standardised approach RWEAs and own funds requirements calculated in accordance with Chapters 2 to 4 of Title IV of Part Three CRR. 22 Market risk - Of which IMA REA and own funds requirements calculated in accordance with Chapter 5 of Title IV of Part Three CRR. EU 22a Large exposures REA and own funds requirements calculated in accordance with point (b)(ii) of Article 92(3) CRR. 23 Operational risk REA and own funds requirements calculated in accordance with Title III of Part Three CRR. EU 23a Operational risk - Of which basic indicator approach REA and own funds requirements calculated in accordance with Chapter 2 of Title III of Part Three CRR. EU 23b Operational risk - Of which standardised approach REA and own funds requirements calculated in accordance with Chapter 3 of Title III of Part Three CRR. EU 23c Operational risk - Of which advanced measurement approach REA and own funds requirements calculated in accordance with Chapter 4 of Title III of Part Three CRR. 24 Amount below the thresholds for deduction (subject to 250% risk weight) The amount shall correspond to the sum of amounts of the items subject to a 250% risk weight referred to in Article 48(4) CRR after application of the 250% risk weight. Those amounts include: — deferred tax assets that are dependent on future profitability and arise from temporary differences, and in aggregate are equal to or less than 10 % of the Common Equity Tier 1 items of the institution calculated in accordance with point (a) of Article 48(1) CRR. — significant investments in a financial sector entity, the direct, indirect and synthetic holdings of that institution of the Common Equity Tier 1 instruments of those entities that in aggregate are equal to, or less than, 10 % of the Common Equity Tier 1 items of the institution calculated in accordance with point (b) of Article 48(1) CRR. The information in this row is disclosed for information purposes only as the amount included here is also included in row 1, where institutions are asked to disclose information on credit risk. 25 Not applicable 26 Not applicable 27 Not applicable 28 Not applicable 29 Total Total risk exposure amount calculated in accordance with Article 92(3) and Articles 95, 96 and 98 CRR.

Template EU KM1 – Key metrics template. Fixed format

3. Institutions shall apply the instructions provided below in this Annex to complete template EU KM1 presented in Annex I to this Implementing Regulation, in application of points (a) to (g) of Article 447 CRR and in application of point (b) of Article 438 CRR.







