LegalizeCommission 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)
| Legal references and instructions | 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 | 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 [^E0010] (‘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. |
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 | Carrying values of items | Carrying values of items | Carrying values of items | Carrying values of items | ||
| Carrying values as reported in published financial statements | Carrying values under scope of prudential consolidation | 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 | Items subject to | Items subject to | Items subject to | ||
| Total | 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 | Method of prudential consolidation | Method of prudential consolidation | Method of prudential consolidation | Method of prudential consolidation | Description of the entity |
| Name of the entity | Method of accounting consolidation | 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 | Risk category | Risk category | Risk category | Risk category | Category level AVA - Valuation uncertainty | 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 | Total category level post-diversification | 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 ([^E0011]) (‘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 | 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 [^E0012], 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 [^E0013]. |
| 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. |
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).
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 | 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 [^E0014], 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. |
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 | 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 [^E0015]) 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. |
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 | 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 | 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 | 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 | 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 | 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 ([^E0016]) 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 | 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 | Common Equity Tier 1 (CET1) capital: instruments and reserves | Common Equity Tier 1 (CET1) capital: instruments and reserves | 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 | Common Equity Tier 1 (CET1) capital: regulatory adjustments | Common Equity Tier 1 (CET1) capital: 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 | Additional Tier 1 (AT1) capital: instruments | Additional Tier 1 (AT1) capital: instruments | 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 | Additional Tier 1 (AT1) capital: regulatory adjustments | Additional Tier 1 (AT1) capital: 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 significant investment in those entities (net of eligible short positions) (negative amount) | ||
| 41 | Not applicable | ||
| 42 | Qualifying T2 deductions that exceed the T2 items of the institution (negative amount) | ||
| 42a | Other regulatory adjustments to AT1 capital | ||
| 43 | Total regulatory adjustments to Additional Tier 1 (AT1) capital | ||
| 44 | Additional Tier 1 (AT1) capital | ||
| 45 | Tier 1 capital (T1 = CET1 + AT1) | ||
| Tier 2 (T2) capital: instruments | Tier 2 (T2) capital: instruments | Tier 2 (T2) capital: instruments | Tier 2 (T2) capital: instruments |
| 46 | Capital instruments and the related share premium accounts | ||
| 47 | Amount of qualifying items referred to in Article 484(5) CRR and the related share premium accounts subject to phase out from T2 as described in Article 486(4) CRR | ||
| EU-47a | Amount of qualifying items referred to in Article 494a(2) CRR subject to phase out from T2 | ||
| EU-47b | Amount of qualifying items referred to in Article 494b(2) CRR subject to phase out from T2 | ||
| 48 | Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties | ||
| 49 | of which: instruments issued by subsidiaries subject to phase out | ||
| 50 | Credit risk adjustments | ||
| 51 | Tier 2 (T2) capital before regulatory adjustments | ||
| Tier 2 (T2) capital: regulatory adjustments | Tier 2 (T2) capital: regulatory adjustments | Tier 2 (T2) capital: regulatory adjustments | Tier 2 (T2) capital: regulatory adjustments |
| 52 | Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans (negative amount) | ||
| 53 | Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount) | ||
| 54 | Direct, indirect and synthetic holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount) | ||
| 54a | Not applicable | ||
