REGOLAMENTO DI ESECUZIONE (UE) 2021/637 DELLA COMMISSIONE del 15 marzo 2021 che stabilisce norme tecniche di attuazione per quanto riguarda la pubblicazione da parte degli enti delle informazioni di cui alla parte otto, titoli II e III, del regolamento (UE) n. 575/2013 del Parlamento europeo e del Consiglio e che abroga il regolamento di esecuzione (UE) n. 1423/2013 della Commissione, il regolamento delegato (UE) 2015/1555 della Commissione, il regolamento di esecuzione (UE) 2016/200 della Commissione e il regolamento delegato (UE) 2017/2295 della Commissione (Testo rilevante ai fini del SEE)

Articolo 1 Informativa sulle metriche principali e sul quadro d’insieme degli importi delle esposizioni ponderati per il rischio

Informativa sulle metriche principali e sul quadro d’insieme degli importi delle esposizioni ponderati per il rischio

Articolo 2 Informativa su obiettivi e politiche di gestione del rischio

Articolo 2

Informativa su obiettivi e politiche di gestione del rischio

Gli enti pubblicano le informazioni di cui all’articolo 435 del regolamento (UE) n. 575/2013 utilizzando le tabelle EU OVA ed EU OVB di cui all’allegato III del presente regolamento e seguendo le istruzioni di cui all’allegato IV del presente regolamento.

Articolo 3 Informativa sull’ambito di applicazione

Informativa sull’ambito di applicazione

Articolo 4 Informativa sui fondi propri

Articolo 4

Informativa sui fondi propri

Gli enti pubblicano le informazioni di cui all’articolo 437 del regolamento (UE) n. 575/2013 come segue:

a)

le informazioni di cui all’articolo 437, lettere a), d), e) ed f), del regolamento (UE) n. 575/2013 utilizzando i modelli EU CC1 ed EU CC2 di cui all’allegato VII del presente regolamento e seguendo le istruzioni di cui all’allegato VIII del presente regolamento;

b)

le informazioni di cui all’articolo 437, lettere b) e c), del regolamento (UE) n. 575/2013 utilizzando la tabella EU CCA di cui all’allegato VII del presente regolamento e seguendo le istruzioni di cui all’allegato VIII del presente regolamento.

Articolo 5 Informativa sulle riserve di capitale anticicliche

Articolo 5

Informativa sulle riserve di capitale anticicliche

Gli enti pubblicano le informazioni di cui all’articolo 440 del regolamento (UE) n. 575/2013 come segue:

a)

le informazioni di cui all’articolo 440, lettera a), del regolamento (UE) n. 575/2013 utilizzando il modello EU CCYB1 di cui all’allegato IX del presente regolamento e seguendo le istruzioni di cui all’allegato X del presente regolamento;

b)

le informazioni di cui all’articolo 440, lettera b), del regolamento (UE) n. 575/2013 utilizzando il modello EU CCYB2 di cui all’allegato IX del presente regolamento e seguendo le istruzioni di cui all’allegato X del presente regolamento.

Articolo 6 Informativa sul coefficiente di leva finanziaria

Informativa sul coefficiente di leva finanziaria

Gli enti pubblicano le informazioni di cui all’articolo 451 del regolamento (UE) n. 575/2013 come segue:

a)

le informazioni di cui all’articolo 451, paragrafo 1, lettere a), b) e c), e all’articolo 451, paragrafi 2 e 3, del regolamento (UE) n. 575/2013 utilizzando i modelli EU LR1, EU LR2 ed EU LR3 di cui all’allegato XI del presente regolamento e seguendo le istruzioni di cui all’allegato XII del presente regolamento;

b)

le informazioni di cui all’articolo 451, paragrafo 1, lettere d) ed e), del regolamento (UE) n. 575/2013 utilizzando la tabella EU LRA di cui all’allegato XI del presente regolamento e seguendo le istruzioni di cui all’allegato XII del presente regolamento.

Informativa sugli indicatori dell’importanza sistemica a livello mondiale

Article 6a Disclosure of indicators of global systemic importance

Articolo 7 Informativa sui requisiti in materia di liquidità

Articolo 7

Informativa sui requisiti in materia di liquidità

Gli enti pubblicano le informazioni di cui all’articolo 435, paragrafo 1, e all’articolo 451 bis del regolamento (UE) n. 575/2013 come segue:

a)

le informazioni di cui all’articolo 435, paragrafo 1, e all’articolo 451 bis, paragrafo 4, del regolamento (UE) n. 575/2013 utilizzando la tabella EU LIQA di cui all’allegato XIII del presente regolamento e seguendo le istruzioni di cui all’allegato XIV del presente regolamento;

b)

le informazioni di cui all’articolo 451 bis, paragrafo 2, del regolamento (UE) n. 575/2013 utilizzando il modello EU LIQ1 e la tabella EU LIQB di cui all’allegato XIII del presente regolamento e seguendo le istruzioni di cui all’allegato XIV del presente regolamento;

c)

le informazioni di cui all’articolo 451 bis, paragrafo 3, del regolamento (UE) n. 575/2013 utilizzando il modello EU LIQ2 di cui all’allegato XIII del presente regolamento e seguendo le istruzioni di cui all’allegato XIV del presente regolamento.

Articolo 8 Informativa sulle esposizioni al rischio di credito e al rischio di diluizione e sulla qualità creditizia

Informativa sulle esposizioni al rischio di credito e al rischio di diluizione e sulla qualità creditizia

Articolo 9 Informativa sull’uso di tecniche di attenuazione del rischio di credito

Articolo 9

Informativa sull’uso di tecniche di attenuazione del rischio di credito

Gli enti pubblicano le informazioni di cui all’articolo 453, lettere da a) a f), del regolamento (UE) n. 575/2013 come segue:

a)

le informazioni di cui all’articolo 453, lettere da a) a e), del regolamento (UE) n. 575/2013 utilizzando la tabella EU CRC di cui all’allegato XVII del presente regolamento e seguendo le istruzioni di cui all’allegato XVIII del presente regolamento;

b)

le informazioni di cui all’articolo 453, lettera f), del regolamento (UE) n. 575/2013 utilizzando il modello EU CR3 di cui all’allegato XVII del presente regolamento e seguendo le istruzioni di cui all’allegato XVIII del presente regolamento.

Articolo 10 Informativa sull’uso del metodo standardizza to

Articolo 10

Informativa sull’uso del metodo standardizza to

Gli enti che calcolano gli importi delle esposizioni ponderati per il rischio secondo il metodo standardizzato pubblicano le informazioni di cui all’articolo 444 e all’articolo 453, lettere g), h) e i), del regolamento (UE) n. 575/2013 come segue:

a)

le informazioni di cui all’articolo 444, lettere da a) a d), del regolamento (UE) n. 575/2013 utilizzando la tabella EU CRD di cui all’allegato XIX del presente regolamento e seguendo le istruzioni di cui all’allegato XX del presente regolamento;

b)

le informazioni di cui all’articolo 453, lettere g), h) e i), e all’articolo 444, lettera e), del regolamento (UE) n. 575/2013 utilizzando il modello EU CR4 di cui all’allegato XIX del presente regolamento e seguendo le istruzioni di cui all’allegato XX del presente regolamento;

c)

le informazioni di cui all’articolo 444, lettera e), del regolamento (UE) n. 575/2013 utilizzando il modello EU CR5 di cui all’allegato XIX del presente regolamento e seguendo le istruzioni di cui all’allegato XX del presente regolamento e, per le informazioni sui valori delle esposizioni dedotti dai fondi propri di cui al medesimo articolo, utilizzando il modello EU CC1 di cui all’allegato VII del presente regolamento e seguendo le istruzioni di cui all’allegato VIII del presente regolamento.

Articolo 11 Informativa sull’uso del metodo IRB per il rischio di credito

Articolo 11

Informativa sull’uso del metodo IRB per il rischio di credito

Gli enti che calcolano gli importi delle esposizioni ponderati per il rischio secondo il metodo IRB pubblicano le informazioni di cui agli articoli 438 e 452 e all’articolo 453, lettere g) e j), del regolamento (UE) n. 575/2013 come segue:

a)

le informazioni di cui all’articolo 452, lettere da a) a f), del regolamento (UE) n. 575/2013 utilizzando la tabella EU CRE e il modello EU CR6-A di cui all’allegato XXI del presente regolamento e seguendo le istruzioni di cui all’allegato XXII del presente regolamento;

b)

le informazioni di cui all’articolo 452, lettera g), del regolamento (UE) n. 575/2013 utilizzando il modello EU CR6 di cui all’allegato XXI del presente regolamento e seguendo le istruzioni di cui all’allegato XXII del presente regolamento;

c)

le informazioni di cui all’articolo 453, lettere g) e j), del regolamento (UE) n. 575/2013 utilizzando i modelli EU CR7-A ed EU CR7 di cui all’allegato XXI del presente regolamento e seguendo le istruzioni di cui all’allegato XXII del presente regolamento;

d)

le informazioni di cui all’articolo 438, lettera h), del regolamento (UE) n. 575/2013 utilizzando il modello EU CR8 di cui all’allegato XXI del presente regolamento e seguendo le istruzioni di cui all’allegato XXII del presente regolamento;

e)

le informazioni di cui all’articolo 452, lettera h), del regolamento (UE) n. 575/2013 utilizzando i modelli EU CR9 ed EU CR9.1 di cui all’allegato XXI del presente regolamento e seguendo le istruzioni di cui all’allegato XXII del presente regolamento.

Articolo 12 Informativa sui finanziamenti specializzati e sulle esposizioni in strumenti di capitale secondo il metodo della ponderazione semplice

Articolo 12

Informativa sui finanziamenti specializzati e sulle esposizioni in strumenti di capitale secondo il metodo della ponderazione semplice

Gli enti pubblicano le informazioni di cui all’articolo 438, lettera e), del regolamento (UE) n. 575/2013 utilizzando il modello EU CR10 di cui all’allegato XXIII del presente regolamento e seguendo le istruzioni di cui all’allegato XXIV del presente regolamento.

Articolo 13 Informativa sulle esposizioni al rischio di controparte

Articolo 13

Informativa sulle esposizioni al rischio di controparte

Gli enti pubblicano le informazioni di cui all’articolo 438, lettera h), e all’articolo 439 del regolamento (UE) n. 575/2013 come segue:

a)

le informazioni di cui all’articolo 439, lettere a), b), c) e d), del regolamento (UE) n. 575/2013 utilizzando la tabella EU CCRA di cui all’allegato XXV del presente regolamento e seguendo le istruzioni di cui all’allegato XXVI del presente regolamento;

b)

le informazioni di cui all’articolo 439, lettere f), g), k) ed m), del regolamento (UE) n. 575/2013 utilizzando il modello EU CCR1 di cui all’allegato XXV del presente regolamento e seguendo le istruzioni di cui all’allegato XXVI del presente regolamento;

c)

le informazioni di cui all’articolo 439, lettera h), del regolamento (UE) n. 575/2013 utilizzando il modello EU CCR2 di cui all’allegato XXV del presente regolamento e seguendo le istruzioni di cui all’allegato XXVI del presente regolamento;

d)

le informazioni di cui all’articolo 439, lettera l), del regolamento (UE) n. 575/2013 utilizzando i modelli EU CCR3 ed EU CCR4 di cui all’allegato XXV del presente regolamento e seguendo le istruzioni di cui all’allegato XXVI del presente regolamento;

e)

le informazioni di cui all’articolo 439, lettera e), del regolamento (UE) n. 575/2013 utilizzando il modello EU CCR5 di cui all’allegato XXV del presente regolamento e seguendo le istruzioni di cui all’allegato XXVI del presente regolamento;

f)

le informazioni di cui all’articolo 439, lettera j), del regolamento (UE) n. 575/2013 utilizzando il modello EU CCR6 di cui all’allegato XXV del presente regolamento e seguendo le istruzioni di cui all’allegato XXVI del presente regolamento;

g)

le informazioni di cui all’articolo 438, lettera h), del regolamento (UE) n. 575/2013 utilizzando il modello EU CCR7 di cui all’allegato XXV del presente regolamento e seguendo le istruzioni di cui all’allegato XXVI del presente regolamento;

h)

le informazioni di cui all’articolo 439, lettera i), del regolamento (UE) n. 575/2013 utilizzando il modello EU CCR8 di cui all’allegato XXV del presente regolamento e seguendo le istruzioni di cui all’allegato XXVI del presente regolamento.

Articolo 14 Informativa sulle esposizioni in posizioni verso la cartolarizzazione

Articolo 14

Informativa sulle esposizioni in posizioni verso la cartolarizzazione

Gli enti pubblicano le informazioni di cui all’articolo 449 del regolamento (UE) n. 575/2013 come segue:

a)

le informazioni di cui all’articolo 449, lettere da a) a i), del regolamento (UE) n. 575/2013 utilizzando la tabella EU SECA di cui all’allegato XXVII del presente regolamento e seguendo le istruzioni di cui all’allegato XXVIII del presente regolamento;

b)

le informazioni di cui all’articolo 449, lettera j), del regolamento (UE) n. 575/2013 utilizzando i modelli EU SEC1 ed EU SEC2 di cui all’allegato XXVII del presente regolamento e seguendo le istruzioni di cui all’allegato XXVIII del presente regolamento;

c)

le informazioni di cui all’articolo 449, lettera k), del regolamento (UE) n. 575/2013 utilizzando i modelli EU SEC3 ed EU SEC4 di cui all’allegato XXVII del presente regolamento e seguendo le istruzioni di cui all’allegato XXVIII del presente regolamento;

d)

le informazioni di cui all’articolo 449, lettera l), del regolamento (UE) n. 575/2013 utilizzando il modello EU SEC5 di cui all’allegato XXVII del presente regolamento e seguendo le istruzioni di cui all’allegato XXVIII del presente regolamento.

Articolo 15 Informativa sull’uso del metodo standardizzato e dei modelli interni per il rischio di mercato

Informativa sull’uso del metodo standardizzato e dei modelli interni per il rischio di mercato

Articolo 16 Informativa sul rischio operativo

Informativa sul rischio operativo

Gli enti pubblicano le informazioni di cui all’articolo 435, all’articolo 438, lettera d), e agli articoli 446 e 454 del regolamento (UE) n. 575/2013 utilizzando la tabella EU ORA e il modello EU OR1 di cui all’allegato XXXI del presente regolamento e seguendo le istruzioni di cui all’allegato XXXII del presente regolamento.

Informativa sulle esposizioni al rischio di tasso di interesse su posizioni non detenute nel portafoglio di negoziazione

Article 16a Disclosure of exposures to interest rate risk on positions not held in the trading book

Articolo 17 Informativa sulla politica di remunerazione

Articolo 17

Informativa sulla politica di remunerazione

Gli enti pubblicano le informazioni di cui all’articolo 450 del regolamento (UE) n. 575/2013 come segue:

a)

le informazioni di cui all’articolo 450, paragrafo 1, lettere da a) a f) e lettere j) e k), e le informazioni di cui all’articolo 450, paragrafo 2, del medesimo regolamento utilizzando la tabella EU REMA di cui all’allegato XXXIII del presente regolamento e seguendo le istruzioni di cui all’allegato XXXIV del presente regolamento;

b)

le informazioni di cui all’articolo 450, paragrafo 1, lettera h), punti i) e ii), del regolamento (UE) n. 575/2013 utilizzando il modello EU REM1 di cui all’allegato XXXIII del presente regolamento e seguendo le istruzioni di cui all’allegato XXXIV del presente regolamento;

c)

le informazioni di cui all’articolo 450, paragrafo 1, lettera h), punti v), vi) e vii), del regolamento (UE) n. 575/2013 utilizzando il modello EU REM2 di cui all’allegato XXXIII del presente regolamento e seguendo le istruzioni di cui all’allegato XXXIV del presente regolamento;

d)

le informazioni di cui all’articolo 450, paragrafo 1, lettera h), punti iii) e iv), del regolamento (UE) n. 575/2013 utilizzando il modello EU REM3 di cui all’allegato XXXIII del presente regolamento e seguendo le istruzioni di cui all’allegato XXXIV del presente regolamento;

e)

le informazioni di cui all’articolo 450, paragrafo 1, lettere g) e i), del regolamento (UE) n. 575/2013 utilizzando i modelli EU REM4 ed EU REM5 di cui all’allegato XXXIII del presente regolamento e seguendo le istruzioni di cui all’allegato XXXIV del presente regolamento.

Articolo 18 Informativa sulle attività vincolate e non vincolate

Informativa sulle attività vincolate e non vincolate

Gli enti pubblicano le informazioni di cui all’articolo 443 del regolamento (UE) n. 575/2013 utilizzando i modelli EU AE1, EU AE2 ed EU AE3 e la tabella EU AE4 di cui all’allegato XXXV del presente regolamento e seguendo le istruzioni di cui all’allegato XXXVI del presente regolamento.

Informativa sui rischi ambientali, sociali e di governance

Article 18a Disclosure of environmental, social and governance risks (ESG risks)

Articolo 19 Disposizioni generali

Disposizioni generali

Articolo 20 Abrogazione

Articolo 20

Abrogazione

Sono abrogati il regolamento di esecuzione (UE) n. 1423/2013, il regolamento delegato (UE) 2015/1555, il regolamento di esecuzione (UE) 2016/200 e il regolamento delegato (UE) 2017/2295.

Articolo 21 Entrata in vigore

Articolo 21

Entrata in vigore

Il presente regolamento entra in vigore il ventesimo giorno successivo alla pubblicazione nella Gazzetta ufficiale dell’Unione europea.

Esso si applica a decorrere dal 28 giugno 2021.

Il presente regolamento è obbligatorio in tutti i suoi elementi e direttamente applicabile in ciascuno degli Stati membri.

ALLEGATO I

Modello EU OV1: quadro sinottico degli importi complessivi dell'esposizione al rischio

		Importi complessivi dell'esposizione al rischio (TREA)		Requisiti totali di fondi propri
		a	b	c
		T	T-1	T
1	Rischio di credito (escluso il CCR)
2	Di cui metodo standardizzato
3	Di cui metodo IRB di base (F-IRB)
4	Di cui metodo di assegnazione
EU 4a	Di cui strumenti di capitale soggetti al metodo della ponderazione semplice
5	Di cui metodo IRB avanzato (A-IRB)
6	Rischio di controparte (CCR)
7	Di cui metodo standardizzato
8	Di cui metodo dei modelli interni (IMM)
EU 8a	Di cui esposizioni verso una CCP
EU 8b	Di cui aggiustamento della valutazione del credito (CVA)
9	Di cui altri CCR
10	Non applicabile
11	Non applicabile
12	Non applicabile
13	Non applicabile
14	Non applicabile
15	Rischio di regolamento
16	Esposizioni verso le cartolarizzazioni esterne al portafoglio di negoziazione (tenendo conto del massimale)
17	Di cui metodo SEC-IRBA
18	Di cui metodo SEC-ERBA (compreso IAA)
19	Di cui metodo SEC-SA
EU 19a	Di cui 1 250 % / deduzione
20	Rischi di posizione, di cambio e di posizione in merci (rischio di mercato)
21	Di cui metodo standardizzato
22	Di cui IMA
EU 22a	Grandi esposizioni
23	Rischio operativo
EU 23a	Di cui metodo base
EU 23b	Di cui metodo standardizzato
EU 23c	Di cui metodo avanzato di misurazione
24	Importo al di sotto delle soglie per la deduzione (soggetto a fattore di ponderazione del rischio del 250 %)
25	Non applicabile
26	Non applicabile
27	Non applicabile
28	Non applicabile
29	Totale

Modello EU KM1: metriche principali

		a	b	c	d	e
		T	T-1	T-2	T-3	T-4
	Fondi propri disponibili (importi)
1	Capitale primario di classe 1 (CET1)
2	Capitale di classe 1
3	Capitale totale
	Importi dell'esposizione ponderati per il rischio
4	Importo complessivo dell'esposizione al rischio
	Coefficienti di capitale (in percentuale dell'importo dell'esposizione ponderato per il rischio)
5	Coefficiente del capitale primario di classe 1 (%)
6	Coefficiente del capitale di classe 1 (%)
7	Coefficiente di capitale totale (in %)
	Requisiti aggiuntivi di fondi propri per far fronte a rischi diversi dal rischio di leva finanziaria eccessiva (in percentuale dell'importo dell'esposizione ponderato per il rischio)
EU 7a	Requisiti aggiuntivi di fondi propri per far fronte a rischi diversi dal rischio di leva finanziaria eccessiva (in %)
EU 7b	Di cui costituiti da capitale CET1 (punti percentuali)
EU 7c	Di cui costituiti da capitale di classe 1 (punti percentuali)
EU 7d	Requisiti di fondi propri SREP totali (%)
	Requisito combinato di riserva e requisito patrimoniale complessivo (in percentuale dell'importo dell'esposizione ponderato per il rischio)
8	Riserva di conservazione del capitale (%)
EU 8a	Riserva di conservazione dovuta al rischio macroprudenziale o sistemico individuato a livello di uno Stato membro (%)
9	Riserva di capitale anticiclica specifica dell'ente (%)
EU 9a	Riserva di capitale a fronte del rischio sistemico (%)
10	Riserva degli enti a rilevanza sistemica a livello globale (%)
EU 10a	Riserva di altri enti a rilevanza sistemica (%)
11	Requisito combinato di riserva di capitale (%)
EU 11a	Requisiti patrimoniali complessivi (%)
12	CET1 disponibile dopo aver soddisfatto i requisiti di fondi propri SREP totali (%)
	Coefficiente di leva finanziaria
13	Misura dell'esposizione complessiva
14	Coefficiente di leva finanziaria (%)
	Requisiti aggiuntivi di fondi propri per far fronte al rischio di leva finanziaria eccessiva (in percentuale della misura dell'esposizione complessiva)
EU 14a	Requisiti aggiuntivi di fondi propri per far fronte al rischio di leva finanziaria eccessiva (in %)
EU 14b	di cui costituiti da capitale CET1 (punti percentuali)
EU 14c	Requisiti del coefficiente di leva finanziaria totali SREP (%)
	Riserva del coefficiente di leva finanziaria e requisito complessivo del coefficiente di leva finanziaria (in percentuale della misura dell'esposizione totale)
EU 14d	Requisito di riserva del coefficiente di leva finanziaria (%)
EU 14e	Requisito del coefficiente di leva finanziaria complessivo (%)
	Coefficiente di copertura della liquidità
15	Totale delle attività liquide di elevata qualità (HQLA) (valore ponderato - media)
EU 16a	Deflussi di cassa - Valore ponderato totale
EU 16b	Afflussi di cassa - Valore ponderato totale
16	Totale dei deflussi di cassa netti (valore corretto)
17	Coefficiente di copertura della liquidità (%)
	Coefficiente netto di finanziamento stabile
18	Finanziamento stabile disponibile totale
19	Finanziamento stabile richiesto totale
20	Coefficiente NSFR (%)

Modello EU INS1: partecipazioni in assicurazioni

		a	b
		Valore dell'esposizione	Importo dell’esposizione al rischio
1	Strumenti di fondi propri detenuti in imprese di assicurazione o di riassicurazione o società di partecipazione assicurativa non dedotti dai fondi propri

Modello EU INS2: informazioni sui fondi propri e sul coefficiente di adeguatezza patrimoniale dei conglomerati finanziari

		a
		T
1	Requisiti di fondi propri supplementari del conglomerato finanziario (importo)
2	Coefficiente di adeguatezza patrimoniale del conglomerato finanziario (%)

Tabella EU OVC: informazioni ICAAP

Processo di valutazione dell'adeguatezza del capitale interno + valutazione in corso dei rischi della banca, del modo in cui la banca intende attenuare tali rischi e dell'entità del capitale corrente e futuro necessario tenuto conto di altri fattori attenuanti

Caselle di testo libero per informativa sugli elementi qualitativi

Base giuridica	Numero di riga	Testo libero
Articolo 438, lettera a), del CRR.	a)	Metodo per valutare l'adeguatezza del capitale interno
Articolo 438, lettera c), del CRR	b)	Su richiesta dell'autorità competente interessata, i risultati del processo di valutazione dell'adeguatezza del capitale interno da parte dell'ente

ALLEGATO II

Istruzioni per la compilazione dei modelli sinottici d'informativa

Modello EU OV1: quadro sinottico degli importi complessivi dell'esposizione al rischio - Formato fisso

1. Gli enti applicano le istruzioni riportate di seguito per compilare il modello EU OV1 di cui all'allegato I del presente regolamento di esecuzione, in applicazione dell'articolo 438, lettera d), del regolamento (UE) n. 575/2013 ( 5 ) («CRR»).

2. Gli enti spiegano, se del caso, nella descrizione che accompagna il modello, l'effetto che l'applicazione di soglie minime di capitale e la mancata deduzione di elementi dai fondi propri hanno sul calcolo dei fondi propri e degli importi dell'esposizione al rischio.

Riferimenti giuridici e istruzioni
Numero di colonna	Spiegazione
a	Importi complessivi dell'esposizione al rischio (TREA) Importo complessivo dell'esposizione al rischio calcolato conformemente all'articolo 92, paragrafo 3, e agli articoli 95, 96 e 98 del CRR.
b	TREA (T-1) TREA indicato nel precedente periodo di informativa.
c	Requisiti totali di fondi propri Requisiti di fondi propri corrispondenti agli RWEA per le diverse categorie di rischio.
Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
1	Rischio di credito (escluso il CCR) RWEA e requisiti di fondi propri calcolati conformemente alla parte tre, titolo II, capi da 1 a 4, e all'articolo 379 del CRR. Gli RWEA per le esposizioni verso le cartolarizzazioni esterne al portafoglio di negoziazione e per il CCR sono esclusi e indicati nelle righe 6 e 16 di questo modello. Gli enti includono nell'importo indicato in questa riga gli RWEA e i requisiti di fondi propri per il rischio di operazioni con regolamento non contestuale calcolati conformemente all'articolo 379 del CRR.
2	Rischio di credito (escluso il CCR) - Di cui metodo standardizzato Gli RWEA e i requisiti di fondi propri calcolati conformemente al metodo standardizzato per il CR (parte tre, titolo II, capo 2, e articolo 379 del CRR).
3	Rischio di credito (escluso il CCR) - Di cui metodo IRB di base (F-IRB) Gli RWEA e i requisiti di fondi propri calcolati conformemente al metodo basato sui rating interni di base per il rischio di credito (parte tre, titolo II, capo 3, del CRR), esclusi gli RWEA indicati alla riga 4 per le esposizioni da finanziamenti specializzati soggette al metodo di assegnazione, e alla riga EU 4a per gli strumenti di capitale soggetti al metodo della ponderazione semplice, compresi gli RWEA e i requisiti di fondi propri calcolati conformemente all'articolo 379 del CRR.
4	Rischio di credito (escluso il CCR) - Di cui metodo di assegnazione Gli RWEA e i requisiti di fondi propri per le esposizioni da finanziamenti specializzati soggetti al metodo di assegnazione calcolati conformemente all'articolo 153, paragrafo 5, del CRR.
EU 4a	Rischio di credito (escluso il CCR) - Di cui strumenti di capitale soggetti al metodo della ponderazione semplice Gli RWEA e i requisiti di fondi propri per gli strumenti di capitale in base al metodo della ponderazione semplice calcolati conformemente all'articolo 155, paragrafo 2, del CRR.
5	Rischio di credito (escluso il CCR) - Di cui metodo IRB avanzato (A-IRB) Gli RWEA e i requisiti di fondi propri calcolati conformemente al metodo basato sui rating interni avanzato per il rischio di credito (parte tre, titolo II, capo 3, del CRR), esclusi gli RWEA di cui alla riga 4 per le esposizioni da finanziamenti specializzati soggette al metodo di assegnazione, e alla riga EU 4a per gli strumenti di capitale in base al metodo della ponderazione semplice, compresi gli RWEA e i requisiti di fondi propri calcolati conformemente all'articolo 379 del CRR.
6	Rischio di controparte (CCR) Gli RWEA e i requisiti di fondi propri calcolati conformemente alla parte tre, titolo II, capo 6, del CRR per il rischio di controparte.
7	CCR - Di cui metodo standardizzato Gli RWEA e i requisiti di fondi propri calcolati conformemente alla parte tre, titolo II, capo 6, sezione 3, del CRR.
8	CCR - Di cui metodo dei modelli interni (IMM) Gli RWEA e i requisiti di fondi propri calcolati conformemente all'articolo 283 del CRR.
EU 8a	CCR - Di cui esposizioni verso una CCP Gli RWEA e i requisiti di fondi propri calcolati conformemente alla parte tre, titolo II, capo 6, sezione 9, del CRR.
EU 8b	CCR - Di cui aggiustamento della valutazione del credito (CVA) Gli RWEA e i requisiti di fondi propri calcolati conformemente alla parte tre, titolo VI, del CRR.
9	CCR - Di cui altri CCR I CCR RWEA e i requisiti di fondi propri non indicati nelle righe 7, 8, EU 8a e EU 8b.
10	Non applicabile
11	Non applicabile
12	Non applicabile
13	Non applicabile
14	Non applicabile
15	Rischio di regolamento L'importo dell'esposizione al rischio (REA) e i requisiti di fondi propri calcolati per il rischio di regolamento/consegna conformemente all'articolo 378 del CRR.
16	Esposizioni verso le cartolarizzazioni esterne al portafoglio di negoziazione (tenendo conto del massimale) Gli RWEA e i requisiti di fondi propri calcolati conformemente alla parte tre, titolo II, capo 5, del CRR.
17	Cartolarizzazione - Di cui metodo SEC-IRBA Gli RWEA e i requisiti di fondi propri calcolati conformemente al metodo regolamentare SEC-IRBA, utilizzato secondo l'ordine di priorità nell'applicazione delle metodologie di cui all'articolo 254 del CRR.
18	Cartolarizzazione - Di cui metodo SEC-ERBA (compreso IAA) Gli RWEA e i requisiti di fondi propri calcolati conformemente al metodo regolamentare SEC-ERBA (compreso IAA), utilizzato secondo l'ordine di priorità nell'applicazione delle metodologie di cui all'articolo 254 del CRR.
19	Cartolarizzazione - Di cui metodo SEC-SA Gli RWEA e i requisiti di fondi propri calcolati conformemente al metodo regolamentare SEC-SA, utilizzato secondo l'ordine di priorità nell'applicazione delle metodologie di cui all'articolo 254 del CRR.
EU 19a	Cartolarizzazione - Di cui 1 250 %/deduzione Gli RWEA e i requisiti di fondi propri per le esposizioni verso le cartolarizzazioni esterne al portafoglio di negoziazione con ponderazione del rischio del 1 250 % o deduzione dai fondi propri conformemente alla parte tre, titolo II, capo 5, del CRR.
20	Rischi di posizione, di cambio e di posizione in merci (rischio di mercato) Gli RWEA e i requisiti di fondi propri calcolati conformemente alla parte tre, titolo IV, del CRR.
21	Rischio di mercato - Di cui metodo standardizzato Gli RWEA e i requisiti di fondi propri calcolati conformemente alla parte tre, titolo IV, capi da 2 a 4, del CRR.
22	Rischio di mercato - Di cui IMA I REA e i requisiti di fondi propri calcolati conformemente alla parte tre, titolo IV, capo 5, del CRR.
EU 22a	Grandi esposizioni I REA e i requisiti di fondi propri calcolati conformemente all'articolo 92, paragrafo 3, lettera b), punto ii), del CRR.
23	Rischio operativo I REA e i requisiti di fondi propri calcolati conformemente alla parte tre, titolo III, del CRR.
EU 23a	Rischio operativo - Di cui metodo base I REA e i requisiti di fondi propri calcolati conformemente alla parte tre, titolo III, capo 2, del CRR.
EU 23b	Rischio operativo - Di cui metodo standardizzato I REA e i requisiti di fondi propri calcolati conformemente alla parte tre, titolo III, capo 3, del CRR.
EU 23c	Rischio operativo - Di cui metodo avanzato di misurazione I REA e i requisiti di fondi propri calcolati conformemente alla parte tre, titolo III, capo 4, del CRR.
24	Importo al di sotto delle soglie per la deduzione (soggetto a fattore di ponderazione del rischio del 250 %) L'importo corrisponde alla somma degli importi degli elementi soggetti a un fattore di ponderazione del rischio del 250 % di cui all'articolo 48, paragrafo 4, del CRR, dopo l'applicazione del fattore di ponderazione del rischio del 250 %. Tali importi comprendono: — le attività fiscali differite che dipendono dalla redditività futura e derivano da differenze temporanee e che in totale sono pari o inferiori al 10 % degli elementi del capitale primario di classe 1 dell'ente calcolati conformemente all'articolo 48, paragrafo 1, lettera a), del CRR; — gli investimenti significativi in un soggetto del settore finanziario, gli strumenti del capitale primario di classe 1 del soggetto detenuti dall'ente direttamente, indirettamente o sinteticamente che in totale sono pari o inferiori al 10 % degli elementi del capitale primario di classe 1 dell'ente calcolati conformemente all'articolo 48, paragrafo 1, lettera b), del CRR. Le informazioni in questa riga sono indicate solo a titolo informativo perché l'importo qui incluso è incluso anche nella riga 1, in cui gli enti sono invitati a fornire informazioni sul rischio di credito.
25	Non applicabile
26	Non applicabile
27	Non applicabile
28	Non applicabile
29	Totale Importo complessivo dell'esposizione al rischio calcolato conformemente all'articolo 92, paragrafo 3, e agli articoli 95, 96 e 98 del CRR.

Modello EU KM1: metriche principali - Formato fisso

3. Gli enti applicano le istruzioni riportate di seguito nel presente allegato per compilare il modello EU KM1 di cui all'allegato I del presente regolamento di esecuzione, in applicazione dell'articolo 447, lettere da a) a g), e dell'articolo 438, lettera b), del CRR.

Riferimenti giuridici e istruzioni
Numero di colonna	Spiegazione
Da a a e	I periodi di informativa T, T-1, T-2, T-3 e T-4 sono definiti come periodi trimestrali e sono compilati in base alla frequenza stabilita negli articoli 433 bis, 433 ter e 433 quater del CRR. Gli enti che pubblicano le informazioni contenute in questo modello su base trimestrale forniscono dati per i periodi T, T-1, T-2, T-3 e T-4; gli enti che pubblicano le informazioni in questo modello su base semestrale forniscono i dati per i periodi T, T-2 e T-4; gli enti che pubblicano le informazioni in questo modello su base annua forniscono i dati per i periodi T e T-4. Gli enti pubblicano le date corrispondenti ai periodi di informativa. I dati relativi a periodi precedenti non sono necessari quando i dati sono pubblicati per la prima volta.
Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
1	Capitale primario di classe 1 (CET1) L'importo del capitale CET1 è l'importo indicato dagli enti nell'allegato VII del presente regolamento di esecuzione (riga 29 del modello EU CC1 Composizione dei fondi propri regolamentari).
2	Capitale di classe 1 L'importo del capitale di classe 1 è l'importo indicato dagli enti nell'allegato VII del presente regolamento di esecuzione (riga 45 del modello EU CC1 Composizione dei fondi propri regolamentari)
3	Capitale totale L'importo del capitale totale è l'importo indicato dagli enti nell'allegato VII del presente regolamento di esecuzione (riga 59 del modello EU CC1 Composizione dei fondi propri regolamentari)
4	Importo complessivo dell'esposizione al rischio L'importo complessivo dell'esposizione al rischio (TREA) è l'importo indicato dagli enti nell'allegato VII del presente regolamento di esecuzione (riga 60 del modello EU CC1 Composizione dei fondi propri regolamentari).
5	Coefficiente del capitale primario di classe 1 (%) Il coefficiente del capitale CET1 è il valore indicato dagli enti nell'allegato VII del presente regolamento di esecuzione (riga 61 del modello EU CC1 Composizione dei fondi propri regolamentari).
6	Coefficiente del capitale di classe 1 (%) Il coefficiente del capitale di classe 1 è il valore indicato dagli enti nell'allegato VII del presente regolamento di esecuzione (riga 62 del modello EU CC1 Composizione dei fondi propri regolamentari).
7	Coefficiente di capitale totale (%) Il coefficiente di capitale totale è il valore indicato dagli enti nell'allegato VII del presente regolamento di esecuzione (riga 63 del modello EU CC1 Composizione dei fondi propri regolamentari).
EU 7a	Requisiti aggiuntivi di fondi propri per far fronte a rischi diversi dal rischio di leva finanziaria eccessiva (%) I requisiti aggiuntivi di fondi propri per far fronte a rischi diversi dal rischio di leva finanziaria eccessiva imposti dall'autorità competente a norma dell'articolo 104, paragrafo 1, lettera a), della CRD, espressi in percentuale dell'importo complessivo dell'esposizione al rischio.
EU 7b	Di cui costituiti da capitale CET1 (punti percentuali) La parte dei requisiti aggiuntivi di fondi propri per far fronte a rischi diversi dal rischio di leva finanziaria eccessiva imposti dall'autorità competente a norma dell'articolo 104, paragrafo 1, lettera a), della CRD che deve essere soddisfatta con il capitale CET1 conformemente all'articolo 104 bis, paragrafo 4, primo e terzo comma.
EU 7c	Di cui costituiti da capitale di classe 1 (punti percentuali) La parte dei requisiti aggiuntivi di fondi propri per far fronte a rischi diversi dal rischio di leva finanziaria eccessiva imposti dall'autorità competente a norma dell'articolo 104, paragrafo 1, lettera a), della CRD che deve essere soddisfatta con il capitale di classe 1 conformemente all'articolo 104 bis, paragrafo 4, primo e terzo comma.
EU 7d	Requisiti di fondi propri SREP totali (coefficiente TSCR) (%) La somma dei valori determinati ai punti i) e ii) come segue: (i) il coefficiente di capitale totale (8 %) di cui all'articolo 92, paragrafo 1, lettera c), del CRR; (ii) i requisiti aggiuntivi di fondi propri per far fronte a rischi diversi dal rischio di leva finanziaria eccessiva (requisiti del pilastro 2 – P2R) imposti dall'autorità competente a norma dell'articolo 104, paragrafo 1, lettera a), della CRD e determinati conformemente ai criteri specificati negli orientamenti dell'ABE sulle procedure e sulle metodologie comuni per il processo di revisione e valutazione prudenziale e sulle prove di stress di vigilanza (1) («EBA SREP GL»), espressi in percentuale degli RWEA totali. Questa voce riflette il coefficiente del requisito patrimoniale SREP totale (TSCR) comunicato all'ente dall'autorità competente. Il TSCR è definito nella sezione 1.2 degli orientamenti EBA SREP GL. Se l'autorità competente non ha comunicato requisiti aggiuntivi di fondi propri imposti per far fronte a rischi diversi dal rischio di leva finanziaria eccessiva, è indicato solo il punto i).
8	Riserva di conservazione del capitale (%) L'importo dei fondi propri che gli enti sono tenuti a detenere conformemente all'articolo 128, punto 1, e all'articolo 129 della CRD, espresso in percentuale degli RWEA totali.
EU 8a	Riserva di conservazione dovuta al rischio macroprudenziale o sistemico individuato a livello di uno Stato membro (%) L'importo della riserva di conservazione dovuta al rischio macroprudenziale o sistemico individuato a livello di uno Stato membro che può essere richiesta conformemente all'articolo 458 del CRR in aggiunta alla riserva di conservazione del capitale, espresso in percentuale degli RWEA totali.
9	Riserva di capitale anticiclica specifica dell'ente (%) L'importo dei fondi propri che gli enti sono tenuti a detenere conformemente all'articolo 128, punto 2, all'articolo 130 e agli articoli da 135 a 140 della CRD, espresso in percentuale degli RWEA totali. La percentuale rispecchia l'importo dei fondi propri necessari per soddisfare i rispettivi requisiti di riserva di capitale alla data dell'informativa.
EU 9a	Riserva di capitale a fronte del rischio sistemico (%) L'importo dei fondi propri che gli enti sono tenuti a detenere conformemente all'articolo 128, punto 5, e agli articoli 133 e 134 della CRD, espresso in percentuale degli RWEA totali. La percentuale rispecchia l'importo dei fondi propri necessari per soddisfare i rispettivi requisiti di riserva di capitale alla data dell'informativa.
10	Riserva degli enti a rilevanza sistemica a livello globale (%) L'importo dei fondi propri che gli enti sono tenuti a detenere conformemente all'articolo 128, punto 3, e all'articolo 131 della CRD, espresso in percentuale degli RWEA totali. La percentuale rispecchia l'importo dei fondi propri necessari per soddisfare i rispettivi requisiti di riserva di capitale alla data dell'informativa.
EU 10a	Riserva di altri enti a rilevanza sistemica (%) L'importo dei fondi propri che gli enti sono tenuti a detenere conformemente all'articolo 128, punto 4, e all'articolo 131 della CRD, espresso in percentuale degli RWEA totali. La percentuale rispecchia l'importo dei fondi propri necessari per soddisfare i rispettivi requisiti di riserva di capitale alla data dell'informativa.
11	Requisito combinato di riserva di capitale (%) Conformemente all'articolo 128, punto 6, della CRD, espresso in percentuale degli RWEA totali.
EU 11a	Requisiti patrimoniali complessivi (OCR) (%) La somma di i) e ii) come segue: (i) il coefficiente TSCR di cui alla riga EU 7d; (ii) in funzione della sua applicabilità legale, il requisito combinato di riserva di capitale di cui all'articolo 128, punto 6, della CRD. Questa voce riflette il coefficiente OCR definito nella sezione 1.2 degli orientamenti EBA SREP GL. Se non si applica alcun requisito di riserva di capitale, è indicato solo il punto i).
12	CET1 disponibile dopo aver soddisfatto i requisiti di fondi propri SREP totali (%)
13	Misura dell'esposizione complessiva La misura dell'esposizione complessiva conformemente all'importo indicato dagli enti nell'allegato XI del presente regolamento di esecuzione (riga 24 del modello EU LR2 - LRCom: Informativa armonizzata sul coefficiente di leva finanziaria).
14	Coefficiente di leva finanziaria (%) Il coefficiente di leva finanziaria conformemente al valore indicato dagli enti nell'allegato XI del presente regolamento di esecuzione (riga 25 del modello EU LR2 - LRCom: Informativa armonizzata sul coefficiente di leva finanziaria).
EU 14a	Requisiti aggiuntivi di fondi propri per far fronte al rischio di leva finanziaria eccessiva (%) I requisiti aggiuntivi di fondi propri per far fronte al rischio di leva finanziaria eccessiva imposti dall'autorità competente a norma dell'articolo 104, paragrafo 1, lettera a), della CRD, espressi in percentuale della misura dell'esposizione complessiva. I requisiti aggiuntivi di fondi propri conformemente al valore indicato dagli enti nell'allegato XI del presente regolamento di esecuzione (riga EU-26a del modello EU LR2 - LRCom: Informativa armonizzata sul coefficiente di leva finanziaria).
EU 14b	Di cui costituiti da capitale CET1 (punti percentuali) La parte dei requisiti aggiuntivi di fondi propri per far fronte al rischio di leva finanziaria eccessiva imposta dall'autorità competente a norma dell'articolo 104, paragrafo 1, lettera a), della CRD, che deve essere soddisfatta con il capitale CET1 conformemente all'articolo 104 bis, paragrafo 4, terzo comma. I requisiti aggiuntivi di fondi propri conformemente al valore indicato dagli enti nell'allegato XI del presente regolamento di esecuzione (riga EU-26b del modello EU LR2 - LRCom: Informativa armonizzata sul coefficiente di leva finanziaria).
EU 14c	Requisiti del coefficiente di leva finanziaria SREP totali (%) La somma di i) e ii) come segue: (i) il requisito minimo del coefficiente di leva finanziaria di cui all'articolo 92, paragrafo 1, lettera d), del CRR o il requisito del coefficiente di leva finanziaria adeguato calcolato conformemente all'articolo 429 bis, paragrafo 7, del CRR, a seconda dei casi; (ii) i requisiti aggiuntivi di fondi propri per far fronte al rischio di leva finanziaria eccessiva (requisiti del pilastro 2 – P2R) imposti dall'autorità competente a norma dell'articolo 104, paragrafo 1, lettera a), della CRD, espressi in percentuale della misura dell'esposizione complessiva. Questa voce riflette il requisito del coefficiente di leva finanziaria SREP totale (TSLRR) comunicato all'ente dall'autorità competente. Se l'autorità competente non ha comunicato requisiti aggiuntivi di fondi propri imposti per far fronte al rischio di leva finanziaria eccessiva, è indicato solo il punto i).
EU 14d	Requisito di riserva del coefficiente di leva finanziaria (%) Articolo 92, paragrafo 1 bis, del CRR. La riserva del coefficiente di leva finanziaria applicabile conformemente al valore indicato dagli enti nell'allegato XI del presente regolamento di esecuzione (riga 27 del modello EU LR2 - LRCom: Informativa armonizzata sul coefficiente di leva finanziaria).
EU 14e	Requisito del coefficiente di leva finanziaria complessivo (%) Somma delle righe EU 14c e EU 14d.
15	Totale delle attività liquide di elevata qualità (HQLA) (valore ponderato - media) Gli enti indicano il valore delle attività liquide come valore ponderato conformemente all'articolo 9 del regolamento delegato (UE) 2015/61 (2) prima di applicare il meccanismo di aggiustamento di cui all'articolo 17, paragrafo 2, dell'anzidetto regolamento delegato.
EU 16a	Deflussi di cassa - Valore ponderato totale Gli enti indicano la somma del valore ponderato dei loro deflussi di cassa, come indicato nell'allegato XIII (riga 16 del modello EU LIQ1 - Informazioni quantitative dell'LCR).
EU 16b	Afflussi di cassa - Valore ponderato totale Gli enti indicano la somma del valore ponderato dei loro afflussi di cassa, come indicato nell'allegato XIII (riga 20 del modello EU LIQ1 - Informazioni quantitative dell'LCR).
16	Totale dei deflussi di cassa netti (valore corretto) Gli enti indicano il valore corretto dei deflussi netti di liquidità che è pari ai deflussi totali meno la riduzione per gli afflussi totalmente esenti meno la riduzione per gli afflussi soggetti al massimale del 90 % meno la riduzione per gli afflussi soggetti al massimale del 75 %.
17	Coefficiente di copertura della liquidità (%) Gli enti indicano come valore corretto la percentuale della voce «coefficiente di copertura della liquidità (%)» come definito all'articolo 4, paragrafo 1, del regolamento delegato (UE) 2015/61. Il coefficiente di copertura della liquidità è pari al rapporto tra la riserva di liquidità dell'ente creditizio e i deflussi netti di liquidità dello stesso nell'arco di un periodo di stress di 30 giorni di calendario ed è espresso in percentuale.
18	Finanziamento stabile disponibile totale Gli enti indicano l'importo del finanziamento stabile disponibile calcolato conformemente alla parte sei, titolo IV, capo 3, del CRR, come indicato nell'allegato XIII (riga 14 del modello EU LIQ2 – Coefficiente netto di finanziamento stabile).
19	Finanziamento stabile richiesto totale Gli enti indicano l'importo del finanziamento stabile richiesto calcolato conformemente alla parte sei, titolo IV, capo 4, del CRR, come indicato nell'allegato XIII (riga 33 del modello EU LIQ2 – Coefficiente netto di finanziamento stabile).
20	Coefficiente netto di finanziamento stabile - NSFR (%) L'NSFR calcolato conformemente all'articolo 428 ter del CRR.
(1) Orientamenti riveduti sulle procedure e sulle metodologie comuni per il processo di revisione e valutazione prudenziale (SREP) e sulle prove di stress di vigilanza (EBA/GL/2018/03 del 19 luglio 2018). (2) Regolamento delegato (UE) 2015/61 della Commissione, del 10 ottobre 2014, che integra il regolamento (UE) n. 575/2013 del Parlamento europeo e del Consiglio per quanto riguarda il requisito di copertura della liquidità per gli enti creditizi (GU L 11 del 17.1.2015, pag. 1).