Legal references and instructions Column number Explanation a - e Disclosure periods T, T-1, T-2, T-3 and T-4 are defined as quarterly periods and shall be populated depending on the frequency set by Articles 433a, 433b and 433c CRR. Institutions disclosing the information contained in this template on a quarterly basis shall provide data for periods T, T-1, T-2, T-3 and T-4; institutions disclosing the information in this template on a semi-annual basis shall provide data for periods T, T-2 and T-4; and institutions disclosing the information in this template on an annual basis shall provide data for periods T and T-4. Institutions shall disclose the dates corresponding to the disclosure periods. The disclosure of data for previous periods is not required when data are disclosed for the first time. Legal references and instructions Row number Explanation 1 Common Equity Tier 1 (CET1) capital Amount of CET1 capital shall be the amount disclosed by institutions inf Annex VII to this Implementing Regulation (row 29 of template EU CC1 Composition of regulatory own funds) 2 Tier 1 capital Amount of Tier 1 capital shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 45 of template EU CC1 Composition of regulatory own funds) 3 Total capital Amount of total capital shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 59 of template EU CC1 Composition of regulatory own funds) 4 Total risk exposure amount Amount of total risk exposure amount (TREA) shall be the amount disclosed by institutions in Annex VII to this Implementing Regulation (row 60 of template EU CC1 Composition of regulatory own funds) 5 Common Equity Tier 1 ratio (%) CET1 capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 61 of template EU CC1 Composition of regulatory own funds) 6 Tier 1 ratio (%) Tier 1 capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 62 of template EU CC1 Composition of regulatory own funds) 7 Total capital ratio (%) Total capital ratio shall be the value disclosed by institutions in Annex VII to this Implementing Regulation (row 63 of template EU CC1 Composition of regulatory own funds) EU 7a Additional own funds requirements to address risks other than the risk of excessive leverage (%) Additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total risk exposure amount. EU 7b of which: to be made up of CET1 capital (percentage points) The part of the additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with Common Equity Tier 1 capital in accordance with the first and third subparagraph of Article 104a(4). EU 7c of which: to be made up of Tier 1 capital (percentage points) The part of the additional own funds requirements to address risks other than the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with Tier 1 capital in accordance with the first and third subparagraph of Article 104a(4). EU 7d Total SREP own funds requirements (TSCR ratio) (%) The sum of values determined under points (i) and (ii) as follows: (i) the total capital ratio (8%) as specified in point (c) of Article 92(1) CRR; (ii) the additional own funds requirements to address risks other than the risk of excessive leverage (Pillar 2 Requirements – P2R) imposed by the competent authority under point (a) of Article 104(1) CRD and determined in accordance with the criteria specified in the EBA Guidelines on common procedures and methodologies for the supervisory review and evaluation process and supervisory stress testing (1) (‘EBA SREP GL’), expressed as a percentage of the total RWEAs. This item shall reflect the total SREP capital requirement (TSCR) ratio as communicated to the institution by the competent authority. The TSCR is defined in Section 1.2 EBA SREP GL. Where no additional own funds requirements imposed to address risks other than the risk of excessive leverage were communicated by the competent authority, only point (i) shall be disclosed. 8 Capital conservation buffer (%) Amount of own funds that institutions are required to maintain in accordance with Article 128(1) and Article 129 CRD, expressed as a percentage of total RWEAs. EU 8a Conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State (%) Amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested in accordance with Article 458 CRR in addition to the capital conservation buffer, expressed as a percentage of total RWEAs. 9 Institution specific countercyclical capital buffer (%) Amount of own funds that institutions are required to maintain in accordance with Article 128(2), Article 130, and Articles 135 to 140 CRD, expressed as a percentage of total RWEAs. The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date. EU 9a Systemic risk buffer (%) Amount of own funds that institutions are required to maintain in accordance with Article 128(5), Articles 133 and 134 CRD, expressed as a percentage of total RWEAs. The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date. 10 Global Systemically Important Institution buffer (%) Amount of own funds that institutions are required to maintain in accordance with Article 128 (3) and Article 131 CRD, expressed as a percentage of total RWEAs. The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date. EU 10a Other Systemically Important Institution buffer (%) Amount of own funds that institutions are required to maintain in accordance with Article 128(4) and Article 131 CRD, expressed as a percentage of total RWEAs. The percentage shall reflect the amount of own funds needed to fulfil the respective capital buffer requirements at the disclosure date. 11 Combined buffer requirement (%) In accordance with point (6) of Article 128 CRD, expressed as a percentage of total RWEAs. EU 11a Overall capital requirements (OCR) (%) The sum of (i) and (ii) as follows: (i) the TSCR ratio referred to in row EU 7d; (ii) to the extent it is legally applicable, the combined buffer requirement ratio referred to in point (6) of Article 128 CRD. This item shall reflect the Overall Capital Requirement (OCR) ratio as defined in Section 1.2 EBA SREP GL. Where no buffer requirement is applicable, only point (i) shall be disclosed. 12 CET1 available after meeting the total SREP own funds requirements (%) 13 Total exposure measure Total exposure measure in accordance with the amount disclosed by institutions in Annex XI to this Implementing Regulation (row 24 of template EU LR2 - LRCom: Leverage ratio common disclosure) 14 Leverage ratio (%) Leverage ratio in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row 25 of template EU LR2 - LRCom: Leverage ratio common disclosure) EU 14a Additional own funds requirements to address the risk of excessive leverage (%) The additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total exposure measure. Additional own funds requirements in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row EU-26a of template EU LR2 - LRCom: Leverage ratio common disclosure). EU 14b of which: to be made up of CET1 capital (percentage points) The part of the additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with CET1 capital in accordance with the third subparagraph of Article 104a(4). Additional own funds requirements in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row EU-26b of template EU LR2 - LRCom: Leverage ratio common disclosure). EU 14c Total SREP leverage ratio requirements (%) The sum of (i) and (ii) as follows: (i) the minimum leverage ratio requirement as specified in point (d) of Article 92(1) CRR or the adjusted leverage ratio requirement calculated in accordance with Article 429a(7) CRR, as applicable; (ii) the additional own funds requirements to address the risk of excessive leverage (Pillar 2 Requirements – P2R) imposed by the competent authority under point (a) of Article 104(1) CRD, expressed as a percentage of the total exposure measure. This item shall reflect the total SREP leverage ratio requirement (TSLRR) as communicated to the institution by the competent authority. If no additional own funds requirements to address the risk of excessive leverage were imposed by the competent authority, only point (i) shall be disclosed. EU 14d Leverage ratio buffer requirement (%) Article 92(1a) CRR Applicable leverage ratio buffer in accordance with the value disclosed by institutions in Annex XI to this Implementing Regulation (row 27 of template EU LR2 - LRCom: Leverage ratio common disclosure) EU 14e Overall leverage ratio requirement (%) Sum of rows EU 14c and EU 14d 15 Total high-quality liquid assets (HQLA) (Weighted value - average) Institutions shall disclose as the weighted value the value of the liquid assets in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 (2) before applying the adjustment mechanism set out in Article 17(2) of Delegated Regulation (EU) 2015/61. EU 16a Cash outflows - Total weighted value Institutions shall disclose the sum of the weighted value of their cash outflows, as disclosed in Annex XIII (row 16 of Template EU LIQ1 - Quantitative information of LCR). EU 16b Cash inflows - Total weighted value Institutions shall disclose the sum of the weighted value of their cash inflows, as disclosed in Annex XIII (row 20 of Template EU LIQ1 - Quantitative information of LCR. 16 Total net cash outflows (Adjusted value) Institutions shall disclose as the adjusted value the net liquidity outflow which equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90% cap less the reduction for inflows subject to the 75% cap. 17 Liquidity coverage ratio (%) Institutions shall disclose as the adjusted value the percentage of the item 'Liquidity coverage ratio (%)' as defined in Article 4(1) of Delegated Regulation (EU) 2015/61. The liquidity coverage ratio shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar days stress period and shall be expressed as a percentage. 18 Total available stable funding Institutions shall disclose the amount of available stable funding calculated in accordance with Chapter 3 of Title IV of Part Six CRR, as disclosed in Annex XIII (row 14 of Template EU LIQ2 – Net Stable Funding Ratio). 19 Total required stable funding Institutions shall disclose the amount of required stable funding calculated in accordance with Chapter 4 of Title IV of Part Six CRR, as disclosed in Annex XIII (row 33 of Template EU LIQ2 – Net Stable Funding Ratio). 20 NSFR ratio (%) NSFR ratio calculated in accordance with Article 428b CRR. ( 1 ) Guidelines EBA/GL/2018/03 of the European Banking Authority of 19 July 2018 on the revised common procedures and methodologies for the supervisory review and evaluation process (SREP) and supervisory stress testing. ( 2 ) Commission Delegated Regulation (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1).

Template EU INS1 – Insurance participations: Fixed format

4. Institutions shall apply the instructions provided below in this Annex to complete template EU INS1 as presented in Annex I, in application of point (f) of Article 438 CRR.







Legal references and instructions Column number Explanation a Exposure value Exposure value of own fund instruments held in any insurance undertaking, re-insurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 CRR when calculating their capital requirements on an individual, sub-consolidated and consolidated basis. b Risk exposure amount Risk exposure amount of own fund instruments held in any insurance undertaking, re-insurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 CRR when calculating their capital requirements on an individual, sub-consolidated and consolidated basis.

