Commission Implementing Regulation (EU) 2021/637 of 15 March 2021 laying down imp... (32021R0637)
INHALT
Commission Implementing Regulation (EU) 2021/637 of 15 March 2021 laying down implementing technical standards with regard to public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 of the European Parliament and of the Council and repealing Commission Implementing Regulation (EU) No 1423/2013, Commission Delegated Regulation (EU) 2015/1555, Commission Implementing Regulation (EU) 2016/200 and Commission Delegated Regulation (EU) 2017/2295 (Text with EEA relevance)
- COMMISSION IMPLEMENTING REGULATION (EU) 2021/637
- of 15 March 2021
- laying down implementing technical standards with regard to public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 of the European Parliament and of the Council and repealing Commission Implementing Regulation (EU) No 1423/2013, Commission Delegated Regulation (EU) 2015/1555, Commission Implementing Regulation (EU) 2016/200 and Commission Delegated Regulation (EU) 2017/2295
- (Text with EEA relevance)
- Article 1
- Disclosure of key metrics and overview of risk-weighted exposure amounts
- Article 2
- Disclosure of risk management objectives and policies
- Article 3
- Disclosure of the scope of application
- Article 4
- Disclosure of own funds
- Article 5
- Disclosure of countercyclical capital buffers
- Article 6
- Disclosure of the leverage ratio
- Article 7
- Disclosure of liquidity requirements
- Article 8
- Disclosure of exposures to credit risk, dilution risk and credit quality
- Article 9
- Disclosure of the use of credit risk mitigation techniques
- Article 10
- Disclosure of the use of the standardised approach
- Article 11
- Disclosure of the use of the IRB approach to credit risk
- Article 12
- Disclosure of specialised lending and equity exposure under the simple risk weight approach
- Article 13
- Disclosure of exposures to counterparty credit risk
- Article 14
- Disclosure of exposures to securitisation positions
- Article 15
- Disclosure of the use of the standardised approach and of the internal models for market risk
- Article 16
- Disclosure of operational risk
- Article 17
- Disclosure of remuneration policy
- Article 18
- Disclosure of encumbered and unencumbered assets
- Article 19
- General provisions
- Article 20
- Repeal
- Article 21
- Entry into force
- ANNEX I
- ANNEX II
- Instructions for overview disclosure templates
- ANNEX III
- ANNEX IV
- Instructions for disclosure of risk management objectives and policies
- ANNEX V
- 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.
- Template EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements.
- Fixed format.
- Template EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity)
- Table EU LIA - Explanations of differences between accounting and regulatory exposure amounts.
- Free format text boxes for disclosure of qualitative information
- Table EU LIB – Other qualitative information on the scope of application.
- Free format text boxes for disclosure of qualitative information
- Template EU PV1 – Prudent valuation adjustments (PVA):
- Fixed format
- ANNEX VII
- Template EU CC1 - Composition of regulatory own funds
- Template EU CC2 - reconciliation of regulatory own funds to balance sheet in the audited financial statements
- Template EU CCA: Main features of regulatory own funds instruments and eligible liabilities instruments
- ANNEX VIII
- Instructions for own funds disclosure templates
- Template EU CC1 – Composition of regulatory own funds
- Template EU CC2 – Reconciliation of regulatory own funds to balance sheet in the audited financial statements
- Table EU CCA – Main features of regulatory own funds instruments and eligible liabilities instruments.
- ANNEX IX
- 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.
- Template EU CCyB2 - Amount of institution specific countercyclical capital buffer
- ANNEX XI
- Template EU LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures
- Template EU LR2 - LRCom: Leverage ratio common disclosure
- Template EU LR3 - LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)
- Table EU LRA: Disclosure of LR qualitative information
- ANNEX XII
- Instructions for leverage ratio disclosures
- Template EU LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures.
- Fixed format template.
- Template EULR2 - LRCom: Leverage ratio common disclosure.
- Fixed format template
- Template EU LR3 - LRSpl: Split-up of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures).
