Commission Implementing Regulation (EU) 2021/451 of 17 December 2020 laying down implementing technical standards for the application of Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to supervisory reporting of institutions and repealing Implementing Regulation (EU) No 680/2014 (Text with EEA relevance)

ANNEX IX

INSTRUCTIONS FOR REPORTING ON LARGE EXPOSURES AND CONCENTRATION RISK

PART I: GENERAL INSTRUCTIONS

1. Structure and conventions

• 1.The reporting framework on large exposures (‘LE’) shall consist of four templates which include the following information:

• (a) large exposures limits;

• (b) identification of the counterparty (template LE1);

• (c) exposures in the non-trading and trading book (template LE2);

• (d) detail of the exposures to individual clients within groups of connected clients (template LE3);

• 2.The instructions include legal references as well as detailed information regarding the data that shall be reported in each template.

• 3.The instructions and the validation rules follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates.

• 4.The following convention is generally used in the instructions and validation rules: {Template;Row;Column}. An asterisk sign shall be used to express that the validation is done for all the rows reported.

• 5.In the case of validations within a template, in which only data points of that template are used, notations do not refer to a template: {Row;Column}.

• 6.ABS(Value): the absolute value without sign. Any amount that increases the exposures shall be reported as a positive figure. On the contrary, any amount that reduces the exposures shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item, no positive figure shall be reported for that item.

2. Abbreviations

• 7.For the purposes of this Annex, Regulation (EU) No 575/2013 is referred to as ‘CRR’.

PART II: TEMPLATE RELATED INSTRUCTIONS

1. Scope and level of the LE reporting

• 1.In order to report information on large exposures to clients or groups of connected clients in accordance with Article 394(1) of Regulation (EU) No 575/2013 (‘CRR’) on a solo basis, institutions shall use the templates LE1, LE2 and LE3.

• 2.In order to report information on large exposures to clients or groups of connected clients in accordance with Article 394(1) CRR on a consolidated basis, the parent institutions in a Member State shall use templates LE1, LE2 and LE3.

• 3.Every large exposure defined in accordance with Article 392 CRR shall be reported, including the large exposures that shall not be considered for the compliance with the large exposure limit laid down in Article 395 CRR.

• 4.In order to report information on the 20 largest exposures to clients or groups of connected clients in accordance with the second subparagraph of Article 394(1) CRR on a consolidated basis, the parent institutions in a Member State which are subject to Part Three, Title II, Chapter 3, CRR shall use templates LE1, LE2 and LE3. The exposure value resulting from subtracting the amount in column 320 (‘Amounts exempted’) of template LE2 from the amount in column 210 (‘Total’) of that same template is the amount that shall be used for determining these 20 largest exposures.

• 5.In order to report information on the ten largest exposures to institutions, on a consolidated basis, as well as on the ten largest exposures to shadow banking entities which carry out banking activities outside the regulated framework on a consolidated basis, in accordance with Article 394(2), points (a) to (d), CRR, the parent institutions in a Member State shall use templates LE1, LE2 and LE3. The exposure value calculated in column 210 (‘Total’) of template LE2 is the amount that shall be used for determining these 20 largest exposures.

• 6.In order to report information on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital on a consolidated basis according to the last sentence of Article 394(1) of CRR, the parent institutions in a Member State shall use templates LE1, LE2 und LE3. The exposure value calculated in column 210 (‘Total’) of template LE2 is the amount that shall be used for determining these exposures.

• 7.The data on the large exposures and the relevant largest exposures as well as the data on exposures of a value greater than or equal to EUR 300 million but less than 10 % of the institution’s Tier 1 capital to groups of connected clients and individual clients not belonging to a group of connected clients shall be reported in the template LE2 (in which a group of connected clients shall be reported as one single exposure).

• 8.Institutions shall report in the LE3 template data regarding the exposures to individual clients belonging to the groups of connected clients, which are reported in the LE2 template. The reporting of an exposure to an individual client in the LE2 template shall not be duplicated in the LE3 template.