Template EU INS2 – Financial conglomerates - Information on own funds and capital adequacy ratio. Fixed format

5. Institutions shall apply the instructions provided below in this Annex to complete template EU INS2 presented in Annex I to this Implementing Regulation, in application of point (g) of Article 438 CRR.







Legal references and instructions Row number Explanation 1 Supplementary own fund requirements of the financial conglomerate (amount) The amount of supplementary own fund requirements of the financial conglomerate calculated in accordance with Article 6 of Directive (EC) 2002/87 of European Parliament and of the Council (1) and Annex I to that Directive where methods 1 or 2 set out in Annex I are applied. 2 Capital adequacy ratio of the financial conglomerate (%) The capital adequacy ratio of the financial conglomerate calculated in accordance with Article 6 of Directive (EC) 2002/87 and Annex I to that Directive where methods 1 or 2 set out in Annex I are applied. ( 1 ) Directive 2002/87/EC of the European Parliament and of the Council of 16 December 2002 on the supplementary supervision of credit institutions, insurance undertakings and investment firms in a financial conglomerate and amending Council Directives 73/239/EEC, 79/267/EEC, 92/49/EEC, 92/96/EEC, 93/6/EEC and 93/22/EEC, and Directives 98/78/EC and 2000/12/EC of the European Parliament and of the Council (OJ L 35, 11.2.2003, p. 1).

Table EU OVC - ICAAP information. Flexible format

6. Institutions shall apply the instructions provided below in this Annex to complete table EU OVC as presented in Annex I, in application of points (a) and (c) of Article 438 CRR.







Legal references and instructions Row number Explanation (a) Approach to assessing the adequacy of their internal capital Institutions shall disclose a summary of their approach to assessing the adequacy of their internal capital to support current and future activities. (b) Upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process This information shall only be disclosed by institutions when required by the relevant competent authority.









ANNEX III







Table EU OVA - Institution risk management approach Free format text boxes for disclosure of qualitative information Legal basis Row number Qualitative information - Free format Point (f) of Article 435(1) CRR (a) Disclosure of concise risk statement approved by the management body Point (b) of Article 435(1) CRR (b) Information on the risk governance structure for each type of risk Point (e) of Article 435(1) CRR (c) Declaration approved by the management body on the adequacy of the risk management arrangements. Point (c) of Article 435(1) CRR (d) Disclosure on the scope and nature of risk disclosure and/or measurement systems. Point (c) of Article 435(1) CRR (e) Disclose information on the main features of risk disclosure and measurement systems. Point (a) of Article 435(1) CRR (f) Strategies and processes to manage risks for each separate category of risk. Points (a) and (d) of Article 435(1) CRR (g) Information on the strategies and processes to manage, hedge and mitigate risks, as well as on the monitoring of the effectiveness of hedges and mitigants.







Table EU OVB - Disclosure on governance arrangements Free format text boxes for disclosure of qualitative information Legal basis Row number Free format Point (a) of Article 435(2) CRR (a) The number of directorships held by members of the management body. Point (b) of Article 435(2) CRR (b) Information regarding the recruitment policy for the selection of members of the management body and their actual knowledge, skills and expertise. Point (c) of Article 435(2) CRR (c) Information on the diversity policy with regard of the members of the management body. Point (d) of Article 435(2) CRR (d) Information whether or not the institution has set up a separate risk committee and the frequency of the meetings. Point (e) Article 435(2) CRR (e) Description on the information flow on risk to the management body.









ANNEX IV

Instructions for disclosure of risk management objectives and policies

Table EU OVA - Institution risk management approach: Free format text boxes for disclosure of qualitative information

1. Institutions shall disclose the information referred to Article 435(1) of Regulation (EU) 575/2013 ( 2 ) (‘CRR’) by following the instructions provided below in this Annex to complete table EU OVA which is presented in Annex III to this Implementing Regulation.







Legal references and instructions Row number Explanation (a) The concise risk statement approved by the management body in the application of point (f) of Article 435(1) CRR shall describe how the business model determines and interacts with the overall risk profile: for instance, the key risks related to the business model and how each of these risks is reflected and described in the risk disclosures, or how the risk profile of the institution interacts with the risk tolerance approved by the management body. Within the risk statement in the application of point (f) of Article 435(1) CRR, institutions shall also disclose the nature, extent, purpose and economic substance of material transactions within the group, affiliates and related parties. The disclosure shall be limited to transactions that have a material impact on the risk profile of the institution (including reputational risk) or the distribution of risks within the group. Institutions shall also include key ratios and figures that show how the risk profile of the institution interacts with the risk tolerance set by the management body. (b) Information to be disclosed in the application of point (b) of Article 435(1) CRR includes the risk governance structure for each type of risk: responsibilities attributed throughout the institution (including, where relevant, oversight and delegation of authority and breakdown of responsibilities between the management body, the business lines and the risk management function by type of risk, business unit, and other relevant information); relationships between the bodies and functions involved in risk management processes (including, as appropriate, the management body, risk committee, risk management function, compliance function, internal audit function); and the organisational and internal control procedures. When disclosing the structure and organisation of the relevant risk management function, institutions shall complement the disclosure with the following information: — Information on the overall internal control framework and how its control functions are organised (authority, resources, statute, independence), the major tasks they perform, and any actual and planned material changes to these functions; — The approved limits of risks to which the institution is exposed; — Changes of the heads of internal control, risk management, compliance and internal audit. — Channels to communicate, decline and enforce the risk culture within the institution (for instance, whether there are codes of conduct, manuals containing operating limits or procedures to treat violations or breaches of risk thresholds or procedures to raise and share risk issues between business lines and risk functions). (c) The declaration that institutions shall disclose in compliance with point (e) of Article 435(1) CRR, on the adequacy of the risk management arrangements, has to be approved by the management body and provide assurance that the risk management systems put in place are adequate taking into account the institution’s risk profile and its strategy. (d) As part of the disclosures required in point (c) of Article 435(1) CRR, institutions shall disclose the scope and nature of risk disclosure and/or measurement systems and the description of the flow on risk to the management body and senior management. (e) When providing information on the main features of risk disclosure and measurement systems in the application of point (c) of Article 435(1) CRR, institutions shall disclose their policies regarding systematic and regular reviews of risk management strategies, and the periodical assessment of their effectiveness. (f) Disclosure on the strategies and processes to manage risk in the application of point (a) of Article 435(1) CRR shall include qualitative information on stress testing, such as the portfolios subject to stress testing, scenarios adopted and methodologies used, and the use of stress testing in risk management. (g) Institutions shall provide information on the strategies and processes to manage, hedge and mitigate risks, as well as on the monitoring of the effectiveness of hedges and mitigants in accordance with points (a) and (d) of Article 435(1) CRR for risks that arise from the institutions’ business model.