| 55 | Direct, indirect and synthetic holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount) | ||
| 56 | Not applicable | ||
| EU-56a | Qualifying eligible liabilities deductions that exceed the eligible liabilities items of the institution (negative amount) | ||
| EU-56b | Other regulatory adjustments to T2 capital | ||
| 57 | Total regulatory adjustments to Tier 2 (T2) capital | ||
| 58 | Tier 2 (T2) capital | ||
| 59 | Total capital (TC = T1 + T2) | ||
| 60 | Total Risk exposure amount | ||
| Capital ratios and requirements including buffers | Capital ratios and requirements including buffers | Capital ratios and requirements including buffers | Capital ratios and requirements including buffers |
| 61 | Common Equity Tier 1 capital | ||
| 62 | Tier 1 capital | ||
| 63 | Total capital | ||
| 64 | Institution CET1 overall capital requirements | ||
| 65 | of which: capital conservation buffer requirement | ||
| 66 | of which: countercyclical capital buffer requirement | ||
| 67 | of which: systemic risk buffer requirement | ||
| EU-67a | of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer requirement | ||
| EU-67b | of which: additional own funds requirements to address the risks other than the risk of excessive leverage | ||
| 68 | Common Equity Tier 1 capital (as a percentage of risk exposure amount) available after meeting the minimum capital requirements | ||
| National minima (if different from Basel III) | National minima (if different from Basel III) | National minima (if different from Basel III) | National minima (if different from Basel III) |
| 69 | Not applicable | ||
| 70 | Not applicable | ||
| 71 | Not applicable | ||
| Amounts below the thresholds for deduction (before risk weighting) | Amounts below the thresholds for deduction (before risk weighting) | Amounts below the thresholds for deduction (before risk weighting) | Amounts below the thresholds for deduction (before risk weighting) |
| 72 | Direct and indirect holdings of own funds and eligible liabilities of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions) | ||
| 73 | Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 17.65% thresholds and net of eligible short positions) | ||
| 74 | Not applicable | ||
| 75 | Deferred tax assets arising from temporary differences (amount below 17,65% threshold, net of related tax liability where the conditions in Article 38 (3) CRR are met) | ||
| Applicable caps on the inclusion of provisions in Tier 2 | Applicable caps on the inclusion of provisions in Tier 2 | Applicable caps on the inclusion of provisions in Tier 2 | Applicable caps on the inclusion of provisions in Tier 2 |
| 76 | Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap) | ||
| 77 | Cap on inclusion of credit risk adjustments in T2 under standardised approach | ||
| 78 | Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap) | ||
| 79 | Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach | ||
| Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022) | Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022) | Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022) | Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022) |
| 80 | Current cap on CET1 instruments subject to phase out arrangements | ||
| 81 | Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) | g | |
| 82 | Current cap on AT1 instruments subject to phase out arrangements | ||
| 83 | Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) | ||
| 84 | Current cap on T2 instruments subject to phase out arrangements | ||
| 85 | Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) |
Template EU CC2 - reconciliation of regulatory own funds to balance sheet in the audited financial statements
Flexible template. Rows have to be disclosed in line with the balance sheet included in the audited financial statements of the institutions. Columns shall be kept fixed, unless the institution has the same accounting and regulatory scope of consolidation, in which case columns (a) and (b) shall be merged
| a | b | c | ||
|---|---|---|---|---|
| Balance sheet as in published financial statements | Under regulatory scope of consolidation | Reference | ||
| As at period end | As at period end | |||
| Assets – Breakdown by asset clases according to the balance sheet in the published financial statements | Assets – Breakdown by asset clases according to the balance sheet in the published financial statements | Assets – Breakdown by asset clases according to the balance sheet in the published financial statements | Assets – Breakdown by asset clases according to the balance sheet in the published financial statements | Assets – Breakdown by asset clases according to the balance sheet in the published financial statements |
| 1 | ||||
| 2 | ||||
| 3 | ||||
| xxx | Total assets | |||
