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 |
| 1 | Capital instruments and the related share premium accounts Capital instruments and the related share premium accounts in accordance with points (a) and (b) of Article 26(1) and with Articles 27, 28, 29 CRR and the EBA list as referred to in Article 26(3) CRR, and their breakdown by the type of the instrument. |
| 2 | Retained earnings Retained earnings prior to all regulatory adjustments in accordance with point (c) of Article 26(1) CRR (prior to the inclusion of any interim net profits or losses) |
| 3 | Accumulated other comprehensive income (and other reserves) Amount of accumulated other comprehensive income and other reserves in accordance with points (d) and (e) of Article 26(1) CRR |
| EU-3a | Funds for general banking risk Amount of funds for general banking risk in accordance with point (f) of Article 26(1) CRR |
| 4 | Amount of qualifying items referred to in Article 484 (3) CRR and the related share premium accounts subject to phase out from CET1 Amount of qualifying items referred to in Article 484(3) CRR and the related share premium accounts subject to phase out from CET1 as described in Article 486(2) CRR |
| 5 | Minority interests (amount allowed in consolidated CET1) Minority interests (allowed amount in consolidated CET1) as per Article 84 CRR |
| EU-5a | Independently reviewed interim profits net of any foreseeable charge or dividend Independently reviewed interim profits net of any foreseeable charge or dividend as per Article 26(2) CRR |
| 6 | Common Equity Tier 1 (CET1) capital before regulatory adjustments Sum of amounts in rows 1 to EU-5a of this template |
| 7 | Additional value adjustments (negative amount) Additional value adjustments in accordance with Article 34 and 105 CRR (negative amount) |
| 8 | Intangible assets (net of related tax liability) (negative amount) Intangible assets (net of related tax liability) in accordance with point (b) of Article 36(1) and with Article 37 CRR (negative amount) |
| 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) 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) in accordance with point (c) of Article 36(1) and with Article 38 CRR (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 Fair value reserves related to gains or losses on cash flow hedges of financial instruments that are not valued at fair value in accordance with point (a) of Article 33(1) CRR |
| 12 | Negative amounts resulting from the calculation of expected loss amounts Negative amounts resulting from the calculation of expected loss amounts in accordance with point (d) of Article 36(1) and with Article 40 CRR |
| 13 | Any increase in equity that results from securitised assets (negative amount) Any increase in equity that results from securitised assets in accordance with Article 32(1) CRR (negative amount) |
| 14 | Gains or losses on liabilities valued at fair value resulting from changes in own credit standing Gains or losses on liabilities valued at fair value resulting from changes in own credit standing in accordance with point (b) of Article 33(1) of CRR |
| 15 | Defined-benefit pension fund assets (negative amount) Defined-benefit pension fund assets in accordance with point (e) of Article 36(1) and Article 41 CRR (negative amount) |
| 16 | Direct, indirect and synthetic holdings by an institution of own CET1 instruments (negative amount) Direct, indirect and synthetic holdings by an institution of own CET1 instruments as described in point (f) of Article 36 (1) and in Article 42 CRR (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) Direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution as described in point (g) of Article 36(1) and in Article 44 CRR (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) Direct, indirect and synthetic holdings of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) as described in point (h) of Article 36(1) and in Articles 43, 45, 46, 49(2) and (3) and 79 CRR (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) Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10 % threshold and net of eligible short positions) as described in point (i) of Article 36(1), in Articles 43, 45, 47, in point (b) of Article 48(1), and in Article 49(1) to (3) CRR (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 Exposure amount which qualifies for a RW of 1 250 %, where the institution opts for the deduction alternative, as described in point (k) of Article 36 (1) CRR |
| EU-20b | of which: qualifying holdings outside the financial sector (negative amount) Of the amount in EU-20a, the amount relating to qualifying holdings outside the financial sector in accordance with point (k)(i) of Article 36(1) and with Articles 89 to 91 CRR (negative amount) |
| EU-20c | of which: securitisation positions (negative amount) Of the amount in EU-20a of this template, the amount relating to securitisation positions, in accordance with point (k)(ii) of Article 36(1), with point (b) of Article 243(1), with point (b) of Article 244(1) and with Article 258 CRR (negative amount) |
| EU-20d | of which: free deliveries (negative amount) Of the amount in EU-20a of this template, the amount relating to free deliveries in accordance with point (k)(iii) of Article 36(1) and with Article 379(3) CRR (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) 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) as described in point (c) of Article 36(1), in Article 38 and in point (a) of Article 48(1) CRR (negative amount) |
| 22 | Amount exceeding the 17,65 % threshold (negative amount) Amount exceeding the 17.65 % threshold in accordance with Article 48(1) CRR (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 Of the amount in row 22 of this template, the amount of 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 as described in point (i) of Article 36(1) and in point (b) of Article 48(1) CRR |
| 24 | Not applicable |
| 25 | of which: deferred tax assets arising from temporary differences Of the amount in row 22 of this template the amount of deferred tax assets arising from temporary differences as described in point (c) of Article 36(1) in Article 38 and in point (a) of Article 48(1) CRR |
| EU-25a | Losses for the current financial year (negative amount) Losses for the financial year in accordance with point (a) of Article 36(1) CRR (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) Amount of foreseeable tax charges relating to CET1 items foreseeable at the moment of their calculation, except where the institution suitably adjusts the amount of CET1 items insofar as such tax charges reduce the amount up to which those items may be applied to cover risks or losses, in accordance with point (l) of Article 36(1) CRR (negative amount) |
| 26 | Not applicable |
| 27 | Qualifying AT1 deductions that exceed the AT1 items of the institution (negative amount) Qualifying AT1 deductions that exceed the AT1 items of the institution as described in point (j) of Article 36(1) CRR (negative amount) |
| EU-27a | Other regulatory adjustments Institutions shall disclose in this row any regulatory adjustment applicable, reported as part of supervisory reporting and not included in any other row of this template, including the amount of IFRS 9 transitional arrangements, when relevant and until the end of the transitional period |