Table EU OVB - Disclosure on governance arrangements: Free format text boxes for disclosure of qualitative information.

2. Institutions shall disclose the information referred to in Article 435(2) CRR by following the instructions provided below in this Annex to complete table EU OVB which is presented in Annex III to this Implementing Regulation.







Legal references and instructions Row number Explanation (a) Institutions shall disclose the number of directorships held by members of the management body in accordance with point (a) of Article 435(2) CRR. When disclosing this information, the following specifications apply: — Institutions under the scope of Article 91(3) and (4) of Directive (EU) 2013/36 (1) (“CRD”) shall disclose the number of directorships as counted by this Article; — Institutions shall disclose the number of directorships effectively held for each member of the management body (whether it is a group company or not, a qualifying holding or an institution within the same institutional protection scheme and whether the directorship is an executive or non-executive directorship) regardless of whether the directorship is with an entity that pursues or does not pursue a commercial objective; — Where an additional directorship was approved by the competent authority, all institutions in which this member holds a directorship shall disclose this fact together with the name of the competent authority approving the additional directorship. (b) When disclosing information regarding the recruitment policy for the selection of members of the management body in accordance with point (b) of Article 435(2) CRR, institutions shall include information on the actual knowledge, skills and expertise of the members. Institutions shall include information on the policy possibly resulting from succession planning and on any foreseeable changes within the overall composition of the management body. (c) When disclosing their diversity policy in accordance with point (c) of Article 435(2) CRR, institutions shall disclose information on the objectives and any relevant targets set out in that policy, and the extent to which those objectives and targets have been achieved. In particular institutions shall disclose the policy on gender diversity, including: — Where a target has been set for the underrepresented gender and for the policies regarding diversity in terms of age, educational background, professional background and geographical provenance, the target set, and the extent to which the targets are met. — Where a target is not met, institutions shall disclose the reasons and, when relevant, the measures taken to meet the target within a certain time period. (d) Institution shall disclose if they have set up a separate risk committee, and the number of times the risk committee has met in accordance with point (d) of Article 435(2) CRR. (e) As part of data on the information flow on risk to the management body in the application of point (e) of Article 435(2) CRR, institutions shall describe the process of the risk disclosure provided to the management body, particularly the frequency, scope and main content of risk exposure and how the management body was involved in defining the content to be disclosed. ( 1 ) 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).









ANNEX V







Template EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories a b c d e f g Carrying values as reported in published financial statements Carrying values under scope of prudential consolidation Carrying values of items Subject to the credit risk framework Subject to the CCR framework Subject to the securitisation framework Subject to the market risk framework Not subject to own funds requirements or subject to deduction from own funds Breakdown by asset clases according to the balance sheet in the published financial statements 1 2 3 …. xxx Total assets Breakdown by liability classes according to the balance sheet in the published financial statements 1 2 3 …. xxx Total liabilities







Template EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements a b c d e Total Items subject to Credit risk framework Securitisation framework CCR framework Market risk framework 1 Assets carrying value amount under the scope of prudential consolidation (as per template LI1) 2 Liabilities carrying value amount under the scope of prudential consolidation (as per template LI1) 3 Total net amount under the scope of prudential consolidation 4 Off-balance-sheet amounts 5 Differences in valuations 6 Differences due to different netting rules, other than those already included in row 2 7 Differences due to consideration of provisions 8 Differences due to the use of credit risk mitigation techniques (CRMs) 9 Differences due to credit conversion factors 10 Differences due to Securitisation with risk transfer 11 Other differences 12 Exposure amounts considered for regulatory purposes







Template EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity) a b c d e f g h Name of the entity Method of accounting consolidation Method of prudential consolidation Description of the entity Full consolidation Proportional consolidation Equity method Neither consolidated nor deducted Deducted Entity A Full consolidation X Credit institution Entity N Full consolidation X Credit institution Entity Z Full consolidation X Insurance entity Entity AA Full consolidation X Immaterial leasing company







Table EU LIA - Explanations of differences between accounting and regulatory exposure amounts Free format text boxes for disclosure of qualitative information Legal basis Row number Qualitative information - Free format Article 436(b) CRR (a) Differences between columns (a) and (b) in template EU LI1 Article 436(d) CRR (b) Qualitative information on the main sources of differences between the accounting and regulatoy scope of consolidation shown in template EU LI2







Table EU LIB - Other qualitative information on the scope of application Free format text boxes for disclosure of qualitative information Legal basis Row number Qualitative information - Free format Article 436(f) CRR (a) Impediment to the prompt transfer of own funds or to the repayment of liabilities within the group Article 436(g) CRR (b) Subsidiaries not included in the consolidation with own funds less than required Article 436(h) CRR (c) Use of derogation referred to in Article 7 CRR or individual consolidation method laid down in Article 9 CRR Article 436(g) CRR (d) Aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation







Template EU PV1 - Prudent valuation adjustments (PVA) Fixed format a b c d e EU e1 EU e2 f g h Risk category Category level AVA - Valuation uncertainty Total category level post-diversification Category level AVA Equity Interest Rates Foreign exchange Credit Commodities Unearned credit spreads AVA Investment and funding costs AVA Of which: Total core approach in the trading book Of which: Total core approach in the banking book 1 Market price uncertainty 2 Not applicable 3 Close-out cost 4 Concentrated positions 5 Early termination 6 Model risk 7 Operational risk 8 Not applicable 9 Not applicable 10 Future administrative costs 11 Not applicable 12 Total Additional Valuation Adjustments (AVAs)









ANNEX VI

Instructions for disclosure of information on the scope of application of the regulatory framework

Template EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories. Flexible format.