- Fixed format
- Table EU LRA - Disclosure of LR qualitative information.
- Free format text boxes for disclosure of qualitative information
- ANNEX XIII
- Table EU LIQA - Liquidity risk management
- Template EU LIQ1 - Quantitative information of LCR
- Scope of consolidation: (solo/consolidated)
- Table EU LIQB on qualitative information on LCR, which complements template EU LIQ1.
- in accordance with Article 451a(2) CRR
- Template EU LIQ2: Net Stable Funding Ratio
- In accordance with Article 451a(3) CRR
- ANNEX XIV
- Instructions for the liquidity requirements templates
- Instructions on Table EU LIQA on liquidity risk management and on template EU LIQ1 regarding LCR
- Table EU LIQA - Liquidity risk management
- Template EU LIQ1 - Quantitative information of LCR
- Table EU LIQB on qualitative information on LCR, which complements template EU LIQ1.
- Instructions on template EU LIQ2 on disclosure of Net Stable Funding Ratio (NSFR)
- Available stable funding (ASF) Items
- Required stable funding (RSF) Items
- ANNEX XV
- Table EU CRA: General qualitative information about credit risk
- Table EU CRB: Additional disclosure related to the credit quality of assets
- Template EU CR1: Performing and non-performing exposures and related provisions.
- Template EU CR1-A: Maturity of exposures
- Template EU CR2: Changes in the stock of non-performing loans and advances
- Template EU CR2a: Changes in the stock of non-performing loans and advances and related net accumulated recoveries
- Template EU CQ1: Credit quality of forborne exposures
- Template EU CQ2: Quality of forbearance
- Template EU CQ3: Credit quality of performing and non-performing exposures by past due days
- Template EU CQ4: Quality of non-performing exposures by geography
- Template EU CQ5: Credit quality of loans and advances to non-financial corporations by industry
- Template EU CQ6: Collateral valuation - loans and advances
- Template EU CQ7: Collateral obtained by taking possession and execution processes
- Template EU CQ8: Collateral obtained by taking possession and execution processes – vintage breakdown
- ANNEX XVI
- Instructions for disclosure of risk management objectives and policies, exposures to credit risk, dilution risk and credit quality
- Table EU CRA: General qualitative information about credit risk
- Table EU CRB: Additional disclosure related to the credit quality of assets
- Template EU CR1: Performing and non-performing exposures and related provisions
- Template EU CR1-A: Maturity of exposures
- Template EU CR2: Changes in the stock of non-performing loans and advances
- Template EU CR2a: Changes in the stock of non-performing loans and advances and related net accumulated recoveries
- Template EU CQ1: Credit quality of forborne exposures
- Template EU CQ2: Quality of forbearance
- Template EU CQ3: Credit quality of performing and non-performing exposures by past due days
- Template EU CQ4: Quality of non-performing exposures by geography
- Template EU CQ5: Credit quality of loans and advances to non-financial corporations by industry
- Template EU CQ6: Collateral valuation - loans and advances
- Template EU CQ7: Collateral obtained by taking possession and execution processes
- Template EU CQ8: Collateral obtained by taking possession and execution processes – vintage breakdown
- ANNEX XVII
- Table EU CRC – Qualitative disclosure requirements related to CRM techniques
- Template EU CR3 – CRM techniques overview: Disclosure of the use of credit risk mitigation techniques
- ANNEX XVIII
- Disclosure of the use of credit risk mitigation techniques
- Table EU CRC – Qualitative disclosure requirements related to CRM techniques. Flexible table
- Template EU CR3 – CRM techniques overview: Disclosure of the use of credit risk mitigation techniques. Fixed template.
- ANNEX XIX
- Table EU CRD – Qualitative disclosure requirements related to standardised approach
- Template EU CR4 – standardised approach – Credit risk exposure and CRM effects
- Template EU CR5 – standardised approach
- ANNEX XX
- Instructions regarding disclosure of the use of the credit risk standardised approach (excluding counterparty credit risk and securitisation positions)
- Table EU CRD – Qualitative disclosure requirements related to standardised approach.