| 28 | Total regulatory adjustments to Common Equity Tier 1 CET1 To be calculated as the sum of amounts in rows 7 to EU-20a, 21, 22 and EU-25a to EU-27a of this template |
| 29 | Common Equity Tier 1 (CET1) capital To be calculated as row 6 minus row 28 of this template |
| 30 | Capital instruments and the related share premium accounts Capital instruments and the related share premium accounts as per Articles 51 and 52 CRR |
| 31 | of which: classified as equity under applicable accounting standards The amount in row 30 of this template classified as equity under applicable accounting standards |
| 32 | of which: classified as liabilities under applicable accounting standards The amount in row 30 of this template 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 Amount of qualifying items referred to in Article 484(4) CRR and the related share premium accounts subject to phase out from AT1 in accordance with Article 486(3) CRR |
| 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 Qualifying T1 capital included in consolidated AT1 capital (including minority interests not included in row 5 of this template) issued by subsidiaries and held by third parties as described in Articles 85 and 86 CRR |
| 35 | of which: instruments issued by subsidiaries subject to phase out The amount in row 34 of this template that relates to the instruments issued by subsidiaries subject to phase out as described in Article 486(3) CRR |
| 36 | Additional Tier 1 (AT1) capital before regulatory adjustments The sum of amounts in rows 30, 33, EU-33a, EU-33b and 34 of this template |
| 37 | Direct, indirect and synthetic holdings by an institution of own AT1 instruments (negative amount) Direct, indirect and synthetic holdings by an institution of own AT1 instruments as described in point (b) of Article 52(1), in point (a) of Article 56 and in Article 57 CRR (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) 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 as described in point (b) of Article 56 and in Article 58 CRR (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) 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) as described in point (c) of Article 56 and in Articles 59, 60 and 79 CRR (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) 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) as described in point (d) of Articles 56 and in Articles 59 and 79 CRR (negative amount) |
| 41 | Not applicable |
| 42 | Qualifying T2 deductions that exceed the T2 items of the institution (negative amount) Qualifying T2 deductions that exceed the T2 items of the institution as described in point (e) of Article 56 CRR (negative amount) |
| Eu-42a | Other regulatory adjustments to AT1 capital Institutions shall disclose in this row any regulatory adjustment applicable, reported as part of supervisory reporting and not included in any other row of this template |
| 43 | Total regulatory adjustments to Additional Tier 1 (AT1) capital The sum of amounts in rows 37 to EU-42a of this template |
| 44 | Additional Tier 1 (AT1) capital Additional Tier 1 (AT1) capital, to be calculated as row 36 minus row 43 of this template |
| 45 | Tier 1 capital (T1 = CET1 + AT1) Tier 1 capital, to be calculated as row 29 plus row 44 of this template |
| 46 | Capital instruments and the related share premium accounts Capital instruments and the related share premium accounts as described in Articles 62 and 63 CRR |
| 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 Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34 of this template) issued by subsidiaries and held by third parties as described in Articles 87 and 88 CRR |
| 49 | of which: instruments issued by subsidiaries subject to phase out Of the amount in row 48, the amount relating to instruments issued by subsidiaries subject to phase out, as described in Article 486(4) CRR |
| 50 | Credit risk adjustments Credit risk adjustments in accordance with points (c) and (d) of Article 62 CRR |
| 51 | Tier 2 (T2) capital before regulatory adjustments The sum of amounts in rows 46 to 48 and row 50 of this template |
| 52 | Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans (negative amount) Direct, indirect and synthetic holdings by an institution of own T2 instruments and subordinated loans as described in sub-point (i) of point (b) of Article 63 in point (a) of Article 66 and in Article 67 CRR (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) 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 as described in point (b) of Article 66 and in Article 68 CRR (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) 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) as described in point (c) of Articles 66 and in Articles 69, 70 and 79 CRR (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) 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) in accordance with point (d) of Article 66 and Articles 69 and 79 CRR (negative amount) |
| 56 | Not applicable |
| EU-56a | Qualifying eligible liabilities deductions that exceed the eligible liabilities items of the institution (negative amount) Qualifying eligible liabilities deductions that exceed the eligible liabilities items of the institution in accordance with in point (e) of Article 66 CRR (negative amount) |
| Eu-56b | Other regulatory adjustments to T2 capital Institutions shall disclose in this row any regulatory adjustment applicable, reported as part of supervisory reporting and not included in any other row of this template. |
| 57 | Total regulatory adjustments to Tier 2 (T2) capital The sum of amounts in rows 52 to EU-56b of this template |
| 58 | Tier 2 (T2) capital Tier 2 (T2) capital to be calculated as row 51 minus row 57 of this template |
| 59 | Total capital (TC = T1 + T2) Total capital to be calculated as row 45 plus row 58 of this template |
| 60 | Total Risk exposure amount Total Risk exposure amount of the group |
| 61 | Common Equity Tier 1 capital Common Equity Tier 1 (as a percentage of total risk exposure amount) to be calculated as row 29 divided by row 60 (expressed as a percentage) of this template in accordance with point (a) of Article 92(2) CRR |
| 62 | Tier 1 capital Tier 1 (as a percentage of total risk exposure amount) to be calculated as row 45 divided by row 60 (expressed as a percentage) of this template in accordance with point (b) of Article 92(2) CRR |
| 63 | Total capital Total capital (as a percentage of total risk exposure amount) to be calculated as row 59 divided by row 60 (expressed as a percentage) of this template in accordance with point (c) of Article 92(2) CRR |
| 64 | Institution CET1 overall capital requirements Institution CET1 overall capital requirements shall be calculated as CET1 requirement in accordance with point (a) of Article 92(1) CRR, plus additional CET1 requirement which the institutions are required to hold in accordance with point (a) of Article 104(1) of Directive (EU) 2013/36 (‘CRD’), plus combined buffer requirement in accordance with Article 128(6) CRD) expressed as a percentage of risk exposure amount. To be calculated as 4.5 % plus the additional Pillar 2 requirements which the institutions are required to hold in accordance with point (a) of Article 104(1) CRD plus the combined buffer requirement calculated in accordance with Articles 128, 129, 130, 131 and 133 CRD. This row will show the CET1 ratio relevant for the assessment of constraints on distributions. |