Modello EU INS1: partecipazioni in assicurazioni - Formato fisso

4. Gli enti applicano le istruzioni fornite di seguito nel presente allegato per la compilazione del modello EU INS1 di cui all'allegato I, in applicazione dell'articolo 438, lettera f), del CRR.

Riferimenti giuridici e istruzioni
Numero di colonna	Spiegazione
a	Valore dell'esposizione Il valore dell'esposizione degli strumenti di fondi propri detenuti in un'impresa di assicurazione, un'impresa di riassicurazione o una società di partecipazione assicurativa che gli enti non deducono dai loro fondi propri conformemente all'articolo 49 del CRR quando calcolano i requisiti patrimoniali su base individuale, subconsolidata e consolidata.
b	Importo dell'esposizione al rischio L'importo dell'esposizione al rischio degli strumenti di fondi propri detenuti in un'impresa di assicurazione, un'impresa di riassicurazione o una società di partecipazione assicurativa che gli enti non deducono dai loro fondi propri conformemente all'articolo 49 del CRR quando calcolano i requisiti patrimoniali su base individuale, subconsolidata e consolidata.

Modello EU INS2: informazioni sui fondi propri e sul coefficiente di adeguatezza patrimoniale dei conglomerati finanziari - Formato fisso

5. Gli enti applicano le istruzioni fornite di seguito nel presente allegato per la compilazione del modello EU INS2 di cui all'allegato I del presente regolamento di esecuzione, in applicazione dell'articolo 438, lettera g), del CRR.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
1	Requisiti di fondi propri supplementari del conglomerato finanziario (importo) L'importo dei requisiti di fondi propri supplementari del conglomerato finanziario calcolati conformemente all'articolo 6 della direttiva 2002/87/CE del Parlamento europeo e del Consiglio (1) e all'allegato I di tale direttiva quando si applicano i metodi 1 o 2 di cui all'allegato I.
2	Coefficiente di adeguatezza patrimoniale del conglomerato finanziario (%) Il coefficiente di adeguatezza patrimoniale del conglomerato finanziario calcolato conformemente all'articolo 6 della direttiva 2002/87/CE e all'allegato I di tale direttiva quando si applicano i metodi 1 o 2 di cui all'allegato I.
(1) Direttiva 2002/87/CE del Parlamento europeo e del Consiglio, del 16 dicembre 2002, relativa alla vigilanza supplementare sugli enti creditizi, sulle imprese di assicurazione e sulle imprese di investimento appartenenti ad un conglomerato finanziario e che modifica le direttive 73/239/CEE, 79/267/CEE, 92/49/CEE, 92/96/CEE, 93/6/CEE e 93/22/CEE del Consiglio e le direttive 98/78/CE e 2000/12/CE del Parlamento europeo e del Consiglio (GU L 035 dell'11.2.2003, pag. 1)

Tabella EU OVC: informazioni ICAAP - Formato flessibile

6. Gli enti applicano le istruzioni fornite di seguito nel presente allegato per la compilazione del modello EU OVC di cui all'allegato I, in applicazione dell'articolo 438, lettere a) e c), del CRR.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
a)	Metodo per valutare l'adeguatezza del capitale interno Gli enti pubblicano una sintesi del loro metodo di valutazione dell'adeguatezza del loro capitale interno a sostegno delle attività correnti e future.
b)	Su richiesta dell'autorità competente interessata, i risultati del processo di valutazione dell'adeguatezza del capitale interno da parte dell'ente. Tali informazioni sono pubblicate dagli enti solo se richiesto dall'autorità competente.

ALLEGATO III

Tabella EU OVA: metodo di gestione del rischio dell’ente

Caselle di testo libero per informativa sugli elementi qualitativi

Base giuridica	Numero di riga	Informazioni qualitative — Testo libero
Articolo 435, paragrafo 1, lettera f), del CRR	a)	Pubblicazione di una breve dichiarazione sul rischio approvata dall'organo di amministrazione
Articolo 435, paragrafo 1, lettera b), del CRR	b)	Informazioni sulla struttura di governance del rischio per ciascun tipo di rischio
Articolo 435, paragrafo 1, lettera e), del CRR	c)	Dichiarazione approvata dall'organo di amministrazione in merito all'adeguatezza delle misure di gestione dei rischi
Articolo 435, paragrafo 1, lettera c), del CRR	d)	Informazioni sull'ambito di applicazione e sulla natura dei sistemi di segnalazione e/o di misurazione del rischio
Articolo 435, paragrafo 1, lettera c), del CRR	e)	Informazioni sulle principali caratteristiche dei sistemi di segnalazione e misurazione del rischio
Articolo 435, paragrafo 1, lettera a), del CRR	f)	Strategie e processi per la gestione dei rischi per ciascuna categoria di rischio
Articolo 435, paragrafo 1, lettere a) e d), del CRR	g)	Informazioni riguardanti le strategie e i processi di gestione, copertura e attenuazione dei rischi, nonché la sorveglianza sulla loro efficacia

Tabella EU OVB: informativa sui sistemi di governance

Caselle di testo libero per informativa sugli elementi qualitativi

Base giuridica	Numero di riga	Testo libero
Articolo 435, paragrafo 2, lettera a), del CRR	a)	Il numero di cariche di amministratore affidate ai membri dell'organo di amministrazione
Articolo 435, paragrafo 2, lettera b), del CRR	b)	Informazioni riguardanti la politica di ingaggio per la selezione dei membri dell'organo di amministrazione e le loro effettive conoscenze, competenze ed esperienza
Articolo 435, paragrafo 2, lettera c), del CRR	c)	Informazioni sulla politica di diversità per quanto riguarda i membri dell'organo di amministrazione
Articolo 435, paragrafo 2, lettera d), del CRR	d)	Indicare se l'ente ha istituito o meno un comitato di rischio distinto e la frequenza delle sue riunioni
Articolo 435, paragrafo 2, lettera e), del CRR	e)	Descrizione del flusso di informazioni sui rischi indirizzato all'organo di amministrazione

ALLEGATO IV

Istruzioni per l'informativa sugli obiettivi e sulle politiche di gestione del rischio

Tabella EU OVA: metodo di gestione del rischio dell'ente - Caselle di testo libero per informativa sugli elementi qualitativi

1. Gli enti pubblicano le informazioni di cui all'articolo 435, paragrafo 1, del regolamento (UE) n. 575/2013 ( 6 ) («CRR») seguendo le istruzioni fornite di seguito nel presente allegato per compilare la tabella EU OVA di cui all'allegato III del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
a)	La breve dichiarazione sul rischio approvata dall'organo di amministrazione in applicazione dell'articolo 435, paragrafo 1, lettera f), del CRR descrive in che modo il modello aziendale determina e interagisce con il profilo di rischio complessivo: ad esempio, i principali rischi connessi al modello aziendale e le modalità di descrizione di tali rischi nell'informativa pertinente, o le modalità di interazione tra il profilo di rischio dell'ente e la tolleranza al rischio approvata dall'organo di amministrazione. Nella dichiarazione sul rischio, in applicazione dell'articolo 435, paragrafo 1, lettera f), gli enti indicano anche la natura, la misura, lo scopo e la sostanza economica delle operazioni rilevanti all'interno del gruppo, dei soggetti affiliati e delle parti correlate. L'informativa è limitata alle operazioni che hanno un impatto rilevante sul profilo di rischio dell'ente (compreso il rischio reputazionale) o la distribuzione dei rischi all'interno del gruppo. Gli enti includono anche i coefficienti e i dati principali che dimostrano le modalità di interazione tra il profilo di rischio dell'ente e la tolleranza al rischio determinata dall'organo di amministrazione.
b)	Le informazioni da pubblicare in applicazione dell'articolo 435, paragrafo 1, lettera b), del CRR comprendono la struttura di governance per ogni tipologia di rischio: le responsabilità attribuite all'interno dell'ente (tra cui, se rilevante, la sorveglianza e la delega di poteri e la ripartizione delle responsabilità tra l'organo di amministrazione, le linee di business e la funzione di gestione del rischio per singola tipologia di rischio, unità operativa, e le altre informazioni rilevanti); le relazioni tra gli organismi e le funzioni coinvolte nei processi di gestione del rischio (compresi, se del caso, l'organo di amministrazione, il comitato di rischio, la funzione di gestione del rischio, la funzione di controllo della conformità, la funzione di audit interno); e le procedure organizzative e di controllo interno. Nel rendere nota la struttura e l'organizzazione della funzione di gestione del rischio, gli enti forniscono le seguenti informazioni: — informazioni sul sistema di controllo interno e sul modo in cui sono organizzate le funzioni di controllo (poteri, risorse, status, indipendenza), sulle loro attività principali e su qualsiasi cambiamento rilevante, attuale o previsto, in relazione a queste funzioni; — limiti ai rischi approvati cui l'ente è esposto; — cambiamenti nei ruoli di responsabilità nelle funzioni di controllo interno, di gestione del rischio, di controllo della conformità e di audit interno; — i canali per comunicare, declinare e far rispettare la cultura del rischio all'interno dell'ente (ad esempio, se ci sono codici di condotta, manuali contenenti i limiti operativi o le procedure per gestire le violazioni o il superamento delle soglie di rischio oppure le procedure per rilevare e condividere i problemi tra le linee di business e la funzione di gestione del rischio).
c)	La dichiarazione che l'ente pubblica conformemente all'articolo 435, paragrafo 1, lettera e), del CRR sull'adeguatezza delle misure di gestione dei rischi garantisce che i sistemi di gestione dei rischi messi in atto siano in linea con il profilo di rischio e la strategia dell'ente ed è approvata dall'organo di amministrazione.
d)	Come previsto all'articolo 435, paragrafo 1), lettera c), del CRR, gli enti comunicano l'ambito d'applicazione e la natura dei sistemi di segnalazione e/o misurazione del rischio, oltre alla descrizione del flusso di informazioni sui rischi indirizzato all'organo di amministrazione e all'alta dirigenza.
e)	Nel fornire le informazioni sulle caratteristiche principali dei sistemi di segnalazione e misurazione del rischio in applicazione dell'articolo 435, paragrafo 1, lettera c), gli enti pubblicano le politiche relative a riesami sistematici e regolari delle strategie di gestione del rischio e alla valutazione periodica della loro efficacia.
f)	L'informativa relativa alle strategie e ai processi per la gestione del rischio in applicazione dell'articolo 435, paragrafo 1, lettera a), del CRR include le informazioni qualitative sulle prove di stress, per esempio i portafogli oggetto di tali prove, gli scenari adottati e le metodologie utilizzate e l'uso delle prove di stress nella gestione del rischio.
g)	Gli enti forniscono le informazioni sulle strategie e sui processi di gestione, copertura e attenuazione dei rischi, come pure sui processi per la sorveglianza sulla loro efficacia, conformemente all'articolo 435, paragrafo 1, lettere da a) a d), del CRR per i rischi derivanti dal modello aziendale dell'ente.

Tabella EU OVB: informativa sui sistemi di governance - Caselle di testo libero per informativa sugli elementi qualitativi

2. Gli enti pubblicano le informazioni di cui all'articolo 435, paragrafo 2, del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare la tabella EU OVB di cui all'allegato III del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
a)	Gli enti pubblicano il numero di cariche di amministratore affidate ai membri dell'organo di amministrazione conformemente all'articolo 435, paragrafo 2, lettera a), del CRR. L'informativa specifica nel dettaglio gli aspetti seguenti: — gli enti che rientrano nell'ambito di applicazione dell'articolo 91, paragrafi 3 e 4, della direttiva 2013/36/UE (1) («CRD») pubblicano il numero di cariche di amministratore calcolato a norma dell'anzidetto articolo; — gli enti indicano il numero di cariche di amministratore effettivamente affidate a ciascun membro dell'organo di amministrazione (considerando se si tratti di una società di un gruppo o meno, di una impresa in cui l'ente detenga una partecipazione qualificata o di un ente all'interno dello stesso sistema di tutela istituzionale e se si tratti di cariche di amministratore esecutivo o non esecutivo) indipendentemente dal fatto che l'entità nella quale la carica di amministratore è ricoperta persegua o meno un obiettivo commerciale; — qualora l'autorità competente abbia approvato una carica di amministratore aggiuntiva, tutti gli enti presso i quali il membro in questione esercita la carica pubblicano tale fatto, insieme al nome dell'autorità competente che ha approvato la suddetta carica.
b)	Nell'informativa riguardante la politica di ingaggio per la selezione dei membri dell'organo di amministrazione di cui all'articolo 435, paragrafo 2, lettera b), del CRR, gli enti includono informazioni sulle conoscenze, competenze ed esperienza effettive di tali membri. Gli enti includono informazioni sulla politica che può eventualmente derivare dai piani di avvicendamento e su cambiamenti prevedibili nell'ambito della composizione generale dell'organo di amministrazione.
c)	Nell'informativa riguardante la politica di diversità di cui all'articolo 435, paragrafo 2, lettera c), del CRR, gli enti pubblicano informazioni sugli obiettivi e su eventuali target stabiliti nel quadro di detta politica nonché la misura in cui tali obiettivi e target siano stati raggiunti. In particolare, gli enti pubblicano le informazioni sulla politica di diversità di genere, comprendenti gli aspetti seguenti: — qualora sia stato fissato un target relativo al genere sottorappresentato e alle politiche in materia di diversità in termini di età, percorso formativo, esperienza professionale e provenienza geografica, il target stabilito e la misura in cui sia stato raggiunto; — qualora un target non sia stato raggiunto, gli enti ne indicano le motivazioni e, se pertinenti, le misure intraprese per raggiungerlo entro un determinato periodo di tempo.
d)	L'ente indica se ha istituito un comitato di rischio distinto e il numero di volte in cui quest'ultimo si è riunito, conformemente all'articolo 435, paragrafo 2, lettera d), del CRR.
e)	Per quanto riguarda il flusso di informazioni sui rischi indirizzato all'organo di amministrazione in applicazione dell'articolo 435, paragrafo 2, lettera e), del CRR, gli enti descrivono il processo relativo alla segnalazione dei rischi indirizzata all'organo di amministrazione, indicando in particolare la frequenza, l'ambito d'applicazione e il contenuto principale dell'esposizione ai rischi e il modo in cui l'organo di amministrazione è stato coinvolto nella definizione del contenuto da segnalare.
(1) Direttiva 2013/36/UE del Parlamento europeo e del Consiglio, del 26 giugno 2013, sull'accesso all'attività degli enti creditizi e sulla vigilanza prudenziale sugli enti creditizi e sulle imprese di investimento, che modifica la direttiva 2002/87/CE e abroga le direttive 2006/48/CE e 2006/49/CE (GU L 176 del 27.6.2013, pag. 338).

ALLEGATO V

Modello EU LI1: differenze tra l'ambito del consolidamento contabile e quello del consolidamento prudenziale e associazione delle categorie di bilancio alle categorie di rischio regolamentari

		a	b	c	d	e	f	g
		Valori contabili riportati nel bilancio pubblicato	Valori contabili nell'ambito del consolidamento prudenziale	Valori contabili degli elementi
		Valori contabili riportati nel bilancio pubblicato	Valori contabili nell'ambito del consolidamento prudenziale	soggetti al quadro relativo al rischio di credito	soggetti al quadro relativo al CCR	soggetti al quadro relativo alla cartolarizzazione	soggetti al quadro relativo al rischio di mercato	non soggetti a requisiti di fondi propri o soggetti a deduzione dai fondi propri
	Disaggregazione per classi di attività in base allo stato patrimoniale nel bilancio pubblicato
1
2
3






	….
xxx	Totale attività

	Disaggregazione per classi di passività in base allo stato patrimoniale nel bilancio pubblicato
1
2
3




	….
xxx	Totale passività

Modello EU LI2: principali fonti di differenze tra gli importi delle esposizioni determinati a fini regolamentari e i valori contabili nel bilancio

		a	b	c	d	e
		Totale	Esposizioni soggette al
		Totale	quadro relativo al rischio di credito	quadro relativo alla cartolarizzazione	quadro relativo al CCR	quadro relativo al rischio di mercato
1	Valore contabile delle attività nell'ambito del consolidamento prudenziale (come nel modello LI1)
2	Valore contabile delle passività nell'ambito del consolidamento prudenziale (come nel modello LI1)
3	Importo netto totale nell'ambito del consolidamento prudenziale
4	Importi fuori bilancio
5	Differenze di valutazione
6	Differenze dovute a regole di compensazione diverse da quelle già incluse nella riga 2
7	Differenze dovute al trattamento delle rettifiche di valore
8	Differenze dovute all'uso di tecniche di attenuazione del rischio di credito (CRM)
9	Differenze dovute ai fattori di conversione del credito
10	Differenze dovute alla cartolarizzazione con trasferimento del rischio
11	Altre differenze
12	Importi delle esposizioni considerati a fini regolamentari

Modello EU LI3: descrizione delle differenze tra gli ambiti di consolidamento (soggetto per soggetto)

a	b	c	d	e	f	g	h
Denominazione del soggetto	Metodo di consolidamento contabile	Metodo di consolidamento prudenziale					Descrizione del soggetto
Denominazione del soggetto	Metodo di consolidamento contabile	Consolidamento integrale	Consolidamento proporzionale	Metodo del patrimonio netto	Né consolidato né dedotto	Dedotto
Soggetto A	Consolidamento integrale	X					Ente creditizio
Soggetto N	Consolidamento integrale		X				Ente creditizio
Soggetto Z	Consolidamento integrale				X		Soggetto assicurativo
Soggetto AA	Consolidamento integrale			X			Società di leasing immateriale

Tabella EU LIA: descrizione delle differenze tra gli importi delle esposizioni in bilancio e quelli delle esposizioni determinati a fini regolamentari

Caselle di testo libero per informazioni qualitative

Base giuridica	Numero di riga	Informazioni qualitative — Testo libero
Articolo 436, lettera b), del CRR	a)	Differenze tra le colonne a) e b) del modello EU LI1
Articolo 436, lettera d), del CRR	b)	Informazioni qualitative sulle principali fonti di differenze tra l'ambito del consolidamento contabile e quello del consolidamento prudenziale di cui al modello EU LI2

Tabella EU LIB: altre informazioni qualitative sull'ambito di applicazione

Caselle di testo libero per informazioni qualitative

Base giuridica	Numero di riga	Informazioni qualitative — Testo libero
Articolo 436, lettera f), del CRR	a)	Impedimento al rapido trasferimento di fondi propri o al rimborso di passività all'interno del gruppo
Articolo 436, lettera g), del CRR	b)	Filiazioni non incluse nel consolidamento con fondi propri inferiori al richiesto
Articolo 436, lettera h), del CRR	c)	Ricorso alla deroga di cui all'articolo 7 del CRR o al metodo di consolidamento individuale di cui all'articolo 9 del CRR
Articolo 436, lettera g), del CRR	d)	Importo aggregato del quale i fondi propri effettivi sono inferiori a quanto richiesto in tutte le filiazioni non incluse nel consolidamento

Modello EU PV1: aggiustamenti per la valutazione prudente (PVA)

Formato fisso

		a	b	c	d	e	EU e1	EU e2	f	g	h
		Categoria di rischio					AVA a livello di categoria - Incertezza della valutazione		Totale a livello di categoria post-diversificazione
	AVA a livello di categoria	Strumenti di capitale	Tassi d'interesse	Cambi	Credito	Merci	AVA per differenziali creditizi non realizzati	AVA per costi di investimento e di finanziamento (funding)	Totale a livello di categoria post-diversificazione	di cui metodo di base totale nel portafoglio di negoziazione	di cui metodo di base totale nel portafoglio bancario
1	Incertezza delle quotazioni di mercato
2	Non applicabile
3	Costi di chiusura
4	Posizioni concentrate
5	Chiusure anticipate delle posizioni
6	Rischio del modello
7	Rischio operativo
8	Non applicabile
9	Non applicabile
10	Costi amministrativi futuri
11	Non applicabile
12	Totale degli aggiustamenti di valutazione supplementari (AVA)

ALLEGATO VI

Istruzioni per l'informativa sull'ambito di applicazione del quadro regolamentare

Modello EU LI1: differenze tra l'ambito del consolidamento contabile e quello del consolidamento prudenziale e associazione delle categorie di bilancio alle categorie di rischio regolamentari Formato flessibile.

1. Gli enti pubblicano le informazioni di cui all'articolo 436, lettera c), del regolamento (UE) n. 575/2013 ( 7 ) («CRR») seguendo le istruzioni fornite di seguito nel presente allegato per compilare il modello EU LI1 di cui all'allegato V del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
Da 1 a XXX	Totale attività La struttura delle righe è uguale a quella dello stato patrimoniale utilizzato nell'ultima informativa di bilancio disponibile dell'ente. L'espressione «informativa di bilancio» si riferisce ai bilanci d'esercizio individuale o consolidato di cui agli articoli 4 e 24 della direttiva 2013/34/UE (1) e (quando applicabile) ai bilanci redatti ai sensi dei principi contabili internazionali omologati dall'UE in applicazione del regolamento (CE) n. 1606/2002 (2).
Da 1 a XXX	Totale passività La struttura delle righe è uguale a quella dello stato patrimoniale utilizzato nell'ultima informativa di bilancio disponibile dell'ente. L'espressione «informativa di bilancio» si riferisce ai bilanci d'esercizio individuale o consolidato di cui agli articoli 4 e 24 della direttiva 2013/34/UE e (quando applicabile) ai bilanci redatti ai sensi dei principi contabili internazionali omologati dall'UE e adottati in applicazione del regolamento (CE) n. 1606/2002.
(1) Direttiva 2013/34/UE del Parlamento europeo e del Consiglio, del 26 giugno 2013, relativa ai bilanci d'esercizio, ai bilanci consolidati e alle relative relazioni di talune tipologie di imprese, recante modifica della direttiva 2006/43/CE del Parlamento europeo e del Consiglio e abrogazione delle direttive 78/660/CEE e 83/349/CEE del Consiglio (GU L 182 del 29.6.2013, pag. 19). (2) Regolamento (CE) n. 1606/2002 del Parlamento europeo e del Consiglio, del 19 luglio 2002, relativo all'applicazione di principi contabili internazionali (GU L 243 dell'11.9.2002, pag. 1).

Riferimenti giuridici e istruzioni
Riferimento della colonna	Spiegazione
a	Valori contabili riportati nel bilancio pubblicato Importo riportato nell'attivo e nel passivo dello stato patrimoniale redatto conformemente ai requisiti di consolidamento di cui alla disciplina contabile applicabile, tra cui le direttive 2013/34/UE e 86/635/CEE (1) o i principi contabili internazionali omologati nell'UE.
b	Valori contabili nell'ambito del consolidamento prudenziale Importo riportato nell'attivo e nel passivo dello stato patrimoniale redatto secondo i requisiti in materia di consolidamento prudenziale di cui alla parte uno, titolo II, sezioni 2 e 3, del CRR. Se l'ambito del consolidamento contabile e quello del consolidamento prudenziale sono identici, le colonne a) e b) di questo modello sono unite.
c	Valori contabili degli elementi soggetti al quadro relativo al rischio di credito Valori contabili nell'ambito del consolidamento prudenziale degli elementi (diversi dagli elementi fuori bilancio) ai quali si applica la parte tre, titolo II, capi 2 e 3, del CRR.
d	Valori contabili degli elementi soggetti al quadro relativo al rischio di controparte Valori contabili nell'ambito del consolidamento prudenziale degli elementi (diversi dagli elementi fuori bilancio) ai quali si applica la parte tre, titolo II, capo 6, del CRR.
e	Valori contabili degli elementi soggetti al quadro relativo alla cartolarizzazione Valori contabili nell'ambito del consolidamento prudenziale degli elementi (diversi dagli elementi fuori bilancio) esterni al portafoglio di negoziazione ai quali si applica la parte tre, titolo II, capo 5, del CRR.
f	Valori contabili degli elementi soggetti al quadro relativo al rischio di mercato Valori contabili nell'ambito del consolidamento prudenziale degli elementi (diversi dagli elementi fuori bilancio) ai quali si applica la parte tre, titolo IV, del CRR. In questa colonna sono inclusi gli elementi corrispondenti alle posizioni verso la cartolarizzazione incluse nel portafoglio di negoziazione, alle quali si applicano i requisiti di cui alla parte tre, titolo IV, del CRR.
g	Valori contabili degli elementi non soggetti a requisiti di fondi propri o soggetti a deduzione dai fondi propri Valori contabili nell'ambito del consolidamento prudenziale degli elementi (diversi dagli elementi fuori bilancio) non soggetti ai requisiti di fondi propri conformemente al CRR; valori contabili nell'ambito del consolidamento prudenziale degli elementi (diversi dagli elementi fuori bilancio) soggetti a deduzione dai fondi propri conformemente alla parte due del CRR. A titolo esemplificativo, tra gli elementi dedotti possono figurare quelli elencati agli articoli 37, 38, 39 e 41 del CRR. Gli importi indicati per le attività corrispondono agli importi effettivamente dedotti dai fondi propri, prendendo in considerazione eventuali compensazioni con passività deducibili (ed eventuali soglie), applicabili a norma degli articoli pertinenti della parte due del CRR. Quando gli elementi elencati all'articolo 36, paragrafo 1, lettera k), e all'articolo 48 del CRR, anziché essere dedotti, ricevono un fattore di ponderazione del rischio del 1 250 %, non sono inseriti nella colonna g) di questo modello, ma nelle apposite colonne del modello EU LI1. Questo vale anche per eventuali altri elementi con fattore di ponderazione del rischio del 1 250 % conformemente ai requisiti del CRR. Gli importi indicati per le passività corrispondono all'importo delle passività che devono essere prese in considerazione per la determinazione dell'importo delle attività da dedurre dai fondi propri conformemente agli articoli pertinenti della parte due del CRR. Inoltre in questa colonna sono indicate tutte le passività diverse da quelle a cui si applicano i) i requisiti della parte tre, titolo II, capo 4, del CRR, o ii) i requisiti della parte tre, titolo II, capo 6, e della parte tre, titolo IV, del CRR.
Tutte	Se un elemento è soggetto a requisiti patrimoniali conformemente a più di un quadro per il rischio, i valori sono indicati in tutte le colonne corrispondenti ai requisiti patrimoniali a cui essi si riferiscono. Di conseguenza in questo modello la somma degli importi indicati nelle colonne da c) a g) può essere maggiore dell'importo indicato nella colonna b). Gli enti forniscono spiegazioni qualitative sulle attività e sulle passività che sono soggette ai requisiti patrimoniali di più quadri per il rischio tra quelli elencati nella parte tre del CRR.
(1) Direttiva 86/635/CEE del Consiglio, dell'8 dicembre 1986, relativa ai conti annuali e ai conti consolidati delle banche e degli altri istituti finanziari (GU L 372 del 31.12.1986, pag. 1).

Modello EU LI2: principali fonti di differenze tra gli importi delle esposizioni determinati a fini regolamentari e i valori contabili nel bilancio - Formato fisso

2. Gli enti pubblicano le informazioni di cui all'articolo 436, lettera d), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare il modello EU LI2 di cui all'allegato V del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
1	Valore contabile delle attività nell'ambito del consolidamento prudenziale Gli importi delle colonne da b) a e) di questo modello sono gli stessi degli importi delle colonne da c) a f) del modello EU LI1.
2	Valore contabile delle passività nell'ambito del consolidamento prudenziale Gli importi delle colonne da b) a e) di questo modello sono gli stessi degli importi delle colonne da c) a f) del modello EU LI1.
3	Importo netto totale nell'ambito del consolidamento prudenziale Importo successivo alla compensazione in bilancio tra le attività e le passività nell'ambito del consolidamento prudenziale, a prescindere dall'ammissibilità di tali attività e passività ai fini delle regole di compensazione specifiche previste dalla parte tre, titolo II, capi 4 e 5, e dal titolo IV del CRR. L'importo di questa riga è pari al valore della riga 1 ridotto del valore della riga 2 di questo modello.
4	Importi fuori bilancio Includere le esposizioni originarie fuori bilancio, prima dell'applicazione di un fattore di conversione, se del caso, secondo l'ambito del consolidamento prudenziale, nelle colonne da a) a d) di questo modello.
5	Differenze di valutazione Impatto del valore contabile delle rettifiche di valore conformemente alla parte due, titolo I, capo 2, articolo 34, e della parte tre, titolo I, capo 3, articolo 105, del CRR sulle esposizioni incluse nel portafoglio di negoziazione ed esterne al portafoglio di negoziazione valutate al valore equo in conformità della disciplina contabile applicabile. Tale importo è coerente con l'importo della riga 7 del modello EU CC1 e con l'importo della riga 12, colonna f), del modello EU PV1.
6	Differenze dovute a regole di compensazione diverse da quelle già incluse nella riga 2 di questo modello Questo elemento si riferisce agli importi netti delle esposizioni in bilancio e fuori bilancio dopo l'applicazione delle regole di compensazione specifiche di cui alla parte tre, titolo II, capi 4 e 5 e titolo IV, del CRR. L'impatto dell'applicazione delle regole di compensazione può essere negativo (qualora sia necessario compensare più esposizioni rispetto alle compensazioni in bilancio della riga 2) o positivo (qualora l'applicazione delle regole di compensazione di cui al CRR determini un importo inferiore da compensare rispetto alla compensazione in bilancio della riga 2).
7	Differenze dovute al trattamento delle rettifiche di valore Reintegrazione nel valore dell'esposizione delle rettifiche di valore su crediti specifiche e generiche (come definite nel regolamento delegato (UE) n. 183/2014 (1) della Commissione) dedotte, in conformità della disciplina contabile applicabile, dal valore contabile delle esposizioni a norma della parte tre, titolo II, capo 3, del CRR. Per quanto riguarda le esposizioni ponderate per il rischio conformemente alla parte tre, titolo II, capo 2, del CRR, quando il valore contabile riportato in bilancio nell'ambito del consolidamento prudenziale è ridotto da elementi qualificabili come rettifiche di valore su crediti generiche di cui al suddetto regolamento delegato, tali elementi sono reintegrati nel valore dell'esposizione.
8	Differenze dovute all'uso di tecniche di attenuazione del rischio di credito Impatto sul valore dell'esposizione nell'ambito del consolidamento prudenziale dell'applicazione delle tecniche di attenuazione del rischio di credito definite nel CRR.
9	Differenze dovute ai fattori di conversione del credito Impatto sul valore delle esposizioni fuori bilancio nell'ambito del consolidamento prudenziale dell'applicazione dei fattori di conversione pertinenti conformemente al CRR. Il fattore di conversione degli elementi fuori bilancio, da ponderare per il rischio in applicazione della parte tre, titolo II, del CRR, è determinato conformemente agli articoli 111, 166, 167 e 182 (applicabili per il rischio di credito) e all'articolo 246 (applicabile per il rischio di cartolarizzazione) del CRR.
10	Differenze dovute alla cartolarizzazione con trasferimento del rischio Impatto sul valore delle esposizioni cartolarizzate dell'uso di operazioni cartolarizzate per trasferire il rischio di credito a terzi conformemente al CRR.
11	Altre differenze (se pertinenti) Altri fattori determinanti significativi delle differenze tra i valori contabili del bilancio nell'ambito del consolidamento prudenziale e gli importi delle esposizioni considerati a fini regolamentari. Gli enti integrano nella tabella EU LIA le informazioni quantitative incluse in questa riga con spiegazioni qualitative sui principali fattori determinanti di tali differenze.
12	Importi delle esposizioni considerati ai fini regolamentari Importo aggregato considerato come punto di partenza per il calcolo degli importi delle esposizioni ponderati per il rischio (RWEA) dopo l'applicazione dei metodi CRM diversi dalla compensazione di cui alla parte tre, titolo II, capo 4, del CRR, e dopo l'applicazione dei requisiti di compensazione di cui alla parte tre, titolo II, capi 4 e 5, e titolo IV dello stesso regolamento per ciascuna delle categorie di rischio. In caso di applicazione del metodo standardizzato, si tratta del valore dopo le rettifiche su crediti specifiche, le rettifiche di valore supplementari conformemente agli articoli 34 e 110 del CRR e le altre riduzioni di fondi propri relative all'elemento dell'attivo. Per gli elementi fuori bilancio elencati nell'allegato I del presente regolamento di esecuzione, il valore dell'esposizione è pari al valore nominale dopo la riduzione delle rettifiche di valore su crediti specifiche moltiplicato per la percentuale applicabile di cui all'articolo 111, paragrafo 1, lettere a) e d), del CRR. Per il metodo IRB, il valore pubblicato è il valore dell'esposizione ai sensi degli articoli 166, 167 e 168 del CRR. Pertanto i valori contabili di cui al bilancio nell'ambito del consolidamento prudenziale sono indicati nelle corrispondenti righe da 1 a 3 di questo modello, mentre le esposizioni originarie fuori bilancio sono indicate nella riga 4 di questo modello. Eventuali aggiunte o riduzioni regolamentari specifiche relative a tali importi sono incluse nelle righe da 5 a 11 di questo modello per spiegare come riconciliare tali importi con l'importo dell'esposizione considerato a fini regolamentari come il punto di partenza del calcolo degli RWEA conformemente a ciascuno dei quadri indicati nelle colonne da b) a e) di questo modello. Ciò significa che, in particolare per il rischio di credito, gli importi delle esposizioni considerati a fini regolamentari da indicare nella riga 12 di questo modello saranno diversi dai valori contabili indicati nel bilancio nell'ambito del consolidamento prudenziale, a causa del particolare trattamento regolamentare degli accantonamenti contabili per il calcolo degli RWEA.
(1) Regolamento delegato (UE) n. 183/2014 della Commissione, del 20 dicembre 2013, che integra il regolamento (UE) n. 575/2013 del Parlamento europeo e del Consiglio relativo ai requisiti prudenziali per gli enti creditizi e le imprese di investimento, per quanto riguarda le norme tecniche di regolamentazione che specificano le modalità di calcolo delle rettifiche di valore su crediti specifiche e generiche (GU L 57 del 27.2.2014, pag. 3).

Riferimenti giuridici e istruzioni
Riferimento della colonna	Spiegazione
a	Totale Totale nella colonna a) del modello EU LI2 = importi della colonna b) del modello EU LI1 – importi della colonna g) del modello EU LI1.
	La ripartizione delle colonne da b) a e) in funzione delle categorie regolamentari di rischio corrisponde alla ripartizione elencata nella parte tre del CRR.
b	Quadro relativo al rischio di credito Esposizioni di cui alla parte tre, titolo II, del CRR Le esposizioni nel quadro relativo al rischio di credito corrispondono all'importo dell'esposizione utilizzato nel metodo standardizzato per il rischio di credito (cfr. parte tre, titolo II, capo 2, articolo 111, del CRR) o alle esposizioni al momento del default al rischio di credito – metodo IRB (cfr. parte tre, titolo II, capo 3, articoli 166, 167 e 168, del CRR).
c	Quadro relativo alla cartolarizzazione Esposizioni esterne al portafoglio di negoziazione di cui alla parte tre, titolo II, capo 5, del CRR Le esposizioni verso la cartolarizzazione sono determinate conformemente alla parte tre, titolo II, capo 5, articolo 246, del CRR.
d	Quadro relativo al rischio di controparte (CCR) Esposizioni di cui alla parte tre, titolo II, capo 6, del CRR.
e	Quadro relativo al rischio di mercato Le esposizioni al rischio di mercato corrispondono alle posizioni soggette al quadro relativo al rischio di mercato di cui alla parte tre, titolo IV, del CRR. In relazione a questa colonna sono indicate solo le righe da 1 a 3 e 12 di questo modello.
tutte	Se un elemento è soggetto a requisiti patrimoniali conformemente a più di un quadro relativo al rischio, esso è indicato in tutte le colonne corrispondenti ai requisiti patrimoniali. Di conseguenza in questo modello la somma degli importi indicati nelle colonne da b) a e) può essere maggiore dell'importo indicato nella colonna a). Gli enti forniscono spiegazioni qualitative sulle attività e sulle passività che sono soggette ai requisiti patrimoniali di più quadri relativi al rischio tra quelli elencati nella parte tre del CRR.

Modello EU LI3: descrizione delle differenze tra gli ambiti di consolidamento (soggetto per soggetto)

3. Gli enti pubblicano le informazioni di cui all'articolo 436, lettera b), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare il modello EU LI3 di cui all'allegato V del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
	Le righe sono flessibili. Sono pubblicate le informazioni relative a tutti i soggetti inclusi negli ambiti del consolidamento contabile e del consolidamento prudenziale quali definiti in conformità, rispettivamente, della disciplina contabile applicabile e della parte uno, titolo II, sezioni 2 e 3 del CRR per i quali il metodo del consolidamento contabile è diverso dal metodo del consolidamento prudenziale. Una riga per ciascun soggetto.

Riferimenti giuridici e istruzioni
Riferimento della colonna	Spiegazione
a	Denominazione del soggetto Denominazione commerciale di qualsiasi soggetto incluso o dedotto dagli ambiti del consolidamento contabile e prudenziale dell'ente.
b	Metodo di consolidamento contabile Il metodo di consolidamento utilizzato in conformità della disciplina contabile applicabile.
Da c a g	Metodo di consolidamento prudenziale Il metodo di consolidamento attuato ai fini della parte uno, titolo II, capo 2, del CRR. Sono pubblicati almeno i metodi elencati nell'articolo 436, lettera b), del CRR. Gli enti spuntano le colonne pertinenti per identificare il metodo di consolidamento relativo a ciascun soggetto in base alla disciplina contabile e indicano se, nell'ambito del consolidamento prudenziale, il soggetto è i) consolidato integralmente; ii) consolidato proporzionalmente; iii) rilevato con il metodo del patrimonio netto; iv) non è né consolidato né dedotto; v) dedotto.
h	Descrizione del soggetto Breve descrizione del soggetto, che riporti (almeno) le informazioni sul relativo settore di attività.

Tabella EU LIA: descrizione delle differenze tra gli importi delle esposizioni in bilancio e quelli delle esposizioni determinati a fini regolamentari - Caselle di testo libero per informativa sugli elementi qualitativi

4. Gli enti pubblicano le informazioni di cui all'articolo 436, lettere b) e d), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare la tabella EU LIA di cui all'allegato V del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
a)	Gli enti spiegano e quantificano le origini di eventuali differenze significative tra gli importi nelle colonne a) e b) del modello EU LI1, indipendentemente dal fatto che tali differenze derivino da regole di consolidamento diverse o dall'utilizzo di principi contabili diversi tra il consolidamento contabile e quello regolamentare.
b)	Gli enti spiegano l'origine delle differenze tra i valori contabili determinati nell'ambito del consolidamento prudenziale e gli importi considerati ai fini regolamentari presentati nel modello EU LI2.

Tabella EU LIB: altre informazioni qualitative sull'ambito di applicazione - Caselle di testo libero per informativa sugli elementi qualitativi

5. Gli enti pubblicano le informazioni di cui all'articolo 436, lettere f), g) e h), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare la tabella EU LIB di cui all'allegato V del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
a)	Gli enti indicano eventuali impedimenti di fatto o di diritto attuali o attesi che ostacolino il rapido trasferimento dei fondi propri o il rimborso di passività tra l'impresa madre e le sue filiazioni.
b)	Se del caso, gli enti pubblicano le denominazioni delle filiazioni non incluse nel consolidamento.
c)	Se del caso, gli enti indicano le circostanze in cui ricorrono alla deroga di cui all'articolo 7 del CRR o al metodo di consolidamento individuale di cui all'articolo 9 del CRR.
d)	Se del caso, gli enti pubblicano l'importo aggregato del quale i fondi propri effettivi sono inferiori a quanto richiesto in tutte le filiazioni non incluse nel consolidamento e le denominazioni di tali filiazioni.