| Liabilities - Breakdown by liability clases according to the balance sheet in the published financial statements | Liabilities - Breakdown by liability clases according to the balance sheet in the published financial statements | Liabilities - Breakdown by liability clases according to the balance sheet in the published financial statements | Liabilities - Breakdown by liability clases according to the balance sheet in the published financial statements | Liabilities - Breakdown by liability clases according to the balance sheet in the published financial statements |
| 1 | ||||
| 2 | ||||
| 3 | ||||
| xxx | Total liabilities | |||
| Shareholders' Equity | ||||
| 1 | ||||
| 2 | ||||
| 3 | ||||
| xxx | Total shareholders' equity |
Template EU CCA: Main features of regulatory own funds instruments and eligible liabilities instruments
| a | ||
|---|---|---|
| Qualitative or quantitative information - Free format | ||
| 1 | Issuer | |
| 2 | Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private placement) | |
| 2a | Public or private placement | |
| 3 | Governing law(s) of the instrument | |
| 3a | Contractual recognition of write down and conversion powers of resolution authorities | |
| Regulatory treatment | ||
| 4 | Current treatment taking into account, where applicable, transitional CRR rules | |
| 5 | Post-transitional CRR rules | |
| 6 | Eligible at solo/(sub-)consolidated/ solo&(sub-)consolidated | |
| 7 | Instrument type (types to be specified by each jurisdiction) | |
| 8 | Amount recognised in regulatory capital or eligible liabilities (Currency in million, as of most recent reporting date) | |
| 9 | Nominal amount of instrument | |
| EU-9a | Issue price | |
| EU-9b | Redemption price | |
| 10 | Accounting classification | |
| 11 | Original date of issuance | |
| 12 | Perpetual or dated | |
| 13 | Original maturity date | |
| 14 | Issuer call subject to prior supervisory approval | |
| 15 | Optional call date, contingent call dates and redemption amount | |
| 16 | Subsequent call dates, if applicable | |
| Coupons / dividends | ||
| 17 | Fixed or floating dividend/coupon | |
| 18 | Coupon rate and any related index | |
| 19 | Existence of a dividend stopper | |
| EU-20a | Fully discretionary, partially discretionary or mandatory (in terms of timing) | |
| EU-20b | Fully discretionary, partially discretionary or mandatory (in terms of amount) | |
| 21 | Existence of step up or other incentive to redeem | |
| 22 | Noncumulative or cumulative | |
| 23 | Convertible or non-convertible | |
| 24 | If convertible, conversion trigger(s) | |
| 25 | If convertible, fully or partially | |
| 26 | If convertible, conversion rate | |
| 27 | If convertible, mandatory or optional conversion | |
| 28 | If convertible, specify instrument type convertible into | |
| 29 | If convertible, specify issuer of instrument it converts into | |
| 30 | Write-down features | |
| 31 | If write-down, write-down trigger(s) | |
| 32 | If write-down, full or partial | |
| 33 | If write-down, permanent or temporary | |
| 34 | If temporary write-down, description of write-up mechanism | |
| 34a | Type of subordination (only for eligible liabilities) | |
| EU-34b | Ranking of the instrument in normal insolvency proceedings | |
| 35 | Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) | |
| 36 | Non-compliant transitioned features | |
| 37 | If yes, specify non-compliant features | |
| 37a | Link to the full term and conditions of the instrument (signposting) | |
| (1) Insert ‘N/A’ if the question is not applicable | (1) Insert ‘N/A’ if the question is not applicable | (1) Insert ‘N/A’ if the question is not applicable |
ANNEX VIII
Instructions for own funds disclosure templates
Template EU CC1 – Composition of regulatory own funds
- 1.Institutions shall disclose the information referred to in points (a), (d), (e) and (f) of Article 437 of Regulation (EU) 575/2013 ([^E0017]) (‘CRR’) by following the instructions provided in this Annex to complete template EU CC1 which is presented in Annex VII to this Implementing Regulation.
- 2.For the purposes of template EU CC1, regulatory adjustments comprise deductions from own funds and prudential filters.
- 3.Institutions are required to complete column (b) of this template to show the source of every major input, which is to be cross-referenced to the corresponding rows in template EU CC2.
- 4.Institutions shall include in the narrative accompanying the template a description of all restrictions applied to the calculation of own funds in accordance with CRR and the instruments, prudential filters and deductions to which those restrictions apply. They shall also include a comprehensive explanation of the basis on which capital ratios are calculated where those capital ratios are calculated by using elements of own funds determined on a basis other than the basis laid down in the CRR.
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