| 65 | of which: capital conservation buffer requirement The amount in row 64 (expressed as a percentage of total risk exposure amount) of this template that relates to the capital conservation buffer requirement in accordance with Article 129 CRD |
| 66 | of which: countercyclical capital buffer requirement The amount in row 64 (expressed as a percentage of total risk exposure amount) of this template that relates to the countercyclical buffer requirement in accordance with Article 130 CRD |
| 67 | of which: systemic risk buffer requirement The amount in row 64 (expressed as a percentage of total risk exposure amount) of this template that relates to the systemic risk buffer requirement in accordance with Article 133 CRD |
| EU-67a | of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer requirement The amount in row 64 (expressed as a percentage of total risk exposure amount) of this template that relates to the G-SII or O-SII buffer requirement in accordance with Article 131 CRD |
| EU-67b | of which: additional own funds requirements to address the risks other than the risk of excessive leverage The amount in row 64 (expressed as a percentage of total risk exposure amount) of this template that relates to additional own funds requirements resulting from the supervisory review process, which have to be met by CET1 capital, as referred to in point (a) of Article 104(1) of Directive 2013/36/EU |
| 68 | Common Equity Tier 1 (as a percentage of risk exposure amount) available after meeting the minimum capital requirements To be calculated as row 61 minus 4.5 (percentage points), minus EU-67b, minus Common Equity Tier 1 capital used by the institution to meet its Additional Tier 1 and Tier 2 capital requirements. |
| 69 | Not applicable |
| 70 | Not applicable |
| 71 | Not applicable |
| 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) Direct and indirect holdings of the 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) in accordance with point (h) of Article 36(1) and with Articles, 45, 46, point (c) of Article 56, 59, 60, point (c) of Article 66, 69, 70 and 72i CRR |
| 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) 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 % threshold and net of eligible short positions) in accordance with point (i) of Article 36(1), with Articles 43, 45, 47, with point (b) of Article 48(1) and with Article 49(1) to (3) CRR (the total amount of such investments that are not disclosed in row 19 and row 23 of this template) |
| 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) Deferred tax assets arising from temporary differences (amount below 17.65 % threshold in accordance with point (b) of Article 48(2) CRR, net of related tax liability where the conditions in Article 38(3) CRR are met) in accordance with point (c) of Article 36(1), and with Articles 38 and 48 CRR (the total amount of such deferred tax assets that are not disclosed in row 21 and row 25 of this template) |
| 76 | Credit risk adjustments included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap) Credit Risk Adjustments included in T2 in respect of exposures subject to standardised approach in accordance with point (c) of Article 62 CRR |
| 77 | Cap on inclusion of credit risk adjustments in T2 under standardised approach Cap on inclusion of credit risk adjustments in T2 under standardised approach in accordance with point (c) of Article 62 CRR |
| 78 | Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap) Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach in accordance with point (d) of Article 62 CRR |
| 79 | Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach in accordance with point (d) of Article 62 CRR |
| 80 | Current cap on CET1 instruments subject to phase out arrangements Current cap on CET1 instruments subject to phase out arrangements in accordance with Article 484(3) and with Article 486(2) and (5) CRR |
| 81 | Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) in accordance with Article 484(3) and Article 486(2) and (5) CRR |
| 82 | Current cap on AT1 instruments subject to phase out arrangements Current cap on AT1 instruments subject to phase out arrangements in accordance with Articles 484(4), 486(3) and (5) CRR |
| 83 | Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) in accordance with Articles 484(4), 486(3) and (5) CRR |
| 84 | Current cap on T2 instruments subject to phase out arrangements Current cap on T2 instruments subject to phase out arrangements in accordance with Articles 484(5), 486(4) and (5) CRR |
| 85 | Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) in accordance with Articles 484(5), 486(4) and (5) CRR |
Template EU CC2 – Reconciliation of regulatory own funds to balance sheet in the audited financial statements
- 5.Institutions shall disclose the information referred to in point (a) of Article 437 CRR by following the instructions provided in this Annex to complete template EU CC2 which is presented in Annex VII to this Implementing Regulation.
- 6.Institutions shall disclose the balance sheet included in their published financial statements. Financial statements shall be the audited financial statements for the year-end disclosures.
- 7.The rows of the template are flexible and shall be disclosed by institutions in line with their financial statements. Own funds items in the audited financial statements shall include all items that are components of or are deducted from regulatory own funds, including equity, liabilities such as debt, or other balance sheet lines that affect regulatory own funds such as intangible assets, goodwill, deferred tax assets. Institutions shall expand the own funds items of the balance sheet as necessary to ensure that all of the components included in the composition of own funds disclosure template (template EU CC1) appear separately. Institutions shall only expand elements of the balance sheet up to the level of granularity that is necessary for deriving the components required by template EU CC1. Disclosure shall be proportionate to the complexity of the institution's balance sheet.
- 8.The columns are fixed and shall be disclosed as follows:
- a. Column a: Institutions shall include the figures reported in the balance sheet included in their published financial statements in accordance with the accounting scope of consolidation.
- b. Column b: Institutions shall disclose the figures corresponding to the scope of prudential consolidation.
- c. Column c: Institutions shall include the cross-reference between the own find item in template EU CC2 and the relevant items in the own funds disclosure template EU CC1. The reference in column c of template EU CC2 will be linked to the reference included in column b of template EU CC1.
-
- In the following cases where institutions’ scope of accounting consolidation and its scope of prudential consolidation are exactly the same, column (a) and (b) of this template shall be merged and this fact shall be clearly disclosed:
- d. Where institutions comply with the obligations laid down in Part Eight CRR on a consolidated or sub-consolidated basis but the scope of consolidation and the method for consolidation used for the balance sheet in the financial statements are identical to the scope of consolidation and the method for consolidation defined pursuant to Chapter 2 of Title II of Part One CRR, and institutions clearly state the absence of differences between the respective scopes and methods for consolidation.