Modello EU PV1: aggiustamenti per la valutazione prudente (PVA) - Formato fisso

6. Gli enti che applicano il metodo di base per la determinazione dell'aggiustamento di valutazione supplementare per la valutazione prudente conformemente al capo III del regolamento delegato (UE) 2016/101 della Commissione ( 8 ) pubblicano le informazioni di cui all'articolo 436, lettera e), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per la compilazione del modello EU PV1 di cui all'allegato V del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
Righe da 1 a 10	AVA a livello di categoria Gli AVA a livello di categoria per l'incertezza delle quotazioni di mercato, i costi di chiusura, i rischi del modello, le posizioni concentrate, i costi amministrativi futuri, la chiusura anticipata delle posizioni e il rischio operativo sono determinati rispettivamente a norma degli articoli da 9 a 11 e da 14 a 17 del regolamento delegato (UE) 2016/101 della Commissione. Per le categorie dell'incertezza delle quotazioni di mercato, dei costi di chiusura e dei rischi del modello, che sono soggette al beneficio della diversificazione di cui rispettivamente all'articolo 9, paragrafo 6, all'articolo 10, paragrafo 7, e all'articolo 11, paragrafo 7, del regolamento delegato (UE) 2016/101, gli AVA a livello di categoria sono indicati nelle colonne da a a EU e2 di questo modello come somma diretta dei singoli AVA prima del beneficio della diversificazione. I benefici di diversificazione conformemente all'articolo 9, paragrafo 6, all'articolo 10, paragrafo 7, e all'articolo 11, paragrafo 7, del regolamento delegato (UE) 2016/101 della Commissione sono inclusi nella colonna f) di questo modello.
1	Incertezza delle quotazioni di mercato Articolo 105, paragrafo 10, del CRR. Gli AVA per l'incertezza delle quotazioni di mercato sono calcolati conformemente all'articolo 9 del regolamento delegato (UE) 2016/101 della Commissione.
2	Non applicabile
3	Costi di chiusura Articolo 105, paragrafo 10, del CRR. Gli AVA per i costi di chiusura sono calcolati conformemente all'articolo 10 del regolamento delegato (UE) 2016/101 della Commissione.
4	Posizioni concentrate Articolo 105, paragrafo 11, del CRR. Gli AVA per le posizioni concentrate sono calcolati a norma dell'articolo 14 del regolamento delegato (UE) 2016/101 della Commissione.
5	Chiusura anticipate delle posizioni Articolo 105, paragrafo 10, del CRR. Gli AVA per le chiusure anticipate delle posizioni sono calcolati conformemente all'articolo 16 del regolamento delegato (UE) 2016/101 della Commissione.
6	Rischio del modello Articolo 105, paragrafo 10, del CRR. Gli AVA per i rischi del modello sono calcolati conformemente all'articolo 11 del regolamento delegato (UE) 2016/101 della Commissione.
7	Rischio operativo Articolo 105, paragrafo 10, del CRR. Gli AVA per il rischio operativo sono calcolati conformemente all'articolo 17 del regolamento delegato (UE) 2016/101 della Commissione.
8	Non applicabile
9	Non applicabile
10	Costi amministrativi futuri Articolo 105, paragrafo 10, del CRR. Gli AVA per i costi amministrativi futuri sono calcolati conformemente all'articolo 15 del regolamento delegato (UE) 2016/101 della Commissione.
11	Non applicabile
12	Totale degli aggiustamenti di valutazione supplementari L'AVA totale da dedurre dai fondi propri a norma degli articoli 34 e 105 del CRR è indicato nella riga 12, colonna f), di questo modello. Tale importo è coerente con l'importo della riga 7 del modello EU CC1 e con l'importo della riga 5, colonna a), del modello EU LI2. Per i portafogli soggetti al metodo di base di cui al capo III del regolamento delegato (UE) 2016/101 sulla valutazione prudente, l'AVA totale è pari alla somma degli importi delle righe da 1 a 10 di questo modello e degli importi calcolati conformemente all'articolo 7, paragrafo 2, lettera b), punti i), ii) e iii), del regolamento delegato (UE) 2016/101 per i portafogli soggetti all'approccio alternativo, se del caso. Per i portafogli soggetti al metodo semplificato di cui al capo II del regolamento delegato (UE) 2016/101 sulla valutazione prudente, l'AVA totale nella colonna f) di questo modello è l'importo calcolato conformemente all'articolo 5 del suddetto capo.
Lettera della colonna	Spiegazione
Da a a e	Ripartizione per CATEGORIA DI RISCHIO Gli enti attribuiscono le loro attività e passività valutate al valore equo incluse nel calcolo della soglia a norma dell'articolo 4, paragrafo 1, del regolamento delegato (UE) 2016/101 (all'interno e all'esterno del portafoglio di negoziazione) in base alle categorie di rischio seguenti: tassi di interesse, cambio, credito, strumenti di capitale e merci. La ripartizione in queste colonne non comprende gli AVA calcolati a norma degli articoli 12 e 13 del regolamento delegato (UE) 2016/101 della Commissione che sono indicati nelle colonne EU e1 ed EU e2 di questo modello.
EU e1	AVA a livello di categoria - Incertezza della valutazione: AVA per differenziali creditizi non realizzati Articolo 105, paragrafo 10, del CRR, e articolo 12 del regolamento delegato (UE) 2016/101 della Commissione. L'AVA totale calcolato per i differenziali creditizi non realizzati («AVA su CVA») e la sua attribuzione agli AVA per l'incertezza delle quotazioni di mercato, agli AVA per i costi di chiusura o agli AVA per i rischi del modello sono determinati a norma dell'articolo 12 del regolamento delegato (UE) 2016/101 della Commissione.
EU e2	AVA a livello di categoria - AVA per costi di investimento e di finanziamento Articolo 105, paragrafo 10, del CRR e articolo 13 del regolamento delegato (UE) 2016/101 della Commissione. L'AVA totale calcolato per i costi di investimento e di finanziamento e la sua attribuzione agli AVA per l'incertezza delle quotazioni di mercato, agli AVA per i costi di chiusura o agli AVA per i rischi del modello sono determinati a norma dell'articolo 13 del regolamento delegato (UE) 2016/101 della Commissione.
f	Totale a livello di categoria post-diversificazione Per i portafogli soggetti al metodo di base di cui al capo III del regolamento delegato (UE) 2016/101 della Commissione, il totale a livello di categoria post-diversificazione comprende il totale degli AVA calcolati secondo il metodo di base per le attività e le passività valutate al valore equo incluse nel calcolo della soglia a norma dell'articolo 4, paragrafo 1, del regolamento delegato (UE) 2016/101 della Commissione. Sono inclusi i benefici della diversificazione definiti a norma dell'articolo 9, paragrafo 6, dell'articolo 10, paragrafo 7, e dell'articolo 11, paragrafo 7, del regolamento delegato (UE) 2016/101. L'AVA totale nella riga 12, colonna f), di questo modello comprende gli importi calcolati conformemente all'articolo 7, paragrafo 2, lettera b), punti i), ii) e iii), del regolamento delegato (UE) 2016/101, per i portafogli soggetti all'approccio alternativo, se del caso. Per i portafogli soggetti al metodo semplificato di cui al capo II del regolamento delegato (UE) 2016/101 sulla valutazione prudente, l'AVA totale nella riga 12 di questo modello è l'importo calcolato conformemente all'articolo 5 del suddetto capo.
g	Di cui metodo di base totale nel portafoglio di negoziazione Per ciascuna categoria pertinente di AVA, per i portafogli soggetti al metodo di base di cui al capo III, del regolamento delegato (UE) 2016/101 della Commissione, le quote di AVA derivanti da posizioni detenute nel «portafoglio di negoziazione»: l'insieme delle posizioni in strumenti finanziari e su merci detenute da un ente a fini di negoziazione o per coprire posizioni detenute a fini di negoziazione in conformità dell'articolo 104 del CRR. I valori pubblicati includono i benefici della diversificazione definiti a norma dell'articolo 9, paragrafo 6, dell'articolo 10, paragrafo 7, e dell'articolo 11, paragrafo 7, del regolamento delegato (UE) 2016/101.
h	Di cui metodo di base totale nel portafoglio bancario Per ciascuna categoria pertinente di AVA, per i portafogli soggetti al metodo di base di cui al capo III, del regolamento delegato (UE) 2016/101 della Commissione, le quote di AVA derivanti da posizioni valutate al valore equo in strumenti finanziari e merci non detenute nel portafoglio di negoziazione. I valori pubblicati includono i benefici della diversificazione determinati a norma dell'articolo 9, paragrafo 6, dell'articolo 10, paragrafo 7, e dell'articolo 11, paragrafo 7, del regolamento delegato (UE) 2016/101 della Commissione.

ALLEGATO VII

Modello EU CC1: composizione dei fondi propri regolamentari

		a)	b)
		Importi	Fonte basata su numeri /lettere di riferimento dello stato patrimoniale nell'ambito del consolidamento prudenziale
Capitale primario di classe 1 (CET1): strumenti e riserve
1	Strumenti di capitale e le relative riserve sovrapprezzo azioni		h)
	Di cui tipo di strumento 1
	Di cui tipo di strumento 2
	Di cui tipo di strumento 3
2	Utili non distribuiti
3	Altre componenti di conto economico complessivo accumulate (e altre riserve)
EU-3a	Fondi per rischi bancari generali
4	Importo degli elementi ammissibili di cui all'articolo 484, paragrafo 3, del CRR e le relative riserve sovrapprezzo azioni soggetti a eliminazione progressiva dal CET1
5	Interessi di minoranza (importo consentito nel CET1 consolidato)
EU-5a	Utili di periodo verificati da persone indipendenti al netto di tutti gli oneri o dividendi prevedibili
6	Capitale primario di classe 1 (CET1) prima delle rettifiche regolamentari
Capitale primario di classe 1 (CET1): rettifiche regolamentari
7	Rettifiche di valore supplementari (importo negativo)
8	Attività immateriali (al netto delle relative passività fiscali) (importo negativo)		a) meno d)
9	Non applicabile
10	Attività fiscali differite che dipendono dalla redditività futura, escluse quelle derivanti da differenze temporanee (al netto delle relative passività fiscali per le quali sono soddisfatte le condizioni di cui all'articolo 38, paragrafo 3, del CRR) (importo negativo)
11	Riserve di valore equo relative ai profitti e alle perdite generati dalla copertura dei flussi di cassa degli strumenti finanziari che non sono valutati al valore equo
12	Importi negativi risultanti dal calcolo degli importi delle perdite attese
13	Qualsiasi aumento del patrimonio netto risultante da attività cartolarizzate (importo negativo)
14	I profitti o le perdite sulle passività dell'ente valutate al valore equo dovuti a variazioni del merito di credito
15	Attività dei fondi pensione a prestazioni definite (importo negativo)
16	Propri strumenti del CET1 detenuti dall'ente direttamente, indirettamente o sinteticamente (importo negativo)
17	Strumenti del CET1 di soggetti del settore finanziario detenuti direttamente, indirettamente o sinteticamente, quando tali soggetti detengono con l'ente una partecipazione incrociata reciproca concepita per gonfiare artificialmente i fondi propri dell'ente (importo negativo)
18	Strumenti del CET1 di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente non ha un investimento significativo in tali soggetti (importo superiore alla soglia del 10 % e al netto di posizioni corte ammissibili) (importo negativo)
19	Strumenti di CET1 di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente ha un investimento significativo in tali soggetti (importo superiore alla soglia del 10 % e al netto di posizioni corte ammissibili) (importo negativo)
20	Non applicabile
EU-20a	Importo dell'esposizione dei seguenti elementi, che possiedono i requisiti per ricevere un fattore di ponderazione del rischio pari al 1 250 %, quando l'ente opta per la deduzione
EU-20b	Di cui partecipazioni qualificate al di fuori del settore finanziario (importo negativo)
EU-20c	Di cui posizioni verso la cartolarizzazione (importo negativo)
EU-20d	Di cui operazioni con regolamento non contestuale (importo negativo)
21	Attività fiscali differite che derivano da differenze temporanee (importo superiore alla soglia del 10 %, al netto delle relative passività fiscali per le quali sono soddisfatte le condizioni di cui all'articolo 38, paragrafo 3, del CRR) (importo negativo)
22	Importo che supera la soglia del 17,65 % (importo negativo)
23	Di cui strumenti di CET1 di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente e sinteticamente, quando l'ente ha un investimento significativo in tali soggetti
24	Non applicabile
25	Di cui attività fiscali differite che derivano da differenze temporanee
EU-25a	Perdite relative all'esercizio in corso (importo negativo)
EU-25b	Tributi prevedibili relativi agli elementi del CET1, ad eccezione dei casi in cui l'ente adatta di conseguenza l'importo degli elementi del CET1 nella misura in cui tali tributi riducano l'importo fino a concorrenza del quale questi elementi possono essere destinati alla copertura di rischi o perdite (importo negativo)
26	Non applicabile
27	Deduzioni ammissibili dal capitale aggiuntivo di classe 1 (AT1) che superano gli elementi dell'AT1 dell'ente (importo negativo)
27a	Altre rettifiche regolamentari
28	Totale delle rettifiche regolamentari del capitale primario di classe 1 (CET1)
29	Capitale primario di classe 1 (CET1)
Capitale aggiuntivo di classe 1 (AT1): strumenti
30	Strumenti di capitale e le relative riserve sovrapprezzo azioni		i)
31	Di cui classificati come patrimonio netto a norma dei principi contabili applicabili
32	Di cui classificati come passività a norma dei principi contabili applicabili
33	Importo degli elementi ammissibili di cui all'articolo 484, paragrafo 4, del CRR e le relative riserve sovrapprezzo azioni soggetti a eliminazione progressiva dall'AT1
EU-33a	Importo degli elementi ammissibili di cui all'articolo 494 bis, paragrafo 1, del CRR soggetti a eliminazione graduale dall'AT1
EU-33b	Importo degli elementi ammissibili di cui all'articolo 494 ter, paragrafo 1, del CRR soggetti a eliminazione graduale dall'AT1
34	Capitale di classe 1 ammissibile incluso nel capitale AT1 consolidato (compresi gli interessi di minoranza non inclusi nella riga 5) emesso da filiazioni e detenuto da terzi
35	di cui strumenti emessi da filiazioni soggetti a eliminazione progressiva
36	Capitale aggiuntivo di classe 1 (AT1) prima delle rettifiche regolamentari
Capitale aggiuntivo di classe 1 (AT1): rettifiche regolamentari
37	Propri strumenti di AT1 detenuti dall'ente direttamente, indirettamente o sinteticamente (importo negativo)
38	Strumenti di AT1 di soggetti del settore finanziario detenuti direttamente, indirettamente o sinteticamente, quando tali soggetti detengono con l'ente una partecipazione incrociata reciproca concepita per gonfiare artificialmente i fondi propri dell'ente (importo negativo)
39	Strumenti di AT1 di soggetti del settore finanziario detenuti direttamente, indirettamente o sinteticamente, quando l'ente non ha un investimento significativo in tali soggetti (importo superiore alla soglia del 10 % e al netto di posizioni corte ammissibili) (importo negativo)
40	Strumenti di AT1 di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente ha un investimento significativo in tali soggetti (al netto di posizioni corte ammissibili) (importo negativo)
41	Non applicabile
42	Deduzioni ammissibili dal capitale di classe 2 (T2) che superano gli elementi del T2 dell'ente (importo negativo)
42a	Altre rettifiche regolamentari del capitale AT1
43	Totale delle rettifiche regolamentari del capitale aggiuntivo di classe 1 (AT1)
44	Capitale aggiuntivo di classe 1 (AT1)
45	Capitale di classe 1 (T1 = CET1 + AT1)
Capitale di classe 2 (T2) strumenti
46	Strumenti di capitale e le relative riserve sovrapprezzo azioni
47	Importo degli elementi ammissibili di cui all'articolo 484, paragrafo 5, del CRR e le relative riserve sovrapprezzo azioni soggetti a eliminazione progressiva dal T2 ai sensi dell'articolo 486, paragrafo 4, del CRR
EU-47a	Importo degli elementi ammissibili di cui all'articolo 494 bis, paragrafo 2, del CRR soggetti a eliminazione graduale dal T2
EU-47b	Importo degli elementi ammissibili di cui all'articolo 494 ter, paragrafo 2, del CRR soggetti a eliminazione graduale dal T2
48	Strumenti di fondi propri ammissibili inclusi nel capitale T2 consolidato (compresi gli interessi di minoranza e strumenti di AT1 non inclusi nella riga 5 o nella riga 34) emessi da filiazioni e detenuti da terzi
49	di cui strumenti emessi da filiazioni soggetti a eliminazione progressiva
50	Rettifiche di valore su crediti
51	Capitale di classe 2 (T2) prima delle rettifiche regolamentari
Capitale di classe 2 (T2): rettifiche regolamentari
52	Strumenti propri di T2 e prestiti subordinati detenuti dall'ente direttamente, indirettamente o sinteticamente (importo negativo)
53	Strumenti di T2 e prestiti subordinati di soggetti del settore finanziario detenuti direttamente, indirettamente o sinteticamente, quando tali soggetti detengono con l'ente una partecipazione incrociata reciproca concepita per gonfiare artificialmente i fondi propri dell'ente (importo negativo)
54	Strumenti di T2 e prestiti subordinati di soggetti del settore finanziario detenuti direttamente, indirettamente o sinteticamente, quando l'ente non ha un investimento significativo in tali soggetti (importo superiore alla soglia del 10 % e al netto di posizioni corte ammissibili) (importo negativo)
54a	Non applicabile
55	Strumenti di T2 e prestiti subordinati di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente ha un investimento significativo in tali soggetti (al netto di posizioni corte ammissibili) (importo negativo)
56	Non applicabile
EU-56a	Deduzioni di passività ammissibili che superano gli elementi delle passività ammissibili dell'ente (importo negativo)
EU-56b	Altre rettifiche regolamentari del capitale T2
57	Totale delle rettifiche regolamentari del capitale di classe 2 (T2)
58	Capitale di classe 2 (T2)
59	Capitale totale (TC = T1 + T2)
60	Importo complessivo dell'esposizione al rischio
Coefficienti e requisiti patrimoniali, comprese le riserve di capitale
61	Capitale primario di classe 1
62	Capitale di classe 1
63	Capitale totale
64	Requisiti patrimoniali complessivi CET1 dell'ente
65	Di cui requisito della riserva di conservazione del capitale
66	Di cui requisito della riserva di capitale anticiclica
67	Di cui requisito della riserva a fronte del rischio sistemico
EU-67a	Di cui requisito della riserva di capitale degli enti a rilevanza sistemica a livello globale (G-SII) o degli altri enti a rilevanza sistemica (O-SII)
EU-67b	Di cui requisiti aggiuntivi di fondi propri per far fronte a rischi diversi dal rischio di leva finanziaria eccessiva
68	Capitale primario di classe 1 (in percentuale dell'importo dell'esposizione al rischio) disponibile dopo aver soddisfatto i requisiti patrimoniali minimi
Minimi nazionali (se diversi da Basilea III)
69	Non applicabile
70	Non applicabile
71	Non applicabile
Importi inferiori alle soglie di deduzione (prima della ponderazione del rischio)
72	Fondi propri e passività ammissibili di soggetti del settore finanziario detenuti direttamente o indirettamente, quando l'ente non ha un investimento significativo in tali soggetti (importo inferiore alla soglia del 10 % e al netto di posizioni corte ammissibili)
73	Strumenti di CET1 di soggetti del settore finanziario detenuti dall'ente direttamente o indirettamente, quando l'ente ha un investimento significativo in tali soggetti (importo inferiore alla soglia del 17,65 % e al netto di posizioni corte ammissibili)
74	Non applicabile
75	Attività fiscali differite che derivano da differenze temporanee (importo inferiore alla soglia del 17,65 %, al netto delle relative passività fiscali per le quali sono soddisfatte le condizioni di cui all'articolo 38, paragrafo 3, del CRR)
Massimali applicabili per l'inclusione di accantonamenti nel capitale di classe 2
76	Rettifiche di valore su crediti incluse nel T2 in relazione alle esposizioni soggette al metodo standardizzato (prima dell'applicazione del massimale)
77	Massimale per l'inclusione di rettifiche di valore su crediti nel T2 nel quadro del metodo standardizzato
78	Rettifiche di valore su crediti incluse nel T2 in relazione alle esposizioni soggette al metodo basato sui rating interni (prima dell'applicazione del massimale)
79	Massimale per l'inclusione di rettifiche di valore su crediti nel T2 nel quadro del metodo basato sui rating interni
Strumenti di capitale soggetti a eliminazione progressiva (applicabile soltanto tra il 1o gennaio 2014 e il 1o gennaio 2022)
80	Massimale corrente sugli strumenti di CET1 soggetti a eliminazione progressiva
81	Importo escluso dal CET1 in ragione del massimale (superamento del massimale dopo i rimborsi e le scadenze)		g
82	Massimale corrente sugli strumenti di AT1 soggetti a eliminazione progressiva
83	Importo escluso dall'AT1 in ragione del massimale (superamento del massimale dopo i rimborsi e le scadenze)
84	Massimale corrente sugli strumenti di T2 soggetti a eliminazione progressiva
85	Importo escluso dal T2 in ragione del massimale (superamento del massimale dopo i rimborsi e le scadenze)

Modello EU CC2: riconciliazione dei fondi propri regolamentari con lo stato patrimoniale nel bilancio sottoposto a revisione contabile

Modello flessibile. Le righe devono corrispondere allo stato patrimoniale incluso nel bilancio sottoposto a revisione contabile degli enti. Le colonne sono mantenute fisse, a meno che l'ente abbia lo stesso ambito di consolidamento contabile e prudenziale, nel qual caso le colonne a) e b) sono riunite

		a	b	c
		Stato patrimoniale incluso nel bilancio pubblicato	Nell'ambito del consolidamento prudenziale	Riferimento
		Alla fine del periodo	Alla fine del periodo
Attività - Ripartizione per classi di attività secondo lo stato patrimoniale incluso nel bilancio pubblicato
1
2
3














xxx	Totale attivo
Passività - Ripartizione per classi di passività secondo lo stato patrimoniale incluso nel bilancio pubblicato
1
2
3













xxx	Totale passivo
Capitale proprio
1
2
3


xxx	Capitale proprio totale

Modello EU CCA: principali caratteristiche degli strumenti di fondi propri regolamentari e degli strumenti di passività ammissibili

		a
		Informazioni qualitative o quantitative - Formato libero
1	Emittente
2	Identificativo unico (ad es. identificativo CUSIP, ISIN o Bloomberg per i collocamenti privati)
2a	Collocamento pubblico o privato
3	Legislazione applicabile allo strumento
3a	Riconoscimento contrattuale dei poteri di svalutazione e di conversione delle autorità di risoluzione
	Trattamento regolamentare
4	Trattamento corrente tenendo conto, se del caso, delle disposizioni transitorie del CRR
5	Disposizioni post-transitorie del CRR
6	Ammissibile a livello solo/(sub-)consolidato / solo & (sub-)consolidato
7	Tipo di strumento (i tipi devono essere specificati per ciascuna giurisdizione)
8	Importo rilevato nel capitale regolamentare o nelle passività ammissibili (moneta in milioni, alla più recente data di riferimento per la segnalazione)
9	Importo nominale dello strumento
EU-9a	Prezzo di emissione
EU-9b	Prezzo di rimborso
10	Classificazione contabile
11	Data di emissione originaria
12	Irredimibile o a scadenza
13	Data di scadenza originaria
14	Rimborso anticipato a discrezione dell'emittente soggetto ad approvazione preventiva dell'autorità di vigilanza
15	Data del rimborso anticipato facoltativo, date del rimborso anticipato eventuale e importo del rimborso
16	Date successive di rimborso anticipato, se del caso
	Cedole/dividendi
17	Dividendi/cedole fissi o variabili
18	Tasso della cedola ed eventuale indice collegato
19	Esistenza di un «dividend stopper»
EU-20a	Pienamente discrezionale, parzialmente discrezionale o obbligatorio (in termini di tempo)
EU-20b	Pienamente discrezionale, parzialmente discrezionale o obbligatorio (in termini di importo)
21	Presenza di «step up» o di altro incentivo al rimborso
22	Non cumulativo o cumulativo
23	Convertibile o non convertibile
24	Se convertibile, evento(i) che determina(no) la conversione
25	Se convertibile, integralmente o parzialmente
26	Se convertibile, tasso di conversione
27	Se convertibile, conversione obbligatoria o facoltativa
28	Se convertibile, precisare il tipo di strumento nel quale la conversione è possibile
29	Se convertibile, precisare l'emittente dello strumento nel quale viene convertito
30	Meccanismi di svalutazione (write down)
31	In caso di svalutazione, evento(i) che la determina(no)
32	In caso di svalutazione, svalutazione totale o parziale
33	In caso di svalutazione, svalutazione permanente o temporanea
34	In caso di svalutazione temporanea, descrizione del meccanismo di rivalutazione
34a	Tipo di subordinazione (solo per le passività ammissibili)
EU-34b	Rango dello strumento nella procedura ordinaria di insolvenza
35	Posizione nella gerarchia di subordinazione in caso di liquidazione (specificare il tipo di strumento di rango immediatamente superiore (senior))
36	Caratteristiche non conformi oggetto di disposizioni transitorie
37	In caso affermativo, specificare le caratteristiche non conformi
37a	Link alla versione integrale dei termini e delle condizioni dello strumento (signposting)
(1) Inserire «N/A» se l'informazione non si applica

ALLEGATO VIII

Istruzioni per la compilazione dei modelli per l'informativa sui fondi propri

Modello EU CC1: composizione dei fondi propri regolamentari

1. Gli enti pubblicano le informazioni di cui all'articolo 437, lettere a), d), e) e f), del regolamento (UE) n. 575/2013 ( 9 ) («CRR») seguendo le istruzioni fornite di seguito in questo allegato per compilare il modello EU CC1 di cui all'allegato VII del presente regolamento di esecuzione.

2. Ai fini del modello EU CC1, le rettifiche regolamentari comprendono le deduzioni dai fondi propri e i filtri prudenziali.

3. Gli enti sono tenuti a compilare la colonna b) di questo modello per indicare la fonte di ogni input principale, che deve contenere un rimando alle righe corrispondenti del modello EU CC2.

4. Gli enti includono nella descrizione che accompagna il modello una descrizione di tutte le restrizioni applicate al calcolo dei fondi propri conformemente al CRR e degli strumenti, dei filtri prudenziali e delle deduzioni cui si applicano tali restrizioni. Includono inoltre una spiegazione esauriente della base di calcolo dei coefficienti patrimoniali ove tali coefficienti patrimoniali siano calcolati utilizzando elementi dei fondi propri stabiliti su base diversa da quella prevista nel CRR.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
1	Strumenti di capitale e le relative riserve sovrapprezzo azioni Strumenti di capitale e relative riserve sovrapprezzo azioni conformemente all'articolo 26, paragrafo 1, lettere a) e b), e agli articoli 27, 28 e 29 del CRR e all'elenco dell'ABE di cui all'articolo 26, paragrafo 3, del CRR, e loro ripartizione per tipo di strumento.
2	Utili non distribuiti Utili non distribuiti prima di tutte le rettifiche regolamentari conformemente all'articolo 26, paragrafo 1, lettera c), del regolamento CRR (prima dell'inclusione di qualsiasi utile o perdita netti di periodo).
3	Altre componenti di conto economico complessivo accumulate (e altre riserve) Importo delle altre componenti di conto economico complessivo accumulate e altre riserve conformemente all'articolo 26, paragrafo 1, lettere d) ed e), del CRR.
EU-3a	Fondi per rischi bancari generali Importo dei fondi per rischi bancari generali conformemente all'articolo 26, paragrafo 1, lettera f), del CRR.
4	Importo degli elementi ammissibili di cui all'articolo 484, paragrafo 3, del CRR e le relative riserve sovrapprezzo azioni, soggetti a eliminazione progressiva dal capitale CET1 Importo degli elementi ammissibili di cui all'articolo 484, paragrafo 3, del CRR, e le relative riserve sovrapprezzo azioni, soggetti a eliminazione progressiva dal capitale CET1, di cui all'articolo 486, paragrafo 2, del CRR.
5	Interessi di minoranza (importo consentito nel capitale CET1 consolidato) Interessi di minoranza (importo consentito nel capitale CET1 consolidato) conformemente all'articolo 84 del CRR.
EU-5a	Utili di periodo verificati da persone indipendenti al netto di tutti gli oneri o dividendi prevedibili Utili di periodo verificati da persone indipendenti al netto di tutti gli oneri o i dividendi prevedibili a norma dell'articolo 26, paragrafo 2, del CRR.
6	Capitale primario di classe 1 (CET1) prima delle rettifiche regolamentari Somma degli importi nelle righe da 1 a EU-5a di questo modello.
7	Rettifiche di valore supplementari (importo negativo) Rettifiche di valore supplementari conformemente agli articoli 34 e 105 del CRR (importo negativo).
8	Attività immateriali (al netto delle relative passività fiscali) (importo negativo) Attività immateriali (al netto delle relative passività fiscali) conformemente all'articolo 36, paragrafo 1, lettera b), e all'articolo 37 del CRR (importo negativo).
9	Non applicabile
10	Attività fiscali differite che dipendono dalla redditività futura, escluse quelle derivanti da differenze temporanee (al netto delle relative passività fiscali per le quali sono soddisfatte le condizioni di cui all' articolo 38, paragrafo 3, del CRR) (importo negativo) Attività fiscali differite che dipendono dalla redditività futura, escluse quelle derivanti da differenze temporanee (al netto delle relative passività fiscali per le quali sono soddisfatte le condizioni di cui all' articolo 38, paragrafo 3, del CRR), conformemente all'articolo 36, paragrafo 1, lettera c), e all'articolo 38 del CRR (importo negativo).
11	Riserve di valore equo relative ai profitti e alle perdite generati dalla copertura dei flussi di cassa degli strumenti finanziari che non sono valutati al valore equo Riserve di valore equo relative ai profitti e alle perdite generati dalla copertura dei flussi di cassa degli strumenti finanziari che non sono valutati al valore equo conformemente all'articolo 33, paragrafo 1, lettera a), del CRR.
12	Importi negativi risultanti dal calcolo degli importi delle perdite attese Importi negativi risultanti dal calcolo degli importi delle perdite attese, conformemente all'articolo 36, paragrafo 1, lettera d), e all'articolo 40 del CRR.
13	Qualsiasi aumento del patrimonio netto risultante da attività cartolarizzate (importo negativo) Qualsiasi aumento del patrimonio netto risultante da attività cartolarizzate, conformemente all'articolo 32, paragrafo 1, del CRR (importo negativo).
14	I profitti o le perdite sulle passività dell'ente valutate al valore equo dovuti a variazioni del merito di credito dell'ente I profitti o le perdite sulle passività dell'ente valutate al valore equo dovuti a variazioni del merito di credito dell'ente conformemente all'articolo 33, paragrafo1, lettera b), del CRR.
15	Attività dei fondi pensione a prestazioni definite (importo negativo) Attività dei fondi pensione a prestazioni definite conformemente all'articolo 36, paragrafo 1, lettera e), e all'articolo 41 del CRR (importo negativo).
16	Propri strumenti del capitale CET1 detenuti dall'ente direttamente, indirettamente o sinteticamente (importo negativo) Propri strumenti del capitale CET1 detenuti dall'ente direttamente, indirettamente o sinteticamente, di cui all'articolo 36, paragrafo 1, lettera f), e all'articolo 42 del CRR (importo negativo).
17	Strumenti di capitale CET1 di soggetti del settore finanziario detenuti direttamente, indirettamente o sinteticamente quando tali soggetti detengono con l'ente una partecipazione incrociata reciproca concepita per gonfiare artificialmente i fondi propri dell'ente (importo negativo) Strumenti di capitale CET1 di soggetti del settore finanziario detenuti direttamente, indirettamente o sinteticamente quando tali soggetti detengono con l'ente una partecipazione incrociata reciproca concepita per gonfiare artificialmente i fondi propri dell'ente, di cui all'articolo 36, paragrafo 1, lettera g), e all'articolo 44 del CRR (importo negativo).
18	Strumenti di capitale CET1 di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente non ha un investimento significativo in tali soggetti (importo superiore alla soglia del 10 % e al netto di posizioni corte ammissibili) (importo negativo) Strumenti di capitale CET1 di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente non ha un investimento significativo in tali soggetti (importo superiore alla soglia del 10 % e al netto di posizioni corte ammissibili), di cui all'articolo 36, paragrafo 1, lettera h), agli articoli 43, 45, 46, all'articolo 49, paragrafi 2 e 3, e all'articolo 79 del CRR (importo negativo).
19	Strumenti di capitale CET1 di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente ha un investimento significativo in tali soggetti (importo superiore alla soglia del 10 % e al netto di posizioni corte ammissibili) (importo negativo) Strumenti di capitale CET1 di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente ha un investimento significativo in tali soggetti (importo superiore alla soglia del 10 % e al netto di posizioni corte ammissibili), di cui all'articolo 36, paragrafo 1, lettera i), agli articoli 43, 45 e 47, all'articolo 48, paragrafo 1, lettera b), e all'articolo 49, paragrafi 1, 2 e 3, del CRR (importo negativo).
20	Non applicabile
EU-20a	Importo dell'esposizione dei seguenti elementi, che possiedono i requisiti per ricevere un fattore di ponderazione del rischio pari al 1 250 %, quando l'ente opta per la deduzione Importo dell'esposizione che possiede i requisiti per ricevere un fattore di ponderazione del rischio pari al 1 250 %, quando l'ente opta per la deduzione, di cui all'articolo 36, paragrafo 1, lettera k), del CRR.
EU-20b	Di cui partecipazioni qualificate al di fuori del settore finanziario (importo negativo) Dell'importo nella riga EU-20a, l'importo relativo alle partecipazioni qualificate al di fuori del settore finanziario, conformemente all'articolo 36, paragrafo 1, lettera k), punto i), e agli articoli da 89, 90 e 91 del CRR (importo negativo).
EU-20c	Di cui posizioni verso la cartolarizzazione (importo negativo) Dell'importo nella riga EU-20a di questo modello, l'importo relativo alle posizioni verso la cartolarizzazione conformemente all'articolo 36, paragrafo 1, lettera k), punto ii), all'articolo 243, paragrafo 1, lettera b), all'articolo 244, paragrafo 1, lettera b), e all'articolo 258 del CRR (importo negativo).
EU-20d	Di cui operazioni con regolamento non contestuale (importo negativo) Dell'importo nella riga EU-20a di questo modello, l'importo relativo alle operazioni con regolamento non contestuale, conformemente all'articolo 36, paragrafo 1, lettera k), punto iii), e all'articolo 379, paragrafo 3, del CRR (importo negativo).
21	Attività fiscali differite che derivano da differenze temporanee (importo superiore alla soglia del 10 %, al netto delle relative passività fiscali per le quali sono soddisfatte le condizioni di cui all'articolo 38, paragrafo 3, del CRR) (importo negativo) Attività fiscali differite che derivano da differenze temporanee (importo superiore alla soglia del 10 %, al netto delle relative passività fiscali per le quali sono soddisfatte le condizioni di cui all'articolo 38, paragrafo 3, del CRR), di cui all'articolo 36, paragrafo 1, lettera c), all'articolo 38 e all'articolo 48, paragrafo 1, lettera a), del CRR (importo negativo).
22	Importo che supera la soglia del 17,65 % (importo negativo) Importo che supera la soglia del 17,65 % conformemente all'articolo 48, paragrafo 1, del CRR (importo negativo).
23	Di cui strumenti di capitale CET1 di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente ha un investimento significativo in tali soggetti Dell'importo indicato nella riga 22 di questo modello, l'importo degli strumenti di capitale CET1 di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente ha un investimento significativo in tali soggetti, di cui all'articolo 36, paragrafo 1, lettera i) e all'articolo 48, paragrafo 1, lettera b), del CRR.
24	Non applicabile
25	Di cui attività fiscali differite che derivano da differenze temporanee Dell'importo della riga 22 di questo modello, l'importo delle attività fiscali differite che derivano da differenze temporanee, di cui all'articolo 36, paragrafo 1, lettera c), all'articolo 38 e all'articolo 48, paragrafo 1, lettera a), del CRR.
EU-25a	Perdite relative all'esercizio in corso (importo negativo) Perdite relative all'esercizio in corso, conformemente all'articolo 36, paragrafo 1, lettera a), del CRR (importo negativo).
EU-25b	Tributi prevedibili relativi agli elementi del capitale CET1, ad eccezione dei casi in cui l'ente adatta di conseguenza l'importo degli elementi del capitale CET1 nella misura in cui tali tributi riducano l'importo fino a concorrenza del quale questi elementi possono essere destinati alla copertura di rischi o perdite (importo negativo) Importi di tributi prevedibili relativi agli elementi del capitale CET1 prevedibili al momento del calcolo, ad eccezione dei casi in cui l'ente adatta di conseguenza l'importo degli elementi del capitale CET1, nella misura in cui tali tributi riducano l'importo fino a concorrenza del quale questi elementi possono essere destinati alla copertura di rischi o perdite, conformemente all'articolo 36, paragrafo 1, lettera l), del CRR (importo negativo).
26	Non applicabile
27	Deduzioni ammissibili dal capitale AT1 che superano gli elementi del capitale AT1 dell'ente (importo negativo) Deduzioni ammissibili dal capitale AT1 che superano gli elementi del capitale AT1, di cui all'articolo 36, paragrafo 1, lettera j), del CRR (importo negativo).
EU-27a	Altre rettifiche regolamentari Gli enti indicano in questa riga le rettifiche regolamentari applicabili, segnalate nell'ambito delle segnalazioni a fini di vigilanza e non incluse in altre righe di questo modello, compreso l'importo delle disposizioni transitorie dell'IFRS 9, ove pertinente e fino alla fine del periodo transitorio.
28	Totale delle rettifiche regolamentari del capitale primario di classe 1 (CET1) Da calcolare come somma degli importi nelle righe da 7 a EU-20a, 21, 22 e da EU-25a a EU-27a di questo modello.
29	Capitale primario di classe 1 (CET1) Da calcolare come la riga 6 meno la riga 28 di questo modello.
30	Strumenti di capitale e le relative riserve sovrapprezzo azioni Strumenti di capitale e le relative riserve sovrapprezzo azioni, conformemente agli articoli 51 e 52 del CRR.
31	Di cui classificati come patrimonio netto a norma dei principi contabili applicabili L'importo nella riga 30 di questo modello classificato come patrimonio netto a norma dei principi contabili applicabili.
32	Di cui classificati come passività a norma dei principi contabili applicabili L'importo nella riga 30 di questo modello classificato come passività a norma dei principi contabili applicabili.
33	Importo degli elementi ammissibili di cui all'articolo 484, paragrafo 4, del CRR e le relative riserve sovrapprezzo azioni, soggetti a eliminazione progressiva dal capitale AT1 Importo degli elementi ammissibili di cui all'articolo 484, paragrafo 4, del CRR e le relative riserve sovrapprezzo azioni, soggetti a eliminazione progressiva dal capitale AT1, conformemente all'articolo 486, paragrafo 3, del CRR.
EU-33a	Importo degli elementi ammissibili di cui all'articolo 494 bis, paragrafo 1, del CRR soggetti a eliminazione graduale dal capitale AT1
EU-33b	Importo degli elementi ammissibili di cui all'articolo 494 ter, paragrafo 1, del CRR soggetti a eliminazione graduale dal capitale AT1
34	Capitale di classe 1 ammissibile incluso nel capitale AT1 consolidato (compresi gli interessi di minoranza non inclusi nella riga 5) emesso da filiazioni e detenuto da terzi Capitale di classe 1 ammissibile incluso nel capitale AT1 consolidato (compresi gli interessi di minoranza non inclusi nella riga 5) emesso da filiazioni e detenuto da terzi, conformemente agli articoli 85 e 86 del CRR.
35	Di cui strumenti emessi da filiazioni soggetti a eliminazione progressiva L'importo riportato nella riga 34 di questo modello relativo agli strumenti emessi da filiazioni, soggetti a eliminazione progressiva, di cui all'articolo 486, paragrafo 3, del CRR.
36	Capitale aggiuntivo di classe 1 (AT1) prima delle rettifiche regolamentari Somma degli importi nelle righe 30, 33, EU-33a, EU-33b e 34 di questo modello.
37	Strumenti propri di capitale AT1 detenuti dall'ente direttamente, indirettamente o sinteticamente (importo negativo) Strumenti propri di capitale AT1 detenuti dall'ente direttamente, indirettamente o sinteticamente, di cui all'articolo 52, paragrafo 1, lettera b), all'articolo 56, lettera a), e all'articolo 57 del CRR (importo negativo).
38	Strumenti di capitale AT1 di soggetti del settore finanziario detenuti direttamente, indirettamente o sinteticamente, quando tali soggetti detengono con l'ente una partecipazione incrociata reciproca concepita per gonfiare artificialmente i fondi propri dell'ente (importo negativo) Strumenti di capitale AT1 di soggetti del settore finanziario detenuti direttamente, indirettamente o sinteticamente, quando tali soggetti detengono con l'ente una partecipazione incrociata reciproca concepita per gonfiare artificialmente i fondi propri dell'ente, di cui all'articolo 56, lettera b), e all'articolo 58 del CRR (importo negativo).
39	Strumenti di capitale AT1 di soggetti del settore finanziario detenuti direttamente, indirettamente o sinteticamente, quando l'ente non ha un investimento significativo in tali soggetti (importo superiore alla soglia del 10 % e al netto di posizioni corte ammissibili) (importo negativo) Strumenti di capitale AT1 di soggetti del settore finanziario detenuti direttamente, indirettamente o sinteticamente, quando l'ente non ha un investimento significativo in tali soggetti (importo superiore alla soglia del 10 % e al netto di posizioni corte ammissibili), di cui all'articolo 56, lettera c), e agli articoli 59, 60 e 79 del CRR (importo negativo).
40	Strumenti di capitale AT1 di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente ha un investimento significativo in tali soggetti (al netto di posizioni corte ammissibili) (importo negativo) Strumenti di capitale AT1 di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente ha un investimento significativo in tali soggetti (al netto di posizioni corte ammissibili), di cui all'articolo 56, lettera d), e agli articoli 59 e 79 del CRR (importo negativo).
41	Non applicabile
42	Deduzioni ammissibili dal capitale T2 che superano gli elementi del capitale T2 dell'ente (importo negativo) Deduzioni ammissibili dal capitale T2 che superano gli elementi del capitale T2 dell'ente, di cui all' articolo 56, lettera e), del CRR (importo negativo).
Eu-42a	Altre rettifiche regolamentari del capitale AT1 Gli enti indicano in questa riga le rettifiche regolamentari applicabili, segnalate nell'ambito delle segnalazioni a fini di vigilanza e non incluse in altre righe di questo modello.
43	Totale delle rettifiche regolamentari del capitale aggiuntivo di classe 1 (AT1) Somma degli importi nelle righe da 37 a EU-42a di questo modello.
44	Capitale aggiuntivo di classe 1 (AT1) Capitale aggiuntivo di classe 1 (AT1), da calcolarsi come la riga 36 meno la riga 43 di questo modello.
45	Capitale di classe 1 (T1 = CET1 + AT1) Capitale di classe 1, da calcolarsi come la somma delle righe 29 e 44 di questo modello.
46	Strumenti di capitale e le relative riserve sovrapprezzo azioni Strumenti di capitale e le relative riserve sovrapprezzo azioni, di cui agli articoli 62 e 63 del CRR.
47	Importo degli elementi ammissibili di cui all'articolo 484, paragrafo 5, del CRR e le relative riserve sovrapprezzo azioni, soggetti a eliminazione progressiva dal capitaleT2, di cui all'articolo 486, paragrafo 4, del CRR
EU-47a	Importo degli elementi ammissibili di cui all'articolo 494 bis, paragrafo 2, del CRR soggetti a eliminazione graduale dal capitale T2
EU-47b	Importo degli elementi ammissibili di cui all'articolo 494 ter, paragrafo 2, del CRR soggetti a eliminazione graduale dal capitale T2
48	Strumenti di fondi propri ammissibili inclusi nel capitale T2 consolidato (compresi gli interessi di minoranza e gli strumenti di capitale AT1 non inclusi nella riga 5 o nella riga 34) emessi da filiazioni e detenuti da terzi Strumenti di fondi propri ammissibili inclusi nel capitaleT2 consolidato (compresi gli interessi di minoranza e strumenti di capitale AT1 non inclusi nella riga 5 o nella riga 34 di questo modello) emessi da filiazioni e detenuti da terzi, di cui agli articoli 87 e 88 del CRR.
49	Di cui strumenti emessi da filiazioni soggetti a eliminazione progressiva Dell'importo nella riga 48, l'importo relativo agli strumenti emessi da filiazioni soggetti a eliminazione progressiva, di cui all'articolo 486, paragrafo 4, del CRR.
50	Rettifiche di valore su crediti Rettifiche di valore su crediti conformemente all'articolo 62, lettere c) e d), del CRR.
51	Capitale di classe 2 (T2) prima delle rettifiche regolamentari Somma degli importi nelle righe 46, 47, 48 e 50 di questo modello.
52	Strumenti propri di capitale T2 e prestiti subordinati detenuti dall'ente direttamente, indirettamente o sinteticamente (importo negativo) Strumenti propri di capitale T2 e prestiti subordinati detenuti dall'ente direttamente, indirettamente o sinteticamente, di cui all'articolo 63, lettera b), punto i), all'articolo 66, lettera a), e all'articolo 67 del CRR (importo negativo).
53	Strumenti di capitale T2 e prestiti subordinati di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando tali soggetti detengono con l'ente una partecipazione incrociata reciproca concepita per gonfiare artificialmente i fondi propri dell'ente (importo negativo) Strumenti di capitale T2 e prestiti subordinati di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando tali soggetti detengono con l'ente una partecipazione incrociata reciproca concepita per gonfiare artificialmente i fondi propri dell'ente, di cui all'articolo 66, lettera b), e all'articolo 68 del CRR (importo negativo).
54	Strumenti di capitale T2 e prestiti subordinati di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente non ha un investimento significativo in tali soggetti (importo superiore alla soglia del 10 % e al netto di posizioni corte ammissibili) (importo negativo) Strumenti di capitale T2 e prestiti subordinati di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente non ha un investimento significativo in tali soggetti (importo superiore alla soglia del 10 % e al netto di posizioni corte ammissibili), di cui all'articolo 66, lettera c) e agli articoli 69, 70 e 79 del CRR (importo negativo).
54a	Non applicabile
55	Strumenti di capitale T2 e prestiti subordinati di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente ha un investimento significativo in tali soggetti (al netto di posizioni corte ammissibili) (importo negativo) Strumenti di capitale T2 e prestiti subordinati di soggetti del settore finanziario detenuti dall'ente direttamente, indirettamente o sinteticamente, quando l'ente ha un investimento significativo in tali soggetti (al netto di posizioni corte ammissibili), di cui all'articolo 66, lettera d), e agli articoli 69 e 79 del CRR (importo negativo).
56	Non applicabile
EU-56a	Deduzioni di passività ammissibili che superano gli elementi delle passività ammissibili dell'ente (importo negativo) Deduzioni di passività ammissibili che superano gli elementi delle passività ammissibili dell'ente conformemente all'articolo 66, lettera e), del CRR (importo negativo).
Eu-56b	Altre rettifiche regolamentari del capitale T2 Gli enti indicano in questa riga le rettifiche regolamentari applicabili, segnalate nell'ambito delle segnalazioni a fini di vigilanza e non incluse in altre righe di questo modello.
57	Totale delle rettifiche regolamentari del capitale di classe 2 (T2) Somma degli importi nelle righe da 52 a EU-56b di questo modello.
58	Capitale di classe 2 (T2) Capitale di classe 2 (T2), da calcolarsi come la riga 51 meno la riga 57 di questo modello.
59	Capitale totale (TC = T1 + T2) Capitale totale, da calcolarsi come la somma delle righe 45 e 58 di questo modello.
60	Importo complessivo dell'esposizione al rischio Importo complessivo dell'esposizione al rischio del gruppo.
61	Capitale primario di classe 1 Capitale primario di classe 1 (in percentuale dell'importo complessivo dell'esposizione al rischio), da calcolarsi come la riga 29 divisa per la riga 60 (in percentuale) di questo modello, conformemente all'articolo 92, paragrafo 2, lettera a), del CRR.
62	Capitale di classe 1 Capitale di classe 1 (in percentuale dell'importo complessivo dell'esposizione al rischio), da calcolarsi come la riga 45 divisa per la riga 60 (in percentuale) di questo modello, conformemente all'articolo 92, paragrafo 2, lettera b), del CRR.
63	Capitale totale Capitale totale (in percentuale dell'importo complessivo dell'esposizione al rischio), da calcolarsi come la riga 59 divisa per la riga 60 (in percentuale) di questo modello, conformemente all'articolo 92, paragrafo 2, lettera c), del CRR.
64	Requisiti patrimoniali complessivi relativi al capitale CET1 dell'ente I requisiti patrimoniali complessivi relativi al capitale CET1 dell'ente sono calcolati come il requisito relativo al capitale CET1, conformemente all'articolo 92, paragrafo 1, lettera a), del CRR, più il requisito relativo al capitale CET1 aggiuntivo che gli enti sono tenuti a detenere a norma dell'articolo 104, paragrafo 1, lettera a), della direttiva 2013/36/UE («CRD»), più il requisito combinato di riserva di capitale, conformemente all'articolo 128, paragrafo 6, della CRD, espresso in percentuale dell'importo dell'esposizione al rischio. Da calcolare come il 4,5 % più i requisiti aggiuntivi del pilastro 2 che gli enti sono tenuti a detenere a norma dell'articolo 104, paragrafo 1, lettera a), della CRD, più il requisito combinato di riserva di capitale calcolato conformemente agli articoli 128, 129, 130, 131 e 133 della CRD. Questa riga indicherà il coefficiente CET1 pertinente per la valutazione dei vincoli sulle distribuzioni.
65	Di cui requisito della riserva di conservazione del capitale L'importo della riga 64 (espresso in percentuale dell'importo complessivo dell'esposizione al rischio) di questo modello relativo al requisito della riserva di conservazione del capitale, conformemente all'articolo 129 della CRD.
66	Di cui requisito della riserva di capitale anticiclica L'importo della riga 64 (espresso in percentuale dell'importo complessivo dell'esposizione al rischio) di questo modello relativo al requisito della riserva di capitale anticiclica, conformemente all'articolo 130 della CRD.
67	Di cui requisito della riserva a fronte del rischio sistemico L'importo della riga 64 (espresso in percentuale dell'importo complessivo dell'esposizione al rischio) di questo modello relativo al requisito della riserva a fronte del rischio sistemico, conformemente all'articolo 133 della CRD.
EU-67a	Di cui requisito della riserva di capitale degli enti a rilevanza sistemica a livello globale (G-SII) o degli altri enti a rilevanza sistemica (O-SII) L'importo della riga 64 (espresso in percentuale dell'importo complessivo dell'esposizione al rischio) di questo modello relativo al requisito della riserva di capitale dei G-SII o degli O-SII, conformemente all'articolo 131 della CRD.
EU-67b	Di cui requisiti aggiuntivi di fondi propri per far fronte a rischi diversi dal rischio di leva finanziaria eccessiva L'importo della riga 64 (espresso in percentuale dell'importo complessivo dell'esposizione al rischio) di questo modello relativo ai requisiti aggiuntivi di fondi propri derivanti dal processo di revisione prudenziale, che devono essere soddisfatti dal capitale CET1, di cui all'articolo 104, paragrafo 1, lettera a), della direttiva 2013/36/UE.
68	Capitale primario di classe 1 (in percentuale dell'importo dell'esposizione al rischio) disponibile dopo aver soddisfatto i requisiti patrimoniali minimi Da calcolarsi come la riga 61 meno 4,5 (punti percentuali), meno EU-67b, meno il capitale primario di classe 1 utilizzato dall'ente per soddisfare i requisiti di capitale aggiuntivo di classe 1 e di capitale di classe 2.
69	Non applicabile
70	Non applicabile
71	Non applicabile
72	Fondi propri e passività ammissibili di soggetti del settore finanziario detenuti direttamente o indirettamente, quando l'ente non ha un investimento significativo in tali soggetti (importo inferiore alla soglia del 10 % e al netto di posizioni corte ammissibili) Fondi propri e passività ammissibili di soggetti del settore finanziario detenuti direttamente o indirettamente, quando l'ente non ha un investimento significativo in tali soggetti (importo inferiore alla soglia del 10 % e al netto di posizioni corte ammissibili) conformemente all'articolo 36, paragrafo 1, lettera h), agli articoli 45 e 46, all'articolo 56, lettera c), agli articoli 59 e 60, all'articolo 66, lettera c), agli articoli 69, 70 e 72 decies del CRR.
73	Strumenti di capitale CET1 di soggetti del settore finanziario detenuti direttamente o indirettamente dall'ente, quando l'ente ha un investimento significativo in tali soggetti (importo inferiore alla soglia del 17,65 % e al netto di posizioni corte ammissibili) Strumenti di capitale CET1 di soggetti del settore finanziario detenuti direttamente o indirettamente dall'ente, quando l'ente ha un investimento significativo in tali soggetti (importo inferiore alla soglia del 17,65 % e al netto di posizioni corte ammissibili), conformemente all'articolo 36, paragrafo 1, lettera i), agli articoli 43, 45 e 47, all'articolo 48, paragrafo 1, lettera b), e all'articolo 49, paragrafi 1, 2 e 3, del CRR (l'importo totale di tali investimenti non indicati nelle righe 19 e 23 di questo modello).
74	Non applicabile
75	Attività fiscali differite che derivano da differenze temporanee (importo inferiore alla soglia del 17,65 %, al netto delle relative passività fiscali per le quali sono soddisfatte le condizioni di cui all'articolo 38, paragrafo 3, del CRR) Attività fiscali differite che derivano da differenze temporanee (importo inferiore alla soglia del 17,65 %, conformemente all'articolo 48, paragrafo 2, lettera b), del CRR, al netto delle relative passività fiscali per le quali sono soddisfatte le condizioni di cui all'articolo 38, paragrafo 3, del CRR), conformemente all'articolo 36, paragrafo 1, lettera c), e agli articoli 38 e 48 del CRR (l'importo totale di tali attività fiscali differite che non sono indicate nelle righe 21 e 25 di questo modello).
76	Rettifiche di valore su crediti incluse nel capitale T2 in relazione alle esposizioni soggette al metodo standardizzato (prima dell'applicazione del massimale) Rettifiche di valore su crediti incluse nel capitale T2 in relazione alle esposizioni soggette al metodo standardizzato, conformemente all'articolo 62, lettera c), del CRR.
77	Massimale per l'inclusione di rettifiche di valore su crediti nel capitale T2 nel quadro del metodo standardizzato Massimale per l'inclusione di rettifiche di valore su crediti nel capitale T2 nel quadro del metodo standardizzato, conformemente all'articolo 62, lettera c), del CRR.
78	Rettifiche di valore su crediti incluse nel capitale T2 in relazione alle esposizioni soggette al metodo basato sui rating interni (prima dell'applicazione del massimale) Rettifiche di valore su crediti incluse nel capitale T2 in relazione alle esposizioni soggette al metodo basato sui rating interni, conformemente all'articolo 62, lettera d), del CRR.
79	Massimale per l'inclusione di rettifiche di valore su crediti nel capitale T2 nel quadro del metodo basato sui rating interni Massimale per l'inclusione di rettifiche di valore su crediti nel capitale T2 nel quadro del metodo basato sui rating interni, conformemente all'articolo 62, lettera d), del CRR.
80	Massimale corrente sugli strumenti di capitale CET1 soggetti a eliminazione progressiva Massimale corrente sugli strumenti di capitale CET1 soggetti a eliminazione progressiva, conformemente all'articolo 484, paragrafo 3, e all'articolo 486, paragrafi 2 e 5, del CRR.
81	Importo escluso dal capitale CET1 in ragione del massimale (superamento del massimale dopo i rimborsi e le scadenze) Importo escluso dal capitale CET1 in ragione del massimale (superamento del massimale dopo i rimborsi e le scadenze), conformemente all'articolo 484, paragrafo 3, e all'articolo 486, paragrafi 2 e 5, del CRR.
82	Massimale corrente sugli strumenti di capitale AT1 soggetti a eliminazione progressiva Massimale corrente sugli strumenti di capitale AT1 soggetti a eliminazione progressiva, conformemente all'articolo 484, paragrafo 4, e all'articolo 486, paragrafi 3 e 5, del CRR.
83	Importo escluso dal capitale AT1 in ragione del massimale (superamento del massimale dopo i rimborsi e le scadenze) Importo escluso dal capitale AT1 in ragione del massimale (superamento del massimale dopo i rimborsi e le scadenze), conformemente all'articolo 484, paragrafo 4, e all'articolo 486, paragrafi 3 e 5, del CRR.
84	Massimale corrente sugli strumenti di capitale T2 soggetti a eliminazione progressiva Massimale corrente sugli strumenti di capitale T2 soggetti a eliminazione progressiva, conformemente all'articolo 484, paragrafo 5, e all'articolo 486, paragrafi 4 e 5, del CRR.
85	Importo escluso dal capitale T2 in ragione del massimale (superamento del massimale dopo i rimborsi e le scadenze) Importo escluso dal capitale T2 in ragione del massimale (superamento del massimale dopo i rimborsi e le scadenze), conformemente all'articolo 484, paragrafo 5, e all'articolo 486, paragrafi 4 e 5, del CRR.