2. Structure of the LE template

• 9.The columns of the template LE1 shall present the information related to the identification of individual clients or groups of connected clients to which an institution has an exposure.

• 10.The columns of the templates LE2 and LE3 shall present the following blocks of information:

• (a) the exposure value before application of exemptions and before taking into account the effect of the credit risk mitigation, including the direct, indirect exposure and additional exposures arising from transactions where there is an exposure to underlying assets;

• (b) the effect of the exemptions and of the credit risk mitigation techniques;

• (c) the exposure value after application of exemptions and after taking into account the effect of the credit risk mitigation calculated for the purpose of Article 395(1) of CRR.

3. Definitions and general instructions for the purposes of the LE reporting

• 11.‘Group of connected clients’ is defined in Article 4(1), point (39), CRR.

• 12.‘Institutions’ is defined in Article 4(1), point (3) CRR.

• 13.Exposures to ‘civil-law associations’ shall be reported. In addition, institutions shall add the credit amounts of the civil-law association to the indebtedness of each partner. Exposures towards civil law associations featuring quotas shall be divided or allocated to the partners according to their respective quotas. Certain constructions (e.g. joint accounts, communities of heirs, straw-man loans) working in fact civil law associations have to be reported just like them.

• 14.Assets and off balance sheet items shall be used without risk weights or degrees of risk in accordance with Article 389 CRR. Specifically, credit conversion factors shall not be applied to off balance sheet items.

• 15.‘Exposures’ are defined in Article 389 CRR.

• (a) ‘exposures’ are any asset or off-balance sheet items in the non-trading and trading book including items set out in Article 400 CRR, but excluding items which fall under Article 390(6), points (a) to (d), CRR.

• (b) ‘indirect exposures’ are those exposures allocated to the guarantor or to the issuer of the collateral rather than to the immediate borrower in accordance with Article 403 CRR. The definitions here may not differ in any possible respect from the definitions provided in the basic act.

• 16.The exposures to groups of connected clients shall be calculated in accordance with Article 390(1) CRR.

• 17.The ‘netting agreements’ shall be allowed to be taken into account to the effects of large exposures exposure value as laid down in Article 390(3), (4) and (5) CRR. The exposure value of derivative contracts listed in Annex II of CRR and of credit derivative contracts directly entered into with a client shall be determined in accordance with Part Three, Title II, Chapter 6, CRR with the effects of contracts of novation and other netting agreements taken into account for the purposes of those methods in accordance with Part Three, Title II, Chapter 6, Section 3 to Section 5, CRR. The exposure value of repurchase transaction, securities or commodities lending or borrowing transactions, long settlement transactions and margin lending transactions may be determined either in accordance with Part Three, Title II, Chapter 4 or Chapter 6, CRR. In accordance with Article 296 CRR, the exposure value of a single legal obligation arising from the contractual cross-product netting agreement with a counterparty of the reporting institution shall be reported as ‘other commitments’ in the LE templates.

• 18.The ‘value of an exposure’ shall be calculated in accordance with Article 390 CRR.

• 19.The effect of the full or partial application of exemptions and eligible credit risk mitigation (CRM) techniques for the purposes of calculating of exposures for the purpose of Article 395(1) CRR is specified in Articles 399 to 403 CRR.

• 20.Institutions shall report exposures resulting from reverse repurchase agreements in accordance with Article 402(3) CRR. Provided that the criteria in Article 402(3) of CRR are met, the institution shall report the large exposures to each third party for the amount of the claim that the counterparty to the transaction has on this third party and not for the amount of the exposure to the counterparty.