- e. Where institutions meet the obligations laid down in Part Eight CRR on an individual basis.
Table EU CCA – Main features of regulatory own funds instruments and eligible liabilities instruments.
- 10.Institutions shall disclose the information referred to in points (b) and (c) of Article 437 CRR by following the instructions provided in this Annex to complete table EU CCA which is presented in Annex VII to this Implementing Regulation.
- 11.Institutions shall complete table EU CCA for the following categories: Common Equity Tier 1 instruments, Additional Tier 1 instruments, Tier 2 instruments and, within the meaning of Article 72b CRR, eligible liabilities instruments.
- 12.The tables shall comprise separate columns with the features of each regulatory own fund instruments and eligible liabilities instruments. In cases where different instruments of a same category have identical features, institutions may complete only one column disclosing these identical features and identify the issuances to which the identical features refer. When disclosing the columns for these instruments, institutions shall group them under three sections (horizontally along the table) to indicate whether they are for meeting (i) only own funds (but not eligible liabilities) requirements; (ii) both own funds and eligible liabilities requirements; or (iii) only eligible liabilities (but not own funds) requirements.
- 13.In relation to eligible liabilities instruments that are not subordinated to excluded liabilities, institutions shall disclose only securities which are fungible, negotiable financial instruments, at the exclusion of loans and deposits.
| Instructions for completing the regulatory own funds and eligible liabilities instruments main features table | Instructions for completing the regulatory own funds and eligible liabilities instruments main features table |
| Row number | Explanation |
| 1 | Issuer Institutions shall identify the legal name of the issuer. Free text |
| 2 | Unique identifier (e.g. CUSIP, ISIN or Bloomberg identifier for private placement) Free text |
| EU-2a | Public or private placement Institutions shall specify if the instrument has been publicly or privately placed. Select from menu: [Public] [Private] |
| 3 | Governing law(s) of the instrument Institutions shall specify the governing law(s) of the instrument. Free text |
| 3a | Contractual recognition of write down and conversion powers of resolution authorities Institutions shall specify whether the instrument contains a clause whereby, upon decision by a resolution authority or a relevant third country authority, the principal amount of the instrument is to be written down on a permanent basis or the instrument is to be converted into Common Equity Tier 1 instrument, in the meaning, where applicable, of the following provisions: — In relation to Additional Tier 1 instruments, point (p) of Article 52(1) CRR; — In relation to Tier 2 instruments, points (n) or (o) of Article 63 CRR; — In relation to eligible liabilities, point (n) of Article 72b(2) CRR; — In relation to any of the above and governed by third country law, Article 55 of Directive (EU) 2019/879 [^E0018] (‘BRRD’). A write down and conversion may be both compliant with Article 55 BRRD and any of the first three indents. Select from menu: [YES] [NO] |
| 4 | Current treatment taking into account, where applicable, transitional CRR rules Institutions shall specify transitional regulatory own funds treatment contained in CRR. The original classification of the instrument is the point of reference independently of possible reclassification in lower tiers of own funds. Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Ineligible] [N/A] Free text – specify if a fraction of the issuance has been reclassified in lower tiers of capital. |
| 5 | Post-transitional CRR rules Institutions shall specify regulatory own funds treatment under CRR without taking into account the transitional treatment. Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] ] [eligible liabilities] [Ineligible] |
| 6 | Eligible at solo/(sub-)consolidated/ solo&(sub-)consolidated Institutions shall specify the level(s) within the group at which the instrument is included in the own funds/eligible liabilities. Select from menu: [Solo] [(Sub-)Consolidated] [Solo and (Sub-)Consolidated] |
| 7 | Instrument type (types to be specified by each jurisdiction) Institutions shall specify instrument type, varying by jurisdiction. For CET1 instruments, select name of the instrument in the CET1 list published by the EBA pursuant to Article 26(3) CRR. For other instruments, select from: menu options to be provided to institutions by each jurisdiction – legal references of CRR articles for each type of instrument to be inserted |
| 8 | Amount recognised in regulatory capital or eligible liabilities (Currency in million, as of most recent reporting date) Institutions shall specify the amount recognised in regulatory own funds or eligible liabilities. Free text – specify in particular if some parts of the instruments are in different tiers of the regulatory own funds and if the recognised amount in regulatory own funds is different from the amount issued. |
| 9 | Nominal amount of instrument Nominal amount of instrument in currency of issuance and currency used for the reporting obligations Free text |
| EU-9a | Issue price Issue price of instrument Free text |
| EU-9b | Redemption price Redemption price of instrument Free text |
| 10 | Accounting classification Institutions shall specify accounting classification. Select from menu: [Shareholders’ equity] [Liability – amortised cost] [Liability – fair value option] [Non-controlling interest in consolidated subsidiary] |
| 11 | Original date of issuance Institutions shall specify the date of issuance. Free text |
| 12 | Perpetual or dated Institutions shall specify whether an instrument is dated or perpetual. Select from menu: [Perpetual] [Dated] |
| 13 | Original maturity date For dated instrument, institutions shall specify original maturity date (day, month and year). For perpetual instrument ‘no maturity’ shall be put. Free text |
| 14 | Issuer call subject to prior supervisory approval Institutions shall specify whether there is an issuer call option (all types of call options). Select from menu: [Yes] [No] |
| 15 | Optional call date, contingent call dates and redemption amount For instrument with issuer call option, institutions shall specify the first date of call if the instrument has a call option on a specific date (day, month and year) and, in addition, shall specify whether the instrument has a tax and/or regulatory event call. Institutions shall also specify the redemption price, which helps to assess permanence. Free text |
| 16 | Subsequent call dates, if applicable Institutions shall specify the existence and frequency of subsequent call dates, if applicable, which helps to assess permanence. Free text |
| 17 | Fixed or floating dividend/coupon Institutions shall specify whether the coupon/dividend is either fixed over the life of the instrument or floating over the life of the instrument or currently fixed but will move to a floating rate in the future, or currently floating but will move to a fixed rate in the future. Select from menu: [Fixed], [Floating] [Fixed to floating], [Floating to fixed] |