Modello EU CC2: riconciliazione dei fondi propri regolamentari con lo stato patrimoniale nel bilancio sottoposto a revisione contabile

5. Gli enti pubblicano le informazioni di cui all'articolo 437, lettera a), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare il modello EU CC2 di cui all'allegato VII del presente regolamento di esecuzione.

6. Gli enti pubblicano lo stato patrimoniale incluso nel bilancio pubblicato. Il bilancio è sottoposto a revisione contabile ai fini dell'informativa di fine esercizio.

7. Le righe del modello sono flessibili e sono pubblicate dagli enti conformemente al loro bilancio. Gli elementi dei fondi propri nei bilanci sottoposti a revisione contabile includono tutti gli elementi che sono componenti dei fondi propri regolamentari o che ne sono dedotti, tra cui patrimonio netto, passività quali debiti, o altre voci dello stato patrimoniale che influenzano i fondi propri regolamentari, quali attività immateriali, avviamento, attività fiscali differite. Gli enti espandono gli elementi dei fondi propri dello stato patrimoniale come necessario per assicurare che tutte le componenti incluse nel modello per l'informativa sulla composizione dei fondi propri (modello EU CC1) figurino separatamente. Gli enti espandono gli elementi dello stato patrimoniale solo fino al livello di granularità necessario per ricavare le componenti richieste dal modello EU CC1. L'informativa è proporzionata alla complessità dello stato patrimoniale dell'ente.

8. Le colonne sono fisse e sono indicate come segue:

a.

colonna a: gli enti riportano i dati dello stato patrimoniale incluso nel bilancio pubblicato conformemente all'ambito del consolidamento contabile;

b.

colonna b: gli enti pubblicano le cifre corrispondenti all'ambito del consolidamento prudenziale;

c.

colonna c: gli enti includono il riferimento incrociato tra la voce relativa ai fondi propri nel modello EU CC2 e le voci pertinenti nel modello per l'informativa sui fondi propri EU CC1. Il riferimento nella colonna c del modello EU CC2 sarà collegato al riferimento contenuto nella colonna b del modello EU CC1.

9.

Nei seguenti casi in cui l'ambito del consolidamento contabile degli enti e l'ambito del consolidamento prudenziale sono esattamente gli stessi, le colonne a) e b) di questo modello sono riunite e questo fatto è chiaramente indicato:

d.

quando gli enti rispettano gli obblighi di cui alla parte otto del CRR su base consolidata o subconsolidata, ma l'ambito e il metodo di consolidamento utilizzati per lo stato patrimoniale nel bilancio sono identici all'ambito e al metodo di consolidamento definiti in conformità della parte uno, titolo II, capo 2, del CRR, e gli enti dichiarano esplicitamente l'assenza di differenze tra i rispettivi ambiti e metodi di consolidamento;

e.

quando gli enti rispettano gli obblighi di cui alla parte otto del CRR su base individuale.

Tabella EU CCA: principali caratteristiche degli strumenti di fondi propri regolamentari e degli strumenti di passività ammissibili

10. Gli enti pubblicano le informazioni di cui all'articolo 437, lettere b) e c), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare il modello EU CCA di cui all'allegato VII del presente regolamento di esecuzione.

11. Gli enti compilano la tabella EU CCA per le seguenti categorie: strumenti di capitale primario di classe 1, strumenti di capitale aggiuntivo di classe 1, strumenti di capitale di classe 2 e, ai sensi dell'articolo 72 ter del CRR, strumenti di passività ammissibili.

12. Le tabelle comprendono colonne separate con le caratteristiche di ciascuno strumento regolamentare di fondi propri e di ciascuno strumento di passività ammissibili. Nei casi in cui differenti strumenti di capitale di una stessa categoria presentino caratteristiche identiche, gli enti possono compilare soltanto una colonna con tali caratteristiche identiche e indicare le emissioni a cui le caratteristiche identiche si riferiscono. Nel pubblicare le colonne relative a tali strumenti, gli enti le raggruppano in tre sezioni (orizzontalmente lungo la tabella) per indicare se siano destinate a soddisfare i) solo i requisiti di fondi propri (e non di passività ammissibili); ii) i requisiti di fondi propri e di passività ammissibili; oppure iii) solo i requisiti di passività ammissibili (e non di fondi propri).

13. In relazione agli strumenti di passività ammissibili che non sono subordinati alle passività escluse, gli enti indicano solo i titoli che sono strumenti finanziari fungibili e negoziabili, ad esclusione dei prestiti e dei depositi.

Istruzioni per la compilazione della tabella delle caratteristiche principali degli strumenti di fondi propri regolamentari e degli strumenti di passività ammissibili
Numero di riga	Spiegazione
1	Emittente Gli enti indicano la denominazione giuridica dell'emittente. Testo libero
2	Identificativo unico (ad es. CUSIP, ISIN o Bloomberg per i collocamenti privati). Testo libero
EU-2a	Collocamento pubblico o privato Gli enti specificano se lo strumento è stato collocato pubblicamente o privatamente. Selezionare dal menu: [Pubblico] [Privato]
3	Legislazione applicabile allo strumento Gli enti specificano la legislazione che disciplina lo strumento. Testo libero
3a	Riconoscimento contrattuale dei poteri di svalutazione e di conversione delle autorità di risoluzione Gli enti specificano se lo strumento contiene una clausola in base alla quale, su decisione di un'autorità di risoluzione o di un'autorità competente di un paese terzo, il valore nominale dello strumento deve essere svalutato su base permanente o lo strumento deve essere convertito in uno strumento di capitale primario di classe 1, ai sensi, se del caso, delle seguenti disposizioni: — in relazione agli strumenti di capitale aggiuntivo di classe 1, l'articolo 52, paragrafo 1, lettera p), del CRR; — in relazione agli strumenti di capitale di classe 2, l'articolo 63, lettera n) o lettera o), del CRR; — in relazione alle passività ammissibili, l'articolo 72 ter, paragrafo 2, lettera n), del CRR; — in relazione a uno qualsiasi dei punti precedenti disciplinato dal diritto di paesi terzi, l'articolo 55 della direttiva (UE) 2019/879 (1). La svalutazione e la conversione possono essere entrambe conformi all'articolo 55 della direttiva BRRD e a uno qualunque dei primi tre trattini. Selezionare dal menu: [SÌ] [NO]
4	Trattamento corrente tenendo conto, se del caso, delle disposizioni transitorie del CRR Gli enti specificano il trattamento regolamentare transitorio dei fondi propri previsto dal CRR. La classificazione originaria dello strumento è il punto di riferimento indipendentemente da eventuali riclassificazioni in classi inferiori di fondi propri. Selezionare dal menu: [Capitale primario di classe 1] [Capitale aggiuntivo di classe 1] [Capitale di classe 2] [Non ammissibile] [N/D] Testo libero: specificare se una parte dell'emissione è stata riclassificata in classi inferiori di capitale.
5	Disposizioni post-transitorie del CRR Gli enti specificano il trattamento regolamentare dei fondi propri a norma del CRR senza tener conto del trattamento transitorio. Selezionare dal menu: [Capitale primario di classe 1] [capitale aggiuntivo di classe 1] [Capitale di classe 2 ] [Passività ammissibili] [Non ammissibile]
6	Ammissibile a livello solo/(sub-)consolidato / solo & e (sub-)consolidato Gli enti specificano il livello o i livelli, all'interno del gruppo, a cui lo strumento è incluso nei fondi propri/nelle passività ammissibili. Selezionare dal menu: [Solo][(sub-)consolidato] [solo & (sub-)consolidato]
7	Tipo di strumento (i tipi devono essere specificati per ciascuna giurisdizione) Gli enti specificano il tipo di strumento, che varia a seconda della giurisdizione. Per gli strumenti di capitale CET1, selezionare la denominazione dello strumento nell'elenco del capitale CET1 pubblicato dall'ABE a norma dell'articolo 26, paragrafo 3, del CRR. Per gli altri strumenti, selezionare: dal menu di opzioni fornito agli enti da ciascuna giurisdizione – inserire i riferimenti giuridici agli articoli del CRR per ciascun tipo di strumento
8	Importo rilevato nel capitale regolamentare o nelle passività ammissibili (moneta in milioni, alla più recente data di riferimento per la segnalazione) Gli enti specificano l'importo rilevato nei fondi propri regolamentari o nelle passività ammissibili. Testo libero: specificare in particolare se alcune parti degli strumenti sono in classi diverse di fondi propri regolamentari e se l'importo rilevato nei fondi propri regolamentari è diverso dall'importo emesso.
9	Importo nominale dello strumento Importo nominale dello strumento nella moneta di emissione e nella moneta utilizzata per gli obblighi di segnalazione. Testo libero
EU-9a	Prezzo di emissione Prezzo di emissione dello strumento. Testo libero
EU-9b	Prezzo di rimborso Prezzo di rimborso dello strumento. Testo libero
10	Classificazione contabile Gli enti specificano la classificazione contabile. Selezionare dal menu: [Patrimonio netto] [Passività - costo ammortizzato] [Passività - opzione del valore equo] [Interessi di minoranza in filiazioni consolidate]
11	Data di emissione originaria Gli enti specificano la data di emissione. Testo libero
12	Irredimibile o a scadenza Gli enti specificano se uno strumento è irredimibile o a scadenza. Selezionare dal menu: [Irredimibile] [A scadenza]
13	Data di scadenza originaria Per gli strumenti a scadenza, gli enti specificano la data di scadenza originaria (giorno, mese e anno). Per gli strumenti irredimibili, inserire la dicitura «privo di scadenza». Testo libero
14	Rimborso anticipato a discrezione dell'emittente soggetto ad approvazione preventiva dell'autorità di vigilanza Gli enti specificano se esiste un'opzione di rimborso anticipato a discrezione dell'emittente (tutti i tipi di opzioni di rimborso anticipato). Selezionare dal menu: [SÌ] [NO]
15	Data del rimborso anticipato facoltativo, date del rimborso anticipato eventuale e importo del rimborso Per gli strumenti con opzioni di rimborso anticipato a discrezione dell'emittente, gli enti specificano la data del primo rimborso anticipato se lo strumento prevede un rimborso anticipato ad una data prestabilita (giorno, mese e anno) e inoltre indicano se lo strumento prevede l'opzione di rimborso anticipato legata a eventi fiscali e/o regolamentari. Gli enti specificano inoltre il prezzo di rimborso, che contribuisce a valutare la stabilità dello strumento. Testo libero
16	Date successive di rimborso anticipato, se del caso Gli enti specificano l'esistenza e la frequenza delle date di rimborso successive, se del caso, che contribuiscono a valutare la stabilità dello strumento. Testo libero
17	Cedole/dividendi fissi o variabili Gli enti specificano se le cedole/i dividendi sono fissi nell'arco della vita dello strumento, variabili nell'arco della vita dello strumento, attualmente fissi ma destinati a divenire variabili in futuro o attualmente variabili ma destinati a divenire fissi in futuro. Selezionare dal menu: [Fissi], [Variabili], [Da fissi a variabili], [Da variabili a fissi]
18	Tasso della cedola ed eventuale indice collegato Gli enti specificano il tasso della cedola dello strumento ed eventuali indici di riferimento cui è collegato il tasso della cedola/ del dividendo. Testo libero
19	Presenza di un «dividend stopper» Gli enti specificano se il non pagamento di cedole o dividendi sullo strumento comporta il divieto di pagamento di dividendi sulle azioni ordinarie (esistenza di un «dividend stopper»). Selezionare dal menu: [SÌ] [NO]
EU-20a	Pienamente discrezionale, parzialmente discrezionale o obbligatorio (in termini di tempo) Gli enti specificano se l'emittente gode di discrezionalità piena, parziale o nulla nel decidere in merito al pagamento della cedola/del dividendo. Se l'ente gode in qualunque circostanza della piena discrezionalità di annullare il pagamento delle cedole/dei dividendi, selezionare «pienamente discrezionale» (anche in presenza di «dividend stopper» che non impediscono all'ente di annullare i pagamenti relativi allo strumento). Se l'annullamento del pagamento è sottoposto a determinate condizioni (ad es. fondi propri al di sotto di una determinata soglia), selezionare «parzialmente discrezionale». Se l'ente non può annullare il pagamento se non in caso di insolvenza, selezionare «obbligatorio». Selezionare dal menu: [Pienamente discrezionale] [Parzialmente discrezionale] [Obbligatorio] Testo libero (specificare i motivi di discrezionalità, l'esistenza di «dividend pusher», di «dividend stopper» e di ACSM)
EU-20b	Pienamente discrezionale, parzialmente discrezionale o obbligatorio (in termini di importo) Gli enti specificano se l'emittente gode di discrezionalità piena, parziale o nulla sull'importo della cedola/del dividendo. Selezionare dal menu: [Pienamente discrezionale] [Parzialmente discrezionale] [Obbligatorio]
21	Presenza di «step up» o di altro incentivo al rimborso Gli enti specificano l'esistenza di una clausola di «step up» o altro incentivo al rimborso. Selezionare dal menu: [SÌ] [NO]
22	Non cumulativo o cumulativo Gli enti specificano se i dividendi/le cedole sono cumulativi o non cumulativi. Selezionare dal menu: [Non cumulativo] [Cumulativo] [ACSM]
23	Convertibile o non convertibile Gli enti specificano se lo strumento è convertibile o meno. Selezionare dal menu: [Convertibile] [Non convertibile]
24	Se convertibile, eventi che determinano la conversione Gli enti specificano le condizioni alle quali lo strumento potrà essere convertito, compreso il momento in cui l'ente non è redditizio. Nel caso in cui la conversione possa essere attivata da una o più autorità, elencare le autorità in questione. Per ogni autorità, è indicato se la base giuridica che permette all'autorità di attivare la conversione è prevista dalle clausole del contratto relativo allo strumento (approccio contrattuale) o dalla normativa (approccio normativo). Testo libero
25	Se convertibile, integralmente o parzialmente Gli enti specificano se lo strumento sarà sempre convertito integralmente, potrà essere convertito integralmente o parzialmente, o sarà sempre convertito parzialmente. Selezionare dal menu: [Sempre integralmente] [Integralmente o parzialmente] [Sempre parzialmente]
26	Se convertibile, tasso di conversione Gli enti specificano il tasso di conversione nello strumento avente maggiore capacità di assorbimento delle perdite. Testo libero
27	Se convertibile, conversione obbligatoria o facoltativa Per gli strumenti convertibili, gli enti specificano se la conversione è obbligatoria o facoltativa. Selezionare dal menu: [Obbligatoria] [Facoltativa] [N/A] e [A scelta del possessore] [A scelta dell'emittente] [A scelta di entrambi, possessore ed emittente]
28	Se convertibile, precisare il tipo di strumento nel quale la conversione è possibile Per gli strumenti convertibili, gli enti specificano il tipo di strumento nel quale la conversione è possibile. Contribuisce a valutare la capacità di assorbimento delle perdite. Selezionare dal menu: [Capitale primario di classe 1] [Capitale aggiuntivo di classe 1] [Capitale di classe 2] [Altro]
29	Se convertibile, precisare l'emittente dello strumento nel quale viene convertito Testo libero
30	Meccanismi di svalutazione Gli enti specificano se esistono meccanismi di svalutazione. Selezionare dal menu: [SÌ] [NO]
31	In caso di svalutazione, eventi che la determinano Gli enti specificano gli eventi che determinano la svalutazione, compreso il momento in cui l'ente non è redditizio. Nel caso in cui la svalutazione possa essere attivata da una o più autorità, elencare le autorità in questione. Per ogni autorità, è indicato se la base giuridica che permette all'autorità di attivare la svalutazione è prevista dalle clausole del contratto relativo allo strumento (approccio contrattuale) o dalla normativa (approccio normativo). Testo libero
32	In caso di svalutazione, svalutazione totale o parziale Gli enti specificano se lo strumento sarà sempre svalutato integralmente, potrà essere svalutato parzialmente, o sarà sempre svalutato parzialmente. Contribuisce alla valutazione del livello di assorbimento delle perdite al momento della svalutazione. Selezionare dal menu: [Sempre integralmente] [Integralmente o parzialmente] [Sempre parzialmente]
33	In caso di svalutazione, svalutazione permanente o temporanea Per gli strumenti di svalutazione, gli enti specificano se la svalutazione è permanente o temporanea. Selezionare dal menu: [Permanente] [Temporanea] [N/A]
34	In caso di svalutazione temporanea, descrizione del meccanismo di rivalutazione Gli enti descrivono il meccanismo di rivalutazione. Testo libero
34a	Tipo di subordinazione (solo per le passività ammissibili) Gli enti specificano se lo strumento soddisfa uno dei tipi di subordinazione di cui all'articolo 72 ter, paragrafo 2, lettera d), punti i), ii) e iii), del CRR. Selezionare dal menu: [Contrattuale] se lo strumento soddisfa i requisiti di cui all'articolo 72 ter, paragrafo 2, lettera d), punto i), del CRR; [Regolamentare] se lo strumento soddisfa i requisiti di cui all'articolo 72 ter, paragrafo 2, lettera d), punto ii), del CRR; [Strutturale] se lo strumento soddisfa i requisiti di cui all'articolo 72 ter, paragrafo 2, lettera d), punto iii), del CRR; [Esenzione dalla subordinazione] se lo strumento non soddisfa nessuna delle succitate forme di subordinazione e a condizione che l'ente sia stato autorizzato a norma dell'articolo 72 ter, paragrafo 4, del CRR, a includere le passività non subordinate tra gli elementi di passività ammissibili.
EU-34b	Rango dello strumento nella procedura ordinaria di insolvenza Gli enti specificano il rango dello strumento nella procedura ordinaria di insolvenza. Come definito in [ITS sulla segnalazione del MREL].
35	Posizione nella gerarchia di subordinazione in caso di liquidazione (specificare il tipo di strumento di rango immediatamente superiore (senior)) Gli enti specificano lo strumento al quale è immediatamente subordinato. Se del caso, le banche specificano i numeri di colonna degli strumenti di rango immediatamente inferiore all'interno della tabella per la pubblicazione delle informazioni sulle principali caratteristiche. Testo libero
36	Caratteristiche non conformi oggetto di disposizioni transitorie Gli enti specificano eventuali caratteristiche non conformi. Selezionare dal menu: [SÌ] [NO]
37	In caso affermativo, specificare le caratteristiche non conformi In caso di caratteristiche non conformi, specificare quali. Testo libero
EU-37a	Link alla versione integrale dei termini e delle condizioni dello strumento (segnalazione) Gli enti includono il collegamento ipertestuale al prospetto di emissione, comprese le condizioni dello strumento.
(1) Direttiva (UE) 2019/879 del Parlamento europeo e del Consiglio, del 20 maggio 2019, che modifica la direttiva 2014/59/UE per quanto riguarda la capacità di assorbimento di perdite e di ricapitalizzazione degli enti creditizi e delle imprese di investimento e la direttiva 98/26/CE (GU L 150 del 7.6.2019, pag. 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

Relevant credit exposures – Market risk

Securitisation exposures Exposure value for non-trading book

Total exposure value

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

Relevant credit risk exposures - Credit risk

Relevant credit exposures – Market risk

Relevant credit exposures – Securitisation positions in the non-trading book

Total

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

ALLEGATO X Istruzioni per l'informativa sulle riserve di capitale anticicliche

ALLEGATO X

Istruzioni per l'informativa sulle riserve di capitale anticicliche

Modello EU CCyB1: distribuzione geografica delle esposizioni creditizie rilevanti ai fini del calcolo della riserva di capitale anticiclica - Formato fisso per le colonne, formato flessibile per le righe

1. Gli enti pubblicano le informazioni di cui all'articolo 440, lettera a), del regolamento (UE) n. 575/2013 ( 10 ) («CRR») seguendo le istruzioni fornite di seguito nel presente allegato per compilare il modello EU CCyB1 di cui all'allegato IX del presente regolamento di esecuzione.

2. L'ambito del modello EU CCyB1 è limitato alle esposizioni creditizie rilevanti ai fini del calcolo della riserva di capitale anticiclica, conformemente all'articolo 140, paragrafo 4, della direttiva 2013/36/UE ( 11 ) («CRD»).

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
Da 010 a 01X	Ripartizione per paese Elenco dei paesi nei quali l'ente ha esposizioni creditizie rilevanti ai fini del calcolo della sua specifica riserva di capitale anticiclica, conformemente al regolamento delegato (UE) n. 1152/2014 della Commissione (1). Il numero di righe può variare in funzione del numero di paesi in cui l'ente ha esposizioni creditizie rilevanti ai fini del calcolo della riserva di capitale anticiclica. Gli enti numerano le righe per ciascun paese consecutivamente, iniziando con 010. A norma del regolamento delegato (UE) n. 1152/2014 della Commissione, se le esposizioni nel portafoglio di negoziazione o le esposizioni estere di un ente rappresentano meno del 2 % delle esposizioni ponderate per il rischio aggregate, l'ente può scegliere di assegnare tali esposizioni alla sede dell'ente (ad es. allo Stato membro di origine dell'ente). Se le esposizioni assegnate alla sede dell'ente comprendono esposizioni in altri paesi, questi sono chiaramente identificati in una nota a piè di pagina del modello dell'informativa.
020	Totale Valore descritto conformemente alla spiegazione per le colonne da a a m di questo modello.
(1) Regolamento delegato (UE) n. 1152/2014 della Commissione, del 4 giugno 2014, che integra la direttiva 2013/36/UE del Parlamento europeo e del Consiglio per quanto riguarda le norme tecniche di regolamentazione sull'identificazione della localizzazione geografica delle esposizioni creditizie rilevanti ai fini del calcolo dei coefficienti anticiclici specifici dell'ente (GU L 309 del 30.10.2014, pag. 5).

Riferimenti giuridici e istruzioni
Numero di colonna	Spiegazione
a	Valore delle esposizioni creditizie generiche secondo il metodo standardizzato Valore delle esposizioni creditizie rilevanti determinato conformemente all'articolo 140, paragrafo 4, lettera a), della CRD e all'articolo 111 del CRR. Il valore delle esposizioni creditizie rilevanti è determinato conformemente all'articolo 140, paragrafo 4, lettera c), della CRD e all'articolo 248, lettere a) e c), del CRR, non è incluso qui ma nella colonna e di questo modello. La ripartizione geografica è effettuata conformemente al regolamento delegato (UE) n. 1152/2014 della Commissione. Riga 020 (totale): la somma delle esposizioni creditizie rilevanti è determinata conformemente all'articolo 140, paragrafo 4, lettera a), della CRD e all'articolo 111 del CRR.
b	Valore delle esposizioni creditizie generiche secondo il metodo IRB Valore delle esposizioni creditizie rilevanti determinato conformemente all'articolo 140, paragrafo 4, lettera a), della CRD e agli articoli 166, 167 e 168 del CRR. Il valore delle esposizioni creditizie rilevanti determinato conformemente all'articolo 140, paragrafo 4, lettera c), della CRD e all'articolo 248, lettere a) e c), del CRR non è incluso qui ma nella colonna e di questo modello. La ripartizione geografica è effettuata conformemente al regolamento delegato (UE) n. 1152/2014 della Commissione. Riga 020 (totale): la somma delle esposizioni creditizie rilevanti è determinata conformemente all'articolo 140, paragrafo 4, lettera a), della CRD e agli articoli 166, 167 e 168 del CRR.
c	Somma delle posizioni lunghe e corte delle esposizioni contenute nel portafoglio di negoziazione secondo il metodo standardizzato Somma delle posizioni lunghe e corte delle esposizioni creditizie rilevanti determinate conformemente all'articolo 140, paragrafo 4, lettera b), della CRD, equivalente alla somma delle posizioni lunghe e corte determinata a norma dell'articolo 327 del CRR. La ripartizione geografica è effettuata conformemente al regolamento delegato (UE) n. 1152/2014 della Commissione. Riga 020 (totale): la somma di tutte le posizioni lunghe e corte delle esposizioni creditizie rilevanti è determinata conformemente all'articolo 140, paragrafo 4, lettera b), della CRD, equivalente alla somma delle posizioni lunghe e corte determinata a norma dell'articolo 327 del CRR.
d	Valore delle esposizioni nel portafoglio di negoziazione secondo i modelli interni Somma delle voci seguenti: — il valore equo delle posizioni per cassa che rappresentano esposizioni creditizie rilevanti conformemente all'articolo 140, paragrafo 4, lettera b), della CRD e all'articolo 104 del CRR; — il valore nozionale dei derivati che rappresentano esposizioni creditizie rilevanti conformemente all'articolo 140, paragrafo 4, lettera b), della CRD. La ripartizione geografica è effettuata conformemente al regolamento delegato (UE) n. 1152/2014 della Commissione. Riga 020 (totale): la somma del valore equo di tutte le posizioni per cassa che rappresentano esposizioni creditizie rilevanti è determinata conformemente all'articolo 140, paragrafo 4, lettera b), della CRD e all'articolo 104 del CRR, e la somma del valore nozionale di tutti i derivati che rappresentano esposizioni creditizie rilevanti è determinata conformemente all'articolo 140, paragrafo 4, lettera b), della CRD.
e	Valore dell'esposizione delle esposizioni verso la cartolarizzazione esterne al portafoglio di negoziazione Valore delle esposizioni creditizie rilevanti determinato conformemente all'articolo 140, paragrafo 4, lettera c), della CRD e all'articolo 248 del CRR. La ripartizione geografica è effettuata conformemente al regolamento delegato (UE) n. 1152/2014 della Commissione. Riga 020 (totale): la somma di tutte le esposizioni creditizie rilevanti è determinata conformemente all'articolo 140, paragrafo 4, lettera c), della CRD e all'articolo 248, lettere a) e c), del CRR.
f	Valore dell'esposizione complessiva Somma degli importi nelle colonne a, b, c, d ed e di questo modello. Riga 020 (totale): la somma di tutte le esposizioni creditizie rilevanti è determinata conformemente all'articolo 140, paragrafo 4, della CRD.
g	Requisiti di fondi propri - Esposizioni creditizie rilevanti - Rischio di credito Requisiti di fondi propri per le esposizioni creditizie rilevanti nel paese in questione, determinati conformemente all'articolo 140, paragrafo 4, lettera a), della CRD e alla parte tre, titolo II, del CRR, tenendo conto dei requisiti di fondi propri connessi a eventuali rettifiche specifiche per paese dei fattori di ponderazione del rischio stabiliti conformemente all'articolo 458 del CRR. Riga 020 (totale): la somma di tutti i requisiti di fondi propri per le esposizioni creditizie rilevanti è determinata conformemente all'articolo 140, paragrafo 4, lettera a), della CRD e alla parte tre, titolo II, del CRR.
h	Requisiti di fondi propri - Esposizioni creditizie rilevanti - Rischio di mercato Requisiti di fondi propri per le esposizioni creditizie rilevanti nel paese in questione, determinati conformemente all'articolo 140, paragrafo 4, lettera b), della CRD e alla parte tre, titolo IV, capo 2, del CRR, per i rischi specifici oppure alla parte tre, titolo IV, capo 5 del CRR, per i rischi incrementali di default e di migrazione. Riga 020 (totale): la somma di tutti i requisiti di fondi propri per le esposizioni creditizie rilevanti è determinata conformemente all'articolo 140, paragrafo 4, lettera b), della CRD e alla parte tre, titolo IV, capo 2, del CRR, per i rischi specifici oppure alla parte tre, titolo IV, capo 5 del CRR, per i rischi incrementali di default e di migrazione.
i	Requisiti di fondi propri - Esposizioni creditizie rilevanti - Posizioni verso la cartolarizzazione esterne al portafoglio di negoziazione Requisiti di fondi propri per le esposizioni creditizie rilevanti nel paese in questione, determinati conformemente all'articolo 140, paragrafo 4, lettera c), della CRD e alla parte tre, titolo II, capo 5, del CRR. Riga 020 (totale): la somma di tutti i requisiti di fondi propri per le esposizioni creditizie rilevanti è determinata conformemente all'articolo 140, paragrafo 4, lettera c), della CRD e alla parte tre, titolo II, capo 5, del CRR.
j	Requisiti di fondi propri - Totale Somma degli importi nelle colonne g, h e i di questo modello. Riga 020 (totale): la somma di tutti i requisiti di fondi propri per le esposizioni creditizie rilevanti è determinata conformemente all'articolo 140, paragrafo 4, della CRD.
k	Importi delle esposizioni ponderati per il rischio Importi delle esposizioni ponderati per il rischio delle esposizioni creditizie rilevanti, determinati conformemente all'articolo 140, paragrafo 4, della CRD, ripartiti per paese e tenendo conto di eventuali rettifiche specifiche per paese dei fattori di ponderazione del rischio stabiliti conformemente all'articolo 458 del CRR. Riga 020 (totale): la somma di tutti gli importi delle esposizioni ponderati per il rischio delle esposizioni creditizie rilevanti è determinata conformemente all'articolo 140, paragrafo 4, della CRD.
l	Fattori di ponderazione dei requisiti di fondi propri (%) Fattore di ponderazione applicato al coefficiente di riserva di capitale anticiclica in ciascun paese, equivalente al totale dei requisiti di fondi propri relativi alle esposizioni creditizie rilevanti nel paese in questione (riga 01X, colonna j di questo modello) diviso per il totale dei requisiti di fondi propri relativi a tutte le esposizioni creditizie rilevanti ai fini del calcolo della riserva di capitale anticiclica conformemente all'articolo 140, paragrafo 4, della CRD, (riga 020, colonna j di questo modello). Tale valore è indicato come percentuale con 2 decimali.
m	Coefficiente anticiclico (%) Coefficiente anticiclico applicabile nel paese in questione e fissato conformemente agli articoli 136, 137, 138 e 139 della CRD. Questa colonna non include i coefficienti anticiclici che sono stati fissati ma non sono ancora applicabili al momento del calcolo della riserva di capitale anticiclica specifica dell'ente alla quale l'informativa si riferisce. Tale valore è indicato come percentuale con lo stesso numero di decimali di cui agli articoli 136, 137, 138 e 139 della CRD.

Modello EU CCyB2: importo della riserva di capitale anticiclica specifica dell'ente

3. Gli enti pubblicano le informazioni di cui all'articolo 440, lettera b), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare il modello EU CCyB2 di cui all'allegato IX del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
1	Importo complessivo dell'esposizione al rischio Importo complessivo dell'esposizione al rischio calcolato conformemente all'articolo 92, paragrafo 3, del CRR.
2	Coefficiente anticiclico specifico dell'ente Coefficiente anticiclico specifico dell'ente, determinato conformemente all'articolo 140, paragrafo 1, della CRD. Il coefficiente anticiclico specifico dell'ente è equivalente alla media ponderata dei coefficienti anticiclici che si applicano nei paesi in cui sono situate le esposizioni creditizie rilevanti dell'ente e indicati nelle righe da 010.1 a 010.X del modello EU CCyB1. Il fattore di ponderazione applicato al coefficiente di riserva di capitale anticiclica in ogni paese è la quota di requisiti di fondi propri sul totale dei requisiti di fondi propri ed è segnalato nel modello EU CCyB1, colonna l. Tale valore è indicato come percentuale con 2 decimali.
3	Requisito di riserva di capitale anticiclica specifica dell'ente Requisito di riserva di capitale anticiclica specifica dell'ente, pari al coefficiente anticiclico specifico dell'ente, indicato nella riga 2 di questo modello, applicato all'importo complessivo dell'esposizione al rischio indicato nella riga 1 di questo modello.

Riferimenti giuridici e istruzioni
Numero di colonna	Spiegazione
a	Valore descritto conformemente alla spiegazione delle righe 1, 2 e 3 di questo modello.

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
		a	b
		T	T-1
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
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
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
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
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
23	Tier 1 capital
24	Total exposure measure
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
EU-27b	Choice on transitional arrangements for the definition of the capital measure
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

ANNEX XII

Instructions for leverage ratio disclosures

Template EU LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures. Fixed format template.

1. Institutions shall apply the instructions provided in this section to complete template EU LR1 - LRSum in application of point (b) of Article 451(1) of Regulation (EU) No 575/2013 ( 12 ) (‘CRR’).

Legal references and instructions
Row number	Explanation
1	Total assets as per published financial statements Institutions shall disclose the total assets as published in their financial statements under the applicable accounting framework as defined in point (77) of Article 4(1) CRR.
2	Adjustment for entities which are consolidated for accounting purposes but are outside the scope of prudential consolidation Institutions shall disclose the difference in value between the total exposure measure as disclosed in row 13 of template EU LR1 - LRSum and total accounting assets as disclosed in row 1 of template EU LR1 - LRSum, which results from differences between the accounting scope of consolidation and the scope of prudential consolidation. If this adjustment leads to an increase in exposure, institutions shall disclose this as a positive amount. If this adjustment leads to a decrease in exposure, institutions shall place the value in this row between brackets (negative amount).
3	(Adjustment for securitised exposures that meet the operational requirements for the recognition of risk transference) Point (m) of Article 429a(1) CRR Institutions shall disclose the amount of the securitised exposures from traditional securitisations that meet the conditions for significant risk transfer set out in Article 244(2) CRR. As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
4	(Adjustment for temporary exemption of exposures to central banks (if applicable)) Point (n) of Article 429a(1) CRR If applicable, institutions shall disclose the amount of coins and banknotes constituting legal currency in the jurisdiction of the central bank and assets representing claims on the central bank, including reserves held at the central bank. These exposures may be temporarily exempted subject to the conditions mentioned in Article 429a(5) and (6) CRR. As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
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) Institutions shall disclose the amount of derecognised fiduciary items in accordance with point (i) of Article 429a(1) CRR. As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
6	Adjustment for regular-way purchases and sales of financial assets subject to trade date accounting Article 429g(1) and (2) CRR Institutions shall disclose the adjustment of the accounting value related to regular-way purchases or sales awaiting settlement subject to trade date accounting in accordance with Article 429g(1) and (2) CRR. The adjustment is the sum of: — The amount offset between cash receivables for regular-way sales awaiting settlement and cash payables for regular-way purchases awaiting settlement allowed under the accounting framework. This is a positive amount. — The amount offset between cash receivables and cash payables where both the related regular-way sales and purchases are settled on a delivery-versus-payment basis in accordance with Article 429g(2) CRR. This is a negative value. Regular-way purchases or sales awaiting settlement subject to settlement date accounting in accordance with Article 429g(3) CRR shall be included in row 10 of template EU LR1 - LRSum. If this adjustment leads to an increase in exposure, institutions shall disclose this as a positive amount. If this adjustment leads to a decrease in exposure, institutions shall place the value in this row between brackets (negative amount).
7	Adjustment for eligible cash pooling transactions Article 429b(2) and (3) CRR Institutions shall disclose the difference between the accounting value and the leverage ratio exposure value of cash pooling arrangements in accordance with the conditions mentioned in Article 429b(2) and (3) CRR. If this adjustment leads to an increase in exposure, due to transactions that are represented net under the applicable accounting framework but do not meet the conditions for net presentation under Article 429b(2) and (3) CRR, institutions shall disclose this as a positive amount. If this adjustment leads to a decrease in exposure, due to transactions that are not represented net under the applicable accounting framework but do meet the conditions for net presentation under Article 429b(2) and (3) CRR, institutions shall place the value in this row between brackets (negative amount).
8	Adjustment for derivative financial instruments For credit derivatives and contracts listed in Annex II of CRR, institutions shall disclose the difference in value between the accounting value of the derivatives recognised as assets and the leverage ratio exposure value as determined by application of point (b) of Article 429(4), Article 429c, 429d, points (g) and (h) of Article 429a(1), and of Article 429(5) CRR. If this adjustment leads to an increase in exposure, institutions shall disclose this as a positive amount. If this adjustment leads to a decrease in exposure, institutions shall place the value in this row between brackets (negative amount).
9	Adjustment for securities financing transactions (SFTs) For SFTs institutions shall disclose the difference in value between the accounting value of the SFTs recognised as assets and the leverage ratio exposure value as determined by application of points (a) and (c) of Article 429(4) in conjunction with Article 429e, point (b) of Article 429(7) and with point (b) of Article 429b(1), with Article 429b(4), and with points (g) and (h) of 429a(1) CRR. If this adjustment leads to an increase in the exposure, institutions shall disclose this as a positive amount. If this adjustment leads to a decrease in exposure, institutions shall place the value in this row between brackets (negative amount).
10	Adjustment for off-balance sheet items (i.e. conversion to credit equivalent amounts of off- balance sheet exposures) Institutions shall disclose the difference in value between the leverage ratio exposure as disclosed in row 13 of template EU LR1 - LRSum and total accounting assets as disclosed in row 1 of template EU LR1 - LRSum that results from the inclusion of off-balance sheet items in the leverage ratio total exposure measure. This includes the commitments to pay related to regular-way purchases under settlement date accounting as calculated in accordance with Article 429g(3) CRR. As this adjustment increases the total exposure measure, it shall be disclosed as a positive amount.
11	(Adjustment for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital) Institutions shall disclose the amount of prudent valuation adjustments in accordance with points (a) and (b) of Article 429a(1) CRR and the amount of specific (if relevant) and general credit risk adjustments to on- and off-balance-sheet items as per the last sentence of Article 429(4) and Article 429f(2) CRR that have reduced Tier 1 capital. Specific provisions shall only be included if, in accordance with the applicable accounting framework, they are not already deducted from the gross carrying amount values. As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
EU-11a	(Adjustment for exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR) Point (c) of Article 429a(1) and Article 113(6) and (7) CRR Institutions shall disclose the on-balance sheet portion of exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR. As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
EU-11b	(Adjustment for exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) CRR Point (j) of Article 429a(1), Article 116(4) CRR Institutions shall disclose the on-balance sheet portion of exposures excluded from the total exposure measure in accordance with point (j) of Article 429a(1) CRR. As this adjustment reduces the total exposure measure, institutions shall place the values in this row between brackets (negative amount).
12	Other adjustments Institutions shall include any remaining difference in value between the total exposure measure and total accounting assets. Institutions shall consider the exposure adjustments in accordance with Article 429(8) CRR and other exposure adjustments mentioned in points (d), (e), (f), (h), (k), (l), (o), (p) of Article 429a(1) CRR that are not disclosed anywhere in the template. If these adjustments lead to an increase in the exposure, institutions shall disclose this as a positive amount. If these adjustments lead to a decrease in exposure, the institutions shall place the value in this row between brackets (negative amount).
13	Total exposure measure Total exposure measure (also disclosed in row 24 of template EU LR2 - LRCom), which is the sum of the previous items.