1. Institutions shall disclose the information referred to in point (c) of Article 436 of Regulation (EU) 575/2013 ( 3 ) (‘CRR’) by following the instructions provided below in this Annex to complete template EU LI1 which is presented in Annex V to this Implementing Regulation.







Legal references and instructions Row number Explanation 1 to XXX Total Assets The row structure shall be the same as the row structure of the balance sheet used in the latest available financial reporting of the institution. ‘Financial reporting’ refers to the annual individual or consolidated financial statements defined in Articles 4 and 24 of Directive (EU) 2013/34 (1), as well as (when applicable) to the financial statements in the meaning of the international accounting standards as endorsed in the EU in the application of Regulation (EC) 1606/2002 (2). 1 to XXX Total Liabilities The row structure shall be the same as the row structure of the balance sheet used in the latest available financial reporting of the institution. ‘Financial reporting’ refers to the annual individual or consolidated financial statements defined in Articles 4 and 24 of Directive (EU) 2013/34/EU, as well as (when applicable) to the financial statements in the meaning of the international accounting standards as endorsed in the EU in the application of Regulation (EC) 1606/2002. ( 1 ) Directive 2013/34/EU of the European Parliament and of the Council of 26 June 2013 on the annual financial statements, consolidated financial statements and related reports of certain types of undertakings, amending Directive 2006/43/EC of the European Parliament and of the Council and repealing Council Directives 78/660/EEC and 83/349/EEC (OJ L 182, 29.6.2013, p. 19). ( 2 ) REGULATION (EC) No 1606/2002 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 19 July 2002 on the application of international accounting standards (OJ L 243, 11.9.2002, p. 1).







Legal references and instructions Column reference Explanation a Carrying values as reported in published financial statements Amount reported on the assets side and the liabilities side of the balance sheet established following the consolidation requirements in the applicable accounting framework, including frameworks based on Directive (EU) 2013/34/EU and with Directive (EEC) 86/635 (1), or the international accounting standards as endorsed in the EU b Carrying values under the scope of prudential consolidation Amount reported on the assets side and the liabilities side of the balance sheet established following the regulatory consolidation requirements in Sections 2 and 3 of Title II of Part One CRR If the scope of accounting consolidation and the scope of prudential consolidation are exactly the same, columns (a) and (b) of this template shall be merged. c Carrying values of items subject to credit risk framework Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) to which Chapters 2 and 3 of Title II of Part Three CRR applies d Carrying values of items subject to counterparty credit risk framework Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) to which Chapter 6 of Title II of Part Three CRR applies e Carrying values of items subject to the securitisation framework Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) from the non-trading book to which Chapter 5 of Title II of Part Three CRR applies f Carrying values of items subject to the market risk framework Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) to which Title IV of Part Three CRR applies. Items corresponding to securitisation positions in the trading book -to which the requirements in Title IV of Part Three CRR shall be included in this column. g Carrying values of items not subject to own funds requirements or subject to deduction from own funds Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) not subject to own funds requirements in accordance with CRR; carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) that are subject to deductions from own funds in accordance with Part Two CRR Deducted items may include, for instance, the items listed in Articles 37, 38, 39, and 41 CRR. The amounts for assets shall be the amounts actually deducted from own funds, taking into account any netting with liabilities allowed by (and any threshold for) deduction applicable as per the relevant articles in Part Two CRR. When the items listed in point (k) Article 36(1) and in Article 48 CRR are 1 250 % risk-weighted instead of being deducted, they shall not be disclosed in column (g) of this template but in the other appropriate columns of template EU LI1. This also applies to any other item that is 1 250 % risk-weighted in accordance with the requirements in CRR. The amounts for liabilities shall be the amount of liabilities that must be taken into consideration for the determination of the amount of assets to be deducted from own funds as per the relevant articles in Part Two CRR. In addition, all liabilities other than those that (i) are relevant for the application of requirements in Chapter 4 of Title II of Part Three CRR, or (ii) that are relevant for the application of requirements in Chapter 6 of Title II of Part Three CRR and in Title IV of Part Three CRR shall be disclosed in this column. all Where a single item attracts capital requirements in accordance with more than one risk framework, values shall be disclosed in all columns corresponding to the capital requirements they relate to. As a consequence, the sum of amounts in columns (c) to (g) of this template may be greater than the amount in column (b) of this template. Institutions shall provide qualitative explanations on assets and liabilities that are subject to capital requirements for more than one risk framework listed in Part Three CRR. ( 1 ) COUNCIL DIRECTIVE 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).

Template EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements. Fixed format.

2. Institutions shall disclose the information referred to in point (d) of Article 436 CRR by following the instructions provided below in this Annex to complete template EU LI2 which is presented in Annex V to this Implementing Regulation.