| 18 | Coupon rate and any related index Institutions shall specify the coupon rate of the instrument and any related index that the coupon/dividend rate references. Free text |
| 19 | Existence of a dividend stopper Institutions shall specify whether the non-payment of a coupon or dividend on the instrument prohibits the payment of dividends on common shares (i.e. whether there is a dividend stopper). Select from menu: [yes], [no] |
| EU-20a | Fully discretionary, partially discretionary or mandatory (in terms of timing) Institutions shall specify whether the issuer has full discretion, partial discretion or no discretion over whether a coupon/dividend is paid. If the institution has full discretion to cancel coupon/dividend payments under all circumstances it must select ‘fully discretionary’ (including when there is a dividend stopper that does not have the effect of preventing the institution from cancelling payments on the instrument). If there are conditions that must be met before payment can be cancelled (e.g. own funds below a certain threshold), the institution must select ‘partially discretionary’. If the institution is unable to cancel the payment outside of insolvency the institution must select ‘mandatory’. Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory] Free text (specify the reasons for discretion, existence of dividend pushers, dividend stoppers, ACSM) |
| EU-20b | Fully discretionary, partially discretionary or mandatory (in terms of amount) Institutions shall specify whether the issuer has full discretion, partial discretion or no discretion over the amount of the coupon/dividend. Select from menu: [Fully discretionary] [Partially discretionary] [Mandatory] |
| 21 | Existence of step up or other incentive to redeem Institutions shall specify whether there is a step-up or other incentive to redeem. Select from menu: [Yes] [No] |
| 22 | Noncumulative or cumulative Institutions shall specify whether dividends / coupons are cumulative or noncumulative. Select from menu: [Noncumulative] [Cumulative] [ACSM] |
| 23 | Convertible or non-convertible Institutions shall specify whether instrument is convertible or not. Select from menu: [Convertible] [Nonconvertible] |
| 24 | If convertible, conversion trigger(s) Institutions shall specify the conditions under which the instrument will convert, including point of non-viability. Where one or more authorities have the ability to trigger conversion, the authorities shall be listed. For each of the authorities it shall be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger conversion (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach). Free text |
| 25 | If convertible, fully or partially Institutions shall specify whether the instrument will always convert fully, may convert fully or partially, or will always convert partially. Select from menu: [Always Fully] [Fully or Partially] [Always partially] |
| 26 | If convertible, conversion rate Institutions shall specify the rate of conversion into the more loss absorbent instrument. Free text |
| 27 | If convertible, mandatory or optional conversion For convertible instruments, institutions shall specify whether conversion is mandatory or optional. Select from menu: [Mandatory] [Optional] [NA] and [at the option of the holders] [at the option of the issuer] [at the option of both the holders and the issuer] |
| 28 | If convertible, specify instrument type convertible into For convertible instruments, institutions shall specify instrument type convertible into. Helps to assess loss absorbency. Select from menu: [Common Equity Tier 1] [Additional Tier 1] [Tier 2] [Other] |
| 29 | If convertible, specify issuer of instrument it converts into Free text |
| 30 | Write-down features Institutions shall specify whether there is a write down feature. Select from menu: [Yes] [No] |
| 31 | If write-down, write-down trigger(s) Institutions shall specify the triggers at which write-down occurs, including point of non-viability. Where one or more authorities have the ability to trigger write-down, the authorities shall be listed. For each of the authorities it shall be stated whether it is the terms of the contract of the instrument that provide the legal basis for the authority to trigger write-down (a contractual approach) or whether the legal basis is provided by statutory means (a statutory approach Free text |
| 32 | If write-down, full or partial Institutions shall specify whether the instrument will always be written down fully, may be written down partially, or will always be written down partially. Helps assess the level of loss absorbency at write-down. Select from menu: [Always Fully] [Fully or Partially] [Always partially] ] |
| 33 | If write-down, permanent or temporary For write down instrument, institutions shall specify whether write down is permanent or temporary. Select from menu: [Permanent] [Temporary] [NA] |
| 34 | If temporary write-down, description of write-up mechanism Institutions shall describe the write-up mechanism. Free text |
| 34a | Type of subordination (only for eligible liabilities) Institutions shall specify whether the instrument meets any of the types of subordination described in point (d)(i), (ii) and (iii) of Article 72b(2) CRR. Select from menu: [Contractual] if the instrument meets the requirements set out in point (d)(i) of Article 72b(2) CRR; [Statutory] if the instrument meets the requirements set out in point (d)(ii) of Article 72b(2) CRR; [Structural] if the instrument meets the requirements set out in in point (d)(iii) of Article 72b(2) CRR; [Exemption from subordination] where the instrument does not meet any of the abovementioned forms of subordination and provided the institution has been permitted, pursuant to Article 72b(4) CRR, to include unsubordinated liabilities as eligible liabilities items. |
| EU-34b | Ranking of the instrument in normal insolvency proceedings Institutions shall specify the ranking of the instrument in normal insolvency proceedings. As defined in [ITS on MREL reporting]. |
| 35 | Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) Institutions shall specify the instrument to which it is most immediately subordinate. Where applicable, banks shall specify the column numbers of the instruments in the completed main features table to which the instrument is most immediately subordinate. Free text |
| 36 | Non-compliant transitioned features Institutions shall specify whether there are non-compliant features. Select from menu: [Yes] [No] |
| 37 | If yes, specify non-compliant features If there are non-compliant features, institution shall specify which ones. Free text |
| EU-37a | Link to the full term and conditions of the instrument (signposting) Institutions shall include the hyperlink that gives access to the prospectus of the issuance, including all the terms and conditions of the instrument. |
DIRECTIVE (EU) 2019/879 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 20 May 2019 amending Directive 2014/59/EU as regards the loss-absorbing and recapitalisation capacity of credit institutions and investment firms and Directive 98/26/EC (OJ L 150, 7.6.2019, p. 296).