Template EULR2 - LRCom: Leverage ratio common disclosure. Fixed format template

2. Institutions shall apply the instructions provided in this section to complete template EU LR2 - LRCom in application of points (a) and (b) of Article 451(1) CRR and of Article 451(3) CRR, taking into account, where applicable, point (c) of Article 451(1) and Article 451(2) CRR.

3. Institutions shall disclose in column ‘a’ the values of the different rows for the disclosure period and in column ‘b’ the values of the rows for the previous disclosure period.

4. Institutions shall explain in the narrative accompanying the template the composition of promotional loans disclosed in rows EU-22d and EU-22e of this template, including information by type of counterparty.

Legal references and instructions
Row number	Explanation
1	On-balance sheet items (excluding derivatives, SFTs, but including collateral) Article 429 and 429b CRR Institutions shall disclose all assets, other than contracts listed in Annex II CRR, credit derivatives, and SFTs. Institutions shall base the valuation of these assets on the principles set out in Article 429(7) and 429b(1) CRR. Institutions shall take into account in this calculation, if applicable, points (i), (m) and (n) of Article 429a(1) CRR, Article 429g and the last paragraph of Article 429(4) CRR. Institutions shall include in this cell cash received or any security that is provided to a counterparty via SFTs and that is retained on the balance sheet (i.e. the accounting criteria for derecognition under the applicable accounting framework are not met). Institutions shall not take into account in this calculation Article 429(8) and points (a)-(h), (j) and (k) of Article 429a(1) CRR, i.e. they shall not reduce the amount to be disclosed in this row by those exemptions.
2	Gross-up for derivatives collateral provided, where deducted from the balance sheet assets pursuant to the applicable accounting framework Article 429c(2) CRR Institutions shall disclose the amount of any derivatives collateral provided where the provision of that collateral reduces the amount of assets under the applicable accounting framework, as set out in Article 429c(2) CRR. Institutions shall not include in this cell initial margin for client-cleared derivative transactions with a qualifying CCP (QCCP) or eligible cash variation margin, as defined in Article 429c(3) CRR.
3	(Deductions of receivables assets for cash variation margin provided in derivatives transactions) Article 429c(3) CRR Institutions shall disclose the receivables for variation margin paid in cash to the counterparty in derivatives transactions if the institution is required, under the applicable accounting framework, to recognise these receivables as an asset, provided that the conditions in points (a) to (e) of Article 429c(3) CRR are met. As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
4	(Adjustment for securities received under securities financing transactions that are recognised as an asset) Adjustment for securities received under a securities financing transaction where the bank has recognised the securities as an asset on its balance sheet. These amounts are to be excluded from the total exposure measure in accordance with Article 429e(6) CRR. As the adjustments in this row reduce the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
5	(General credit risk adjustments to on-balance sheet items) The amount of general credit risk adjustments corresponding to on-balance sheet items referred to in point (a) of Article 429(4) CRR, which institutions deduct in accordance with the last paragraph of Article 429(4) CRR. As the adjustments in this row reduce the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
6	(Asset amounts deducted in determining Tier 1 capital) Points (a) and (b) of Article 429a(1) and Article 499(2) CRR Institutions shall disclose the amount of regulatory value adjustments made to Tier 1 amounts in accordance with the choice made pursuant to Article 499(2) CRR. More specifically, institutions shall disclose the value of the sum of all the adjustments that target the value of an asset and which are required by: — Articles 32 to 35 CRR, or — Articles 36 to 47 CRR, or — Articles 56 to 60 CRR, as applicable. Institutions shall include in this cell the amount referred to in point (a) of Article 429a(1) CRR. Where the choice to disclose Tier 1 capital is made in accordance with point (a) of Article 499(1) CRR, institutions shall take into account the exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, without taking into account the derogation laid down in Chapters 1 and 2 of Title I of Part Ten CRR. In contrast, where the choice to disclose Tier 1 capital is made in accordance with point (b) of Article 499(1) CRR, institutions shall take into account exemptions, alternatives and waivers to such deductions laid down in Articles 48, 49 and 79 CRR, in addition to taking into account the derogations laid down in Chapter 1 and 2 of Title I of Part Ten CRR. To avoid double counting, institutions shall not disclose adjustments already applied pursuant to Article 111 CRR when calculating the exposure value, nor shall they disclose any adjustment that does not deduct the value of a specific asset. As the amount in this row reduces the total exposure measure, institutions shall place the value in this cell between brackets (negative amount).
7	Total on-balance sheet exposures (excluding derivatives and SFTs) Sum of rows 1 to 6
8	Replacement cost associated with SA-CCR transactions (i.e. net of eligible cash variation margin) Articles 274, 275, 295, 296, 297, 298, 429c and 429c(3) CRR Institutions shall disclose the current replacement cost as specified in Article 275(1) of contracts listed in Annex II CRR and credit derivatives including those that are off-balance sheet. These replacement costs shall be net of eligible cash variation margin in accordance with Article 429c(3) CRR whereas any cash variation margin received on an exempted CCP leg in accordance with points (g) or (h) of Article 429a(1) CRR shall not be included. As determined by Article 429c(1) CRR, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (c) of Article 272(25) CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in point (c) of Article 295 CRR. Institutions shall not include in this cell contracts measured by application of the approaches in accordance with Articles 429c(6), i.e. the approaches in Section 4 or 5 of Chapter 6 of Title II of Part Three CRR (the simplified SA-CCR or Original Exposure Method). When calculating the replacement costs institutions shall include, in accordance with Article 429c(4) CRR, the effect of the recognition of collateral on NICA on derivative contracts with clients where those contracts are cleared by a QCCP. The amount shall be disclosed with the 1,4 alpha factor as specified in Article 274(2) CRR.
EU-8a	Derogation for derivatives: replacement costs contribution under the simplified standardised approach Articles 429c(6) and 281 CRR This cell provides the exposure measure of contracts listed in points 1 and 2 of Annex II CRR, calculated in accordance with the simplified standardised approach set out in Article 281 CRR, without the effect of collateral on NICA. The amount shall be disclosed with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. Hence the exception for derivative contracts with clients where those contracts are cleared by a QCCP in Article 429c(4) CRR shall not apply. Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the original exposure method.
9	Add-on amounts for potential future exposure associated with SA-CCR derivatives transactions Articles 274, 275, 295, 296, 297, 298, 299 (2) and 429c CRR Institutions shall disclose the add-on for the potential future exposure of contracts listed in Annex II of CRR and of credit derivatives including those that are off-balance sheet calculated in accordance with Article 278 CRR for contracts listed in Annex II CRR and Article 299(2) CRR for credit derivatives and applying netting rules in accordance with Article 429c(1) CRR. In determining the exposure value of those contracts, institutions may take into account the effects of contracts for novation and other netting agreements in accordance with Article 295 CRR. Cross-product netting shall not apply. However, institutions may net within the product category referred to in point (c) of Article 272(25) CRR and credit derivatives when they are subject to a contractual cross-product netting agreement referred to in point (c) of Article 295 CRR. In accordance with Article 429c(5) CRR, institutions shall set the value of the multiplier used in the calculation of the potential future exposure in accordance with Article 278(1) CRR to one, except in the case of derivative contracts with clients where those contracts are cleared by a QCCP. Institutions shall not include in this cell contracts measured by application of the approaches in accordance with Articles 429c(6), i.e. the approaches in Section 4 or 5 of Chapter 6 of Title II of Part Three CRR (the simplified SA-CCR or Original Exposure Method).
EU-9a	Derogation for derivatives: Potential future exposure contribution under the simplified standardised approach Article 429c(5) CRR The potential future exposure in accordance with the simplified standardised approach set out in Article 281 CRR, assuming a multiplier of 1. The amount shall be disclosed with the 1,4 alpha factor applied as specified in Article 274(2) CRR. Institutions that apply the simplified standardised approach shall not reduce the total exposure measure by the amount of margin received in accordance with Article 429c(6) CRR. Hence, the exception for derivative contracts with clients where those contracts are cleared by a QCCP in Article 429c(5) CRR shall not apply. Institutions shall not consider in this cell contracts measured by application of the SA-CCR or the original exposure method.
EU-9b	Exposure determined under Original Exposure Method Article 429c(6) and Section 4 or 5 of Chapter 6 of Title II of Part Three CRR Institutions shall disclose the exposure measure of contracts listed in points 1 and 2 of Annex II CRR calculated in accordance with the Original Exposure Method set out in Section 4 or 5 of Chapter 6 of Title II of Part Three CRR. Institutions that apply the Original Exposure Method shall not reduce the exposure measure by the amount of margin they have received in accordance with Article 429c(6) CRR. Institutions that do not use the Original Exposure Method shall not disclose this cell.
10	(Exempted CCP leg of client-cleared trade exposures) (SA-CCR) Points (g) and (h) of Article 429a(1) CRR Institutions shall disclose the exempted trade exposures to a QCCP from client-cleared derivatives transactions (SA-CCR), provided that those items meet the conditions laid down in point (c) Article 306(1) CRR. Since it reduces the total exposure measure, institutions shall place the value in this cell between brackets (negative amount). The amount disclosed must also be included in the applicable cells above as if no exemption applied.
EU-10a	(Exempted CCP leg of client-cleared trade exposures) (simplified standardised approach) Points (g) and (h) of Article 429a(1) CRR Institutions shall disclose the exempted trade exposures to a QCCP from client-cleared derivatives transactions (simplified standardised approach), provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. The amount shall be disclosed with the 1,4 alpha factor applied as specified in Article 274(2) CRR (negative amount). The disclosed amount must also be included in the applicable cells above as if no exemption applied.
EU-10b	(Exempted CCP leg of client-cleared trade exposures) (Original Exposure Method) Points (g) and (h) of Article 429a(1) CRR Institutions shall disclose the exempted trade exposures to a QCCP from client-cleared derivatives transactions (original exposure method), provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. Since it reduces the total exposure measure institutions shall place the value in this cell between brackets (negative amount). The disclosed amount must also be included in the applicable cells above as if no exemption applied.
11	Adjusted effective notional amount of written credit derivatives Article 429d CRR Institutions shall disclose the capped notional value of written credit derivatives (i.e. where the institution is providing credit protection to a counterparty) as set out in Article 429d CRR.
12	(Adjusted effective notional offsets and add-on deductions for written credit derivatives) Article 429d CRR Institutions shall disclose the capped notional value of purchased credit derivatives (i.e. where the institution is buying credit protection from a counterparty) on the same reference names as those credit derivatives written by the institution, where the remaining maturity of the purchased protection is equal to or greater than the remaining maturity of the sold protection. Hence, the value shall not be greater than the value entered in row 11 of template EU LR2 - LRCom for each reference name. Since the disclosed amount reduces the total exposure measure, institutions shall place the value in this cell between brackets (negative amount). The disclosed amount must also be included in the previous cell as if no adjustment applied.
13	Total derivatives exposures Sum of rows 8 to 12
14	Gross SFT assets (with no recognition of netting), after adjustment for sales accounting transactions Point (77) of Article 4(1), Articles 206 and 429e(6) CRR Institutions shall disclose the accounting balance sheet value, under the applicable accounting framework, of SFTs both covered and not covered by a master netting agreement eligible under Article 206 CRR, where the contracts are recognised as assets on the balance sheet assuming no prudential or accounting netting or risk mitigation effects (i.e. the accounting balance sheet value adjusted for the effects of accounting netting or risk mitigation). Furthermore, where sale accounting is achieved for a SFT under the applicable accounting framework, institutions shall reverse all sales related accounting entries in accordance with Article 429e(6) CRR. Institutions shall not include in this cell cash received or any security that is provided to a counterparty via the aforementioned transactions and is retained on the balance sheet (i.e. the accounting criteria for derecognition are not met).
15	(Netted amounts of cash payables and cash receivables of gross SFT assets) Point (77) of Article 4(1), Article 206, point (b) of Article 429b(1), Articles 429b(4) and 429e(6) CRR. Institutions shall disclose the cash payables amount of gross SFT assets that have been netted in accordance with Article 429b(4) CRR. As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
16	Counterparty credit risk exposure for SFT assets Article 429e(1) CRR Institutions shall disclose the add-on for SFTs counterparty credit risk, including those that are off-balance sheet, determined in accordance with Article 429e(2) or (3) CRR, as applicable. Institutions shall include in this cell transactions in accordance with point (c) of Article 429e(7) CRR. Institutions shall not include in this cell agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR.
EU-16a	Derogation for SFTs: Counterparty credit risk exposure in accordance with Articles 429e(5) and 222 CRR Articles 429e(5) and 222 CRR Institutions shall disclose the add-on for SFTs including those that are off-balance sheet calculated in accordance with Article 222 CRR, subject to a 20 % floor for the applicable risk weight. Institutions shall include in this cell transactions in accordance with point (c) of Article 429e(7) CRR. Institutions shall not include in this cell transactions for which the add-on part of the leverage ratio exposure value is determined in accordance with the method defined in Article 429e(1) CRR.
17	Agent transaction exposures Article 429e(2)(3) and point (a) of Article 429e(7) CRR Institutions shall disclose the exposure value for agent SFTs where the institution provides an indemnity or guarantee to a customer or counterparty limited to any difference between the value of the security or cash the customer has lent and the value of collateral the borrower has provided in accordance with point (a) of Article 429e(7) CRR. The exposure value shall consist only of the add-on determined in accordance with Article 429e(2) or (3) CRR, as applicable. Institutions shall not include in this cell transactions in accordance with point (c) of Article 429e(7) CRR.
EU-17a	(Exempted CCP leg of client-cleared SFT exposure) Points (g) and (h) of Article 429a(1) and point (c) of Article 306(1) CRR. Institutions shall disclose the exempted CCP leg of client-cleared trade exposures of SFTs, provided that those items meet the conditions laid down in point (c) of Article 306(1) CRR. Where the exempted leg to the CCP is a security, it shall not be included in this cell, unless it is a repledged security that under the applicable accounting framework (i.e. in accordance with the first sentence of Article 111(1) CRR) is included at full value. As this adjustment reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount). The disclosed amount must also be included in the applicable cells above as if no exemption applied.
18	Total securities financing transaction exposures Sum of rows 14 to EU-17a
19	Off-balance sheet exposures at gross notional amount Article 429f CRR Institutions shall disclose the nominal value of all off-balance sheet items as defined in Article 429f CRR, before any adjustment for conversion factors and specific credit risk adjustments.
20	(Adjustments for conversion to credit equivalent amounts) Article 429f CRR Reduction in gross amount of off-balance sheet exposures due to the application of CCFs. Since it reduces the total exposure measure, the value disclosed in this row shall contribute negatively in the calculation of the sum to be disclosed in row 22 of template EU LR2 - LRCom.
21	(General provisions deducted in determining Tier 1 capital and specific provisions associated with off-balance sheet exposures) Articles 429(4) and 429f(1) and (2) CRR Institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of general credit risk adjustments that are deducted from Tier 1 capital. The calculation shall be subject to a floor of zero. Institutions may reduce the credit exposure equivalent amount of an off-balance-sheet item by the corresponding amount of specific credit risk adjustments. The calculation shall be subject to a floor of zero. The absolute value of these credit risk adjustments shall not exceed the sum of rows 19 and 20. As these adjustments reduce the total exposure measure, institutions shall place the value in this row between brackets (negative amount). The disclosed amount shall also be included in the applicable cells above as if this reduction did not apply.
22	Off-balance sheet exposures Articles 429f, 111(1) and 166(9) CRR; sum of rows 19 to 21 Institutions shall disclose the leverage ratio exposure values for off-balance sheet items determined in accordance with Article 429f CRR taking into account the relevant conversion factors. Institutions shall take into account that rows 20-21 of template EU LR2 - LRCom contribute negatively in the calculation of this sum.
EU-22a	(Exposures excluded from the total exposure measure in accordance with point (c) of Article 429a(1) CRR)) Point (c) of Article 429a(1) and Article 113(6) and (7) CRR Institutions shall disclose the exposures exempted in accordance with point (c) of Article 429a(1). The disclosed amount shall also be included in the applicable cells above as if no exemption applied. Since this amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
EU-22b	(Exposures exempted in accordance with point (j) of Article 429a(1) CRR (on and off balance sheet)) Point (j) of Article 429a(1) CRR Institutions shall disclose the exposures exempted in accordance with point (j) of Article 429a(1) CRR subject to the therein stated conditions being met. The disclosed amount shall also be included in the applicable cells above as if no exemption applied. Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
EU-22c	(Excluded exposures of public development banks (or units) – Public sector investments) Point (d) of Article 429a(1) and Article 429a(2) CRR The exposures arising from assets that constitute claims on central governments, regional governments, local authorities or public sector entities in relation to public sector investments, which can be excluded in accordance with point (d) of Article 429a(1) CRR. This shall only include cases where the institution is a public development credit institution, or the exposures are held within a unit treated as a public development unit in accordance with the last subparagraph of Article 429a(2) CRR. Since the amount reduces the total exposure measure, institutions shall place the value in this cell between brackets (negative amount).
EU-22d	(Excluded exposures of public development banks (or units) – Promotional loans) Point (d) of Article 429a(1) and Article 429a(2) CRR Institutions shall disclose the excluded promotional loans in accordance with point (d) of Article 429a(1) CRR. This shall only include cases where the institution is a public development credit institution or promotional loans are held within a unit treated as a public development unit in accordance with the last subparagraph of Article 429a(2) CRR. Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
EU-22e	(Excluded passing-through promotional loan exposures by non-public development banks (or units)) Point (e) of Article 429a(1) CRR Institutions shall disclose the excluded exposures in accordance with point (e) of Article 429a(1) CRR relating to the parts of exposures arising from passing-through promotional loans to other credit institutions. This shall only include cases where the institution is not a public development credit institution and the activity is not with any unit treated as a public development unit in accordance with the last subparagraph of Article 429a(2) CRR. Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
EU-22f	(Excluded guaranteed parts of exposures arising from export credits) Point (f) of Article 429a(1) CRR The guaranteed parts of exposures arising from export credits that can be excluded when the conditions of point (f) of Article 429a(1) CRR are met. Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
EU-22g	(Excluded excess collateral deposited at triparty agents) Point (k) of Article 429a(1) CRR The excess collateral deposited at triparty agents that has not been lent out, which can be excluded in accordance with point (k) of Article 429a(1) CRR. Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
EU-22h	(Excluded CSD related services of CSD/institutions in accordance with point (o) of Article 429a(1) CRR) Point (o) of Article 429a(1) CRR The Central Securities Depositories (CSD) related services of CSD/ institutions that can be excluded in accordance with point (o) of Article 429a(1) CRR. Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
EU-22i	(Excluded CSD related services of designated institutions in accordance with point (p) of Article 429a(1) CRR) Point (p) of Article 429a(1) CRR The CSD related services of designated institutions that can be excluded in accordance with point (p) of Article 429a(1) CRR. Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
EU-22j	(Reduction of the exposure value of pre-financing or intermediate loans) Article 429(8) CRR The amount reduced from the exposure value of a pre-financing loan or an intermediate loan, in accordance with Article 429(8) CRR. Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
EU-22k	(Total excluded exposures) Sum of rows EU-22a to EU-22j Since the amount reduces the total exposure measure, institutions shall place the value in this row between brackets (negative amount).
23	Tier 1 capital Articles 429(3) and 499(1) and (2) CRR Institutions shall disclose the amount of Tier 1 capital calculated in accordance with the choice that the institution has made pursuant to Article 499(2) CRR, as disclosed in row EU-27 of template EU LR2 - LRCom. More specifically, where the institution has chosen to disclose Tier 1 capital in accordance with point (a) of Article 499(1) CRR, it shall disclose the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, without taking into account the derogations laid down in Chapters 1 and 2 of Title I of Part Ten of CRR. In contrast, where the institution has chosen to disclose Tier 1 capital in accordance with point (b) of Article 499(1) CRR, it shall disclose the amount of Tier 1 capital as calculated in accordance with Article 25 CRR, after taking into account the derogations laid down in Chapters 1 and 2 of Title I of Part Ten CRR.
24	Total exposure measure Sum of amounts in rows 7, 13, 18, 22, and EU-22k of EU LR2 - LRCom
25	Leverage ratio (%) Institutions shall disclose the amount in row 23 of template EU LR2 - LRCom expressed as a percentage of the amount in row 24 of template EU LR2 - LRCom.
EU-25	Leverage ratio (excluding the impact of the exemption of public sector investments and promotional loans) (%) In accordance with Article 451(2) CRR, public development credit institutions as defined in Article 429a(2) CRR shall disclose the leverage ratio without the adjustment to the total exposure measure determined in accordance with point (d) of Article 429a(1) CRR, i.e. the adjustment that is disclosed in rows EU-22c and EU-22d of this template.
25a	Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) (%) If an institution’s total exposure measure is subject to the temporary exemption of central bank reserves set out in point (n) of Article 429a(1) CRR, this ratio is defined as the Tier 1 capital measure divided by the sum of the total exposure measure and the amount of the central bank reserves exemption, with this ratio expressed as a percentage. If the institution’s total exposure measure is not subject to a temporary exemption of central bank reserves, this ratio will be identical to the ratio disclosed in row 25.
26	Regulatory minimum leverage ratio requirement (%) Point (d) of Article 92(1), point (n) of Article 429a(1) and Article 429a(7) CRR Institutions shall disclose the leverage ratio requirement as set out in point (d) of Article 92(1) CRR. Where an institution excludes the exposures referred to in point (n) of Article 429a(1) CRR, it shall disclose the adjusted leverage ratio requirement calculated in accordance with Article 429a(7) CRR.
EU-26a	Additional own funds requirements to address the risk of excessive leverage (%) The additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) of Directive 2013/36/EU (‘CRD’), expressed as a percentage of the total exposure measure
EU-26b	of which: to be made up of CET1 capital (percentage points) The part of the additional own funds requirements to address the risk of excessive leverage imposed by the competent authority under point (a) of Article 104(1) CRD, which has to be met with CET 1 capital in accordance with the third subparagraph of Article 104a(4)
27	Leverage ratio buffer requirement (%) Article 92(1a) CRR Institutions that are subject to Article 92(1a) CRR shall disclose their applicable leverage ratio buffer requirement.
EU-27a	Overall leverage ratio requirement (%) Sum of rows 26, EU-26a, and 27 of this template
EU-27b	Choice on transitional arrangements for the definition of the capital measure Article 499(2) CRR Institutions shall specify their choice of transitional arrangements for capital for the purpose of disclosure requirements by disclosing one of the following two labels: — ‘Fully phased in’ if the institution chooses to disclose the leverage ratio in accordance with point (a) of Article 499(1) CRR; — ‘Transitional’ if the institution chooses to disclose the leverage ratio in accordance with point (b) of Article 499(1) CRR.
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 receivables Article 451(3) CRR; mean of the sums of rows 14 and 15, based on the sums calculated as of each day of the disclosure quarter
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 If rows 14 and 15 are based on quarter-end values, this amount is the sum of rows 14 and 15. If rows 14 and 15 are based on averaged values, this amount is the sum of quarter-end values corresponding to the content of rows 14 and 15.
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) Article 451(3) CRR Total exposure measure (including the impact of any applicable temporary exemption of central bank reserves), using mean values calculated as of each day of the disclosure quarter for the amounts of the exposure measure associated with 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) Article 451(3) CRR Total exposure measure (excluding the impact of any applicable temporary exemption of central bank reserves), using mean values calculated as of each day of the disclosure quarter for the amounts of the exposure measure associated with gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated cash payables and cash receivables). If an institutions total exposure measure is not subject to a temporary exemption of central bank reserves, this value will be identical to the value disclosed in row 30 of this template.
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) Article 451(3) CRR
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) Article 451(3) CRR

Template EU LR3 - LRSpl: Split-up of on-balance sheet exposures (excluding derivatives, SFTs and exempted exposures). Fixed format

5. Institutions shall apply the instructions provided in this section to complete template LRSpl in application of point (b) Article 451(1) CRR.

Legal references and instructions
Row number	Explanation
EU-1	Total on-balance sheet exposures (excluding derivatives and SFTs, and exempted exposures), of which: Institutions shall disclose the sum of the amounts in row EU-2 and EU-3 of template EU LR3 - LRSpl.
EU-2	Trading book exposures Institutions shall disclose the exposures which are part of the total exposure value of assets belonging to the trading book excluding derivatives, SFTs and exempted exposures.
EU-3	Banking book exposures, of which: Institutions shall disclose the sum of values in rows EU-4 to EU-12 of template EU LR3-LRSpl.
EU-4	Covered Bonds Institutions shall disclose the sum of exposures, which is the total exposure value of assets that are in the form of covered bonds as defined in Article 129 and in point (d) of Article 161(1) CRR. Institutions shall disclose the covered bonds total exposure net of defaulted exposures.
EU-5	Exposures treated as sovereigns Institutions shall disclose the sum of exposures, which is the total exposure value towards entities that are treated as sovereigns under CRR. (Central governments and central banks (Article 114, and point (a) of Article 147(2) CRR); regional governments and local authorities treated as sovereigns (Article 115(2) and (4), and point (a) of Article 147(3) CRR), multilateral development banks and international organisations treated as sovereigns (Articles 117(2) and 118, and points (b) and (c) of Article 147(3) CRR), public sector entities (Article 116(4) and point (a) of Article 147(3) CRR) Institutions shall disclose the sovereign total exposure net of defaulted exposures.
EU-6	Exposures to regional governments, MDB, International organisations and PSE, not treated as sovereigns Institutions shall disclose the sum of exposures, which is the total exposure value towards regional governments and local authorities as defined in Article 115(1), (3) and (5) CRR for SA exposures and in point (a) of Article 147(4) CRR for IRB exposures; multilateral development banks as defined in Article 117(1) and (3) CRR for SA exposures and in point (c) of Article 147(4) CRR for IRB exposures; international organisations and public sector entities as defined in Article 116(1), (2), (3) and (5) CRR for SA exposures and in point (b) of Article 147(4) CRR for IRB exposures that are not treated as sovereigns under CRR. Institutions shall disclose the abovementioned total exposure net of defaulted exposures.
EU-7	Institutions Institutions shall disclose the sum of exposures, which is the exposure value of exposures towards institutions that fall under Articles 119 to 121 CRR for SA exposures and for IRB exposures - that fall under point (b) of Article 147(2) CRR and are not exposures in the form of covered bonds under point (d) of Article 161 (1) CRR and do not fall under points (a) to (c) of Article 147(4) CRR. Institutions shall disclose the total exposure net of defaulted exposures.
EU-8	Secured by mortgages of immovable properties Institutions shall disclose the sum of exposures, which is the exposure value of assets that are exposures secured by mortgages on immovable properties that fall under Article 124 CRR in case of SA exposures and that are exposures to corporate under point (c) of Article 147(2) CRR or retail exposures under point (d) of Article 147(2) CRR if these exposures are secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR for IRB exposures. Institutions shall disclose the total exposure net of defaulted exposures.
EU-9	Retail exposures Institutions shall disclose the sum of exposures, which is the total exposure value of assets that are retail exposures under Article 123 CRR in case of SA exposures and that are exposures under point (d) of Article 147(2) CRR, if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR – for IRB exposures. Institutions shall disclose the total exposure net of defaulted exposures.
EU-10	Corporates Institutions shall disclose the sum of exposures, which is the total exposure value of assets that are corporate exposure (i.e. financial and non-financial). For SA exposures, these are exposures to corporates that fall under Article 122 CRR and for IRB exposures - that are exposures to corporates under point (c) of Article 147(2) CRR if these exposures are not secured by mortgages on immovable property in accordance with point (a) of Article 199(1) CRR. Financial corporates shall mean regulated and unregulated undertakings other than institutions referred to in EU-7 of this template, whose principal activity is to acquire holdings or to pursue one or more of the activities listed in Annex I CRD, as well as undertakings as defined in point (27) of Article 4(1) CRR, other than institutions referred to in EU-7 of this template. For the purpose of this cell, the term 'small and medium enterprise' is defined in accordance with point (b) of Article 501(2) CRR. Institutions shall disclose the total exposure net of defaulted exposures.
EU-11	Exposures in default Institutions shall disclose the sum of exposures, which is the total exposure value of assets that are in default and – for SA exposures - fall under Article 127 CRR or, in case of IRB exposures, are categorised in the exposures classes listed in Article 147(2) CRR if a default in accordance with Article 178 CRR has occurred.
EU-12	Other exposures (eg equity, securitisations, and other non-credit obligation assets) Institutions shall disclose the sum of exposures, which is the total exposure value of other non-trading book exposures under CRR (e.g. equity, securitisations and non-credit obligation assets; in case of SA exposures these are assets categorised in the exposures classes listed in points (k), (m), (n), (o), (p) and (q) of Article 112 CRR, and in case of IRB exposures – in points (e), (f) and (g) of Article 147(2) CRR). Institutions shall include assets that are deducted in determining Tier 1 capital and therefore are disclosed in row 2 of template EU LR2-LRCom, unless these assets are included in row EU-2, EU-4 to EU-11 of template EU LR3- LRSpl.

Table EU LRA - Disclosure of LR qualitative information. Free format text boxes for disclosure of qualitative information

6. Institutions shall complete table EU LRA by applying the following instructions, in application of points (d) and (e) of Article 451(1) CRR

Legal references and instructions
Row number	Explanation
(a)	Description of the processes used to manage the risk of excessive leverage Point (d) of Article 451(1) CRR ‘Description of the processes used to manage the risk of excessive leverage’ shall include any relevant information on: (a) procedures and resources used to assess the risk of excessive leverage; (b) quantitative tools, if any, used to assess the risk of excessive leverage including details on potential internal targets, and whether other indicators than the leverage ratio of CRR are being used; (c) ways of how maturity mismatches and asset encumbrance are taken into account in managing the risk of excessive leverage; (d) processes for reacting to leverage ratio changes, including processes and timelines for potential increase of Tier 1 capital to manage the risk of excessive leverage; or processes and timelines for adjusting the leverage ratio denominator (total exposure measure) 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 Point (e) of Article 451(1) CRR ‘Description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers’ shall include any material information on: (a) quantification of the change in the leverage ratio since the previous disclosure reference date; (b) the main drivers of the leverage ratio since the previous disclosure reference date with explanatory comments on: (1) the nature of the change and whether it was a change in the numerator of the ratio, in the denominator of the ratio, or in both; (2) whether it resulted from an internal strategic decision and, where so, whether that strategic decision was aimed directly at the leverage ratio or whether it impacted the leverage ratio only indirectly; (3) the most significant external factors related to the economic and financial environments that had an impact on the leverage ratio.

ANNEX XIII

Table EU LIQA - Liquidity risk management

in accordance with Article 451a(4) CRR

Row number	Qualitative information - Free format
(a)	Strategies and processes in the management of the liquidity risk, including policies on diversification in the sources and tenor of planned funding,
(b)	Structure and organisation of the liquidity risk management function (authority, statute, other arrangements).
(c)	A description of the degree of centralisation of liquidity management and interaction between the group’s units
(d)	Scope and nature of liquidity risk reporting and measurement systems.
(e)	Policies for hedging and mitigating the liquidity risk and strategies and processes for monitoring the continuing effectiveness of hedges and mitigants.
(f)	An outline of the bank's contingency funding plans.
(g)	An explanation of how stress testing is used.
(h)	A declaration approved by the management body on the adequacy of liquidity risk management arrangements of the institution providing assurance that the liquidity risk management systems put in place are adequate with regard to the institution’s profile and strategy.
(i)	A concise liquidity risk statement approved by the management body succinctly describing the institution’s overall liquidity risk profile associated with the business strategy. This statement shall include key ratios and figures (other than those already covered in the EU LIQ1 template under this ITS ) providing external stakeholders with a comprehensive view of the institution’s management of liquidity risk, including how the liquidity risk profile of the institution interacts with the risk tolerance set by the management body. These ratios may include:
	— Concentration limits on collateral pools and sources of funding (both products and counterparties)
	— Customised measurement tools or metrics that assess the structure of the bank’s balance sheet or that project cash flows and future liquidity positions, taking into account off-balance sheet risks which are specific to that bank
	— Liquidity exposures and funding needs at the level of individual legal entities, foreign branches and subsidiaries, taking into account legal, regulatory and operational limitations on the transferability of liquidity
	— Balance sheet and off-balance sheet items broken down into maturity buckets and the resultant liquidity gaps

Template EU LIQ1 - Quantitative information of LCR

Scope of consolidation: (solo/consolidated)

		a	b	c	d	e	f	g	h
		Total unweighted value (average)				Total weighted value (average)
EU 1a	Quarter ending on (DD Month YYY)	T	T-1	T-2	T-3	T	T-1	T-2	T-3
EU 1b	Number of data points used in the calculation of averages
HIGH-QUALITY LIQUID ASSETS
1	Total high-quality liquid assets (HQLA)
CASH - OUTFLOWS
2	Retail deposits and deposits from small business customers, of which:
3	Stable deposits
4	Less stable deposits
5	Unsecured wholesale funding
6	Operational deposits (all counterparties) and deposits in networks of cooperative banks
7	Non-operational deposits (all counterparties)
8	Unsecured debt
9	Secured wholesale funding
10	Additional requirements
11	Outflows related to derivative exposures and other collateral requirements
12	Outflows related to loss of funding on debt products
13	Credit and liquidity facilities
14	Other contractual funding obligations
15	Other contingent funding obligations
16	TOTAL CASH OUTFLOWS
CASH - INFLOWS
17	Secured lending (e.g. reverse repos)
18	Inflows from fully performing exposures
19	Other cash inflows
EU-19a	(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies)
EU-19b	(Excess inflows from a related specialised credit institution)
20	TOTAL CASH INFLOWS
EU-20a	Fully exempt inflows
EU-20b	Inflows subject to 90% cap
EU-20c	Inflows subject to 75% cap
TOTAL ADJUSTED VALUE
EU-21	LIQUIDITY BUFFER
22	TOTAL NET CASH OUTFLOWS
23	LIQUIDITY COVERAGE RATIO

Table EU LIQB on qualitative information on LCR, which complements template EU LIQ1.

in accordance with Article 451a(2) CRR

Row number	Qualitative information - Free format
(a)	Explanations on the main drivers of LCR results and the evolution of the contribution of inputs to the LCR’s calculation over time
(b)	Explanations on the changes in the LCR over time
(c)	Explanations on the actual concentration of funding sources
(d)	High-level description of the composition of the institution's liquidity buffer.
(e)	Derivative exposures and potential collateral calls
(f)	Currency mismatch in the LCR
(g)	Other items in the LCR calculation that are not captured in the LCR disclosure template but that the institution considers relevant for its liquidity profile

Template EU LIQ2: Net Stable Funding Ratio

In accordance with Article 451a(3) CRR

		a	b	c	d	e
(in currency amount)		Unweighted value by residual maturity				Weighted value
(in currency amount)		No maturity	< 6 months	6 months to < 1yr	≥ 1yr
Available stable funding (ASF) Items
1	Capital items and instruments
2	Own funds
3	Other capital instruments
4	Retail deposits
5	Stable deposits
6	Less stable deposits
7	Wholesale funding:
8	Operational deposits
9	Other wholesale funding
10	Interdependent liabilities
11	Other liabilities:
12	NSFR derivative liabilities
13	All other liabilities and capital instruments not included in the above categories
14	Total available stable funding (ASF)
Required stable funding (RSF) Items
15	Total high-quality liquid assets (HQLA)
EU-15a	Assets encumbered for a residual maturity of one year or more in a cover pool
16	Deposits held at other financial institutions for operational purposes
17	Performing loans and securities:
18	Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0% haircut
19	Performing securities financing transactions with financial customer collateralised by other assets and loans and advances to financial institutions
20	Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which:
21	With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk
22	Performing residential mortgages, of which:
23	With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk
24	Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products
25	Interdependent assets
26	Other assets:
27	Physical traded commodities
28	Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs
29	NSFR derivative assets
30	NSFR derivative liabilities before deduction of variation margin posted
31	All other assets not included in the above categories
32	Off-balance sheet items
33	Total RSF
34	Net Stable Funding Ratio (%)

ANNEX XIV Instructions for the liquidity requirements templates

ANNEX XIV

Instructions for the liquidity requirements templates

Instructions on Table EU LIQA on liquidity risk management and on template EU LIQ1 regarding LCR

1. Institutions subject to Part Six of Regulation (EU) 575/2013 ( 13 ) (‘CRR’) shall disclose the information referred to in Article 451a CRR by completing table EU LIQA, template EU LIQ1 and table EU LIQB.

Table EU LIQA - Liquidity risk management

2. Institutions subject to Part Six CRR shall disclose the information referred to in Article 451a(4) CRR by following the instructions provided below in this Annex to complete table EU LIQA which is presented in Annex XIII to this Implementing Regulation.

3. For the purposes of table EU LIQA, institutions subject to Part Six CRR shall consider the text boxes provided in the table as free-text boxes. They shall provide relevant information, both qualitative and quantitative, on risk management objectives and policies for liquidity risk, depending upon their business models and liquidity risk profiles, organisation and functions involved in liquidity risk management, in accordance with Article 435(1) CRR and the Commission Delegated Regulation (EU) 2015/61 ( 14 ) with regard to liquidity coverage requirement for Credit Institutions.

Template EU LIQ1 - Quantitative information of LCR

4. Institutions subject to Part Six CRR shall disclose the information referred to in Article 451a(2) CRR by following the instructions provided below in this Annex to complete template EU LIQ1 as presented in Annex XIII to this Implementing Regulation.

5. When disclosing the information required in this template, institutions subject to Part Six CRR shall include the values and figures required for each of the four calendar quarters (January-March, April-June, July-September, October-December) preceding the disclosure date. Institutions shall calculate these values and figures as the simple averages of month-end observations over the twelve months preceding the end of each quarter.

6. The information required in template EU LIQ1 shall include all items irrespective of the currency in which they are denominated and shall be disclosed in the reporting currency as defined in Article 3 of Commission Delegated Regulation (EU) 2015/61.

7. To calculate the unweighted and weighted inflows and outflows and the weighted HQLA for the purpose of template EU LIQ1, institutions shall apply the following instructions:

(a)

Inflows/outflows: the unweighted value of inflows and outflows shall be calculated as the outstanding balances of various categories or types of liabilities, off-balance sheet items or contractual receivables. The 'weighed' value for inflows and outflows shall be calculated as the value after the inflow and outflow rates are applied.

(b)

HQLA: the 'weighted' value of High Quality Liquid Assets (HQLA) shall be calculated as the value after haircuts are applied.

8. In order to calculate the adjusted value of the liquidity buffer in item 21 and the adjusted value of total net cash outflows in item 22 of template EU LIQ1, institutions shall apply each of the following instructions:

(a)

the adjusted value of the liquidity buffer is the value of total HQLA after the application of both haircuts and any applicable cap;

(b)

the adjusted value of net cash outflows shall be calculated after the cap on inflows is applied, where applicable.