- Flexible format
- Template EU CR4 – Credit risk exposure and CRM effects.
- Fixed format
- Template EU CR5 – Standardised approach
- . Fixed format
- ANNEX XXI
- Table EU CRE – Qualitative disclosure requirements related to IRB approach
- Template EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range
- Template EU CR6-A – Scope of the use of IRB and SA approaches
- Template EU CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques
- Template EU CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques
- Template EU CR8 – RWEA flow statements of credit risk exposures under the IRB approach
- Template CR9 –IRB approach – Back-testing of PD per exposure class (fixed PD scale)
- Template CR9.1 –IRB approach – Back-testing of PD per exposure class (only for PD estimates according to point (f) of Article 180(1) CRR)
- ANNEX XXII
- Disclosure of the use of the IRB Approach to credit risk (excluding counterparty credit risk)
- Table EU CRE – Qualitative disclosure requirements related to IRB Approach. Flexible table.
- Template EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range. Fixed template.
- Template EU CR6-A – IRB Approach – Scope of the use of IRB and SA approaches. Fixed template
- Template EU CR7 – IRB approach – Effect on the Risk Weighted Exposure amounts of credit derivatives used as CRM techniques. Fixed template.
- Template EU CR7-A IRB approach – Disclosure of the extent of the use of CRM techniques
- Template EU CR8 – RWEA flow statements of credit risk exposures under the IRB approach. Fixed template.
- Template EU CR9 – IRB approach – Back-testing of PD per exposure class. Fixed template.
- Template EU CR9.1 – IRB approach– Back-testing of PD per exposure class (only for PD estimates in accordance with point (f) of Article 180(1) CRR
- ANNEX XXIII
- Template EU CR10 – Specialised lending and equity exposures under the simple riskweighted approach
- ANNEX XXIV
- Disclosure of specialised lending and equity exposures under the simple risk weight approach
- Template EU CR10 – Specialised lending and equity exposures under the simple risk-weighted approach.
- Fixed template.
- ANNEX XXV
- Table EU CCRA – Qualitative disclosure related to CCR
- Template EU CCR1 – Analysis of CCR exposure by approach
- Fixed format
- Template EU CCR2 – Transactions subject to own funds requirements for CVA risk
- Fixed format
- Template EU CCR3 – Standardised approach – CCR exposures by regulatory exposure class and risk weights
- Fixed format
- Template EU CCR4 – IRB approach – CCR exposures by exposure class and PD scale
- Fixed format
- Template EU CCR5 – Composition of collateral for CCR exposure
- s
- Fixed columns
- Template EU CCR6 – Credit derivatives exposures
- Fixed
- Template EU CCR7 – RWEA flow statements of CCR exposures under the IMM
- Fixed format
- Template EU CCR8 – Exposures to CCPs
- Fixed format
- ANNEX XXVI
- Counterparty credit risk disclosure tables and templates: Instructions
- Template EU CCR1 - Analysis of CCR exposure by approach:
- Fixed format
- Template EU CCR2 – Transactions subject to own funds requirements for CVA risk:
- Fixed format
- Template EU CCR3 - Standardised approach – CCR exposures by regulatory exposure class and risk weights:
- Fixed format
- Template EU CCR4 - IRB approach – CCR exposures by exposure class and PD scale:
- Fixed format
- Template EU CCR5 - Composition of collateral for CCR exposures:
- Fixed columns
- Template EU CCR6 - Credit derivatives exposures:
- Fixed format
- Template EU CCR7 - RWEA flow statements of CCR exposures under the IMM:
- Fixed format
- Template EU CCR8 - Exposures to CCPs:
- Fixed format
- ANNEX XXVII
- Table EU-SECA - Qualitative disclosure requirements related to securitisation exposures
- Template EU-SEC1 - Securitisation exposures in the non-trading book
- Template EU-SEC2 - Securitisation exposures in the trading book
- Template EU-SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor
- Template EU-SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor
- Template EU-SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments
- ANNEX XXVIII
- Instructions for disclosure on exposures to securitisation positions
- Table EU SECA - Qualitative disclosure requirements related to securitisation exposures.