ANNEX IX
Template EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer
| a | b | c | d | e | f | g | h | i | j | k | l | m | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| General credit exposures | General credit exposures | Relevant credit exposures – Market risk | Relevant credit exposures – Market risk | Securitisation exposures Exposure value for non-trading book | Total exposure value | Own fund requirements | Own fund requirements | Own fund requirements | Own fund requirements | Risk-weighted exposure amounts | Own fund requirements weights (%) | Countercyclical buffer rate (%) | ||
| Exposure value under the standardised approach | Exposure value under the IRB approach | Sum of long and short positions of trading book exposures for SA | Value of trading book exposures for internal models | Securitisation exposures Exposure value for non-trading book | Total exposure value | Relevant credit risk exposures - Credit risk | Relevant credit exposures – Market risk | Relevant credit exposures – Securitisation positions in the non-trading book | Total | Risk-weighted exposure amounts | Own fund requirements weights (%) | Countercyclical buffer rate (%) | ||
| 010 | Breakdown by country: | |||||||||||||
| Country: 001 | ||||||||||||||
| Country: 002 | ||||||||||||||
| … | ||||||||||||||
| Country: NNN | ||||||||||||||
| 020 | Total |
Template EU CCyB2 - Amount of institution-specific countercyclical capital buffer
| a | ||
|---|---|---|
| 1 | Total risk exposure amount | |
| 2 | Institution specific countercyclical capital buffer rate | |
| 3 | Institution specific countercyclical capital buffer requirement |
ANNEX X
Instructions for the disclosure of information on countercyclical capital buffers
Template EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer. Fixed format for columns, flexible format for rows.
- 1.Institutions shall disclose the information referred to in point (a) of Article 440 of Regulation (EU) 575/2013 ([^E0019]) (‘CRR’) by following the instructions provided below in this Annex to complete template EU CCyB1 which is presented in Annex IX to this Implementing Regulation.
- 2.The scope of template EU CCyB1 is limited to credit exposures relevant for the calculation of CCyB in accordance with Article 140(4) of Directive (EU) 2013/36 ([^E0020]) (‘CRD’).
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 010-01X | Breakdown by country List of countries in which the institution has credit exposures relevant for the calculation of the institution specific countercyclical buffer in accordance with Commission delegated regulation (EU) 1152/2014 [^E0021] The number of rows may vary depending on the number of countries where the institution has its credit exposures relevant for the calculation of the countercyclical buffer. Institutions shall number the rows for each country consecutively, starting with 010. In accordance with Commission delegated regulation (EU) 1152/2014, if trading book exposures or foreign credit exposures of an institution represent less than 2% of its aggregate risk weighted exposures, the institution may choose to allocate these exposures to the place of institution (i.e. the home Member State of the institution). If the exposures for the place of institution include exposures from other countries, these shall be clearly identified in a footnote to the disclosure template. |
| 020 | Total The value as described in accordance with the explanation for columns a to m of the current template. |
COMMISSION DELEGATED REGULATION (EU) 1152/2014 of 4 June 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards on the identification of the geographical location of the relevant credit exposures for calculating institution-specific countercyclical capital buffer rates (OJ L 309, 30.10.2014, p. 5).
| Legal references and instructions | Legal references and instructions |
| Column number | Explanation |
| a | Exposure value of general credit exposures under the standardised approach Exposure value of relevant credit exposures determined in accordance with point (a) of Article 140(4) CRD, and Article 111 CRR Exposure value of relevant credit exposures determined in accordance with point (c) of Article 140(4) CRD, with points (a) and (c) of Article 248 CRR shall not be included here but in e of this template. Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014. Row 020 (Total): The sum of all relevant credit exposures shall be determined in accordance with point (a) of Article 140(4) CRD, and Article 111 CRR. |
| b | Exposure value of general credit exposures under the IRB approach Exposure value of relevant credit exposures determined in accordance with point (a) of Article 140(4) CRD, Article 166, Article 167 and Article 168 CRR Exposure value of relevant credit exposures determined in accordance with point (c) of Article 140(4) CRD, points (a) and (c) of Article 248 CRR shall not be included here but in column e of this template. Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014. Row 020 (Total): The sum of all relevant credit exposures shall be determined in accordance with point (a) of Article 140(4) CRD, Articles 166, 167 and 168 CRR. |
| c | Sum of long and short positions of trading book exposures for standardised approach Sum of long and short positions of relevant credit exposures determined in accordance with point (b) of Article 140(4) CRD, calculated as the sum of long and short positions determined in accordance with Article 327 CRR Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014. Row 020 (Total): The sum of all long and short positions of relevant credit exposures shall be determined in accordance with point (b) of Article 140(4) CRD, calculated as the sum of long and short positions determined in accordance with Article 327 CRR. |
| d | Value of trading book exposures for internal models Sum of the following: — Fair value of cash positions that represent relevant credit exposures as determined in accordance with point (b) of Article 140(4) CRD, and Article 104 CRR; — Notional value of derivatives that represent relevant credit exposures as determined in accordance with point (b) of Article 140(4) CRD. Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014. Row 020 (Total): The sum of fair value of all cash positions that represent relevant credit exposures shall be determined in accordance with point (b) of Article 140(4) CRD, and Article 104 CRR, and the sum of notional value of all derivatives that represent relevant credit exposures shall be determined in accordance with point (b) of Article 140(4) CRD. |
| e | Securitisation exposures Exposure value for non-trading book Exposure value of relevant credit exposures determined in accordance with point (c) of Article 140(4) CRD, points (a) and (c) of Article 248 CRR Geographical breakdown shall be made in accordance with Commission delegated regulation (EU) 1152/2014. Row 020 (Total): The sum of all relevant credit exposures shall be determined in accordance with point (c) of Article 140(4) CRD, and points (a) and (c) of Article 248 CRR. |