Legal references and instructions
Row number	Explanation
1	Total high quality liquid assets (HQLA) Institutions shall disclose as the weighted value the amount in accordance with Article 9 of Commission Delegated Regulation (EU) 2015/61 of the liquid assets before applying the adjustment mechanism as referred to in Article 17(2) of Commission Delegated Regulation (EU) 2015/61.
2	Retail deposits and deposits from small business customers, of which: Institutions shall disclose as the unweighted value the amount of the retail deposits in accordance with Articles 24 and 25 of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose as the weighted value the outflow of the retail deposits in accordance with Articles 24 and 25 of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose here on retail deposits in accordance with Article 411(2) CRR. In accordance with Article 28(6) of Commission Delegated Regulation (EU) 2015/61 institutions shall also disclose within the appropriate retail deposit category the amount of the notes, bonds and other securities issued which are sold exclusively in the retail market and held in a retail account. Institutions will consider for this category of liability the applicable outflow rates provided for by the Commission Delegated Regulation (EU) 2015/61 for the different categories of retail deposits.
3	Stable deposits Institutions shall disclose as the unweighted value the sum of the amount of the stable deposits in accordance with Article 24 of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose as the weighted value the sum of the outflow of the stable deposits in accordance with Article 24 of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose here the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC (1) or Directive 2014/49/EU (2) or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Article 24 (2) and (3) of the Commission Delegated Regulation (EU) 2015/61 respectively and where: — These deposits do not fulfil the criteria for a higher outflow rate in accordance with Article 25(2), (3), or (5) of Commission Delegated Regulation (EU) 2015/61, and — These deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Commission Delegated Regulation (EU) 2015/61.
4	Less stable deposits Institutions shall disclose as the unweighted value the sum of the amount of the retail deposits in accordance with Article 25 (1), (2) and (3) of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose as the weighted value the sum of the outflow of the retail deposits in accordance with Article 25(1), (2) and (3) of Commission Delegated Regulation (EU) 2015/61.
5	Unsecured wholesale funding Institutions shall disclose the sums of the unweighted and weighted amounts that are necessary to be disclosed in row 6 'Operational deposits (all counterparties) and deposits in networks of cooperative banks', row 7 'Non-operational deposits (all counterparties)' and row 8 'Unsecured debt' of this template.
6	Operational deposits (all counterparties) and deposits in networks of cooperative banks Institutions shall disclose as the unweighted value the amount of the operational deposits in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose as the weighted value the outflows of the operational deposits in accordance with Article 27 of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose here the part of the operational deposits, in accordance with Article 27 of the Commission Delegated Regulation (EU) 2015/61, which is necessary for the provision of operational services. Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall be considered non-operational deposits in accordance with Article 27(5) of Commission Delegated Regulation (EU) 2015/61. The part of the operational deposits in excess of the amount necessary for the provision of operational services shall not be disclosed here.
7	Non-operational deposits (all counterparties) Institutions shall disclose as the unweighted value the amount of the non-operational deposits following Article 27(5), Article 28(1) and Article 31A(1) of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose as the weighted value the outflow of the non- operational deposits following Article 27(5), Article 28(1) and Article 31A(1) of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose here on deposits arising out of a correspondent banking or from the provision of prime brokerage services in accordance with Article 27(5) of Commission Delegated Regulation (EU) 2015/61. The part of operational deposits in accordance with Article 27(5) of Commission Delegated Regulation (EU) 2015/61, in excess of those required for the provision of operational services, shall be disclosed here.
8	Unsecured debt Institutions shall disclose as the unweighted value the outstanding balance of notes, bonds and other debt securities, issued by the institution other than that disclosed as retail deposits as referred to in Article 28(6) of Commission Delegated Regulation (EU) 2015/61. This amount includes also coupons that come due in the next 30 calendar days referred to all these securities. Institutions shall disclose as the weighted value the outflow of those notes, bonds and other debt securities indicated in the previous paragraph.
9	Secured Wholesale funding Institutions shall disclose as the weighted value the sum of the outflow resulting from secured lending or capital market-driven transactions as referred to in in Article 28(3) of Commission Delegated Regulation (EU) 2015/61 and from collateral swaps and other transactions with a similar form in accordance with Articles 28(4) of Commission Delegated Regulation (EU) 2015/61.
10	Additional requirements Institutions shall disclose the sums of the unweighted and weighted amounts that are necessary to be disclosed in row 11 'Outflows related to derivative exposures and other collateral requirements', row 12 'Outflows related to loss of funding on debt products' and row 13 'Credit and liquidity facilities' of this template.
11	Outflows related to derivative exposures and other collateral requirements Institutions shall disclose as the unweighted value and as the weighted value the sum of the following amounts and outflows respectively: — The market value and relevant outflows of collateral other than Level 1 collateral which is posted for contracts listed in Annex II CRR and credit derivatives, following Article 30(1) of Commission Delegated Regulation (EU) 2015/61. — The market value and relevant outflows of Level 1 EHQ Covered Bonds assets collateral posted for contracts listed in Annex II CRR and credit derivatives following Article 30(1) of Commission Delegated Regulation (EU) 2015/61. — The total amount of additional outflows calculated and notified to the competent authorities in accordance with Article 30(2) of Commission Delegated Regulation (EU) 2015/61 as material outflows due to deterioration of own credit quality. — The amount of outflows stemming from an impact of an adverse market scenario on derivatives transactions as envisaged in Article 30(3) of Commission Delegated Regulation (EU) 2015/61 and calculated in accordance with Commission Delegated Regulation (EU) 2017/208 (3). — The amount of outflows expected over 30 calendar days from contracts listed in Annex II CRR and from credit derivatives as envisaged in Article 30(4) of Commission Delegated Regulation (EU) 2015/61 and calculated in accordance with Article 21 of Commission Delegated Regulation (EU) 2015/61. — The market value, and relevant outflows, of excess collateral that the institution holds and that can be contractually called at any times by the counterparty as envisaged in point (a) of Article 30(6) of Commission Delegated Regulation (EU) 2015/61. — The market value, and relevant outflows, of collateral that is due to be posted to counterparty within the 30 calendar day period as envisaged in point (b) of Article 30(6) of Commission Delegated Regulation (EU) 2015/61. — The market value, and relevant outflows, of collateral that qualifies as liquid assets for the purpose of Title II of Commission Delegated Regulation (EU) 2015/61 that can be substituted for assets corresponding to assets that would not qualify as liquid assets for the purpose of Title II of the same Regulation without the consent of the institution, as envisaged in point (c) of Article 30(6) of Commission Delegated Regulation (EU) 2015/61.
12	Outflows related to loss of funding on debt products Institutions shall disclose as the unweighted value and as the weighted value the amount and outflows respectively, of the loss of funding on structured financing activities, as envisaged in Article 30(8) to 30(10) of Commission Delegated Regulation (EU) 2015/61. Institutions shall assume 100 % outflow for loss of funding on asset backed securities, covered bonds and other structured financing instruments maturing within the 30 calendar day period issued by the credit institution or by sponsored conduits or SPVs. Institutions that are providers of liquidity facilities associated with financing programs disclosed here do not need to double count the maturing financing instrument and the liquidity facility for consolidated programs.
13	Credit and liquidity facilities Institutions shall disclose as the unweighted value and as the weighted value the amount and outflow respectively, of the credit and liquidity facilities in accordance with Article 31 of Commission Delegated Regulation (EU) 2015/61. Institutions shall also disclose here on committed facilities in accordance with Article 29 of the Commission Delegated Regulation (EU) 2015/61.
14	Other contractual funding obligations Institutions shall disclose as the unweighted value and as the weighted value the sum of amounts and outflows respectively, of the following items: — Assets borrowed on an unsecured basis, and maturing within the 30 days as envisaged in Article 28(7) of Commission Delegated Regulation (EU) 2015/61. These assets shall be assumed to run off in full, leading to a 100 % outflow. Institutions shall disclose the market value of assets borrowed on an unsecured basis and maturing within the 30 days period where the credit institution does not own the securities and they do not form part of institutions liquidity buffer. — Short positions covered by an unsecured security borrowing. As established in Article 30(5) of Commission Delegated Regulation (EU) 2015/61, institutions shall add an additional outflow corresponding to 100 % of the market value of the securities or other assets sold short unless the terms upon which the credit institution has borrowed them require their return only after 30 calendar days. If the short position is covered by a collateralized securities financing transaction, the credit institution shall assume the short positon will be maintained throughout the 30 calendar day period and received a 0 % outflow. — Liabilities resulting from operating expenses. As established in Article 28(2) of Commission Delegated Regulation (EU) 2015/61, institutions shall disclose the amount of the outstanding balance of liabilities resulting from the credit institution's own operating expenses. These liabilities do not trigger outflows. — Other unsecured transactions that come due in the next 30 calendar days and are not included in Articles 24 to 31 of Commission Delegated Regulation (EU) 2015/61, that, as established in Article 31A(1) of Commission Delegated Regulation (EU) 2015/61, trigger 100 % outflows.
15	Other contingent funding obligations Institutions shall disclose as the unweighted value and as the weighted value the sum of amounts and outflows respectively, of the following items: — Other products and services as referred to in Article 23 of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose here on those products or services referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. The amount to be disclosed shall be the maximum amount that could be drawn from those products or services referred to in Article 23(1) of Commission Delegated Regulation (EU) 2015/61. — Excess of contractual commitments to extend funding to non-financial customers within 30 calendar days as envisaged in Article 31A(2) of Commission Delegated Regulation (EU) 2015/61. — Internal netting of clients positions in accordance with Article 30(11) of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose here the market value of the non-liquid assets of a client that, in relation to prime brokerage services, the credit institution has used to cover short sales of another client by internally matching them.
16	TOTAL CASH OUTFLOWS Institutions shall disclose the sum of the weighted value of the following items under these instructions: — Row 2: Retail deposits and deposits from small business customers of this template; — Row 5: Unsecured wholesale funding of this template, — Row 9: Secured wholesale funding of this template, — Row 10: Additional requirements of this template, — Row 14: Other contractual funding obligations of this template; — Row 15: Other contingent funding obligations of this template.
17	Secured lending (e.g. reverse repos) Institutions shall disclose as the unweighted value the sum of: — The amounts of secured lending and capital market driven transactions with a residual maturity of no more than 30 days as envisaged in points (b), (c) and (f) of Article 32(3) of Commission Delegated Regulation (EU) 2015/61. — The market value of collateral lent in collateral swaps as envisaged in Article 32(3) of Commission Delegated Regulation (EU) 2015/61. Institutions shall disclose as the weighted value the sum of: — Inflows from secured lending and capital market driven transactions with a residual maturity of no more than 30 days as envisaged in points (b), (c) and (f) of Article 32(3) of Commission Delegated Regulation (EU) 2015/61. — Inflows from collateral swaps as envisaged in Article 32(3) of Commission Delegated Regulation (EU) 2015/61.
18	Inflows from fully performing exposures Institutions shall disclose as the unweighted value and as the weighted value the sum of the total amounts and inflows, respectively, of the items: — monies due from non-financial customers (except for central banks) as envisaged in point (a) of Article 32(3) of Commission Delegated Regulation (EU) 2015/61. — monies due from central banks and financial customers as envisaged in point (a) of Article 32(2) of Commission Delegated Regulation (EU) 2015/61. — monies due from trade financing transactions as envisaged in point (b) of Article 32(2) of Commission Delegated Regulation (EU) 2015/61 with a residual maturity of no more than 30 days. — inflows corresponding to outflows in accordance with promotional loan commitments as referred to in Article 31(9) of Commission Delegated Regulation (EU) 2015/61.
19	Other cash inflows Institutions shall disclose as the unweighted value and as the weighted value the sum of the total amounts and inflows respectively, of the items: — monies due from securities maturing within 30 days as envisaged in point (c) of Article 32(2) of Commission Delegated Regulation (EU) 2015/61. — loans with an undefined contractual end date as envisaged in point (i) of Article 32(3) of Commission Delegated Regulation (EU) 2015/61. — monies due from positions in major index equity instruments provided that there is no double counting with liquid assets as envisaged in point (d) of Article 32(2) of Commission Delegated Regulation (EU) 2015/61. Position shall include monies contractually due within 30 calendar days, such as cash dividends from those major indexes and cash due from those equity instruments sold but not yet settled, if they are not recognized as liquid assets in accordance with Title II of Commission Delegated Regulation (EU) 2015/61. — inflows from the release of balances held in segregated accounts in accordance with regulatory requirements for the protection of customer trading assets as envisaged in Article 32(4) of Commission Delegated Regulation (EU) 2015/61. Inflows shall only be considered if these balances are maintained in liquid assets as specified in Title II of Commission Delegated Regulation (EU) 2015/61. — inflows from derivatives as envisaged in Article 32(5) in conjunction with Article 21 of Commission Delegated Regulation (EU) 2015/61. — inflows from undrawn credit or liquidity facilities provided by members of a group or an institutional protection scheme where the competent authorities have granted permission to apply a higher inflow rate in accordance with Article 34 of Commission Delegated Regulation (EU) 2015/61. — other inflows following Article 32(2) of Commission Delegated Regulation (EU) 2015/61.
EU-19a	(Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) As envisaged in Article 32(8) of Commission Delegated Regulation (EU) 2015/61, institutions shall disclose as the weighted value the excess of those weighted inflows with respect to those outflows.
EU-19b	(Excess inflows from a related specialised credit institution) As envisaged in point (e) of Article 2(3) and in Article 33(6) of Commission Delegated Regulation (EU) 2015/61, credit institutions, for the purposes of disclosing in a consolidated basis, shall disclose as the weighted value the inflows arising from a related specialised credit institution referred to in Article 33(3) and (4) of Commission Delegated Regulation (EU) 2015/61 that are in excess of the amount of outflows arising from the same undertaking.
20	TOTAL CASH INFLOWS Institutions shall disclose the sum of the unweighted and weighted value of the following items under these instructions: — Row 17: Secured lending (e.g. reverse repos) of this template — Row 18: Inflows from fully performing exposures of this template — Row 19: Other cash inflows of this template — minus: — Row EU-19a: (Difference between total weighted inflows and total weighted outflows arising from transactions in third countries where there are transfer restrictions or which are denominated in non-convertible currencies) of this template — Row Eu-19b: (Excess inflows from a related specialised credit institution) of this template.
EU-20a	Fully exempt inflows Institutions shall disclose as the unweighted value and as the weighted value the total amount of assets/monies due/maximum amount that can be drawn and their relevant total inflows, respectively, which are exempted from the cap on inflows in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61.
EU-20b	Inflows subject to 90 % cap Institutions shall disclose as the unweighted value and as the weighted value the total amount of assets/monies due/maximum amount that can be drawn and their relevant total inflows, respectively, which are subject to the 90 % inflows cap in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61.
EU-20c	Inflows subject to 75 % cap Institutions shall disclose as the unweighted value and as the weighted value the total amount of assets/monies due/maximum amount that can be drawn and their relevant total inflows, respectively, which are subject to the 75 % inflows cap in accordance with Article 32, Article 33 and Article 34 of Commission Delegated Regulation (EU) 2015/61.
EU-21	LIQUIDITY BUFFER Institutions shall disclose as the adjusted value the value of the institution's Liquidity buffer calculated in accordance with Annex I – Formulae for the determination of the liquidity buffer composition of Commission Delegated Regulation (EU) 2015/61.
22	TOTAL NET CASH OUTFLOWS Institutions shall disclose as the adjusted value the net liquidity outflow which equals total outflows less the reduction for fully exempt inflows less the reduction for inflows subject to the 90 % cap less the reduction for inflows subject to the 75 % cap.
23	LIQUIDITY COVERAGE RATIO (%) Institutions shall disclose as the adjusted value the percentage of the item 'Liquidity coverage ratio (%)' as defined in Article 4(1) of Commission Delegated Regulation (EU) 2015/61. The liquidity coverage ratio shall be equal to the ratio of a credit institution's liquidity buffer to its net liquidity outflows over a 30 calendar day stress period and shall be expressed as a percentage.
(1) DIRECTIVE 94/19/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 30 May 1994 on deposit-guarantee schemes (OJ L 135, 31.5.1994, p. 5). (2) DIRECTIVE 2014/49/EU OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 16 April 2014 on deposit guarantee schemes (OJ L 173, 12.6.2014, p. 149). (3) COMMISSION DELEGATED REGULATION (EU) 2017/208 of 31 October 2016 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council with regard to regulatory technical standards for additional liquidity outflows corresponding to collateral needs resulting from the impact of an adverse market scenario on an institution's derivatives transactions (OJ L 33, 8.2.2017, p. 14).

Table EU LIQB on qualitative information on LCR, which complements template EU LIQ1.

9. Institutions subject to Part Six of CRR shall disclose the information referred to in Article 451a(2) CRR by following the instructions provided below in this Annex to complete table EU LIQB which is presented in Annex XIII to this Implementing Regulation.

10. Table EU LIQB shall provide qualitative information on the items included in template EU LIQ1 on quantitative information on LCR.

11. Institutions subject to Part Six CRR shall consider the text boxes provided in this table as free-text boxes and disclose the items included there, where possible, in accordance with their consideration in the context of the definition of the LCR in Commission Delegated Regulation (EU) 2015/61 and of the additional liquidity monitoring metrics as set out in Chapter 7b of Commission Implementing Regulation (EU) No 680/2014 ( 15 ).

Instructions on template EU LIQ2 on disclosure of Net Stable Funding Ratio (NSFR)

12. Institutions subject to Part Six CRR shall disclose the information included in template EU LIQ2 in application of Article 451a(3) CRR in accordance with the instructions included in this Annex. Quarter-end figures for each quarter of the relevant disclosure period shall be disclosed. For e.g. annual disclosure this includes four data sets covering the latest and the three previous quarters.

13. The information required in template EU LIQ2 shall include all assets, liabilities and off-balance sheet items irrespective of the currency in which they are denominated and shall be disclosed in the reporting currency as defined in Article 411(15) CRR.

14. To avoid any double counting, institutions shall not disclose assets or liabilities that are associated with collateral posted or received as variation margin in accordance with Articles 428k(4) and with Article 428ah(2) CRR, initial margin and contribution to the default fund of a CCP in accordance with point (a) of Article 428ag and with point (b) of Article 428ag CRR.

15. Deposits maintained in the context of an institutional protection scheme or a cooperative network that are considered as liquid assets shall be disclosed as such. Other items within a group or an institutional protection scheme shall be disclosed in the relevant general categories in the template of stable funding required or available.

16. Institutions shall always disclose as ‘Unweighted value by residual maturity’ in columns a, b, c and d of the template the accounting values, except for the cases of derivative contracts, for which institutions shall refer to the fair value as specified in Article 428d(2) CRR.

17. Institutions shall disclose the ‘weighted value’ in column e of this template. This value shall reflect the value in accordance with Article 428c(2) CRR which is the result of the unweighted value multiplied by the stable funding factors.

18. The amount of assets and liabilities resulting from securities financing transactions (SFTs) with a single counterparty shall be considered on a net basis where Article 428e CRR applies. In the case that the individual transactions netted were subject to different required stable funding (RSF) factors if they were considered separately, the netted amount to be disclosed, if an asset, shall be subject to the higher RSF factor of them.

19. Institutions shall provide in the narrative accompanying this template any explanations needed to facilitate an understanding of the results and the accompanying data. At least, institutions shall explain:

a.

the drivers of their NSFR results and the reasons for intra-period changes as well as the changes over time (e.g., changes in strategies, funding structure, circumstances); and

b.

the composition of the institution’s interdependent assets and liabilities and to what extent these transactions are interrelated.

Available stable funding (ASF) Items

20. In accordance with Article 428i CRR, unless specified otherwise in Chapter 3 of Title IV of Part Six CRR, the amount of available stable funding (ASF) shall be calculated by multiplying the amount of liabilities and own funds, as unweighted value, by the available stable funding factors. The weighted value in column ‘e’ of this template reflects the amount of available stable funding.

21. All liabilities and own funds shall be disclosed with a breakdown by their residual maturity in columns a, b, c and d of this template, calculated in accordance with Articles 428j, 428o and 428ak CRR, with the following breakdown in terms of maturity buckets:

a.

no maturity: Items to be disclosed in the ‘no maturity’ time bucket do not have a stated maturity or are perpetual;

b.

residual maturity of less than six months;

c.

residual maturity of a minimum of six months but less than one year; and

d.

residual maturity of one year or more.

Required stable funding (RSF) Items

22. Institutions shall disclose in the appropriate category all assets on which they retain beneficial ownership even if they are not accounted for in their balance sheet. Assets on which institutions do not retain beneficial ownership shall not be disclosed even if these assets are accounted for in their balance sheet.

23. In accordance with Article 428p CRR, unless specified otherwise in Chapter 4 of Title IV of Part Six CRR, the amount of required stable funding (RSF) shall be calculated by multiplying the unweighted value of assets and off-balance sheet items by the required stable funding factors.

24. Assets that are eligible as high-quality liquid assets (HQLA) in accordance with Commission Delegated Regulation (EU) 2015/61 shall be disclosed as such, in a designated row regardless of their residual maturity.

25. All non-HQLA assets and off-balance sheet items shall be disclosed with a breakdown by their residual maturity in accordance with Article 428q CRR. The maturity buckets of the amounts, standard factors and applicable factors are the following:

a.

residual maturity of less than six months or without stated maturity;

b.

residual maturity of a minimum of six months but less than one year; and

c.

residual maturity of one year or more.

Legal references and instructions
Row	Explanation
	Available stable funding (ASF) Items
1	Capital items and instruments Institutions shall disclose here the sum of amounts in row 2 and row 3 of this template.
2	Own funds Points (a), (b) and (c) of Article 428o CRR Institutions shall include here the sum of the following items: — common Equity Tier 1 (CET1) items before the application of prudential filters, deductions and exemption or alternatives stipulated in Articles 32 to 36, 48, 49 and 79 CRR; — additional Tier 1 items (AT1) before the application of the deductions and exemptions stipulated in Articles 56 and 79 CRR; and — tier 2 (T2) items before the application of the deductions and exemptions stipulated in Articles 66 and 79 CRR and having a residual maturity of one year or more at the disclosure reference date. CET1 and AT1 items are perpetual instruments that shall be disclosed in the ‘no maturity’ bucket. In the case of AT1 items callable by the institution, only if the time period to the date of the call options is below one year, they will not be disclosed in the no maturity bucket but in the applicable time bucket (i.e., residual maturity of less than six months or residual maturity of a minimum of six months but less than one year). This is regardless of whether the option has been exercised or not. Regarding T2 items, the maturity bucket of one year or more shall include those instruments with an equivalent residual maturity and, in the exceptional cases of T2 instruments with no maturity, also these instruments. In case T2 items were callable by the institution, and irrespective of whether the institution has exercised the call option, the residual maturity of the instrument will be determined by the date of the call option. In this case, the institution shall disclose these items in the relevant time bucket and shall not apply a 100 % ASF factor if the option may be exercised within one year.
3	Other capital instruments Point (d) of Article 428o and point (d) of Article 428k(3) CRR Other capital instruments with a residual maturity of one year or more at the disclosure reference date. In case other capital instruments were callable by the institution, and irrespective of whether the institution has exercised the call option, the residual maturity of the instrument will be determined by the date of the call option. In this case, the institution shall disclose these items in the relevant time bucket and shall not apply a 100 % ASF factor if the option may be exercised within one year.
4	Retail deposits Institutions shall disclose here the sum of amounts in row 5 and row 6 of this template.
5	Stable retail deposits Article 428n CRR Institutions shall include the part of the amounts of retail deposits covered by a Deposit Guarantee Scheme in accordance with Directive 94/19/EC or Directive 2014/49/EU or an equivalent deposit guarantee scheme in a third country and either is part of an established relationship making withdrawal highly unlikely or is held in a transactional account in accordance with Articles 24(2) and (3) of Commission Delegated Regulation (EU) 2015/61 respectively and where: — these deposits do not fulfill the criteria for a higher outflow rate in accordance with Articles 25(2), (3) and (5) of Commission Delegated Regulation (EU) 2015/61 in which case they shall be included as ‘less stable deposits’; or — these deposits have not been taken in third countries where a higher outflow is applied in accordance with Article 25(5) of Commission Delegated Regulation (EU) 2015/61 in which case they shall be included as ‘less stable deposits’.
6	Less stable retail deposits Article 428m CRR Institutions shall disclose the amount of other retail deposits than those captured as ‘stable retail deposits’ in row 5 of this template.
7	Wholesale funding: Institutions shall disclose here the sum of amounts in row 8 and row 9 of this template.
8	Operational deposits Point (a) of Article 428l CRR Institutions shall disclose here the part of deposits received (both from financial customers and from other non-financial customers) that fulfil the criteria for operational deposits set out with Article 27 of Commission Delegated Regulation (EU) 2015/61 which is necessary for the provision of operational services. Operational deposits in excess of the amount necessary for the provision of operational services shall not be included here but within row 9, ‘Other wholesale funding’ of this template. Deposits arising out of a correspondent banking relationship or from the provision of prime brokerage services shall be considered non-operational deposits in accordance with Article 27(5) of Commission Delegated Regulation (EU) 2015/61 and shall be disclosed under row 9 ‘Other wholesale funding’ of this template.
9	Other wholesale funding Points (b) to (d) of Article 428l, Article 428g and points (c) and (d) of Article 428k (3) CRR Institutions shall disclose here wholesale funding other than the amount of operational deposits that is necessary for the provision of operational services. This shall include liabilities provided by central governments, regional governments, local authorities, public sector entities, multilateral development banks, international organisations, central banks and by any other non-financial or financial customers as well as liabilities where the counterparty cannot be determined, including securities issued where the holder cannot be identified.
10	Interdependent liabilities Point (b) of Article 428k(3) CRR Institutions shall disclose liabilities that, having been approved by the relevant competent authority, are treated as interdependent with assets in accordance with Article 428f CRR.
11	Other liabilities Institutions shall disclose here the sum of amounts in rows 12 and 13 of this template.
12	NSFR derivative liabilities Article 428k(4) CRR Institutions shall disclose the absolute amount of the negative difference between netting sets calculated in accordance with Article 428k(4) CRR.
13	All other liabilities and capital instruments not included in the above categories Articles 428k(1) and 428k(3) CRR Institutions shall disclose here the sum of the following items: — trade date payables arising from purchases of financial instruments, foreign currencies and commodities that are expected to settle within the standard settlement cycle or period that is customary for the relevant exchange or type of transactions or that have failed to, but are still expected to settle, in accordance with point (a) of Article 428k(3) CRR; — deferred tax liabilities, considering the nearest possible date on which their amount can be realised as residual maturity, in accordance with point (a) of Article 428k(2) CRR; — minority interests, considering the term of the instrument as residual maturity, in accordance with point (b) of Article 428k(1) CRR; and — other liabilities, for example short positions and open maturity positions, in accordance with Articles 428k(1) and 428k(3) CRR.
14	Total available stable funding (ASF) Chapter 3 of Title IV of Part Six CRR Institutions shall disclose here the total of the items providing available stable funding in accordance with Chapter 3 of Title IV of Part Six CRR (sum of amounts in rows 1, 4, 7, 10 and 11 of this template).
	Required stable funding (RSF) Items
15	Total high-quality liquid assets (HQLA) Institutions shall also include here encumbered and unencumbered high-quality liquid assets pursuant to Commission Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements referred to in Article 8 of that Delegated Regulation, in accordance with Articles 428r to 428ae CRR.
EU-15a	Assets encumbered for a residual maturity of one year or more in a cover pool Article 428ag(h) CRR Institutions shall disclose here the amount of monies due from loans that are not in default in accordance with Article 178 CRR and liquid assets, that are encumbered for a residual maturity of one year or more in a cover pool funded by covered bonds as referred to in Article 52(4) of Directive (EC) 2009/65 (1) or covered bonds which meet the eligibility requirements for the treatment as set out in Article 129(4) or (5) CRR.
16	Deposits held at other financial institutions for operational purposes Point (b) of Article 428ad CRR Institutions shall disclose here those amounts of monies due from loans that are not in default in accordance with Article 178 CRR, that are operational deposits pursuant to Commission Delegated regulation (EU) 2015/61 and necessary for the provision of operational services.
17	Performing loans and securities: Institutions shall disclose here the sum of amounts in rows 18, 19, 20, 22 and 24 of this template.
18	Performing securities financing transactions with financial customers collateralised by Level 1 HQLA subject to 0 % haircut Article 428e, point (g) of Article 428r(1) and point (b) of Article 428s CRR Institutions shall disclose here the amount of monies due from securities financing transactions, that are not in default in accordance with Article 178 CRR, with financial customers and that are collateralized by level 1 assets eligible for 0 % haircut pursuant to Commission Delegated Regulation (EU) 2015/61.
19	Performing securities financing transactions with financial customers collateralised by other assets and other loans and advances to financial institutions Point (b) of Article 428s, point (d) of Article 428ad, point (b) of Article 428ah(1) and point (a) of Article 428v CRR Institutions shall disclose here the sum of the following items: — the amount of monies due from securities financing transactions, that are not in default in accordance with Article 178 CRR, with financial customers and are collateralized by assets other than level 1 assets eligible for 0 % haircut pursuant to Commission Delegated Regulation (EU) 2015/61; and — the amount of monies due from other loans and advances, that are not in default in accordance with Article 178 CRR, to financial customers, in accordance with point (a) of Article 428v and with point (d)(iii) of Article 428ad CRR.
20	Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, and PSEs, of which: Point (c) of Article 428ad, 428af and point (c) of Article 428ag CRR Institutions shall disclose here those amounts of monies due from loans that are not in default in accordance with Article 178 CRR, which are residential loans fully guaranteed by an eligible protection provider as referred to in point (e) of Article 129(1) CRR or loans, excluding loans to financial customers and loans referred to in Articles 428r to 428ad except point (c) of Article 428ad CRR, regardless the risk weights assigned to these loans. This amount shall not include exposures secured by mortgages on residential property.
21	With a risk weight of less than or equal to 35 % under the Basel II Standardised Approach for credit risk Point (c) of Article 428ad and 428af CRR Institutions shall disclose here those amounts of loans from row 21 of this template which are assigned a risk weight of less than or equal to 35 % in accordance with Chapter 2 of Title II of Part Three CRR.
22	Performing residential mortgages, of which: Point (c) of Article 428ad, point (a) of 428af and point (c) of 428ag CRR Institutions shall disclose here those amounts of monies due from loans that are not in default in accordance with Article 178 CRR, which are loans secured by mortgages on residential property, excluding loans to financial customers and loans referred to in Articles 428r to 428ad CRR, except paragraph (c) of Article 428ad CRR, regardless the risk weights assigned to these loans.
23	With a risk weight of less than or equal to 35 % under the Basel II Standardised Approach for credit risk Point (c) of Article 428ad and point (a) of 428af CRR Institutions shall include here those amounts of loans from row 22 of this template, which are assigned a risk weight of less than or equal to 35 % in accordance with Chapter 2 of Title II of Part Three CRR.
24	Other loans and securities that are not in default and do not qualify as HQLA, including exchange-traded equities and trade finance on-balance sheet products Institutions shall disclose here the sum of: — following points (e) and (f) of Article 428ag CRR, securities that are not in default in accordance with Article 178 CRR and that are not liquid assets pursuant to Commission Delegated Regulation (EU) 2015/61, regardless if they comply with the operational requirements laid down therein; and — trade finance on-balance sheet related products in accordance with point (b) of Article 428v, point (e) of 428ad and point (d) of 428ag CRR.
25	Interdependent assets Article 428f and point (f) of Article 428r(1) CRR Institutions shall disclose here assets that, having been authorized by competent authorities, are being interdependent with liabilities in accordance with Article 428f CRR.
26	Other assets: Institutions shall disclose here the sum of amounts in rows 27, 28, 29, 30, and 31 of this template.
27	Physically traded commodities Point (g) of Article 428ag CRR Institutions shall disclose here the amount of physically traded commodities. This amount shall not include commodity derivatives.
28	Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs Institutions shall disclose here the sum of the following amounts: — the amount of required stable funding arising from derivatives, in accordance with Articles 428d, 428s(2), point (a) of Article 428ag and 428ah(2) CRR, which is related to initial margins for derivative contracts; and — The amount related to items posted as contribution to the default fund of a CCP, in accordance with point (b) of Article 428ag CRR.
29	NSFR derivative assets Articles 428d and 428ah(2) CRR Institutions shall include here the amount of required stable funding arising from derivatives, in accordance with Articles 428d, 428s(2), point (a) of Article 428ag and 428ah(2) CRR, which is calculated as the absolute amount of the positive difference between netting sets calculated in accordance with Article 428ah(2) CRR.
30	NSFR derivative liabilities before deduction of variation margin posted Article 428s(2) CRR Institutions shall disclose here the amount of required stable funding related to derivative liabilities, in accordance with Articles 428d, 428s(2), point (a) of 428ag and 428ah(2) CRR, which is the absolute fair value of netting sets with a negative fair value calculated in accordance with Article 428s(2) CRR.
31	All other assets not included in the above categories Institutions shall include here the sum of the following items: — trade date receivables in accordance with point (e) of Article 428r(1) CRR; — non-performing assets in accordance with point (b) of Article 428ah(1) CRR; — reserves at central banks that are not considered as HQLA; and — other assets not referred to in the previous items listed above.
32	Off-balance sheet items Institutions shall disclose here the amount of off-balance sheet items that are subject to the required stable funding requirements.
33	Total required stable funding (RSF) Chapter 4 of Title IV of Part Six CRR Institutions shall include here the total items subject to the required stable funding in accordance with Chapter 4 of Title IV of Part Six CRR (sum of amounts in rows 15, EU-15a, 16, 17, 25, 26, and 32 of this template).
34	Net Stable Funding Ratio (%) NSFR calculated in accordance with Article 428b(1) CRR
(1) DIRECTIVE 2009/65/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).

ANNEX XV

Table EU CRA: General qualitative information about credit risk

Institutions shall describe their risk management objectives and policies for credit risk by providing the following information:

Qualitative disclosures
(a)	In the concise risk statement in accordance with point (f) of Article 435(1) CRR, how the business model translates into the components of the institution’s credit risk profile.
(b)	When discussing their strategies and processes to manage credit risk and the policies for hedging and mitigating that risk in accordance with points (a) and (d) of Article 435(1) CRR, the criteria and approach used for defining the credit risk management policy and for setting credit risk limits.
(c)	When informing on the structure and organisation of the risk management function in accordance with point (b) of Article 435(1) CRR, the structure and organisation of the credit risk management and control function.
(d)	When informing on the authority, status and other arrangements for the risk management function in accordance with point (b) of Article 435(1) CRR, the relationships between credit risk management, risk control, compliance and internal audit functions.

Table EU CRB: Additional disclosure related to the credit quality of assets

Qualitative disclosures
(a)	The scope and definitions of ‘past-due’ and ‘impaired’ exposures used for accounting purposes and the differences, if any, between the definitions of past due and default for accounting and regulatory purposes as specified by the EBA Guidelines on the application of the definition of default in accordance with Article 178 CRR.
(b)	The extent of past-due exposures (more than 90 days) that are not considered to be impaired and the reasons for this.
(c)	Description of methods used for determining general and specific credit risk adjustments.
(d)	The institution’s own definition of a restructured exposure used for the implementation of point (d) of Article 178(3) CRR specified by the EBA Guidelines on defaultin accordance with Article 178 CRR when different from the definition of forborne exposure defined in Annex V to Commission Implementing Regulation (EU) 680/2014.

Template EU CR1: Performing and non-performing exposures and related provisions.

a

b

c

d

e

f

g

h

i

j

k

l

m

n

o

Gross carrying amount/nominal amount

Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions

Accumulated partial write-off

Collateral and financial guarantees received

Performing exposures

Non-performing exposures

Performing exposures – accumulated impairment and provisions

Non-performing exposures – accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions

On performing exposures

On non-performing exposures

Of which stage 1

Of which stage 2

Of which stage 3

Of which stage 1

Of which stage 2

Of which stage 3

005

Cash balances at central banks and other demand deposits

010

Loans and advances

020

Central banks

030

General governments

040

Credit institutions

050

Other financial corporations

060

Non-financial corporations

070

Of which SMEs

080

Households

090

Debt securities

100

Central banks

110

General governments

120

Credit institutions

130

Other financial corporations

140

Non-financial corporations

150

Off-balance-sheet exposures

160

Central banks

170

General governments

180

Credit institutions

190

Other financial corporations

200

Non-financial corporations

210

Households

220

Total

Template EU CR1-A: Maturity of exposures

		a	b	c	d	e	f
		Net exposure value
		On demand	<= 1 year	> 1 year <= 5 years	> 5 years	No stated maturity	Total
1	Loans and advances
2	Debt securities
3	Total

Template EU CR2: Changes in the stock of non-performing loans and advances

		a
		Gross carrying amount
010	Initial stock of non-performing loans and advances
020	Inflows to non-performing portfolios
030	Outflows from non-performing portfolios
040	Outflows due to write-offs
050	Outflow due to other situations
060	Final 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

		a	b
		Gross carrying amount	Related net accumulated recoveries
010	Initial stock of non-performing loans and advances
020	Inflows to non-performing portfolios
030	Outflows from non-performing portfolios
040	Outflow to performing portfolio
050	Outflow due to loan repayment, partial or total
060	Outflow due to collateral liquidations
070	Outflow due to taking possession of collateral
080	Outflow due to sale of instruments
090	Outflow due to risk transfers
100	Outflows due to write-offs
110	Outflow due to other situations
120	Outflow due to reclassification as held for sale
130	Final stock of non-performing loans and advances

Template EU CQ1: Credit quality of forborne exposures

		a	b	c	d	e	f	g	h
		Gross carrying amount/nominal amount of exposures with forbearance measures				Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions		Collateral received and financial guarantees received on forborne exposures
		Performing forborne	Non-performing forborne			On performing forborne exposures	On non-performing forborne exposures		Of which collateral and financial guarantees received on non-performing exposures with forbearance measures
		Performing forborne		Of which defaulted	Of which impaired	On performing forborne exposures	On non-performing forborne exposures
005	Cash balances at central banks and other demand deposits
010	Loans and advances
020	Central banks
030	General governments
040	Credit institutions
050	Other financial corporations
060	Non-financial corporations
070	Households
080	Debt Securities
090	Loan commitments given
100	Total

Template EU CQ2: Quality of forbearance

		a
		Gross carrying amount of forborne exposures
010	Loans and advances that have been forborne more than twice
020	Non-performing forborne loans and advances that failed to meet the non-performing exit criteria

Template EU CQ3: Credit quality of performing and non-performing exposures by past due days

a

b

c

d

e

f

g

h

i

j

k

l

Gross carrying amount/nominal amount

Performing exposures

Non-performing exposures

Not past due or past due ≤ 30 days

Past due > 30 days ≤ 90 days

Unlikely to pay that are not past due or are past due ≤ 90 days

Past due > 90 days ≤ 180 days

Past due > 180 days ≤ 1 year

Past due > 1 year ≤ 2 years

Past due > 2 years ≤ 5 years

Past due > 5 years ≤ 7 years

Past due > 7 years

Of which defaulted

005

Cash balances at central banks and other demand deposits

010

Loans and advances

020

Central banks

030

General governments

040

Credit institutions

050

Other financial corporations

060

Non-financial corporations

070

Of which SMEs

080

Households

090

Debt securities

100

Central banks

110

General governments

120

Credit institutions

130

Other financial corporations

140

Non-financial corporations

150

Off-balance-sheet exposures

160

Central banks

170

General governments

180

Credit institutions

190

Other financial corporations

200

Non-financial corporations

210

Households

220

Total

Template EU CQ4: Quality of non-performing exposures by geography

		a	b	c	d	e	f	g
		Gross carrying/nominal amount				Accumulated impairment	Provisions on off-balance-sheet commitments and financial guarantees given	Accumulated negative changes in fair value due to credit risk on non-performing exposures
			Of which non-performing		Of which subject to impairment
				Of which defaulted	Of which subject to impairment
010	On-balance-sheet exposures
020	Country 1
030	Country 2
040	Country 3
050	Country 4
060	Country N
070	Other countries
080	Off-balance-sheet exposures
090	Country 1
100	Country 2
110	Country 3
120	Country 4
130	Country N
140	Other countries
150	Total

Template EU CQ5: Credit quality of loans and advances to non-financial corporations by industry

		a	b	c	d	e	f
		Gross carrying amount				Accumulated impairment	Accumulated negative changes in fair value due to credit risk on non-performing exposures
			Of which non-performing		Of which loans and advances subject to impairment
				Of which defaulted	Of which loans and advances subject to impairment
010	Agriculture, forestry and fishing
020	Mining and quarrying
030	Manufacturing
040	Electricity, gas, steam and air conditioning supply
050	Water supply
060	Construction
070	Wholesale and retail trade
080	Transport and storage
090	Accommodation and food service activities
100	Information and communication
110	Financial and insurance actvities
120	Real estate activities
130	Professional, scientific and technical activities
140	Administrative and support service activities
150	Public administration and defense, compulsory social security
160	Education
170	Human health services and social work activities
180	Arts, entertainment and recreation
190	Other services
200	Total

Template EU CQ6: Collateral valuation - loans and advances

a

b

c

d

e

f

g

h

i

j

k

l

Loans and advances

Performing

Non-performing

Unlikely to pay that are not past due or are past due ≤ 90 days

Past due > 90 days

Of which past due > 30 days ≤ 90 days

Of which past due > 90 days ≤ 180 days

Of which: past due > 180 days ≤ 1 year

Of which: past due > 1 years ≤ 2 years

Of which: past due > 2 years ≤ 5 years

Of which: past due > 5 years ≤ 7 years

Of which: past due > 7 years

010

Gross carrying amount

020

Of which secured

030

Of which secured with immovable property

040

Of which instruments with LTV higher than 60% and lower or equal to 80%

050

Of which instruments with LTV higher than 80% and lower or equal to 100%

060

Of which instruments with LTV higher than 100%

070

Accumulated impairment for secured assets

080

Collateral

090

Of which value capped at the value of exposure

100

Of which immovable property

110

Of which value above the cap

120

Of which immovable property

130

Financial guarantees received

140

Accumulated partial write-off

Template EU CQ7: Collateral obtained by taking possession and execution processes

		a	b
		Collateral obtained by taking possession
		Value at initial recognition	Accumulated negative changes
010	Property, plant and equipment (PP&E)
020	Other than PP&E
030	Residential immovable property
040	Commercial Immovable property
050	Movable property (auto, shipping, etc.)
060	Equity and debt instruments
070	Other collateral
080	Total

Template EU CQ8: Collateral obtained by taking possession and execution processes – vintage breakdown

a

b

c

d

e

f

g

h

i

j

k

l

Debt balance reduction

Total collateral obtained by taking possession

Foreclosed ≤ 2 years

Foreclosed > 2 years ≤ 5 years

Foreclosed > 5 years

Of which non-current assets held-for-sale

Gross carrying amount

Accumulated negative changes

Value at initial recognition

Accumulated negative changes

Value at initial recognition

Accumulated negative changes

Value at initial recognition

Accumulated negative changes

Value at initial recognition

Accumulated negative changes

Value at initial recognition

Accumulated negative changes

010

Collateral obtained by taking possession classified as PP&E

020

Collateral obtained by taking possession other than that classified as PP&E

030

Residential immovable property

040

Commercial immovable property

050

Movable property (auto, shipping, etc.)

060

Equity and debt instruments

070

Other collateral

080

Total

ANNEX XVI

Instructions for disclosure of risk management objectives and policies, exposures to credit risk, dilution risk and credit quality

1. Annex XV to this Implementing Regulation includes a set of templates that are applicable to all institutions subject to Article 442 CRR. It also includes some additional templates required to large institutions that have a ratio between the gross carrying amount of loans and advances that fall under Article 47a(3) of Regulation (EU) No 575/2013 and the total gross carrying amount of loans and advances that fall under Article 47a(1) of Regulation (EU) No 575/2013 equal to or higher than 5 %. For the purpose of this ratio, and of the templates included in Annex XV, loans and advances classified as held for sale, cash balances at central banks and other demand deposits shall be excluded both from the denominator and the numerator of the ratios, and from the rows on loans and advances included in the templates. The information on cash balances at central banks and other demand deposits is disclosed separately in some of them.

2. The additional templates are required to convey sufficiently comprehensive and comparable information for users of that information to assess the risk profiles of institutions. For this reason, when reading these instructions, institutions shall take into account the proportionality criteria included in Article 9 of this implementing regulation.

Table EU CRA: General qualitative information about credit risk

3. Institutions shall disclose the information referred to in points (a), (b), (d) and (f) of Article 435(1) of Regulation (EU) 575/2013 ( 16 ) (‘CRR’) on their risk management objectives and policies for credit risk by following the instructions set out in this Annex to complete table EU CRA which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
(a)	In the concise risk statement in accordance with point (f) of Article 435(1) CRR, how the business model translates into the components of the institution’s credit risk profile.
(b)	When discussing their strategies and processes to manage credit risk and the policies for hedging and mitigating that risk in accordance with points (a) and (d) of Article 435(1) CRR, the criteria and approach used for defining the credit risk management policy and for setting credit risk limits.
(c)	When informing on the structure and organisation of the risk management function in accordance with point (b) of Article 435(1) CRR, the structure and organisation of the credit risk management and control function.
(d)	When informing on the authority, status and other arrangements for the risk management function in accordance with point (b) of Article 435(1) CRR, the relationships between credit risk management, risk control, compliance and internal audit functions.

Table EU CRB: Additional disclosure related to the credit quality of assets

4. Institutions shall disclose the information referred to points (a) and (b) of Article 442 CRR by following the instructions provided below to complete table EU CRB which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
(a)	The scope and definitions of ‘past-due’ and ‘impaired’ exposures used for accounting purposes and the differences, if any, between the definitions of past due and default for accounting and regulatory purposes in accordance with Article 178 CRR.
(b)	The extent of past-due exposures (more than 90 days) that are not considered to be impaired and the reasons for this.
(c)	Description of methods used for determining general and specific credit risk adjustments.
(d)	The institution’s own definition of a restructured exposure used for the implementation of point (d) of Article 178(3) CRR in accordance with Article 178 CRR when different from the definition of exposures with forbearance measures as defined in Article 47b CRR.

Template EU CR1: Performing and non-performing exposures and related provisions

5. Institutions shall disclose the information referred to in points (c) and (e) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CR1 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
005	Cash balances at central banks and other demand deposits Institutions shall disclose this information in line with the information reported in Annexes III and IV to Commission Implementing Regulation (EU) 680/2014 (1).
010	Loans and advances Loans and advances are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with Regulation (EU) 1071/2013 (‘ECB BSI Regulation’) (2) as well as advances that cannot be classified as ‘loans’ in accordance with the ECB BSI Regulation, as defined in paragraph 32 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014, but excluding loans and advances classified as held for sale, cash balances at central banks and other demand deposits.
020 – 060, 080, 100 – 140, 160 –210	Counterparty breakdown Institutions shall apply the breakdown by counterparty as defined in paragraph 42 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014. Counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of exposures incurred jointly by more than one obligor shall be done based on the characteristics of the obligor that was the more relevant, or determinant, for the institution’s decision to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE code shall be driven by the characteristics of the more relevant or determinant obligor.
070	SMEs As defined in paragraph 5(i) of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014
090	Debt securities Debt securities are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation, as defined in paragraph 31 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.
150	Off-balance-sheet exposures Off-balance sheet exposures shall include the off-balance sheet items listed in Annex I CRR.
220	Total
(1) COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1). (2) REGULATION (EU) No 1071/2013 OF THE EUROPEAN CENTRAL BANK of 24 September 2013 concerning the balance sheet of the monetary financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1).

Legal references and instructions
Column number	Explanation
a	Gross carrying amount/nominal amount on performing exposures Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014
b, c, e, f, h, i, k and l	Of which stage 1/stage 2/stage 3 For institutions applying IFRS, categories of impairment, as defined in IFRS 9.5.5. ‘Stage 1’ refers to impairment measured in accordance with IFRS 9.5.5.5. ‘Stage 2’ refers to impairment measured in accordance with IFRS 9.5.5.3. ‘Stage 3’ refers to impairment on credit-impaired assets, as defined in Appendix A to IFRS 9. The columns ‘Of which stage 1’, ‘Of which stage 2’ and ‘Of which stage 3’ shall not be disclosed by institutions that apply national generally accepted accounting principles based on Council Directive (EEC) 86/635 (1) on the annual accounts and consolidated accounts of banks and other financial institutions.
d	Gross carrying amount/nominal amount on non-performing exposures Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014; non-performing exposures as defined in Article 47a CRR.
g	Performing exposures – accumulated impairment and provisions This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.
j	Non-performing – accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Non-performing exposures as defined in Article 47a CRR This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.
m	Accumulated partial write-off This is to include the accumulated partial amount at the reference date of principal and accrued past-due interest and fees for any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014, to be disclosed because the institution has no reasonable expectation of recovering the contractual cash flows. These amounts are to be disclosed until the total extinguishment of all the institution’s rights by expiry of the statute-of-limitations period, forgiveness or another cause, or until recovery. Therefore, where the written-off amounts are not recovered, they are to be disclosed while they are subject to enforcement activities. Write-offs constitute a de-recognition event and relate to a financial asset in its entirety or (in the case of a partial write-off) to a portion of it, including where the modification of an asset leads the institution to give up its right to collect cash flows either on a portion or on the entirety of that asset.
n	Collateral and financial guarantees received on performing exposures Amounts for collateral received and guarantees received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for both collateral and guarantees is to be capped at the carrying amount of the related exposure.
o	Collateral and financial guarantees received on non-performing exposures Non-performing exposures as defined in Article 47a CRR Amounts for collateral received and guarantees received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for both collateral and guarantees is to be capped at the carrying amount of the related exposure.
(1) COUNCIL DIRECTIVE 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1).