- Free format text boxes for disclosure of qualitative information
- EU-SEC1 - Securitisation exposures in the non-trading book.
- Fixed format.
- Template EU SEC2 - Securitisation exposures in the trading book.
- Fixed format.
- Template EU SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor.
- Fixed format.
- Template EU SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor.
- Fixed format.
- Template EU SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments.
- Fixed format.
- ANNEX XXIX
- Table EU MRA: Qualitative disclosure requirements related to market risk
- Template EU MR1 - Market risk under the standardised approach
- Table EU MRB: Qualitative disclosure requirements for institutions using the internal Market Risk Models
- Template EU MR2-A - Market risk under the internal Model Approach (IMA)
- Template EU MR2-B - RWEA flow statements of market risk exposures under the IMA
- Template EU MR3 - IMA values for trading portfolios
- Template EU MR4 - Comparison of VaR estimates with gains/losses
- ANNEX XXX
- Market risk standardized and internal approach disclosure tables and templates: Instructions
- Table EU MRA - Qualitative disclosure requirements related to market risk:
- Free format text boxes
- Template EU MR1 - Market risk under the standardised approach
- : fixed format
- Table EU MRB: Qualitative disclosure requirements for institutions using the internal Market Risk Models
- : free text format
- Template EU MR2-A - Market risk under the internal Model Approach (IMA):
- fixed format
- Template EU MR2-B - RWEA flow statements of market risk exposures under the IMA:
- fixed format
- Template EU MR3 - IMA values for trading portfolios:
- fixed format
- Template EU MR4 - Comparison of VaR estimates with gains/losses: Flexible template
- ANNEX XXXI
- Table EU ORA - Qualitative information on operational risk
- Template EU OR1 - Operational risk own funds requirements and risk-weighted exposure amounts
- ANNEX XXXII
- Instructions for operational risk disclosure templates
- Table EU ORA - Qualitative information on operational risk.
- Flexible table
- Template EU OR1 - Operational risk own funds requirements and risk-weighted exposure amounts.
- Fixed template
- ANNEX XXXIII
- Table EU REMA - Remuneration policy
- Template EU REM1 - Remuneration awarded for the financial year
- Template EU REM2 - Special payments to staff whose professional activities have a material impact on institutions’ risk profile (identified staff)
- Template EU REM3 - Deferred remuneration
- Template EU REM4 - Remuneration of 1 million EUR or more per year
- Template EU REM5 - Information on remuneration of staff whose professional activities have a material impact on institutions’ risk profile (identified staff)
- ANNEX XXXIV
- Instructions for the disclosure of remuneration policy templates
- Table EU REMA – Remuneration policy:
- Flexible format
- Template EU REM1 – Remuneration awarded for the financial year:
- Fixed format
- Template EU REM2 – Special payments to staff whose professional activities have a material impact on institutions’ risk profile (identified staff):
- Fixed format
- Template EU REM3 –Deferred remuneration:
- Fixed format
- Template EU REM4 – Remuneration of 1 million EUR or more per year:
- Fixed format
- Template EU REM5 – Information of staff whose professional activities have a material impact on institutions’ risk profile (identified staff):
- Fixed format
- ANNEX XXXV
- Template EU AE1 - Encumbered and unencumbered assets
- Template EU AE2 - Collateral received and own debt securities issued
- Template EU AE3 - Sources of encumbrance
- Table EU AE4 - Accompanying narrative information
- ANNEX XXXVI
- Instructions for the assets encumbrance disclosure templates
- Template EU AE1- Encumbered and unencumbered assets
- Template EU AE2 - Collateral received and own debt securities issued
- Template EU AE3 - Sources of encumbrance
- Table EU AE4 - Accompanying narrative information
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