| f | Total exposure value The sum of amounts in columns a, b, c, d and e of this template Row 020 (Total): The sum of all relevant credit exposures shall be determined in accordance to Article 140(4) CRD. |
| g | Own funds requirements - Relevant credit risk exposures – Credit Risk Own funds requirements for relevant credit exposures in the country in question, determined in accordance to point (a) of Article 140(4) CRD, and Title II of Part Three CRR, and taking into account the own funds requirements linked to any country-specific adjustments to risk weights set in accordance with Article 458 CRR Row 020 (Total): The sum of all own funds requirements for relevant credit exposures shall be determined in accordance with point (a) of Article 140(4) CRD, and Title II of Part Three CRR. |
| h | Own funds requirements - Relevant credit exposures – Market risk Own funds requirements for relevant credit exposures in the country in question, determined in accordance with point (b) of Article 140(4) CRD, and Chapter 2 of Title IV of Part Three CRR for specific risk, or in accordance with Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk Row 020 (Total): The sum of all own funds requirements for relevant credit exposures shall be determined in accordance with point (b) of Article 140(4) CRD, and Chapter 2 of Title IV of Part Three CRR for specific risk or Chapter 5 of Title IV of Part Three CRR for incremental default and migration risk. |
| i | Own funds requirements - Relevant credit exposures – Securitisation positions in the non-trading book Own funds requirements for relevant credit exposures in the country in question, determined in accordance to point (c) of Article 140(4) CRD, and Chapter 5 of Title II of Part Three CRR Row 020 (Total): The sum of all own funds requirements for relevant credit exposures shall be determined in accordance with point (c) of Article 140(4) CRD, and Chapter 5 of Title II of Part Three CRR. |
| j | Own funds requirements - Total The sum of amounts in columns g, h and i of this template Row 020 (Total): The sum of all own funds requirements for relevant credit exposures shall be determined in accordance with Article 140(4) CRD. |
| k | Risk-weighted exposure amounts Risk-weighted exposure amounts for relevant credit exposures, determined in accordance with Article 140(4) CRD, broken-down by country and taking into account any country-specific adjustments to risk weights set in accordance with Article 458 CRR Row 020 (Total): The sum of all risk-weighted exposure amounts for relevant credit exposures shall be determined in accordance with Article 140(4) CRD. |
| l | Own funds requirements weights (%) The weight applied to the countercyclical buffer rate in each country, calculated as the total own funds requirements that relates to the relevant credit exposures in the country in question (row 01X, column j of this template), divided by the total own funds requirements that relates to all credit exposures relevant for the calculation of the countercyclical buffer in accordance with Article 140(4) CRD (row 020, column j of this template) This value shall be disclosed as percentage with 2 decimal points. |
| m | Countercyclical capital buffer rate (%) Countercyclical capital buffer rate applicable in the country in question, and set in accordance with Articles 136, 137, 138 and 139 CRD This column shall not include countercyclical capital buffer rates that were set, but are not yet applicable at the time of computation of the institution specific countercyclical capital buffer to which the disclosure relates. This value is disclosed as percentage with the same number of decimal points as set in accordance with Articles 136, 137, 138 and 139 CRD. |
Template EU CCyB2 - Amount of institution specific countercyclical capital buffer
- 3.Institutions shall disclose the information referred to in point (b) of Article 440 CRR by following the instructions provided below in this Annex to complete template EU CCyB2 which is presented in Annex IX to this Implementing Regulation.
| Legal references and instructions | Legal references and instructions |
| Row number | Explanation |
| 1 | Total risk exposure amount Total risk exposure amount calculated in accordance with Article 92(3) CRR |
| 2 | Institution specific countercyclical capital buffer rate Institution specific countercyclical capital buffer rate, determined in accordance with in accordance with Article 140(1) CRD The institution specific countercyclical capital buffer rate is calculated as the weighted average of the countercyclical buffer rates that apply in the countries where the relevant credit exposures of the institution are located in rows 010.1 to 010.X of column m of the template EU CCyB1. The weight applied to the countercyclical buffer rate in each country is the share of funds requirements in total own funds requirements, and is in template EU CCyB1 column l. This value is disclosed as percentage with 2 decimal points. |
| 3 | Institution specific countercyclical capital buffer requirement Institution specific countercyclical capital buffer requirement, calculated as the institution specific countercyclical buffer rate, as disclosed in row 2 of this template, applied to the total risk exposure amount as disclosed in row 1 of this template. |
| --- | --- |
| Legal references and instructions | Legal references and instructions |
| Column number | Explanation |
| a | The value as described in accordance with the explanation for rows 1 to 3 of the current template. |
ANNEX XI
Template EU LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures
| a | ||
|---|---|---|
| Applicable amount | ||
| 1 | Total assets as per published financial statements | |
| 2 | Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation | |
| 3 | (Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference) | |
| 4 | (Adjustment for temporary exemption of exposures to central banks (if applicable)) | |
| 5 | (Adjustment for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the total exposure measure in accordance with point (i) of Article 429a(1) CRR) | |
| 6 | Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting | |
| 7 | Adjustment for eligible cash pooling transactions | |
| 8 | Adjustment for derivative financial instruments | |
| 9 | Adjustment for securities financing transactions (SFTs) | |
| 10 | Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) | |
| 11 | (Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital) | |
| EU-11a | (Adjustment for exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR) | |
| EU-11b | (Adjustment for exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) CRR) | |
| 12 | Other adjustments | |
| 13 | Total exposure measure |
Template EU LR2 - LRCom: Leverage ratio common disclosure
| CRR leverage ratio exposures | CRR leverage ratio exposures | ||
|---|---|---|---|
| a | b | ||
| T | T-1 | ||