Template EU CR1-A: Maturity of exposures

6. Institutions shall disclose the information referred to in point (g) of Article 442 CRR by following the instructions provided below to complete template EU CR1-A which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
010	Loans and advances Loans and advances are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with the ECB BSI Regulation as well as advances that cannot be classified as ‘loans’ in accordance with the ECB BSI Regulation, as defined in paragraph 32 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014, but excluding loans and advances classified as held for sale, cash balances at central banks and other demand deposits.
020	Debt securities Debt securities are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation, as defined in paragraph 31 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.
030	Total

Legal references and instructions
Column number	Explanation
a to e	Net exposure values The net values shall be disclosed by residual contractual maturities. Net value of the exposure: For on-balance-sheet items, the net value is the gross carrying value of exposure less allowances/impairments. For off-balance-sheet items, the net value is the gross carrying value of exposure less provisions. Exposure: In accordance with Article 5 CRR, exposure refers to an asset or an off-balance-sheet item that gives rise to a credit risk exposure in accordance with the CRR. Gross carrying values: The accounting value before any allowance/impairments but after considering write-offs. Institutions shall not take into account any CRM technique in the application of Chapter 4 of Title II of Part Three CRR. Off-balance-sheet items shall be disclosed for their nominal amount gross of any CCF applicable in accordance with Article 111 and 166 CRR or CRM techniques, and gross of any provision, particularly (a) guarantees given (the maximum amount that the institution would have to pay if the guarantee were called) and (b) loan commitments and other commitments (the total amount that the institution has committed to lend). In this disclosure: — When a counterparty has a choice of when an amount is repaid, the amount is allocated to column ‘on demand’. The column includes balances receivable on demand (call), at short notice, current accounts and similar balances (which may include loans that are overnight deposits for the borrower, regardless of their legal form). It also includes ‘overdrafts’ that are debit balances on current account balances; — When an exposure has no stated maturity for reasons other than the counterparty having the choice of the repayment date, the amount of this exposure shall be disclosed in column ‘no stated maturity’. — When the amount is repaid in instalments, the exposure shall be allocated in the maturity bucket corresponding to the last instalment.
f	Total

Template EU CR2: Changes in the stock of non-performing loans and advances

1. Institutions shall disclose the information referred to in point (f) of Article 442 CRR by following the instructions provided below to complete template EU CR2 which is presented in Annex XV to this Implementing Regulation. Institutions shall explain in the narrative accompanying these templates any material difference between the non-performing values disclosed in each row and the values as if the definition of defaulted in accordance with Article 178 CRR was applied.

Legal references and instructions
Row number	Explanation
010	Initial stock of non-performing loans and advances The gross carrying amount of the stock of non-performing loans and advances at the end of the last financial year
020	Inflows to non-performing portfolios The gross carrying amount of loans and advances that entered non-performing status during the period (since the end of last financial year)
030	Outflows from non-performing portfolios The gross carrying amount of loans and advances that exited non-performing status
040	Outflow due to write-offs Full or partial write-offs of total loans and advances recorded during the reference period A write-off (full or partial) constitutes a de-recognition event. Therefore, the gross carrying amount of loans and advances is reduced by the amount of the write-offs. Furthermore, debt forgiveness in the context of forbearance measures, i.e. write-offs for which the amount of debt outstanding from the borrower was cancelled (the institution forfeits the right to legally recover it), is also to be included in this category.
050	Outflow due to other situations Any other decreases to the carrying amount of loans and advances other than write-off shall be included in this row. Those adjustments might include, for instance, the outflow due to: i) loan repayment, partial or total; ii) collateral liquidations; iii) taking possession of collateral, iv) sale of instruments; v) risk transfers; vi) FX changes; vii) other closure actions; viii) reclassifications between asset classes, etc. Moreover, the adjustments shall include the outflow due to reclassification as held for sale. Where the amount for this category is significant, institutions are asked to provide additional information in the narrative accompanying this template.
060	Final stock of non-performing loans and advances The gross carrying amount of the stock of non-performing loans and advances at the disclosure reference date.

Legal references and instructions

Column number

Explanation

a

Gross carrying amount

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Template EU CR2a: Changes in the stock of non-performing loans and advances and related net accumulated recoveries

2. Institutions shall disclose the information referred to in points (c) and (f) of Article 442 CRR by following the instructions provided below to complete template EU CR2a which is presented in Annex XV to this Implementing Regulation. Institutions shall explain in the narrative accompanying these templates any material difference between the non-performing values disclosed in each row and the values as if the definition of defaulted in accordance with Article 178 CRR was applied, in particular for rows 010, 030, 100 and 130.

Legal references and instructions
Row number	Explanation
010	Initial stock of non-performing loans and advances The gross carrying amount of the stock of non-performing loans and advances at the end of the last financial year
020	Inflows to non-performing portfolios The gross carrying amount of loans and advances that entered non-performing status during the period (since the end of last financial year)
030	Outflows from non-performing portfolios The gross carrying amount of loans and advances that exited non-performing status
040	Outflow to performing portfolio The gross carrying amount of loans and advances that exited non-performing status and became performing during the period (since the end of last financial year)
050	Outflow due to loan repayment, partial or total The reduction in the gross carrying amount of non-performing loans and advances due to cash payments, namely regular payments of capital and any ad hoc repayments during the period (since the end of last financial year)
060	Outflow due to collateral liquidations The effect on the gross carrying amount of an instrument from the liquidation of any kind of collateral shall be disclosed in this row. Outflows due to other liquidation or legal procedures and voluntary sale of property are also to be included in this row. For the avoidance of doubt, please note that the gross carrying amount of the instrument shall be disclosed, including any potential accompanying partial write-off. Please also note that outflows might not be equal to the sum of net cumulated recoveries and partial write-offs.
060 column b	Related net accumulated recoveries Cash recoveries or cash equivalents collected due to collateral liquidations (net of respective collateral liquidation costs) are to be disclosed in this row.
070	Outflow due to taking possession of collateral The effect on the gross carrying amount of an instrument due to the foreclosure of any kind of collateral shall be disclosed in this row. Taking possession refers to the acquisition of non-cash collateral of which the institution or a group subsidiary has acquired ownership and which it has not yet sold to a third party. Debt asset swaps, voluntary surrenders and debt equity swaps are also to be included in this category. For the avoidance of doubt, please note that the gross carrying amount of the instrument shall be disclosed, including any potential accompanying partial write-offs. Please also note that outflows might not be equal to the sum of net cumulated recoveries and partial write-offs.
070 column b	Related net accumulated recoveries The initial recognition in the institution’s balance sheet of the fair value of the collateral at the moment of taking possession is to be disclosed in this row. Cash recoveries or cash equivalents collected in the context of taking possession of collateral net of costs shall not be included in this row but be disclosed under Outflow due to loan repayment, partial or total.
080	Outflow due to sale of instruments Total balance changes stemming from loans and advances sold to other institutions, excluding intragroup transactions For the avoidance of doubt, institutions shall note that the gross carrying amount of the loans and advances sold is to be disclosed (including any potential accompanying partial write-offs) and not its valuation or price during the transaction. Institutions shall also note that outflows might not be equal to the sum of net cumulated recoveries and partial write-offs.
080 column b	Related net accumulated recoveries Cash recoveries or cash equivalents collected in the context of the sale of loans and advances, net of selling costs, shall be included in this row.
090	Outflow due to risk transfers The gross reduction in non-performing loans and advances due to securitisation or other risk transfers qualifying for de-recognition from the balance sheet Institutions shall note that outflows might not be equal to the sum of net cumulated recoveries and partial write-offs.
090 column b	Related net accumulated recoveries Cash recoveries or cash equivalents collected in the context of the outflows due to significant risk transfers are to be disclosed in this row.
100	Outflow due to write-offs Full or partial write-offs of total loans and advances recorded during the reference period A write-off (full or partial) constitutes a de-recognition event. Therefore, the gross carrying amount of loans and advances is reduced by the amount of the write-offs. For the avoidance of doubt, please note that this row reflects changes in the gross carrying amount of loans and advances, and any potential partial write-offs that have already been disclosed in previous rows (e.g. accompanying sale of loans and advances, collateral liquidation, taking possession of collateral or significant risk transfer) shall not be included in this row. Furthermore, debt forgiveness in the context of forbearance measures, i.e. write-offs for which the amount of debt outstanding from the borrower was cancelled (the institution forfeits the right to legally recover it), is also to be included in this category.
110	Outflow due to other situations Any other decreases to the carrying amount of loans and advances that are not covered by the events mentioned above shall be included in this row. Those adjustments might include, for instance, FX changes, other closure actions, reclassifications between asset classes, etc. Where the amount for this category is significant, institutions are asked to provide additional information in the narrative accompanying this template.
120	Outflow due to reclassification as held for sale Decreases to the carrying amount of non-performing loans and advances due to their reclassification as instruments held for sale
130	Final stock of non-performing loans and advances The gross carrying amount of the stock of non-performing loans and advances at the disclosure reference date

Legal references and instructions
Column number	Explanation
a	Gross carrying amount Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.
b	Related net accumulated recoveries Please refer to the definitions for the rows in this template.

Template EU CQ1: Credit quality of forborne exposures

3. Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below to complete template EU CQ1 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
005	Cash balances at central banks and other demand deposits Institutions shall disclose this information in line with the information reported in Annexes III and IV Commission Implementing Regulation (EU) 680/2014.
010	Loans and advances See the definition in EU-CR1: Performing and non-performing exposures and related provisions.
020 - 070	Counterparty breakdown Institutions shall apply the breakdown by counterparty as defined in paragraph 42 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014. Counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of exposures incurred jointly by more than one obligor shall be done based on the characteristics of the obligor that was the more relevant, or determinant, for the institution’s decision to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE code shall be driven by the characteristics of the more relevant or determinant obligor.
080	Debt securities See the definition in EU-CR1: Performing and non-performing exposures and related provisions.
090	Loan commitments given For loan commitments given, the nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014 shall be disclosed.
100	Total

Legal references and instructions
Column number	Explanation
a	Gross carrying amount/nominal amount of exposures with forbearance measures – of which performing forborne Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014; exposures with forbearance measures as defined in Article 47b CRR The gross carrying amount related to the exposures subject to impairment is the net of accumulated partial and total write-off. Depending on whether forborne exposures satisfy the required conditions set out in Articles 47a CRR, they can be identified as performing or non-performing.
b	Gross carrying amount/nominal amount of exposures with forbearance measures – of which non-performing forborne Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014 The gross carrying amount related to the exposures subject to impairment is the net of accumulated partial and total write-off. Non-performing exposures with forbearance measures (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered non-performing and are included in the non-performing exposures category. Those non-performing forborne exposures are to include the following: (a) exposures that have become non-performing due to the application of forbearance measures; (b) exposures that were non-performing prior to the extension of forbearance measures; (c) forborne exposures that have been reclassified from the performing category, including exposures reclassified pursuant to Article 47a CRR.
c	Of which defaulted Forborne exposures that are also classified as defaulted in accordance with Article 178 CRR
d	Of which impaired Forborne exposures that are also impaired in accordance with the applicable accounting framework under paragraph 215 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014
e	Accumulated impairments, accumulated negative changes in fair value due to credit risk and provisions on performing forborne exposures Exposures with forbearance measures as defined in Article 47b CRR. Institutions shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. Depending on whether forborne exposures satisfy the required conditions set out in Article 47a and 47b CRR, they can be identified as performing or non-performing.
f	Accumulated impairments, accumulated negative changes in fair value due to credit risk and provisions on non-performing forborne exposures This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. Non-performing exposures with forbearance measures (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered non-performing and are included in the non-performing exposures category. Those non-performing forborne exposures are to include the following: (a) exposures that have become non-performing due to the application of forbearance measures; (b) exposures that were non-performing prior to the extension of forbearance measures; (c) forborne exposures that have been reclassified from the performing category, including exposures reclassified pursuant to Article 47a CRR.
g	Collateral received and financial guarantees received on forborne exposures These shall be disclosed for all exposures with forbearance measures, regardless of their performing or non-performing status. Amounts for collateral received and guarantees received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for both collateral and guarantees is to be capped at the carrying amount of the related exposure.
h	Of which collateral and financial guarantees received on non-performing exposures with forbearance measures Amounts for collateral received and guarantees received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for both collateral and guarantees is to be capped at the carrying amount of the related exposure. Non-performing exposures with forbearance measures (non-performing forborne exposures) shall comprise forborne exposures that meet the criteria to be considered non-performing and are included in the non-performing exposures category. Those non-performing forborne exposures are to include the following: (a) exposures that have become non-performing due to the application of forbearance measures; (b) exposures that were non-performing prior to the extension of forbearance measures; (c) forborne exposures that have been reclassified from the performing category, including exposures reclassified pursuant to Article 47a CRR.

Template EU CQ2: Quality of forbearance

1. Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ2 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
010	Loans and advances that have been forborne more than twice Gross carrying amount of loans and advances that had been granted forbearance measures in the past and more than twice Loans and advances for which forbearance was granted that exited the forborne category (i.e. cured forborne loans and advances) are also included here when a new forborne measure has been granted.
020	Non-performing forborne loans and advances that failed to meet the non-performing exit criteria Gross carrying amount of non-performing forborne loans and advances that are in the category of non-performing forborne loans and advances under the cure period of 1 year and that failed to comply with the forbearance measures after the 12-month cure period and therefore did not succeed in moving towards performing forborne status but retained non-performing forborne within cure period status

Legal references and instructions

Column number

Explanation

a

Gross carrying amount of forborne exposures

Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; exposures with forbearance measures as defined in Article 47b CRR

Depending on whether forborne exposures satisfy the required conditions set out in Article 47a or 47b CRR, they can be identified as performing or non-performing.

Template EU CQ3: Credit quality of performing and non-performing exposures by past due days

4. Institutions shall disclose the information referred to in point (d) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ3 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
005	Cash balances at central banks and other demand deposits Institutions shall disclose this information in line with the information reported in Annexes III and IV Commission Implementing Regulation (EU) 680/2014.
010	Loans and advances See the definition in EU-CR1: Performing and non-performing exposures and related provisions.
020 – 060, 080, 100 – 140, 160 –210	Counterparty breakdown Institutions shall apply the breakdown by counterparty as defined in paragraph 42 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014. Counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of exposures incurred jointly by more than one obligor shall be done based on the characteristics of the obligor that was the more relevant, or determinant, for the institution’s decision to grant the exposure. Among other classifications, the distribution of jointly incurred exposures by counterparty sector, country of residence and NACE code shall be driven by the characteristics of the more relevant or determinant obligor.
070	SMEs As defined in paragraph 5(i) of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014
090	Debt securities See the definition in EU-CR1: Performing and non-performing exposures and related provisions.
150	Off-balance-sheet exposures See the definition in EU-CR1: Performing and non-performing exposures and related provisions.
210	Total

Legal references and instructions
Column number	Explanation
a	Gross carrying amount/nominal amount on performing exposures Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.
b	Of which: Not past due or past due ≤ 30 days Subcategory of performing exposures that are not past due or are 1–30 days past due
c	Of which: Past due > 30 days ≤ 90 days Subcategory of performing exposures that are 31–90 days past due In addition, exposures that are more than 90 days past due that are not material are included in this subcategory.
d	Gross carrying amount/nominal amount on non-performing exposures Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014; non-performing exposures as defined in Article 47a CRR.
e	Of which: Unlikely to pay that are not past due or are past due ≤ 90 days Subcategory of exposures that are either not past due or are up to 90 days past due but are nevertheless identified as non-performing, pursuant to Article 47a CRR
f	Of which: Past due > 90 days ≤ 180 days Subcategory of non-performing exposures that are past due for more than 90 days, but not more than 180 days
g	Of which: Past due > 180 days ≤ 1 year Subcategory of non-performing exposures that are past due for more than 180 days, but not more than 1 year
h	Of which: Past due > 1 year ≤ 2 years Subcategory of non-performing exposures that are past due for more than 1 year, but not more than 2 years
i	Of which: Past due > 2 years ≤ 5 years Subcategory of non-performing exposures that are past due for more than 2 years, but not more than 5 years
j	Of which: Past due > 5 years ≤ 7 years Subcategory of non-performing exposures that are past due for more than 5 years, but not more than 7 years
k	Of which: Past due > 7 years Subcategory of non-performing exposures that are past due for more than 7 years
l	Of which defaulted Defaulted exposures in accordance with Article 178 CRR

Template EU CQ4: Quality of non-performing exposures by geography

5. Where non-domestic original exposures in all non-domestic countries in all exposure classes are equal to or higher than 10 % of the total (domestic and non-domestic) original exposures, institutions shall disclose the information referred to in points (c) and (e) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ4 which is s presented in Annex XV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
010	On-balance-sheet exposures Total on-balance-sheet exposures
020 – 070 and 090 - 140	Country A country in which the institution’s exposures are material in accordance with Article 432 CRR When the materiality of countries is determined using a materiality threshold, that threshold shall be disclosed, as shall the list of immaterial countries included in the ‘Other countries’ rows. Institutions shall allocate exposures to a significant country based on the residence of the immediate counterparty. Exposures to supranational organisations shall be assigned not to the country of residence of the institution but to ‘Other countries’.
080	Off-balance-sheet exposures See the definition in EU-CR1: Performing and non-performing exposures and related provisions.
150	Total

Legal references and instructions
Column number	Explanation
a	Gross carrying amount/nominal amount Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014 The gross carrying amount related to the exposures subject to impairment is the net of accumulated partial and total write-off.
b	Gross carrying amount/nominal amount – of which non-performing Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; nominal amount as defined in paragraph 118 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014; non-performing exposures as defined in Article 47a CRR.
c	Of which defaulted Defaulted exposures in accordance with Article 178 CRR
d	Gross carrying amount/nominal amount – of which subject to impairment The gross carrying or nominal amount related to exposures that are subject to the impairment requirements of the applicable accounting framework
e	Accumulated impairment This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014
f	Provisions on off-balance-sheet commitments and financial guarantees given This row shall include the provisions off-balance-sheet commitments and financial guarantees given.
g	Accumulated negative changes in fair value due to credit risk on non-performing exposures This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Template EU CQ5: Credit quality of loans and advances to non-financial corporations by industry

6. Institutions shall disclose the information referred to in points (c) and (e) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ5 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
010 - 190	Counterparty breakdown by industry Counterparty sector allocation includes only the sectors related to non-financial corporation counterparty. Counterparty sector allocation shall be based exclusively on the nature of the immediate counterparty. The classification of exposures incurred jointly by more than one obligor shall be done based on the characteristics of the obligor that was the more relevant, or determinant, for the institution’s decision to grant the exposure. The rows shall be used to disclose the material industry sectors or counterparty types to which institutions have exposures. Materiality shall be assessed in accordance with Article 432 CRR, and immaterial industry sectors or counterparty types shall be aggregated in the row ‘Other services’.
200	Total

Legal references and instructions
Column number	Explanation
a	Gross carrying amount Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014 The gross carrying amount related to the exposures subject to impairment is the net of accumulated partial and total write-off.
b	Gross carrying amount – of which non-performing Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014; non-performing exposures as defined in Article 47a CRR
c	Of which defaulted Defaulted exposures in accordance with Article 178 CRR
d	Gross carrying amount – of which loans and advances subject to impairment The gross carrying amount related to loans and advances that are subject to the impairment requirements of the applicable accounting framework
e	Accumulated impairment This shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.
f	Accumulated negative changes in fair value due to credit risk on non-performing exposures Non-performing exposures as defined in Article 47a CRR Institutions shall include the amounts determined in accordance with paragraphs 11, 69 to 71, 106 and 110 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.

Template EU CQ6: Collateral valuation - loans and advances

7. Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ6 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
010	Gross carrying amount Gross carrying amount as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014
020	Of which secured Gross carrying amount, as defined in paragraph 34 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014, of secured and partially secured loans shall be disclosed in this row. Unsecured loans and advances shall include exposures for which neither collateral was pledged nor financial guarantees were received; the unsecured part of a partially secured or partially guaranteed exposure shall be included in this row, in accordance with paragraph 323 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. Therefore, secured loans and advances must be calculated as the difference between the gross carrying amount of all loans and advances and the gross carrying amount of unsecured loans and advances, and will include both the secured and the unsecured part of the loan. In case of overcollateralization the gross carrying amount of the loan shall be disclosed.
030	Of which secured with immovable property Loans collateralized by immovable property shall include loans and advances formally secured by residential or commercial immovable property collateral, independently of their loan/collateral ratio (commonly referred as ‘loan-to-value’) and the legal form of the collateral, as defined in paragraph 86(a) of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014.
040	Of which instruments with LTV higher than 60 % and lower or equal to 80 % The loan-to-value (LTV) ratio shall be calculated using the calculation method specified for ‘LTV Current’ in the Recommendation of the European Systemic Risk Board on closing real estate data gaps (ESRB/2016/14) (1). Institutions shall disclose the gross carrying amount of loans and advances having an LTV ratio higher than 60 % and lower or equal to 80 %.
050	Of which instruments with LTV higher than 80% and lower or equal to 100 % Institutions shall disclose the gross carrying amount of loans and advances having an LTV ratio higher than 80 % and lower than or equal to 100 %.
060	Of which instruments with LTV higher than 100 % Gross carrying amount of loans and advances having a LTV ratio higher than 100 %
070	Accumulated impairment for secured assets For secured debt instruments, accumulated impairment shall be calculated as the cumulative amount of impairment losses, net of use and reversals that has been recognised, where appropriate for each of the impairment stages (paragraph 70 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014). The accumulated impairment related to the unsecured part of a partially secured or partially guaranteed exposure shall be included in this row.
090	Collateral – of which value capped at the value of exposure Amounts for collateral received shall be calculated in accordance with paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. The sum of amounts for collateral in this row shall be capped at the carrying amount of the related exposure.
100	Of which immovable property The part of the collateral consisting of residential or commercial immovable property (point (a) of paragraph 173 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014) The sum of amounts for collateral in this row shall be capped at the carrying amount of the related exposure.
110	Collateral – of which value above the cap In this row, the difference between the actual value of the collateral and the capped value of the collateral (carrying amount of the related exposure) shall be disclosed (institutions shall not apply for the calculation of the actual value of the collateral paragraph 239 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014).
120	Of which immovable property The difference between the actual value and the capped value of the part of the collateral consisting of residential or commercial immovable property (point (a) of paragraph 173 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014)
130	Financial guarantees received As defined in paragraph 114 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014
140	Accumulated partial write-off This is to include the accumulated partial amount at the reference date of principal and accrued past-due interest and fees for any debt instrument that has been de-recognised to date using either of the methods described in paragraph 74 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014, to be disclosed because the institution has no reasonable expectation of recovering the contractual cash flows. These amounts are to be disclosed until the total extinguishment of all the institution’s rights by expiry of the statute-of-limitations period, forgiveness or another cause, or until recovery. Therefore, where the written-off amounts are not recovered, they are to be disclosed while they are subject to enforcement activities. Write-offs constitute a de-recognition event and relate to a financial asset in its entirety or (in the case of a partial write-off) to a portion of it, including where the modification of an asset leads the institution to give up its right to collect cash flows either on a portion or on the entirety of that asset.
(1) RECOMMENDATION OF THE EUROPEAN SYSTEMIC RISK BOARD of 31 October 2016 on closing real estate data gaps (ESRB/2016/14) (OJ C 31, 31.1.2017, p. 1).

Legal references and instructions
Column number	Explanation
a	Loans and advances See the definition in template EU CR1: Performing and non-performing exposures and related provisions.
b	Loans and advances – of which performing See the definition in template EU CR1: Performing and non-performing exposures and related provisions.
c	Of which past due > 30 days ≤ 90 days Subcategory of performing loans and advances that are 31–90 days past due
d	Loans and advances – of which non-performing exposures Non-performing exposures as defined in Article 47a CRR See the definition in template EU CR1: Performing and non-performing exposures and related provisions.
e	Of which unlikely to pay that are not past due or are past due ≤ 90 days Subcategory of loans and advances that are either not past due or are up to 90 days past due but are nevertheless identified as non-performing, because of the likelihood of non-full repayment pursuant to Article 47a CRR
f	Past due > 90 days Subcategory of loans and advances that are more than 90 days past due
g	Of which past due > 90 days ≤ 180 days Subcategory of loans and advances that are 91–180 days past due
h	Of which past due > 180 days ≤ 1 year Subcategory of loans and advances that are 181 days to 1 year past due
i	Of which past due > 1 years ≤ 2 years Subcategory of loans and advances that are 1–2 years past due
j	Of which past due > 2 years ≤ 5 years Subcategory of loans and advances that are 2–5 years past due
k	Of which past due > 5 years ≤ 7 years Subcategory of loans and advances that are 5–7 years past due
l	Of which past due > 7 years Subcategory of loans and advances that are more than 7 years past due.

Template EU CQ7: Collateral obtained by taking possession and execution processes

8. Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ7 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
010	Property, plant and equipment (PP&E) Institutions shall disclose the stock of collateral obtained by taking possession that remains recognised in the balance sheet at the reporting reference date and that is classified as PP&E.
020	Other than PP&E The stock of collateral obtained by taking possession that remains recognised in the balance sheet at the reporting reference date and is not classified as PP&E will automatically be disclosed in this row. The total stock will be calculated taking into account the initial stock (since the end of the last financial year), and the inflows and the outflows that occurred during the disclosure period (since the end of the last financial year). Collateral obtained by taking possession (other than PP&E) is in rows by type of collateral.
030	Residential immovable property Collateral obtained by taking possession of residential property (e.g. houses, apartments, etc.) or property with potential use in the future as such (e.g. unfinished residential property etc.)
040	Commercial immovable property Collateral obtained by taking possession of commercial or industrial property that can be used for business and/or investment purposes, or of any immovable property that is not residential property, as described above Land (both non-agricultural and agricultural) shall also be included in this category.
050	Movable property (auto, shipping, etc.) Collateral obtained by taking possession of property other than immovable property shall be disclosed in this row.
060	Equity and debt instruments Collateral obtained by taking possession of equity or debt instruments shall be disclosed in this row.
070	Other collateral Collateral obtained by taking possession not falling into the categories of the other rows If the amount in this row is relatively material, institutions shall provide additional information in the narrative accompanying this template.
080	Total

Legal references and instructions
Column number	Explanation
a	Collateral obtained by taking possession - Value at initial recognition Institutions shall disclose in this column the gross carrying amount of the collateral obtained by taking possession at initial recognition in the institution’s balance sheet.
b	Collateral obtained by taking possession - Accumulated negative changes Accumulated impairment or accumulated negative changes to the initial recognition value of the collateral obtained by taking possession, as described above Institutions shall also include accumulated negative changes due to amortisation in the case of PP&E and investment properties, if applicable.

Template EU CQ8: Collateral obtained by taking possession and execution processes – vintage breakdown

9. Institutions shall disclose the information referred to in point (c) of Article 442 CRR by following the instructions provided below in this Annex to complete template EU CQ8 which is presented in Annex XV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
010	Property, plant and equipment (PP&E) Institutions shall disclose the stock of collateral obtained by taking possession that remains recognised in the balance sheet at the reporting reference date and that is classified as PP&E.
020	Other than PP&E The stock of collateral obtained by taking possession that remains recognised in the balance sheet at the reporting reference date and is not classified as PP&E will automatically be disclosed in this row. The total stock will be calculated taking into account the initial stock (since the end of the last financial year), and the inflows and the outflows that occurred during the disclosure period (since the end of the last financial year). Collateral obtained by taking possession (other than PP&E) is in rows by type of collateral.
030	Residential immovable property Collateral obtained by taking possession of residential property (e.g. houses, apartments, etc.) or property with potential use in the future as such (e.g. unfinished residential property etc.)
040	Commercial immovable property Collateral obtained by taking possession of commercial or industrial property that can be used for business and/or investment purposes, or of any immovable property that is not residential property, as described above Land (both non-agricultural and agricultural) shall also be included in this category.
050	Movable property (auto, shipping, etc.) Collateral obtained by taking possession of property other than immovable property shall be disclosed in this row.
060	Equity and debt instruments Collateral obtained by taking possession of equity or debt instruments shall be disclosed in this row.
070	Other collateral Collateral obtained by taking possession not falling into the categories of the other rows. If the amount in this row is relatively material, institutions shall provide additional information in the narrative accompanying this template.
080	Total

Legal references and instructions
Column number	Explanation
a	Debt balance reduction - Gross carrying amount The gross amount of the debt that was cancelled in exchange for the collateral obtained by taking possession, at the exact moment of the exchange, through judicial procedures or bilateral agreement The gross amount shall be calculated as the gross reduction of the instrument balance, not taking into account any provisions. For the avoidance of doubt, balance reductions due to other reasons (e.g. cash collections) shall not be in this column.
b	Debt balance reduction - Accumulated negative changes Accumulated impairment or accumulated negative changes to the initial recognition value of the collateral obtained by taking possession, as described above See the definition in template CQ7, ‘Collateral obtained by taking possession and execution processes’. Institutions shall include accumulated negative changes due to amortisation in the case of PP&E and investment properties, if applicable.
c	Total collateral obtained by taking possession - Value at initial recognition The gross carrying amount of the collateral obtained by taking possession at initial recognition in the institution’s balance sheet shall be disclosed in this column.
d	Total collateral obtained by taking possession - Accumulated negative changes Accumulated impairment or accumulated negative changes to the initial recognition value of the collateral obtained by taking possession, as described above Institutions shall include accumulated negative changes due to amortisation in the case of PP&E and investment properties, if applicable.
e	Total collateral obtained by taking possession - Foreclosed ≤ 2 years – of which value at initial recognition Value at initial recognition for collateral obtained by taking possession and recognised in the balance sheet for 2 years or less at the reporting reference date
f	Total collateral obtained by taking possession - Foreclosed ≤ 2 years – of which accumulated negative changes Accumulated negative changes for collateral obtained by taking possession and recognised in the balance sheet for 2 years or less at the reporting reference date
g	Total collateral obtained by taking possession - Foreclosed > 2 years ≤ 5 years – of which value at initial recognition Value at initial recognition for collateral obtained by taking possession and recognised in the balance sheet for more than 2 years and up to 5 years at the reporting reference date
h	Total collateral obtained by taking possession - Foreclosed > 2 years ≤ 5 years – of which accumulated negative changes Accumulated negative changes for collateral obtained by taking possession and recognised in the balance sheet for more than 2 years and up to 5 years at the reporting reference date
i	Total collateral obtained by taking possession - Foreclosed > 5 years – of which value at initial recognition Value at initial recognition for collateral obtained by taking possession and recognised in the balance sheet for more than 5 years at the reporting reference date
j	Total collateral obtained by taking possession - Foreclosed > 5 years – of which accumulated negative changes Accumulated negative changes for collateral obtained by taking possession and recognised in the balance sheet for more than 5 years at the reporting reference date
k	Total collateral obtained by taking possession - Of which non-current assets held for sale – of which value at initial recognition Initial value for collateral obtained by taking possession that is classified as non-current assets held for sale shall be disclosed. If this classification is not relevant in accordance with the accounting framework applicable to the institution, this information shall not be provided.
l	Total collateral obtained by taking possession - Of which non-current assets held for sale – of which accumulated negative changes Accumulated negative changes for collateral obtained by taking possession that is classified as non-current assets held for sale shall be disclosed. If this classification is not relevant in accordance with the accounting framework applicable to the institution, this information shall not be provided.

ANNEX XVII

Table EU CRC – Qualitative disclosure requirements related to CRM techniques

Free format text boxes for disclosure of qualitative information

Legal basis	Row number	Free format
Article 453 (a) CRR	(a)	A description of the core features of the policies and processes for on- and off-balance sheet netting and an indication of the extent to which institutions make use of balance sheet netting;
Article 453 (b) CRR	(b)	The core features of policies and processes for eligible collateral evaluation and management;
Article 453 (c) CRR	(c)	A description of the main types of collateral taken by the institution to mitigate credit risk;
Article 453 (d) CRR	(d)	For guarantees and credit derivatives used as credit protection, the main types of guarantor and credit derivative counterparty and their creditworthiness used for the purposes of reducing capital requirements, excluding those used as part of synthetic securitisation structures;
Article 453 (e) CRR	(e)	Information about market or credit risk concentrations within the credit mitigation taken;

Template EU CR3 – CRM techniques overview: Disclosure of the use of credit risk mitigation techniques

		Unsecured carrying amount	Secured carrying amount
				Of which secured by collateral	Of which secured by financial guarantees
				Of which secured by collateral	Of which secured by financial guarantees	Of which secured by credit derivatives
		a	b	c	d	e
1	Loans and advances
2	Debt securities
3	Total
4	Of which non-performing exposures
EU-5	Of which defaulted

ANNEX XVIII

Disclosure of the use of credit risk mitigation techniques

Table EU CRC – Qualitative disclosure requirements related to CRM techniques. Flexible table

Institutions shall disclose the information referred to in points (a) to (e) of Article 453 of Regulation (EU) 575/2013 ( 17 ) (‘CRR’) by following the instructions provided below in this Annex to complete table EU CRC which is presented in Annex XVII.

Row reference	Legal reference and instructions
Row reference	Explanation
(a)	Point (a) of Article 453 CRR	When disclosing information on their netting policies and use of netting in accordance with point (a) of Article 453 CRR, institutions shall provide a clear description of CRM policies and processes concerning on-balance-sheet, off-balance-sheet netting and master netting agreements. They shall also indicate to what extent on-balance-sheet, off-balance-sheet netting and master netting agreements have been used and their importance regarding credit risk management. Institutions could especially mention details about the techniques in use as well as the positions covered by on-balance-sheet netting agreements and the financial instruments included in the master netting agreements. Furthermore, the conditions necessary to assure effectiveness of these techniques and the controls in place for legal risk could also be described.
(b)	Point (b) of Article 453 CRR	As part of their disclosures on the core features of their policies and processes for eligible collateral valuation and management in accordance with point (b) of Article 453 CRR, institutions shall disclose: — the basis for the assessment and evaluation of the pledged collateral including assessment of legal certainty of CRM techniques; — type of valuation (market value, mortgage lending value, other types of values); — to what extent the calculated value of collateral is reduced by a haircut; — the process, frequency and methods in place to monitor the value of mortgage collateral and other physical collateral. Additionally, institutions could also disclose if there is a system of credit exposure limits in place and the impact of accepted collateral in the quantification of those limits.
(c)	Point (c) of Article 453 CRR	When describing the collateral taken in accordance with point (c) of Article 453 CRR, institutions shall provide a detailed description of the main types of collateral accepted to mitigate credit risk, by type of exposures.
(d)	Point (d) of Article 453 CRR	The description of the main types of guarantors and counterparties in credit derivatives and their creditworthiness to be disclosed in accordance with point (d) of Article 453 CRR shall cover credit derivatives used for the purposes of reducing capital requirements, excluding those used as part of synthetic securitisation structures. Institutions could also include description of the methods used to recognise the effects of the guarantees or credit derivatives provided by the main types of guarantors and counterparties.
(e)	Point (e) of Article 453 CRR	When disclosing information about market or credit risk concentrations within CRM taken in accordance with point (e) of Article 453 CRR, institutions shall provide an analysis of any concentration that arises due to CRM measures and may prevent CRM instruments from being effective. Concentrations in the scope of those disclosures could include concentrations by type of instrument used as collateral, entity (concentration by guarantor type and credit derivative providers), sector, geographical area, currency, rating or other factors that potentially impact the value of the protection and thereby reduce this protection.

Template EU CR3 – CRM techniques overview: Disclosure of the use of credit risk mitigation techniques. Fixed template.

Institution shall disclose the information referred to in point (f) of Article 453 CRR by following the instructions provided below in this Annex to complete template EU CR3 which is presented in Annex XVII to this Implementing Regulation.

This template covers all CRM techniques recognised under the applicable accounting framework regardless of whether these techniques are recognised under CRR, including, but not only, all types of collateral, financial guarantees and credit derivatives used for all secured exposures, irrespective of whether the standardised approach or the IRB approach is used for the calculation of risk weighted exposure amount (RWEA). Institutions shall supplement the template with a narrative commentary to explain any significant changes over the disclosure period and the key drivers of such changes.

Column reference	Legal references and instructions
Column reference	Explanation
a	Unsecured carrying amount: The carrying amount of exposures (net of allowances/impairments) that do not benefit from any CRM technique, regardless of whether this technique is recognised under CRR In particular, it refers to exposures for which neither collateral was pledged nor financial guarantee were received. The unsecured part of a partially secured or partially guaranteed exposure shall not be included.
b	Secured carrying amount: Carrying amount of exposures that have at least one CRM technique (collateral, financial guarantees, credit derivatives) associated with them In case the value of collateral, financial guarantees and credit derivatives securing an exposure exceeds the carrying amount of that exposure, only the values up to the carrying amount of that exposure shall be included. In case the carrying amount of an exposure exceeds the value of collateral, financial guarantees and credit derivatives securing that exposure, the full carrying amount of that exposure shall be included. For the purpose of the following columns c, d and e, the allocation of the carrying amount of multi-secured exposures to their different CRM techniques is made by order of priority, starting with the CRM technique expected to be called first in the event of non-payment, and within the limits of the carrying amount of the secured exposures. Any part of exposure shall be included in only one of the columns c, d or e of this template.
c	Of which secured by collateral: This is a subset of column b of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by collateral. In case an exposure is secured by collateral and other CRM technique(s) expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by collateral is the remaining share of the exposure after consideration of the shares of the exposures already secured by other mitigation techniques, up to the carrying amount of that exposure.
d	Of which secured by financial guarantees: This is a subset of column b of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by guarantees. In case an exposure is secured by guarantees and other CRM techniques expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by guarantees is the remaining part of the exposure after consideration of the shares of the exposure already secured by other mitigation techniques, up to the carrying amount of that exposure.
e	Of which secured by credit derivatives: This is a subset of column d (financial guarantees) of this template and represents the carrying amount of exposures (net of allowances/impairments) or parts of exposures secured by credit derivatives. In case an exposure is secured by credit derivatives and other CRM techniques expected to be called beforehand in the event of non-payment, the carrying amount of the exposure secured by credit derivatives is the remaining share of the exposure after consideration of the shares of the exposure already secured by other mitigation techniques, up to the carrying amount of that exposure.

Row reference	Legal references and instructions
Row reference	Explanation
1	Loans and advances ‘Loans and advances’ are debt instruments held by the institutions that are not securities; this item includes ‘loans’ in accordance with Regulation (EU) 1071/2013 (‘ECB BSI Regulation’) (1) as well as advances that cannot be classified as ‘loans’ in accordance with the ECB BSI Regulation, as defined in paragraph 32 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014 (2).
2	Debt securities Debt securities are debt instruments held by the institution issued as securities that are not loans in accordance with the ECB BSI Regulation, as defined in paragraph 31 of Part 1 of Annex V to Commission Implementing Regulation (EU) 680/2014.
3	Total Sum of amounts in rows 1 and 2 of this template
4	Of which non-performing exposures Non-performing exposures in accordance with Article 47a CRR
EU-5	Of which defaulted Defaulted exposures in accordance with Article 178 CRR
(1) REGULATION (EU) No 1071/2013 OF THE EUROPEAN CENTRAL BANK of 24 September 2013 concerning the balance sheet of the monetary financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1). (2) COMMISSION IMPLEMENTING REGULATION (EU) No 680/2014 of 16 April 2014 laying down implementing technical standards with regard to supervisory reporting of institutions according to Regulation (EU) No 575/2013 of the European Parliament and of the Council (OJ L 191, 28.6.2014, p. 1).

ANNEX XIX

Table EU CRD – Qualitative disclosure requirements related to standardised approach

Legal basis	Row number	Qualitative information - Free format
Article 444 (a) CRR	(a)	Names of the external credit assessment institutions (ECAIs) and export credit agencies (ECAs) nominated by the institution, and the reasons for any changes over the disclosure period;
Article 444 (b) CRR	(b)	The exposure classes for which each ECAI or ECA is used;
Article 444 (c) CRR	(c)	A description of the process used to transfer the issuer and issue credit ratings onto comparable assets items not included in the trading book;
Article 444 (d) CRR	(d)	The association of the external rating of each nominated ECAI or ECA (as referred to in row (a)) with the risk weights that correspond with the credit quality steps as set out in Chapter 2 of Title II of Part Three CRR (except where the institution complies with the standard association published by the EBA).

Template EU CR4 – standardised approach – Credit risk exposure and CRM effects

	Exposure classes	Exposures before CCF and before CRM		Exposures post CCF and post CRM		RWAs and RWAs density
		On-balance-sheet exposures	Off-balance-sheet exposures	On-balance-sheet exposures	Off-balance-sheet exposures	RWAs	RWAs density (%)
		a	b	c	d	e	f
1	Central governments or central banks
2	Regional government or local authorities
3	Public sector entities
4	Multilateral development banks
5	International organisations
6	Institutions
7	Corporates
8	Retail
9	Secured by mortgages on immovable property
10	Exposures in default
11	Exposures associated with particularly high risk
12	Covered bonds
13	Institutions and corporates with a short-term credit assessment
14	Collective investment undertakings
15	Equity
16	Other items
17	TOTAL

Template EU CR5 – standardised approach

	Exposure classes	Risk weight															Total	Of which unrated
		0 %	2 %	4 %	10 %	20 %	35 %	50 %	70 %	75 %	100 %	150 %	250 %	370 %	1 250 %	Others	Total	Of which unrated
		a	b	c	d	e	f	g	h	i	j	k	l	m	n	o	p	q
1	Central governments or central banks
2	Regional government or local authorities
3	Public sector entities
4	Multilateral development banks
5	International organisations
6	Institutions
7	Corporates
8	Retail exposures
9	Exposures secured by mortgages on immovable property
10	Exposures in default
11	Exposures associated with particularly high risk
12	Covered bonds
13	Exposures to institutions and corporates with a short-term credit assessment
14	Units or shares in collective investment undertakings
15	Equity exposures
16	Other items
17	TOTAL

ALLEGATO XX Istruzioni per l'informativa sull'uso del metodo standardizzato per il rischio di credito (esclusi il rischio di controparte e le posizioni verso la cartolarizzazione)

ALLEGATO XX

Istruzioni per l'informativa sull'uso del metodo standardizzato per il rischio di credito (esclusi il rischio di controparte e le posizioni verso la cartolarizzazione)

1. Gli strumenti soggetti alla parte tre, titolo II, capo 6, del CRR (esposizioni al rischio di controparte) e gli strumenti cui si applicano i requisiti di cui alla parte tre, titolo II, capo 5, del CRR (esposizioni verso la cartolarizzazione) non rientrano nei modelli per i quali sono fornite istruzioni nel presente allegato.

Tabella EU CRD: obblighi di informativa qualitativa sul metodo standardizzato - Formato flessibile

2. Gli enti pubblicano le informazioni di cui all'articolo 444, lettere da a) a d), del regolamento (UE) n. 575/2013 ( 18 ) («CRR») seguendo le istruzioni fornite di seguito nel presente allegato per compilare la tabella EU CRD di cui all'allegato XIX del presente regolamento di esecuzione.

Riferimento della riga	Riferimenti giuridici e istruzioni
Riferimento della riga	Spiegazione
a)	Articolo 444, lettera a), del CRR	Gli enti indicano le denominazioni delle agenzie esterne di valutazione del merito di credito (ECAI) e delle agenzie per il credito all'esportazione (ECA) prescelte e le ragioni di eventuali modifiche in ordine a tali scelte nell'arco del periodo di informativa.
b)	Articolo 444, lettera b), del CRR	Gli enti indicano le classi di esposizioni, specificate nell'articolo 112 del CRR, per le quali gli enti calcolano gli importi delle esposizioni ponderati per il rischio conformemente alla parte tre, titolo II, capo 2, del CRR, utilizzando la valutazione del merito di credito dell'ECAI o dell'ECA prescelta.
c)	Articolo 444, lettera c), del CRR	Quando si ricorre a una valutazione del merito di credito relativa a un emittente o a un'emissione per determinare la ponderazione del rischio da assegnare a esposizioni non incluse nel portafoglio di negoziazione conformemente all'articolo 139 della parte tre, titolo II, capo 2, del CRR, gli enti descrivono il processo impiegato.
d)	Articolo 444, lettera d), del CRR	Gli enti indicano, per ciascuna delle classi di esposizioni specificate nell'articolo 112 del CRR, la scala alfanumerica di ciascuna ECAI/ECA prescelta (di cui alla riga a) di questo modello) rispetto ai fattori di ponderazione del rischio corrispondenti alle classi di merito di credito di cui alla parte tre, titolo II, capo 2, del CRR, salvo che l'ente rispetti l'associazione normale pubblicata dall'ABE.

Modello EU CR4: esposizione al rischio di credito ed effetti della CRM - Formato fisso

3. Gli enti che calcolano gli importi delle esposizioni ponderati per il rischio di credito conformemente alla parte tre, titolo II, capo 2, del CRR, pubblicano le informazioni di cui all'articolo 453, lettere g), h) e i), del CRR e all' articolo 444, lettera e), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per la compilazione del modello EU CR4 di cui all'allegato XIX del presente regolamento di esecuzione.