Legal references and instructions Row number Explanation 1 Assets carrying value amount under the scope of prudential consolidation Amounts in columns (b) to (e) of this template shall be the same as the amounts in columns (c) to (f) of template EU LI1. 2 Liabilities carrying value amount under the scope of prudential consolidation Amounts in columns (b) to (e) of this template shall be the same as the amounts in columns (c) to (f) of template EU LI1. 3 Total net amount under scope of prudential consolidation Amount after on-balance-sheet netting between assets and liabilities under the scope of prudential consolidation, regardless of the eligibility of those assets and liabilities of the specific netting rules in the application of Chapters 4 and 5 of Title II of Part Three CRR and of Title IV of Part Three CRR The amount in this row shall be equal to the value in row 1 deducted by the value in row 2 of this template. 4 Off-balance-sheet amounts Include off-balance-sheet original exposures, prior to the use of a conversion factor, where relevant, from the established off-balance-sheet statement, following the scope of prudential consolidation in column (a) to (d) of this template. 5 Differences in valuations Impact of the carrying amount of value adjustments in accordance with Article 34 of Chapter 2 of Title I of Part Two CRR and with Article 105 of Chapter 3 of Title I of Part Three CRR on trading book and non-trading book exposures measured at fair value in accordance with the applicable accounting framework This amount shall be consistent with the amount in row 7 of template EU CC1 as well as with the amount in row 12 column (f) of template EU PV1. 6 Differences due to different netting rules, other than those already included in row 2 of this template This item refers to the net on-balance-sheet and off-balance-sheet exposure amounts after the application of the specific netting rules in Chapters 4 and 5 of Title II of Part Three CRR and in Title IV of Part Three CRR. The impact of the application of the netting rules can be negative (in case more exposures have to be netted than the use of on-balance-sheet netting in row 2 of this template) or positive (in the case of the application of netting rules in the CRR leading to a lower amount being netted out than on-balance-sheet netting in row 2 of this template). 7 Differences due to consideration of provisions Re-integration in the exposure value of specific and general credit risk adjustments (as defined in the Commission Delegated Regulation (EU) 183/2014 (1)) that have been deducted in accordance with the applicable accounting framework from the carrying amount of exposures under Chapter 3 of Title II of Part Three CRR for risk-weighting purposes. Regarding exposures risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, when the carrying amount in the financial statements under the scope of prudential consolidation has been reduced by elements qualifying as general credit risk adjustments under the aforementioned delegated regulation, these elements shall be re-integrated in the exposure value. 8 Differences due to the use of credit risk mitigation techniques Impact on the exposure value under the scope of prudential consolidation of the application of credit risk mitigation techniques as defined in the CRR. 9 Differences due to credit conversion factors Impact on the exposure value of off-balance sheet exposures under the scope of prudential consolidation of the application of the relevant conversion factors in accordance with CRR The conversion factor for off-balance-sheet items to be risk-weighted in the application of Title II of Part Three CRR shall be determined in accordance with Articles 111, 166, 167 and 182 (as applicable for credit risk), and in Article 246 CRR (as applicable for securitisation risk). 10 Differences due to Securitisation with risk transfer Impact on the exposure value of securitised exposures of the use of securitised transactions to transfer credit risk to third parties in accordance with the CRR 11 Other differences (if relevant) Other meaningful drivers for differences between financial statements’ carrying values under the regulatory scope of application and the exposure amounts considered for regulatory purposes Institutions shall complement the quantitative disclosures included in this row with qualitative explanations on the main drivers of these differences in table EU LIA. 12 Exposure amounts considered for regulatory purposes Aggregate amount considered as a starting point of the RWEA calculation after the application of CRM methods other than netting in Chapter 4 of Title II of Part Three CRR and after the application of netting requirements in Chapters 4 and 5 of Title II of Part Three CRR and in Title IV of Part Three CRR of the same regulation for each of the risk categories In case the Standardised Approach (SA) is applied, this is the value after specific credit adjustments, additional value adjustments in accordance with Articles 34 and 110 CRR and other own funds reductions related to the asset item. For off-balance sheet items listed in Annex I to this Implementing Regulation, the exposure value shall be the nominal value after reduction of specific credit risk adjustments, multiplied with the applicable percentage mentioned in points (a) and (d) of Article 111(1) CRR. For the IRB approach, the disclosed value shall be the exposure value within the meaning of Articles 166, 167 and 168 CRR. Thus, the carrying values as reported in the financial statements under the scope of prudential consolidation shall be disclosed in the corresponding rows 1 to 3 of this template, while the off-balance-sheet original exposures shall be disclosed in row 4 of this template. Any specific regulatory addition or reduction concerning these amounts is to be included in rows 5 to 11 of this template to explain how to reconcile these amounts with the exposure amount for regulatory purposes as the starting point of the RWEA calculation in accordance with each of the frameworks mentioned in columns (b) to (e) of this template. This means that in particular for credit risk, the exposure amounts considered for regulatory purposes to be disclosed in row 12 of this template will be different from the carrying values as reported in the financial statements under the scope of prudential consolidation, due to the particular regulatory treatment of accounting provisions for the calculation of the RWEAs. ( 1 ) COMMISSION DELEGATED REGULATION (EU) No 183/2014 of 20 December 2013 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council on prudential requirements for credit institutions and investment firms, with regard to regulatory technical standards for specifying the calculation of specific and general credit risk adjustments (OJ L 57, 27.2.2014, p. 3).







Legal references and instructions Column reference Explanation a Total Total in Column (a) of template EU LI2 = Amounts in Column (b) of template EU LI1 – Amounts in Column (g) of template EU LI1. The breakdown of columns in the regulatory risk categories (b) to (e) corresponds to the breakdown listed in Part Three CRR: b Credit risk framework Exposures in Title II of Part Three CRR Exposures under the credit risk framework shall correspond either to the exposure amount applied in the credit risk standardised approach (see Article 111 of Chapter 2 of Title II of Part Three CRR) or to the exposures at default (EAD) in the credit risk – IRB approach (see Articles 166, 167 and 168 in Chapter 3 of Title II of Part Three CRR). c Securitisation framework Exposures from the non-trading book given in Chapter 5 of Title II of Part Three CRR Securitisation exposures shall be determined in accordance with Article 246 of Chapter 5 of Title II of Part Three CRR. d Counterparty Credit Risk framework (CCR) Exposures considered in Chapter 6 of Title II of Part Three CRR e Market risk framework Market risk exposures corresponding to positions subject to the market risk framework in Title IV of Part Three CRR Only rows 1 to 3 and 12 of this template shall be disclosed regarding this column. all Where a single item is subject to capital requirements in accordance with more than one risk framework, it shall be disclosed in all the relevant columns corresponding to the capital requirements. As a consequence, the sum of amounts in columns (b) to (e) of this template may be greater than the amount in column (a) of this template. Institutions shall provide qualitative explanations on assets and liabilities that are subject to capital requirements for more than one risk framework listed in Part Three CRR.