| On-balance sheet exposures (excluding derivatives and SFTs) | On-balance sheet exposures (excluding derivatives and SFTs) | On-balance sheet exposures (excluding derivatives and SFTs) | On-balance sheet exposures (excluding derivatives and SFTs) |
| 1 | On-balance sheet items (excluding derivatives, SFTs, but including collateral) | ||
| 2 | Gross-up for derivatives collateral provided, where deducted from the balance sheet assets pursuant to the applicable accounting framework | ||
| 3 | (Deductions of receivables assets for cash variation margin provided in derivatives transactions) | ||
| 4 | (Adjustment for securities received under securities financing transactions that are recognised as an asset) | ||
| 5 | (General credit risk adjustments to on-balance sheet items) | ||
| 6 | (Asset amounts deducted in determining Tier 1 capital) | ||
| 7 | Total on-balance sheet exposures (excluding derivatives and SFTs) | ||
| Derivative exposures | Derivative exposures | Derivative exposures | Derivative exposures |
| 8 | Replacement cost associated with SA-CCR derivatives transactions (ie net of eligible cash variation margin) | ||
| EU-8a | Derogation for derivatives: replacement costs contribution under the simplified standardised approach | ||
| 9 | Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions | ||
| EU-9a | Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach | ||
| EU-9b | Exposure determined under Original Exposure Method | ||
| 10 | (Exempted CCP leg of client-cleared trade exposures) (SA-CCR) | ||
| EU-10a | (Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach) | ||
| EU-10b | (Exempted CCP leg of client-cleared trade exposures) (Original Exposure Method) | ||
| 11 | Adjusted effective notional amount of written credit derivatives | ||
| 12 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | ||
| 13 | Total derivatives exposures | ||
| Securities financing transaction (SFT) exposures | Securities financing transaction (SFT) exposures | Securities financing transaction (SFT) exposures | Securities financing transaction (SFT) exposures |
| 14 | Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions | ||
| 15 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | ||
| 16 | Counterparty credit risk exposure for SFT assets | ||
| EU-16a | Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429e(5) and 222 CRR | ||
| 17 | Agent transaction exposures | ||
| EU-17a | (Exempted CCP leg of client-cleared SFT exposure) | ||
| 18 | Total securities financing transaction exposures | ||
| Other off-balance sheet exposures | Other off-balance sheet exposures | Other off-balance sheet exposures | Other off-balance sheet exposures |
| 19 | Off-balance sheet exposures at gross notional amount | ||
| 20 | (Adjustments for conversion to credit equivalent amounts) | ||
| 21 | (General provisions deducted in determining Tier 1 capital and specific provisions associated associated with off-balance sheet exposures) | ||
| 22 | Off-balance sheet exposures | ||
| Excluded exposures | Excluded exposures | Excluded exposures | Excluded exposures |
| EU-22a | (Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR) | ||
| EU-22b | (Exposures exempted in accordance with point (j) of Article 429a(1) CRR (on and off balance sheet)) | ||
| EU-22c | (Excluded exposures of public development banks (or units) - Public sector investments) | ||
| EU-22d | (Excluded exposures of public development banks (or units) - Promotional loans) | ||
| EU-22e | (Excluded passing-through promotional loan exposures by non-public development banks (or units)) | ||
| EU-22f | (Excluded guaranteed parts of exposures arising from export credits) | ||
| EU-22g | (Excluded excess collateral deposited at triparty agents) | ||
| EU-22h | (Excluded CSD related services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR) | ||
| EU-22i | (Excluded CSD related services of designated institutions in accordance with point (p) of Article 429a(1) CRR) | ||
| EU-22j | (Reduction of the exposure value of pre-financing or intermediate loans) | ||
| EU-22k | (Total exempted exposures) | ||
| Capital and total exposure measure | Capital and total exposure measure | Capital and total exposure measure | Capital and total exposure measure |
| 23 | Tier 1 capital | ||
| 24 | Total exposure measure | ||
| Leverage ratio | Leverage ratio | Leverage ratio | Leverage ratio |
| 25 | Leverage ratio (%) | ||
| EU-25 | Leverage ratio (excluding the impact of the exemption of public sector investments and promotional loans) (%) | ||
| 25a | Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) (%) | ||
| 26 | Regulatory minimum leverage ratio requirement (%) | ||
| EU-26a | Additional own funds requirements to address the risk of excessive leverage (%) | ||
| EU-26b | of which: to be made up of CET1 capital | ||
| 27 | Leverage ratio buffer requirement (%) | ||
| EU-27a | Overall leverage ratio requirement (%) | ||
| Choice on transitional arrangements and relevant exposures | Choice on transitional arrangements and relevant exposures | Choice on transitional arrangements and relevant exposures | Choice on transitional arrangements and relevant exposures |
| EU-27b | Choice on transitional arrangements for the definition of the capital measure | ||
| Disclosure of mean values | Disclosure of mean values | Disclosure of mean values | Disclosure of mean values |
| 28 | Mean of daily values of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivable | ||
| 29 | Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables | ||
| 30 | Total exposure measure (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) | ||
| 30a | Total exposure measure (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) | ||
| 31 | Leverage ratio (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) | ||
| 31a | Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables) |
Template EU LR3 - LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)
| a | ||
|---|---|---|
| CRR leverage ratio exposures | ||
| EU-1 | Total on-balance sheet exposures (excluding derivatives, SFTs, and exempted exposures), of which: | |
| EU-2 | Trading book exposures | |
| EU-3 | Banking book exposures, of which: | |
| EU-4 | Covered bonds | |
| EU-5 | Exposures treated as sovereigns | |
| EU-6 | Exposures to regional governments, MDB, international organisations and PSE, not treated as sovereigns | |
| EU-7 | Institutions | |
| EU-8 | Secured by mortgages of immovable properties | |
| EU-9 | Retail exposures | |
| EU-10 | Corporates | |
| EU-11 | Exposures in default | |
| EU-12 | Other exposures (eg equity, securitisations, and other non-credit obligation assets) |
Table EU LRA: Disclosure of LR qualitative information
| a | ||
|---|---|---|
| Row | Free format | |
| (a) | Description of the processes used to manage the risk of excessive leverage | |
| (b) | Description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers |
ANNEX XII
Instructions for leverage ratio disclosures
Template EU LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures. Fixed format template.
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