4. C 26.00 – LE Limits template

4.1.   Instructions concerning specific rows

5. C 27.00 – Identification of the counterparty (LE1)

5.1.   Instructions concerning specific columns

6. C 28.00 — Exposures in the non-trading and trading book (LE2)

6.1.   Instructions concerning specific columns

7. C 29.00 – Details of the exposures to individual clients within groups of connected clients (LE3)

7.1.   Instructions concerning specific columns

ANNEX X

REPORTING ON LEVERAGE

C 40.00 — ALTERNATIVE TREATMENT OF THE EXPOSURE MEASURE (LR1)

C 43.00 — ALTERNATIVE BREAKDOWN OF LEVERAGE RATIO EXPOSURE MEASURE COMPONENTS (LR4)

C 44.00 — GENERAL INFORMATION (LR5)

C 47.00 — LEVERAGE RATIO CALCULATION (LRCalc)

C 48.01 — Leverage ratio volatility: Mean value for the reporting period (LR6.1)

C 48.02 — Leverage ratio volatility: daily values for the reporting period (LR6.2)

ANNEX XI

INSTRUCTIONS FOR REPORTING ON LEVERAGE

PART I: GENERAL INSTRUCTIONS

1. Structure and other conventions

1.1.   Structure

• 1.This Annex contains additional instructions for the templates (hereinafter ‘LR’) included in Annex X of this Regulation.

• 2.Overall, the framework consists of five templates:

• — C47.00: Leverage Ratio Calculation (LRCalc): Leverage ratio calculation;

• — C40.00: Leverage Ratio Template 1 (LR1): Alternative treatment of the exposure measure;

• — C43.00: Leverage Ratio Template 4 (LR4): Alternative breakdown of leverage ratio exposure measure components;

• — C44.00: Leverage Ratio Template 5 (LR5): General information;

• — C48.00: Leverage ratio volatility (LR6).

• 3.For each template legal references are provided as well as further detailed information regarding more general aspects of the reporting.

1.2.   Numbering convention

• 4.The document will follow the labelling convention set in the following paragraphs, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.

• 5.The following general notation is followed in the instructions: {Template;Row;Column}. An asterisk sign will be used to refer to the whole row or column.

• 6.In the case of validations within a template, where only data points from that template are used, notations will not refer to a template: {Row;Column}.

• 7.For the purpose of the reporting on leverage, ‘of which’ refers to an item that is a subset of a higher level exposure category whereas ‘memo item’ refers to a separate item that is not a subset of an exposure class. Reporting of both types of cells is mandatory unless otherwise specified.

1.3.   Abbreviations

• 8.For the purposes of this annex and related templates the following abbreviations are used:

• a. CRR, which is an abbreviation of Capital Requirements Regulation and shall mean Regulation (EU) No 575/2013;

• b. CRD, which is an abbreviation of Capital Requirements Directive and shall mean Directive 2013/36/EU;

• c. SFT, which is an abbreviation of Securities Financing Transaction and shall mean ‘repurchase transaction, securities or commodities lending or borrowing transaction, or margin lending transaction’ as referred to in point (139) of Article 4(1) in Regulation (EU) No 575/2013;

• d. CRM, which is an abbreviation for Credit Risk Mitigation;

• e. CSD, which is an abbreviation for Central Securities Depository;

• f. QCCP, which is an abbreviation for Qualifying Central Counterparty;

• g. PFE, which is an abbreviation for Potential Future Exposure.

1.4.   Sign convention

• 9.All amounts shall be reported as positive figures. With the exception of:

• a. The items whose label is preceded by a negative sign (-), where no positive figure is expected to be reported for that item.

• b. {LRCalc;0310;0010}, {LRCalc;0320;0010}, {LRCalc;0330;0010}, {LRCalc;0340;0010}, which could take negative values in extreme cases, otherwise they take positive values.

• c. {LRCalc;0280;0010} can take a positive values due to Article 473a(7) CRR, otherwise they take negative values.

PART II: TEMPLATE RELATED INSTRUCTIONS

1. Formulas for leverage ratio calculation

• 1.The leverage ratio is based on a capital measure and a total exposure measure, which can be calculated with cells from LRCalc.

• 2.Leverage Ratio – fully phased-in definition = {LRCalc;0310;0010}/{LRCalc;0290;0010}.

• 3.Leverage Ratio – transitional definition = {LRCalc;0320;0010}/{LRCalc;0300;0010}.