Template EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity)

3. Institutions shall disclose the information referred to in point (b) of Article 436 CRR by following the instructions provided below in this Annex to complete template EU LI3 which is presented in Annex V to this Implementing Regulation.







Legal references and instructions Row number Explanation The rows are flexible. Disclosures shall be provided for entities included within the accounting and the regulatory scopes of consolidation as defined in accordance with the applicable accounting framework and Sections 2 and 3 of Title II of Part One CRR, for which the method of the accounting consolidation is different from the method of the regulatory consolidation. One row per entity.







Legal references and instructions Column reference Explanation a Name of the entity Commercial name of any entity included or deducted from the regulatory and accounting scope of consolidation of an institution b Method of accounting consolidation Consolidation method used in accordance with the applicable accounting framework c to g Method of regulatory consolidation Consolidation method implemented for the purpose of Chapter 2 of Title II of Part One CRR At a minimum, the methods listed in point (b) of Article 436 CRR shall be disclosed. Institutions shall tick the applicable columns to identify the method of consolidation of each entity under the accounting framework and whether, under the scope of prudential consolidation, each entity is (i) fully consolidated; (ii) proportionally consolidated; (iii) recognised under the equity method; (iv) neither consolidated nor deducted or; (v) deducted. h Description of the entity Brief description of the entity, with (at a minimum) disclosure of its sector of activity

Table EU LIA - Explanations of differences between accounting and regulatory exposure amounts. Free format text boxes for disclosure of qualitative information

4. Institutions shall disclose the information referred to in points (b) and (d) of Article 436 CRR by following the instructions provided below in this Annex to complete table EU LIA which is presented in Annex V to this Implementing Regulation.







Legal references and instructions Row number Explanation (a) Institutions shall explain and quantify the origins of any significant differences between the amounts in columns (a) and (b) in template EU LI1, regardless of whether the differences proceed from different consolidation rules or from the use of different accounting standards between the accounting and the regulatory consolidations. (b) Institutions shall explain the origins of differences between carrying values under the scope of prudential consolidation and amounts considered for regulatory purposes shown in template EU LI2.

Table EU LIB – Other qualitative information on the scope of application. Free format text boxes for disclosure of qualitative information

5. Institutions shall disclose the information referred to points (f), (g) and (h) of Article 436 CRR following the instructions provided below in this Annex to complete table EU LIB which is presented in Annex V to this Implementing Regulation.







Legal references and instructions Row number Explanation (a) Institutions shall disclose any current or expected material practical or legal impediment to the prompt transfer of own funds or to the repayment of liabilities between the parent undertaking and its subsidiaries. (b) Where applicable, institutions shall disclose the name or names of the subsidiaries that are not included in the consolidation. (c) Where applicable, institutions shall disclose the circumstances under which use is made of the derogation referred to in Article 7 CRR or the individual consolidation method laid down in Article 9 CRR. (d) Where applicable, institutions shall disclose aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation, and the name or names of those subsidiaries.

Template EU PV1 – Prudent valuation adjustments (PVA): Fixed format

6. Institutions applying the core approach for the determination of the additional valuation adjustment for prudent valuation in accordance with Chapter III of the Commission Delegated Regulation (EU) 2016/101 ( 4 ) shall disclose the information referred to in point (e) of Article 436 CRR by following the instructions provided below in this Annex to complete template EU PV1 which is presented in Annex V to this Implementing Regulation.







Legal references and instructions Row number Explanation Rows 1 to 10 Category level AVA The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk shall be determined in accordance with Articles 9 to 11 and 14 to 17 of Commission Delegated Regulation (EU) 2016/101 respectively. For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out under Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 respectively, category level AVAs shall be disclosed in columns a to EU-e2 of this template as the straight sum of the individual AVAs before diversification benefit. Diversification benefits in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101 shall be included in column (f) of this template. 1 Market price uncertainty Article 105(10) CRR Market price uncertainty AVAs shall be computed in accordance with Article 9 of Commission Delegated Regulation (EU) 2016/101. 2 Not applicable 3 Close-out costs Article 105(10) CRR Close-out costs AVAs shall be computed in accordance with Article 10 of Commission Delegated Regulation (EU) 2016/101 4 Concentrated positions Article 105(11) CRR Concentrated positions AVAs shall be computed under Article 14 of Commission Delegated Regulation (EU) 2016/101. 5 Early termination Article 105(10) CRR Early termination AVAs shall be computed in accordance with Article 16 of Commission Delegated Regulation (EU) 2016/101. 6 Model risk Article 105(10) CRR Model risk AVAs shall be computed in accordance with Article 11 of Commission Delegated Regulation (EU) 2016/101. 7 Operational risk Article 105(10) CRR Operational risk AVAs shall be computed in accordance with Article 17 of Commission Delegated Regulation (EU) 2016/101. 8 Not applicable 9 Not applicable 10 Future administrative costs Article 105(10) CRR Future administrative costs AVAs shall be computed in accordance with Article 15 of Commission Delegated Regulation (EU) 2016/101. 11 Not applicable 12 Total additional valuation adjustments Total AVA to be deducted from own funds under Articles 34 and 105 CRR shall be disclosed in row 12, column (f) of this template. This amount shall be consistent with the amount in row 7 of template EU CC1 as well as with the amount in row 5, column (a) of template EU LI2. For portfolios subject to the Core approach as set out in Chapter III of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA shall be the sum of amounts in rows 1 to 10 of this template, and, the amounts computed in accordance with point (b) sub-paragraphs (i) to (iii) of Article 7 (2) of Delegated Regulation (EU) 2016/101, for portfolios subject to the Fall-back approach, if any. For portfolios subject to the simplified approach as set out in Chapter II of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA included in column (f) of this template shall be the amount computed in accordance with Article 5 of this Chapter. Column letter Explanation a-e Breakdown by RISK CATEGORY Institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Commission Delegated Regulation (EU) 2016/101 (trading book and non-trading book) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities. The breakdown in these columns excludes the AVAs computed in accordance with Articles 12 and 13 of Commission Delegated Regulation (EU) 2016/101 that are disclosed in columns EU-e1 and EU-e2 of this template. EU e1 Category level AVA - Valuation uncertainty: Unearned credit spreads AVA Article 105(10) CRR, Article 12 of Commission Delegated Regulation (EU) 2016/101 The total AVA for unearned credit spreads (‘AVA on CVA’) and its allocation between market price uncertainty, close-out cost or model risk AVAs shall be determined in accordance with Article 12 of Commission Delegated Regulation (EU) 2016/101. EU e2 Category level AVA - Investment and funding costs AVA Article 105(10) CRR, Article 13 of Commission Delegated Regulation (EU) 2016/101 The total AVA for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs shall be determined in accordance with Article 13 of Commission Delegated Regulation (EU) 2016/101. f Total category level post-diversification For portfolios subject to the Core approach as set out in Chapter III of Commission Delegated Regulation (EU) 2016/101, the total category level post-diversification shall encompass the total AVAs computed in accordance with the Core approach for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Commission Delegated Regulation (EU) 2016/101. This includes the diversification benefits defined in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101. The total AVA in row 12, column (f) of this template, shall include the amounts computed in accordance with point (b) sub-paragraphs (i) to (iii) of Article 7 (2) of Delegated Regulation (EU) 2016/101, for portfolios subject to the Fall-back approach, if any. For portfolios subject to the simplified approach as set out in Chapter II of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA included in row 12 of this template shall be the amount computed in accordance with Article 5 of this Chapter. g Of which: total core approach in the trading book For each relevant category of AVAs, for portfolios subject to the Core approach as set out in Chapter III of Commission Delegated Regulation (EU) 2016/101, share of AVAs stemming from positions held in the 'trading book': all positions in financial instruments and commodities held by an institution with trading intent or to hedge positions held with trading intent in accordance with Article 104 CRR. The disclosed value shall include the diversification benefits defined in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101. h Of which: total core approach in the banking book For each relevant category of AVAs, for portfolios subject to the Core approach as set out in Chapter III of Commission Delegated Regulation (EU) 2016/101, share of AVAs stemming from fair-valued positions in financial instruments and commodities not held in the trading book The disclosed value shall include the diversification benefits determined in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101.









ANNEX VII

Template EU CC1 - Composition of regulatory own funds







(a) (b) Amounts Source based on reference numbers/letters of the balance sheet under the regulatory scope of consolidation Common Equity Tier 1 (CET1) capital: instruments and reserves 1 Capital instruments and the related share premium accounts (h) of which: Instrument type 1 of which: Instrument type 2 of which: Instrument type 3 2 Retained earnings 3 Accumulated other comprehensive income (and other reserves) EU-3a Funds for general banking risk 4 Amount of qualifying items referred to in Article 484 (3) CRR and the related share premium accounts subject to phase out from CET1 5 Minority interests (amount allowed in consolidated CET1) EU-5a Independently reviewed interim profits net of any foreseeable charge or dividend 6 Common Equity Tier 1 (CET1) capital before regulatory adjustments Common Equity Tier 1 (CET1) capital: regulatory adjustments 7 Additional value adjustments (negative amount) 8 Intangible assets (net of related tax liability) (negative amount) (a)minus (d) 9 Not applicable 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) CRR are met) (negative amount) 11 Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value 12 Negative amounts resulting from the calculation of expected loss amounts 13 Any increase in equity that results from securitised assets (negative amount) 14 Gains or losses on liabilities valued at fair value resulting from changes in own credit standing 15 Defined-benefit pension fund assets (negative amount) 16 Direct, indirect and synthetic holdings by an institution of own CET1 instruments (negative amount) 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) 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) 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) 20 Not applicable EU-20a Exposure amount of the following items which qualify for a RW of 1 250 %, where the institution opts for the deduction alternative EU-20b of which: qualifying holdings outside the financial sector (negative amount) EU-20c of which: securitisation positions (negative amount) EU-20d of which: free deliveries (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) CRR are met) (negative amount) 22 Amount exceeding the 17,65% threshold (negative amount) 23 of which: 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 24 Not applicable 25 of which: deferred tax assets arising from temporary differences EU-25a Losses for the current financial year (negative amount) EU-25b Foreseeable tax charges relating to CET1 items 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 used to cover risks or losses (negative amount) 26 Not applicable 27 Qualifying AT1 deductions that exceed the AT1 items of the institution (negative amount) 27a Other regulatory adjustments 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 (i) 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) CRR and the related share premium accounts subject to phase out from AT1 EU-33a Amount of qualifying items referred to in Article 494a(1) CRR subject to phase out from AT1 EU-33b Amount of qualifying items referred to in Article 494b(1) CRR subject to phase out from AT1 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 35 of which: instruments issued by subsidiaries subject to phase out 36 Additional Tier 1 (AT1) capital before regulatory adjustments Additional Tier 1 (AT1) capital: regulatory adjustments 37 Direct, indirect and synthetic holdings by an institution of own AT1 instruments (negative amount) 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) 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) 40 Direct, indirect and synthetic holdings by the institution of the AT1 instruments of financial sector entities where the institution has a