2. Materiality thresholds for derivatives

• 4.In order to reduce the reporting burden for institutions with limited exposures in derivatives, the following measures are used to gauge the relative importance of derivatives exposures to the total exposure of the leverage ratio. Institutions shall calculate these measures as follows:

• 1. Image omitted; see official source

• 6.Where the derivative exposure measure is equal to: {LRCalc;0061;0010}+{LRCalc;0065;0010}+{LRCalc;0071;0010}+{LRCalc;0081;0010}+{LRCalc;0091;0010}+{LRCalc;0092;0010}+{LRCalc;0093;0010}+{LRCalc;0101;0010}+{LRCalc;0102;0010}+{LRCalc;0103;0010}+{LRCalc;0104;0010}+{LRCalc;0110;0010}+{LRCalc;0120;0010}+{LRCalc;0130;0010}+{LRCalc;0140;0010}

• 7.Where total exposure measure is equal to: {LRCalc;0290;0010}.

• 8.Total notional amount referenced by derivatives = {LR1; 0010;0070}. This is a cell that institutions shall always report.

• 9.Credit derivatives volume = {LR1;0020;0070} + {LR1;0050;0070}. These are cells that institutions shall always report.

• 10.Institutions are required to report the cells referred to in paragraph 13 if any of the following conditions is met:

• a) the derivatives share referred to in paragraph 5 is more than 1,5 %;

• b) the derivatives share referred to in paragraph 5 exceeds 2,0 %.

• The entry and exit criteria of Article 4 of this Regulation shall apply, except for point (b) where institutions shall start reporting information from the next reporting reference date, where they have exceeded the threshold on one reporting reference date.

• 11.Institutions for which the total notional amount referenced by derivatives as defined in paragraph 8 exceeds 10 billion € shall report the cells referred to in paragraph 13, even though their derivatives share does not fulfil the conditions described in paragraph 10.

• The entry criteria of Article 4 of this Regulation shall not apply for paragraph 4. Institutions shall start reporting information from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

• 12.Institutions are required to report the cells referred to in paragraph 14 if any of the following conditions is met:

• a) the credit derivatives volume referred to in paragraph 9 is more than 300 million €;

• b) the credit derivatives volume referred to in paragraph 9 exceeds 500 million €.

• The entry and exit criteria of Article 4 of this Regulation shall apply, except for point (b) where institutions shall start reporting from the next reporting reference date where they have exceeded the threshold on one reporting reference date.

• 13.The cells which are required to be reported by institutions in accordance with paragraphs 10 and 11 are the following: {LR1;0010;0010}, {LR1;0010;0020}, {LR1;0020;0010}, {LR1;0020;0020}, {LR1;0030;0070}, {LR1;0040;0070}, {LR1;0050;0010}, {LR1;0050;0020}, {LR1;0060;0010}, {LR1;0060;0020}, and {LR1;0060;0070}.

• 14.The cells which are required to be reported by institutions in accordance with paragraph 12 are the following: {LR1;0020;0075}, {LR1;0050;0075} and {LR1;0050;0085}.

3. C 47.00 – Leverage ratio calculation (LRCalc)

• 15.This template collects the data that are needed to calculate the leverage ratio as defined in Part Seven CRR.

• 16.Institutions shall perform the reporting of the leverage ratio quarterly. In each quarter, the value ‘at reporting reference date’ shall be the value at the last calendar day of the third month of the respective quarter.

• 17.Institutions shall report the items in the Exposure values section with positive sign in accordance with the sign convention in paragraph 9 of Part I of this Annex (excluding {LRCalc;0270;0010} and {LRCalc;0280;0010}), as if the items with a negative sign (for example exemptions/deductions) in accordance with the sign convention in paragraph 9 of Part I of this Annex did not apply.

• 18.Any amount that increases the own funds or the leverage ratio exposure shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the leverage ratio exposure shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.

• 19.Where an amount could qualify for deduction on multiple grounds, the amount shall only be reduced from the exposure in one of the rows of template C47.00.