Riferimento della colonna	Riferimenti giuridici e istruzioni
Riferimento della colonna	Spiegazione
a	Esposizioni pre-CCF e pre-CRM – Esposizioni in bilancio: gli enti indicano il valore dell'esposizione in bilancio nell'ambito del consolidamento prudenziale conformemente all'articolo 111 del CRR, dopo l'applicazione delle rettifiche di valore su crediti specifiche ai sensi dell'articolo 110 del CRR, delle rettifiche di valore supplementari ai sensi degli articoli 34 e 105 del CRR, delle deduzioni degli importi ai sensi dell'articolo 36, paragrafo 1, lettera m), del CRR, di altre riduzioni di fondi propri e delle cancellazioni (quali definite nella disciplina contabile applicabile), ma prima i) dell'applicazione dei fattori di conversione del credito specificati nello stesso articolo e ii) dell'applicazione delle tecniche di CRM specificate nella parte tre, titolo II, capo 4, del CRR. I valori delle esposizioni per i contratti di leasing sono soggetti all'articolo 134, paragrafo 7, del CRR.
b	Esposizioni pre-CCF e pre-CRM – Esposizioni fuori bilancio: gli enti indicano il valore dell'esposizione fuori bilancio nell'ambito del consolidamento prudenziale, dopo l'applicazione delle rettifiche di valore su crediti specifiche e delle deduzioni degli importi ai sensi dell'articolo 36, paragrafo 1, lettera m), del CRR, ma prima dell'applicazione dei fattori di conversione del credito conformemente all'articolo 111 del CRR e prima dell'effetto delle tecniche di CRM (in applicazione della parte tre, titolo II, capo 4, del CRR).
c	Esposizioni post-CCF e post-CRM – Esposizioni in bilancio: gli enti indicano l'importo del valore dell'esposizione in bilancio nell'ambito del consolidamento prudenziale (conformemente all'articolo 111 del CRR), dopo l'applicazione delle rettifiche di valore su crediti specifiche ai sensi dell'articolo 110 del CRR, delle rettifiche di valore supplementari ai sensi degli articoli 34 e 105 del CRR, delle deduzioni degli importi ai sensi dell'articolo 36, paragrafo 1, lettera m), del CRR, di altre riduzioni di fondi propri e delle cancellazioni quali definite nella disciplina contabile applicabile, dopo l'applicazione di tutti gli strumenti di attenuazione del rischio di credito e i fattori di conversione del credito. Si tratta dell'importo al quale si applicano i fattori di ponderazione del rischio (conformemente all'articolo 113 del CRR e alla parte tre, titolo II, capo 2, sezione 1, del CRR). È l'importo equivalente al credito netto, dopo aver applicato le tecniche di CRM e il CCF.
d	Esposizioni post-CCF e post-CRM – Esposizioni fuori bilancio: gli enti pubblicano l'importo del valore dell'esposizione fuori bilancio dopo aver tenuto conto delle rettifiche di valore su crediti specifiche quali definite nel regolamento delegato (UE) n. 183/2014 della Commissione (1), delle rettifiche di valore supplementari e di altre riduzioni dei fondi propri, dopo l'applicazione di tutti gli strumenti di attenuazione del rischio di credito e i fattori di conversione del credito. Si tratta dell'importo al quale si applicano i fattori di ponderazione del rischio (conformemente all'articolo 113 del CRR e alla parte tre, titolo II, capo 2, sezione 1, del CRR). È l'importo equivalente al credito netto, dopo aver applicato le tecniche di CRM e il CCF.
e	RWEA Importi delle esposizioni ponderati per il rischio (RWEA) calcolati conformemente alla parte tre, titolo II, capo 2, sezione 1, del CRR.
f	Densità degli RWEA (Colonna e/Colonne (c + d) di questo modello) Il rapporto è calcolato dividendo gli RWEA della rispettiva classe di esposizioni (colonna e di questo modello) per l'importo delle rispettive esposizioni dopo aver tenuto conto di tutti gli strumenti di attenuazione del rischio di credito e i fattori di conversione del credito (somma degli importi nelle colonne c e d di questo modello).
(1) Regolamento delegato (UE) n. 183/2014 della Commissione, del 20 dicembre 2013, che integra il regolamento (UE) n. 575/2013 del Parlamento europeo e del Consiglio relativo ai requisiti prudenziali per gli enti creditizi e le imprese di investimento, per quanto riguarda le norme tecniche di regolamentazione che specificano le modalità di calcolo delle rettifiche di valore su crediti specifiche e generiche (GU L 57 del 27.2.2014, pag. 3).

Numero di riga	Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
1 - 16	Classi di esposizioni quali definite ai sensi dell'articolo 112 del CRR. Non sono incluse le esposizioni assegnate alla classe di esposizioni «elementi che rappresentano posizioni verso la cartolarizzazione» di cui all'articolo 112, lettera m), del CRR.
16	La classe «altre posizioni» si riferisce a: — attività soggette a uno specifico fattore di ponderazione del rischio, stabilito all'articolo 134 del CRR; — attività non dedotte in applicazione dell'articolo 39 del CRR (pagamenti in eccesso di imposte, riporti di perdite fiscali e attività fiscali differite che non dipendono dalla redditività futura), dell'articolo 41 del CRR (attività dei fondi pensione a prestazioni definite), dell'articolo 46 del CRR (investimenti non significativi nel capitale CET1 di soggetti del settore finanziario), dell'articolo 48 del CRR (attività fiscali differite e investimenti, detenuti direttamente, indirettamente e sinteticamente, in strumenti di capitale CET1 di soggetti del settore finanziario entro la soglia definita), degli articoli 49 e 471 del CRR (partecipazioni in imprese di assicurazione indipendentemente dal fatto che esse siano sottoposte a vigilanza a norma della direttiva sui conglomerati), degli articoli 60 e 475 del CRR (investimenti non significativi e significativi, detenuti direttamente, indirettamente e sinteticamente, in strumenti di capitale CET1, di capitale aggiuntivo di classe 1 (AT1) e di capitale di classe 2 (T2) emessi da soggetti del settore finanziario) e dell'articolo 70 del CRR (posizioni non significative e significative, detenute direttamente, indirettamente e sinteticamente, nel capitale di classe 2 (T2) emesso da un soggetto del settore finanziario), non assegnate ad altre classi di esposizioni né a partecipazioni qualificate al di fuori del settore finanziario se non hanno ricevuto un fattore di ponderazione del rischio pari al 1 250 % (in applicazione dell'articolo 36, lettera k), della parte due, titolo I, capo 1, del CRR).

Modello EU CR5: metodo standardizzato - Formato fisso

4. Gli enti pubblicano le informazioni di cui all'articolo 444, lettera e), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare il modello EU CR5 di cui all'allegato XIX del presente regolamento di esecuzione.

Riferimento della colonna	Riferimenti giuridici e istruzioni
Riferimento della colonna	Spiegazione
a - o	Fattori di ponderazione del rischio: gli enti pubblicano le informazioni sull'attribuzione dei fattori di ponderazione del rischio all'interno della rispettiva classe di esposizioni conformemente alla parte tre, titolo II, capo 2, sezione 2, del CRR.
p	Totale: importo totale delle esposizioni in bilancio e fuori bilancio nell'ambito del consolidamento prudenziale: — dopo l'applicazione delle rettifiche di valore su crediti specifiche conformemente all'articolo 110 del CRR, delle rettifiche di valore supplementari conformemente agli articoli 34 e 105, delle deduzioni degli importi ai sensi dell'articolo 36, paragrafo 1, lettera m), del CRR e di altre riduzioni di fondi propri e cancellazioni (quali definite nella disciplina contabile applicabile) per le esposizioni in bilancio, conformemente all'articolo 111 del CRR; — dopo l'applicazione delle rettifiche di valore su crediti specifiche e delle deduzioni degli importi ai sensi dell'articolo 36, paragrafo 1, lettera m), del CRR per le esposizioni fuori bilancio, conformemente all'articolo 111 del CRR; — dopo i) l'applicazione dei fattori di conversione specificati nello stesso articolo e ii) l'applicazione delle tecniche di CRM specificate nella parte tre, titolo II, capo 4, del CRR per le esposizioni in bilancio e fuori bilancio.
q	Di cui prive di rating: esposizioni per le quali non è disponibile una valutazione del merito di credito da parte di un'ECAI prescelta e alle quali sono applicati fattori specifici di ponderazione del rischio a seconda della classe di esposizioni, come specificato negli articoli da 113 a 134 del CRR.

Numero di riga	Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
1 - 16	Classi di esposizioni conformemente all'articolo 112 del CRR. Non sono incluse le esposizioni assegnate alla classe di esposizioni «elementi che rappresentano posizioni verso la cartolarizzazione» di cui all'articolo 112, lettera m), del CRR.
16	La classe «altre posizioni» si riferisce a: — attività soggette a uno specifico fattore di ponderazione del rischio stabilito all'articolo 134 della parte tre, titolo II, capo 4, del CRR; — attività non dedotte in applicazione dell'articolo 39 del CRR (pagamenti in eccesso di imposte, riporti di perdite fiscali e attività fiscali differite che non dipendono dalla redditività futura), dell'articolo 41 del CRR (attività dei fondi pensione a prestazioni definite), degli articoli 46 e 469 del CRR (investimenti non significativi nel capitale CET1 di soggetti del settore finanziario), degli articoli 49 e 471 del CRR (partecipazioni in imprese di assicurazione indipendentemente dal fatto che esse siano sottoposte a vigilanza a norma della direttiva sui conglomerati), degli articoli 60 e 475 del CRR (investimenti non significativi e significativi, detenuti direttamente, indirettamente e sinteticamente, in capitale aggiuntivo AT1 di soggetti del settore finanziario) e degli articoli 70 e 477 del CRR (posizioni non significative e significative, detenute direttamente, indirettamente e sinteticamente, di capitale di classe 2 (T2) emesso da un soggetto del settore finanziario), non assegnate ad altre classi di esposizioni né a partecipazioni qualificate al di fuori del settore finanziario se non hanno ricevuto un fattore di ponderazione del rischio pari al 1 250 % (in applicazione dell'articolo 36, lettera k), della parte due, titolo I, capo 1, del CRR).

ANNEX XXI

Table EU CRE – Qualitative disclosure requirements related to IRB approach

Free format text boxes for disclosure of qualitative information

Legal basis	Row number	Free format
Article 452 (a) CRR	(a)	The competent authority's permission of the approach or approved transition
Article 452 (c) CRR	(b)	(c) The control mechanisms for rating systems at the different stages of model development, controls and changes, which shall include information on: (i) the relationship between the risk management function and the internal audit function; (ii) the rating system review; (iii) procedure to ensure the independence of the function in charge of reviewing the models from the functions responsible for the development of the models; (iv) the procedure to ensure the accountability of the functions in charge of developing and reviewing the models
Article 452 (d) CRR	(c)	The role of the functions involved in the development, approval and subsequent changes of the credit risk models;
Article 452 (e) CRR	(d)	The scope and main content of the reporting related to credit risk models;
Article 452 (f) CRR	(e)	A description of the internal ratings process by exposure class, including the number of key models used with respect to each portfolio and a brief discussion of the main differences between the models within the same portfolio, covering: (i) the definitions, methods and data for estimation and validation of PD, which shall include information on how PDs are estimated for low default portfolios, whether there are regulatory floors and the drivers for differences observed between PD and actual default rates at least for the last three periods; (ii) where applicable, the definitions, methods and data for estimation and validation of LGD, such as methods to calculate downturn LGD, how LGDs are estimated for low default portfolio and the time lapse between the default event and the closure of the exposure; (iii) where applicable, the definitions, methods and data for estimation and validation of credit conversion factors, including assumptions employed in the derivation of those variables.

Template EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range

A-IRB

PD range

On-balance sheet exposures

Off-balance-sheet exposures pre-CCF

Exposure weighted average CCF

Exposure post CCF and post CRM

Exposure weighted average PD (%)

Number of obligors

Exposure weighted average LGD (%)

Exposure weighted average maturity (years)

Risk weighted exposure amount after supporting factors

Density of risk weighted exposure amount

Expected loss amount

Value adjust-ments and provisions

a

b

c

d

e

f

g

h

i

j

k

l

m

Exposure class X

0,00 to < 0,15

0,00 to < 0,10

0,10 to < 0,15

0,15 to < 0,25

0,25 to < 0,50

0,50 to < 0,75

0,75 to < 2,50

0,75 to < 1,75

1,75 to < 2,5

2,50 to < 10,00

2,5 to < 5

5 to < 10

10,00 to < 100,00

10 to < 20

20 to < 30

30,00 to < 100,00

100,00 (Default)

Subtotal (exposure class)

Total (all exposures classes)

F-IRB

PD range

On-balance sheet exposures

Off-balance-sheet exposures pre-CCF

Exposure weighted average CCF

Exposure post CCF and post CRM

Exposure weighted average PD (%)

Number of obligors

Exposure weighted average LGD (%)

Exposure weighted average maturity (years)

Risk weighted exposure amount after supporting factors

Density of risk weighted exposure amount

Expected loss amount

Value adjust-ments and provisions

a

b

c

d

e

f

g

h

i

j

k

l

m

Exposure class X

0,00 to < 0,15

0,00 to < 0,10

0,10 to < 0,15

0,15 to < 0,25

0,25 to < 0,50

0,50 to < 0,75

0,75 to < 2,50

0,75 to < 1,75

1,75 to < 2,5

2,50 to < 10,00

2,5 to < 5

5 to < 10

10,00 to < 100,00

10 to < 20

20 to < 30

30,00 to < 100,00

100,00 (Default)

Subtotal (exposure class)

Total (all exposures classes)

Template EU CR6-A – Scope of the use of IRB and SA approaches

		Exposure value as defined in Article 166 CRR for exposrues subject to IRB approach	Total exposure value for exposures subject to the Standardised approach and to the IRB approach	Percentage of total exposure value subject to the permanent partial use of the SA (%)	Percentage of total exposure value subject to IRB Approach (%)	Percentage of total exposurevalue subject to a roll-out plan (%)
		a	b	c	d	e
1	Central governments or central banks
1,1	Of which Regional governments or local authorities
1,2	Of which Public sector entities
2	Institutions
3	Corporates
3,1	Of which Corporates - Specialised lending, excluding slotting approach
3,2	Of which Corporates - Specialised lending under slotting approach
4	Retail
4,1	of which Retail – Secured by real estate SMEs
4,2	of which Retail – Secured by real estate non-SMEs
4,3	of which Retail – Qualifying revolving
4,4	of which Retail – Other SMEs
4,5	of which Retail – Other non-SMEs
5	Equity
6	Other non-credit obligation assets
7	Total

Template EU CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques

		Pre-credit derivatives risk weighted exposure amount	Actual risk weighted exposure amount
		a	b
1	Exposures under F-IRB
2	Central governments and central banks
3	Institutions
4	Corporates
4,1	of which Corporates - SMEs
4,2	of which Corporates - Specialised lending
5	Exposures under A-IRB
6	Central governments and central banks
7	Institutions
8	Corporates
8,1	of which Corporates - SMEs
8,2	of which Corporates - Specialised lending
9	Retail
9,1	of which Retail – SMEs - Secured by immovable property collateral
9,2	of which Retail – non-SMEs - Secured by immovable property collateral
9,3	of which Retail – Qualifying revolving
9,4	of which Retail – SMEs - Other
9,5	of which Retail – Non-SMEs- Other
10	TOTAL (including F-IRB exposures and A-IRB exposures)

Template EU CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques

A-IRB

Total exposures

Credit risk Mitigation techniques

Credit risk Mitigation methods in the calculation of RWEAs

Funded credit Protection (FCP)

Unfunded credit Protection (UFCP)

RWEA without substitution effects

(reduction effects only)

RWEA with substitution effects

(both reduction and sustitution effects)

Part of exposures covered by Financial Collaterals (%)

Part of exposures covered by Other eligible collaterals (%)

Part of exposures covered by Other funded credit protection (%)

Part of exposures covered by Guarantees (%)

Part of exposures covered by Credit Derivatives (%)

Part of exposures covered by Immovable property Collaterals (%)

Part of exposures covered by Receivables (%)

Part of exposures covered by Other physical collateral (%)

Part of exposures covered by Cash on deposit (%)

Part of exposures covered by Life insurance policies (%)

Part of exposures covered by Instruments held by a third party (%)

a

b

c

d

e

f

g

h

i

j

k

l

m

n

1

Central governments and central banks

2

Institutions

3

Corporates

3,1

Of which Corporates – SMEs

3,2

Of which Corporates – Specialised lending

3,3

Of which Corporates – Other

4

Retail

4,1

Of which Retail – Immovable property SMEs

4,2

Of which Retail – Immovable property non-SMEs

4,3

Of which Retail – Qualifying revolving

4,4

Of which Retail – Other SMEs

4,5

Of which Retail – Other non-SMEs

5

Total

F-IRB

Total exposures

Credit risk Mitigation techniques

Credit risk Mitigation methods in the calculation of RWEAs

Funded credit Protection (FCP)

Unfunded credit Protection (UFCP)

RWEA without substitution effects

(reduction effects only)

RWEA with substitution effects

(both reduction and sustitution effects)

Part of exposures covered by Financial Collaterals (%)

Part of exposures covered by Other eligible collaterals (%)

Part of exposures covered by Other funded credit protection (%)

Part of exposures covered by Guarantees (%)

Part of exposures covered by Credit Derivatives (%)

Part of exposures covered by Immovable property Collaterals (%)

Part of exposures covered by Receivables (%)

Part of exposures covered by Other physical collateral (%)

Part of exposures covered by Cash on deposit (%)

Part of exposures covered by Life insurance policies (%)

Part of exposures covered by Instruments held by a third party (%)

a

b

c

d

e

f

g

h

i

j

k

l

m

n

1

Central governments and central banks

2

Institutions

3

Corporates

3,1

Of which Corporates – SMEs

3,2

Of which Corporates – Specialised lending

3,3

Of which Corporates – Other

4

Total

Template EU CR8 – RWEA flow statements of credit risk exposures under the IRB approach

		Risk weighted exposure amount
		a
1	Risk weighted exposure amount as at the end of the previous reporting period
2	Asset size (+/–)
3	Asset quality (+/–)
4	Model updates (+/–)
5	Methodology and policy (+/–)
6	Acquisitions and disposals (+/–)
7	Foreign exchange movements (+/–)
8	Other (+/–)
9	Risk weighted exposure amount as at the end of the reporting period

Template CR9 –IRB approach – Back-testing of PD per exposure class (fixed PD scale)

A-IRB

Exposure class	PD range	Number of obligors at the end of previous year		Observed average default rate (%)	Exposures weighted average PD (%)	Average PD (%)	Average historical annual default rate (%)
Exposure class	PD range		Of which number of obligors which defaulted in the year	Observed average default rate (%)	Exposures weighted average PD (%)	Average PD (%)	Average historical annual default rate (%)
a	b	c	d	e	f	g	h
	0,00 to < 0,15
	0,00 to < 0,10
	0,10 to < 0,15
	0,15 to < 0,25
	0,25 to < 0,50
	0,50 to < 0,75
	0,75 to < 2,50
	0,75 to < 1,75
	1,75 to < 2,5
	2,50 to < 10,00
	2,5 to < 5
	5 to < 10
	10,00 to < 100,00
	10 to < 20
	20 to < 30
	30,00 to < 100,00
	100,00 (Default)

F-IRB

Exposure class	PD range	Number of obligors in the end of previous year		Observed average default rate (%)	Exposure weighted average PD (%)	Average PD (%)	Average historical annual default rate (%)
Exposure class	PD range		Of which number of obligors which defaulted in the year	Observed average default rate (%)	Exposure weighted average PD (%)	Average PD (%)	Average historical annual default rate (%)
a	b	c	d	e	f	g	h
	0,00 to < 0,15
	0,00 to < 0,10
	0,10 to < 0,15
	0,15 to < 0,25
	0,25 to < 0,50
	0,50 to < 0,75
	0,75 to < 2,50
	0,75 to < 1,75
	1,75 to < 2,5
	2,50 to < 10,00
	2,5 to < 5
	5 to < 10
	10,00 to < 100,00
	10 to < 20
	20 to < 30
	30,00 to < 100,00
	100,00 (Default)

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)

A-IRB

Exposure class	PD range	External rating equivalent	Number of obligors at the end of previous year		Observed average default rate (%)	Average PD (%)	Average historical annual default rate (%)
Exposure class	PD range	External rating equivalent		Of which number of obligors which defaulted in the year	Observed average default rate (%)	Average PD (%)	Average historical annual default rate (%)
a	b	c	d	e	f	g	h

F-IRB

Exposure class	PD range	External rating equivalent	Number of obligors in the end of previous year		Observed average default rate (%)	Average PD (%)	Average historical annual default rate (%)
Exposure class	PD range	External rating equivalent		Of which number of obligors which defaulted in the year	Observed average default rate (%)	Average PD (%)	Average historical annual default rate (%)
a	b	c	d	e	f	g	h

ANNEX XXII Disclosure of the use of the IRB Approach to credit risk (excluding counterparty credit risk)

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.

1. Institutions shall disclose the information referred to of points (a) to (f) of Article 452 of Regulation (EU) 575/2013 ( 19 ) (‘CRR’) by following the instructions provided below in this Annex to complete table EU CRE which is presented in Annex XXI to this Implementing Regulation.

Row reference	Legal references and instructions
Row reference	Explanation
(a)	Point (a) of Article 452 CRR	When disclosing information on the scope of the competent authority’s permission of approach or approved transition in accordance with point (a) of Article 452 CRR, institutions shall describe the main characteristics of the rating systems used under the IRB Approach for which the permission has been granted by a competent authority and the types of exposures covered by these rating systems. Institutions shall also describe the types of exposures for which they have permission to use permanent partial use of the Standardised Approach in accordance with Article 150 CRR and which are under their IRB roll-out plans in accordance with Article 148 CRR. The description shall be provided at the group level.
(b)	Point (c)(i)-(iv) of Article 452 CRR	The description of the control mechanisms for rating systems shall cover the estimation of risk parameters, including internal model development and calibration, as well as controls in the application of the models and changes to rating systems. In accordance with point (c)(i)-(iv) of Article 452 CRR the description of the role of the functions referred to above shall also include: (i) the relationships between the risk management function and the internal audit function, (ii) the processes and methods for the reviews of the rating systems, including regular reviews of estimates in accordance with point (c) of Article 179(1) CRR and validations, (iii) the procedures and organisational arrangements to ensure the independence of the function in charge of reviewing the models (validation function) from the functions responsible for model development and calibration, (iv) and the procedure to ensure the accountability of the functions in charge of developing and reviewing the models.
(c)	Point (d) of Article 452 CRR	Institutions shall specify the role of the functions involved in the model development, calibration, approval and subsequent changes of the rating systems.
(d)	Point (e) of Article 452 CRR	Institutions shall disclose the scope and main content of management reporting related to IRB models referred to in Article 189 CRR, as well as addressees and frequency of such reporting.
(e)	Point (f) of Article 452 CRR	The disclosure of the internal rating systems by exposure class shall include the number of key models used in each exposure class with respect different types of exposures, with a brief description of the main differences among the models within the same exposure class. It shall also include a description of the main characteristics of the key approved models, in particular: (i) the definitions, methods and data for estimation and validation of PD, including estimation and validation of PDs for low default portfolios, any applicable regulatory floors, and the drivers for differences observed between PD estimates and actual default rates at least for the last three years; (ii) where applicable, the definitions, methods and data for the estimation and validation of LGD, including estimation and validation of downturn LGD, information on how LGDs are estimated for low default portfolio, and the average time lapse between the default event and the closure of the exposure; (iii) the definitions, methods and data for estimation and validation of conversion factors, including assumptions employed in the derivation of those estimates.

Template EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range. Fixed template.

2. Institutions shall disclose the information referred to in point (g)(i)-(v) of Article 452 CRR on the main parameters used for the calculation of capital requirements for IRB approach by following the instructions provided below in this Annex to complete template EU CR6 which is presented in Annex XXI to this Implementing Regulation. Information disclosed in this template shall not include data on specialised lending referred to in Article 153(4) CRR. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), securitisation exposures and equity exposures.

Column reference	Legal references and instructions
Column reference	Explanation
a	PD range This is a fixed PD range which shall not be altered. In case that the data on defaulted exposures in accordance with Article 178 CRR is further broken down in accordance with possible definitions for categories of defaulted exposures, the definitions and amounts for categories of defaulted exposures shall be explained in an accompanying narrative. Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). All defaulted exposures shall be included in the bucket representing PD of 100 %.
b	On-balance sheet exposures Exposure value calculated in accordance with Article 166(1) to (7) CRR without taking into account any credit risk adjustments and any conversion factors
c	Off-balance sheet exposures pre-conversion factors (CCF) Exposure value in accordance with Article 166(1) to (7) CRR, without taking into account any credit risk adjustments and any conversion factors, neither own estimates nor conversion factors specified in Article 166(8) CRR, or any percentages specified in Article 166(10) CRR Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I to CRR.
d	Exposure weighted average CCF For all exposures included in each bucket of the fixed PD scale, the average conversion factor used by institutions in their calculation of risk-weighted exposure amounts, weighted by the off-balance sheet exposure pre-CCF as in column c of this template
e	Exposure value post CCF and post CRM Exposure value in accordance with Article 166 CRR This column includes the sum of exposure value of on-balance sheet exposures and off-balance sheet exposures post conversion factors and percentages in accordance with Article 166(8) to (10) CRR.
f	Exposure weighted average PD (%) For all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post-CCF and CRM as in column e of this template
g	Number of obligors The number of legal entities or obligors allocated to each bucket of the fixed PD range, which were separately rated, regardless of the number of different loans or exposures granted Joint obligors shall be treated the same as for the purpose of PD calibration. Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place within the retail exposure class if the definition of default is applied at the level of individual credit facility in accordance with the last sentence of Article 178(1) CRR, or if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR in other exposure classes.
h	Exposure weighted average LGD (%) For all exposures included in each bucket of the fixed PD range, the average of the LGD estimates for each exposure, weighted by the exposure value post-CCF and post-CRM as in column e of this template The disclosed LGD shall correspond to the final LGD estimate used in the calculation of risk weighted amounts obtained after considering any CRM effects and downturn conditions where relevant. For retail exposures secured by immovable properties the disclosed LGD shall take into account the floors specified in Article 164(4) CRR. In the case of exposures subject to the double default treatment the LGD to be disclosed shall correspond to the one selected in accordance with Article 161 (4) CRR. For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The disclosed LGD shall correspond to the estimate of LGD in-default in accordance with the applicable estimation methodologies.
i	Exposure-weighted average maturity (years) For all exposures included in each bucket of the fixed PD range, the average maturity of each exposure, weighted by the exposure value post-CCF as in column e of this template The disclosed value of maturity reflects Article 162 CRR. The average maturity shall be disclosed in years. This data shall not be disclosed for the exposure values for which the maturity is not an element in the calculation of risk weighted exposure amounts in accordance with Chapter 3 of Title II of Part Three CRR. This means that this column shall not be filled in for the exposure class ‘retail’.
j	Risk weighted exposure amount after supporting factors For exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with Article 153(1) to (4) CRR; for retail exposures, the risk weighted exposure amount calculated in accordance with Article 154 CRR The SME and infrastructure supporting factors in accordance with Article 501 and Article 501a CRR shall be taken into account.
k	Density of risk weighted exposure amounts Ratio between the sum of risk weighted exposure amounts after supporting factors as in column j of this template and the exposure value as in column e of this template
l	Expected loss amount The expected loss amount calculated in accordance with Article 158 CRR The expected loss amount to be disclosed shall be based on the actual risk parameters used in the internal rating system approved by the respective competent authority.
m	Value adjustments and provisions Specific and general credit risk adjustments in accordance with the Commission Delegated Regulation (EU) 183/2014 (1), additional value adjustments in accordance with Articles 34 and 110 CRR, as well as other own funds reductions related to the exposures allocated to each bucket on the fixed PD range These value adjustments and provisions shall be those considered for the implementation of Article 159 CRR. General provisions shall be disclosed by assigning the amount pro rata – in accordance with the expected loss of different obligor grades.
(1) COMMISSION DELEGATED REGULATION (EU) No 183/2014 of 20 December 2013 supplementing Regulation (EU) No 575/2013 of the European Parliament and of the Council on prudential requirements for credit institutions and investment firms, with regard to regulatory technical standards for specifying the calculation of specific and general credit risk adjustments (OJ L 57, 27.2.2014, p. 3).

Row reference	Legal references and instructions
Row reference	Explanation
Exposure class X	Where institutions have received permission to use own LGDs and convertion factors for the calculation of risk-weighted exposure amounts, they shall disclose the information required in this template separately for the exposure classes subject to that permission (A-IRB). For the exposure classes for which the institution does not have permission to use own estimates of LGD and conversion factors (F-IRB) the institution shall disclose the information on the relevant exposures separately using the F-IRB template.
A-IRB	Exposure class X For each exposure class listed in Article 147(2) CRR, with the exceptions indicated above, institutions shall disclose a separate template, with a further breakdown for the following exposure classes: — within the exposure class ‘exposures to corporates’ (point (c) of Article 147(2) CRR), breakdown into: — a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies; b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR; c.exposures to corporates – other. — within the exposure class ‘retail exposures’ (point (d) of Article 147(2) and Article 147(5) CRR), breakdown into: — a.Retail exposures – SME secured by immovable property collateral (point (d) of Article 147 (2) CRR in conjunction with Article 154(2) and (3) CRR); b.Retail exposures – SME other; c.Retail exposures – non-SME secured by immovable property collateral (point (d) of Article 147 (2) CRR in conjunction with Article 154(3) CRR); d.Retail exposures – Qualifying revolving (point (d) of Article 147 (2) CRR in conjunction with Article 154(4) CRR); e.Retail exposures – non-SME other. The total exposures row shall be included at the end of each separate template per exposure class.
F-IRB	Exposure class X For each exposure class listed in Article 147(2) CRR, with the exceptions indicated above, institutions shall disclose a separate template, with a further breakdown for the following exposure classes: — within the exposure class ‘exposures to corporates’ (point (c) of Article 147(2) CRR), breakdown into: — a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies; b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR; c.exposures to corporates – other.

Template EU CR6-A – IRB Approach – Scope of the use of IRB and SA approaches. Fixed template

3. Institutions calculating the risk-weighted exposure amounts under the IRB Approach to credit risk shall disclose information referred to in point (b) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CR6-A which is presented in Annex XXI to this Implememting Regulation.

4. For the purpose of this template, institutions shall allocate their exposures subject to the Standardised Approach laid down in Chapter 2 of Title II of Part Three or to the IRB Approach laid down in Chapter 3 of Title II of Part Three to the exposure classes as defined under the IRB Approach. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), and securitisation exposures.

5. Institutions shall explain in the accompanying narrative to the template any material difference between the exposure value as defined in Article 166 for IRB exposures as in column a of the template and the exposure value for the same exposures in accordance with Article 429(4) CRR, as in columns b and d of this template.

Legal references and instructions
Column reference	Explanation
a	Exposure value as defined in Article 166 CRR for exposures subject to IRB approach Institutions shall disclose in this column the exposure value as defined in Article 166 CRR, only for those exposures under the IRB approach.
b	Total exposure value for exposures subject to the Standardised approach and to the IRB approach Institutions shall use the exposure value in accordance with Article 429(4) CRR to disclose the total exposure value, including both the exposures under the standardized approach and the exposures under the IRB approach.
c	Percentage of total exposure value subject to the permanent partial use of the SA (%) Part of exposure for each exposure class subject to the Standardised Approach (exposure subject to the Standardised Approach laid down in Chapter 2 of Title II of Part Three, in accordance with the scope of permission for permanent partial use of the Standardised Approach received from a competent authority in accordance with Article 150 CRR), over the total exposure in that exposure class as in column b of this template.
d	Percentage of total exposure value subject to IRB Approach (%) Part of exposure for each exposure class subject to the IRB approach (exposure subject to the IRB Approach laid down in Chapter 3 of Title II of Part Three over the total exposure in that exposure class), respecting the scope of permission received from a competent authority to use the IRB Approach in accordance with Article 143 CRR, over the total exposure in that exposure class as in column b of this template. This shall include both exposures where institutions have the permission to use their own estimation of LGD and conversion factors or not (F-IRB and A-IRB), including supervisory slotting approach for specialized lending exposures and equity exposures under the simple risk weight approach.
e	Percentage of total exposure value subject to a roll-out plan (%) Part of exposure for each asset class subject to the sequential implementation of IRB approach pursuant to Article 148 CRR, over the total exposure in that exposure class as in column b. This shall include: — both exposures where institutions plan to apply IRB approach with or without their own estimation of LGD and conversion factors(F-IRB or A-IRB) — Immaterial equity exposures not included in columns c and d of this template — exposures already under F-IRB where an institution is planning to apply A-IRB in the future. — specialised lending exposures under the supervisory slotting approach not included in column d of this template.

Row number	Legal references and instructions
Row number	Explanation
Exposure classes	Institutions shall include the information in template CR 6-A by exposure classes, in accordance with the breakdown of exposure classes included in the rows of the template.

Template EU CR7 – IRB approach – Effect on the Risk Weighted Exposure amounts of credit derivatives used as CRM techniques. Fixed template.

6. Institutions shall disclose information referred to in point (j) of Article 453 CRR by following instructions provided below in this Annex to complete template EU CR7 as presented in Annex XXI to this Implementing Regulation. Institutions shall supplement the template with a narrative to explain the effect of credit derivatives on risk weighted exposure amounts. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR ), securitisation exposures, other non-credit obligation assets and equity exposures.

Column reference	Legal references and instructions
Column reference	Explanation
a	Pre-credit derivatives risk weighted exposure amount Hypothetical risk weighted exposure amount calculated the actual RWEA assuming only the absence of recognition of the credit derivative as a CRM technique as specified in Article 204 CRR. The amounts shall be presented in the exposure classes relevant for the exposures to the original obligor.
b	Actual risk weighted exposure amount Risk weighted exposure amount calculated taking into account the impact of the credit derivatives. Where institutions substitute the risk weight or the risk parameters of the obligor with the risk weight or risk parameters of the protection provider, the risk weighted exposure amounts shall be presented in the exposure class relevant for direct exposures to the protection provider.

Row reference	Legal references and instructions
Row reference	Explanation
1 to 9	Institutions shall include the breakdown of pre-credit derivatives risk weighted exposure amount and actual risk weighted exposure by exposure class, in accordance with the exposure classes listed in Article 147 CRR with further breakdown as included in the template, and separately for exposures under F-IRB approach and exposures under A-IRB approach. Institutions shall disclose under rows 1 and 6 of this template the subtotals for F-IRB exposures and for A-IRB exposures. Institutions shall disclose further breakdown for exposure class ‘exposures to corporates’ (point (c) of Article 147(2) CRR) in accordance with the below: a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies; b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR, excluding specialised lending exposures under the slotting approach; c.exposures to corporates – other. Institutions shall disclose further breakdown for exposure class ‘retail exposures’ (point (d) of Article 147(2) and Article 147(5) CRR) Institutions shall disclose further breakdown for: a.Retail exposures – SME secured by immovable property collateral (in conjunction with Article 154(2) and (3) CRR); b.Retail exposures – non-SME secured by immovable property collateral (in conjunction with Article 154(3) CRR); c.Retail exposures – Qualifying revolving (in conjunction with Article 154(4) CRR); d.Retail exposures – SME other; e.Retail exposures – non-SME other.
10	TOTAL EXPOSURES (including F-IRB exposures and A-IRB exposures) Total pre-credit derivatives risk weighted exposure amount, and total actual risk weighted exposure amount for all IRB exposures (including F-IRB and A-IRB)

Template EU CR7-A IRB approach – Disclosure of the extent of the use of CRM techniques

7. Institutions shall disclose the information referred to in point (g) of Article 453 CRR separately for exposures under A-IRB and F-IRB by following the instructions provided below in this Annex to complete template EU CR7-A which is presented in Annex XXI to this Implementing Regulation. In case an item of funded credit protection applies to more than one exposure, the sum of the exposures considered secured by it may not exceed the value of the item of the credit protection.

Column reference	Legal references and instructions
Column reference	Explanation
a	Total exposures Exposure value (post conversion factors) in accordance with Articles 166 to 167 CRR Exposures shall be disclosed in accordance with the exposure class applicable to the obligor, without taking into account any substitution effects due to the existence of a guarantee. Institutions applying the simple risk weight approach shall also consider the offsetting provisions referred to in Article 155(2) CRR.
b	FCP - Part of exposures covered by financial collateral (%) Percentage of exposures secured by financial collateral over total exposures as in column a of this template. Financial collateral, including cash collateral, debt securities, and gold, as listed in Articles 197 and 198 CRR, shall be included in the numerator where all the requirements laid down in Article 207 (2) to (4) CRR are met. The value of collateral disclosed shall be limited to the value of the exposure at the level of an individual exposure. When own estimates of LGD are used: financial collateral taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181 (1) CRR. The amount to be disclosed shall be the estimated market value of the collateral.
c	FCP - Part of exposures covered by other eligible collaterals (%) Percentage of exposures secured by other eligible collateral over total exposures as in column a of this template The values disclosed in this column shall be the sum of the values in columns d to f of this template. Where own estimates of LGD are not used: Article 199 (1) to (8) CRR and Article 229 CRR. Where own estimates of LGD are used: other collateral taken into account in the LGD estimates in accordance with points (e) and (f) of Article 181 (1) CRR.
d	FCP - Part of exposures covered by immovable property collaterals (%) Percentage of exposures secured by immovable property collateral including leasing in accordance with Article 199(7) CRR over total exposures as in column a of this template Immovable property collateral shall be included in the numerator where they meet all the eligibility requirements laid down in Article 208(2) to (5) CRR. Leasing on immovable property shall be included in the numerator where they meet all the eligibility requirements laid down in Article 211 CRR. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure.
e	Part of exposures covered by Receivables (%) Percentage of exposures secured by receivables in accordance with Article 199 (5) CRR over total exposures as in column a of this template Receivables shall be included in the numerator where they meet all the eligibility requirements laid down in Article 209 CRR. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure
f	Part of exposures covered by Other physical collateral (%) Percentage of exposures secured by other physical collateral including leasing of those collaterals in accordance with Article 199 (6) and (8) CRR over total exposures as in column a of this template Other physical collateral shall be included in the numerator where they meet all the eligibility requirements laid down in Article 210 CRR. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure.
g	FCP - Part of exposures covered by Other funded credit protection (%) Percentage of exposures secured by other FCP over total exposures as in column a The values in this column shall be the sum of the values in columns h, i and j of this template.
h	FCP - Part of exposures covered by cash on deposit (%) Percentage of exposures secured by cash or cash assimilated instruments held by third party institution over total exposures as in column a of this template; in accordance with point (a) of Article 200 CRR, other funded credit protection includes cash on deposit with, or cash assimilated instruments held by third party institution in a non-custodial arrangement and pledged to the lending institution. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure.
i	FCP - Part of exposures covered by life insurance policies (%) Percentage of exposures secured by life insurance policies over total exposures as in column a of this template In accordance with point (b) of Article 200 CRR, other funded credit protection includes life insurance policies pledged to the lending institution. The disclosed value of collateral shall be limited to the value of the exposure at the level of an individual exposure.
j	FCP - Part of exposures covered by instrument held by a third party (%) Percentage of exposures secured by collateral in the form of instruments held by a third party over total exposures as in column a of this template; part of exposures covered by instruments issued by a third party over total exposures In accordance with point (c) of Article 200 CRR, the disclosed value shall include instruments issued by a third party institution which will be repurchased by that institution on request. The value of collateral shall be limited to the value of the exposure at the level of an individual exposure. The percentage shall exclude those exposures covered by instruments held by a third party where, following Article 232 (4) CRR institutions treat instruments repurchased on request that are eligible under point (c) of Article 200 CRR as a guarantee by the issuing institution.
k	UFCP - Part of exposures covered by guarantees (%) Percentage of exposures secured by guarantees over total exposures as in column a of this template. The guarantees shall meet the requirement laid down in Articles 213, 214, 215 and, when relevant, 217 and 232(4) CRR. The value of guarantees shall be limited to the value of the exposure at the level of an individual exposure.
l	UFCP - Part of exposures covered by credit derivatives (%) Percentage of exposures secured by credit derivatives over total exposures as in column a of this template. Credit derivatives include the following: — credit default swaps — total returns swaps — credit linked notes to the extent of their cash funding. These instruments shall meet the requirement laid down in Articles 204(1) and (2), 213, 216, and when relevant, Article 217 CRR. The value of credit derivatives shall be limited to the value of the exposure at the level of an individual exposure.
m	RWEA without substitution effects (reduction effects only) The risk-weighted exposure amounts calculated in accordance with points (a) and (f) of Article 92(3) CRR, including any reduction of RWEA due to the existence of funded or unfunded credit protection, including where the PD and LGD or the risk weight is substituted due to the existence of unfunded credit protection. Nevertheless, in all cases, including where substitution approach is used, exposures are disclosed in the original exposure classes applicable to the obligor.
n	RWEA with substitution effects (both reduction and substitution effects) The risk-weighted exposure amounts calculated in accordance with Article 153 to 157 CRR, including any reduction of RWEA due to the existence of funded or unfunded credit protection. Where the PD and LGD or the risk weight is substituted due to the existence of unfunded credit protection, exposures are disclosed in the exposure class applicable to the protection provider.

Row reference	Legal references and instructions
Row reference	Explanation
	This disclosure shall be made separately for exposures under A-IRB approach, F-IRB approach as well as specialised lending under the slotting approach and equity exposures.
A-IRB	Institutions shall include the information on credit risk mitigation techniques included in this template by exposure class, in accordance with the exposure classes listed in Article 147 CRR with further breakdown for exposure class ‘Corporates’ (point (c) of Article 147(2) CRR) in accordance with the below: a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies; b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR excluding specialised lending exposures under the slotting approach; c.exposures to corporates – other. Institutions shall disclose further breakdown for exposure class ‘Retail’ (point (d) of Article 147(2) and Article 147(5) CRR) Institutions shall disclose further breakdown for: a.Retail exposures – SME secured by immovable property collateral (in conjunction with Article 154(2) and (3) CRR); b.Retail exposures – non-SME secured by immovable property collateral (in conjunction with Article 154(3) CRR); c.Retail exposures – Qualifying revolving (in conjunction with Article 154(4) CRR); d.Retail exposures – SME other; e.Retail exposures – non-SME other.
F-IRB	Institutions shall include the information on credit risk mitigation techniques included in this template by exposure class, in accordance with the exposure classes listed in Article 147 CRR with further breakdown for exposure class ‘Corporates’ (point (c) of Article 147(2) CRR) in accordance with the below: a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies; b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR excluding specialised lending exposures under the slotting approach; c.exposures to corporates – other.

Template EU CR8 – RWEA flow statements of credit risk exposures under the IRB approach. Fixed template.

8. Institutions shall disclose the information referred to in point (h) of Article 438 CRR by following the instructions provided below in this Annex to complete template EU CR8 which is presented in Annex XXI to this Implementing Regulation. The information in this template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR).

9. Institutions shall disclose the flows of RWEA as the changes between the risk-weighted exposure amounts at the end of the disclosure reference period (as specified below in row 9 of this template) and the weighted exposure amounts at end of the prior disclosure reference period (as specified below in row 1 of this template; in the case of quarterly disclosures, end-of-quarter prior to the quarter of the disclosure reference period). Institutions may complement their Pillar 3 disclosures by disclosing the same information for the three previous quarters.

10. Institutions shall supplement the template with a narrative commentary to explain figures in row 8 of this template, i.e. any other drivers that contribute significantly to RWEA variations.

Column reference

Legal references and instructions

Explanation

a

Risk weighted exposure amount

Total risk weighted exposure amount for credit risk calculated under the IRB Approach, taking into account supporting factors in accordance with Articles 501 and 501a CRR.

Row number	Legal references and instructions
Row number	Explanation
1	Risk weighted exposure amount at the end of the previous disclosure period
2	Asset size (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to asset size, i.e. organic changes in book size and composition (including the origination of new businesses and maturing loans) but excluding changes in book size due to acquisitions and disposal of entities Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.
3	Asset quality (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to asset quality, i.e. changes in the assessed quality of the institution’s assets due to changes in borrower risk, such as rating grade migration or similar effects Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.
4	Model updates (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to model updates, i.e. changes due to implementation of new models, changes in the models, changes in model scope, or any other changes intended to address model weaknesses Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.
5	Methodology and policy (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to methodology and policy i.e. changes due to methodological changes in calculations driven by regulatory policy changes, including both revisions to existing regulations and new regulations, excluding changes in models, which are included in row 4 of this template Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.
6	Acquisitions and disposals (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to acquisitions and disposals, i.e. changes in book sizes due to acquisitions and/or disposals Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.
7	Foreign exchange movements (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to foreign exchange movements, i.e. changes arising from foreign currency translation movements Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.
8	Other (+/-) Change in the risk weighted exposure amount between the end of the previous disclosure period and the end of the current disclosure period, due to other drivers This category shall be used to capture changes that cannot be attributed to any other category. Institutions shall further describe any other material drivers of risk weighted amounts movements over the disclosure period included in this row in the accompanying narrative for this template. Increases in risk weighted exposure amounts shall be disclosed as a positive amount and decreases in risk weighted exposure amounts shall be disclosed as a negative amount.
9	Risk weighted exposure amount at the end of the disclosure period

Template EU CR9 – IRB approach – Back-testing of PD per exposure class. Fixed template.

11. Institutions shall disclose information referred to in point (h) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CR9 which is presented in Annex XXI to this Implementing Regulation. When an institution makes use of both F-IRB approach and A-IRB approach, it shall disclose two separate sets of templates, one for F-IRB and one for A-IRB, with one template per exposure class in each set.

12. Institution shall consider the models used within each exposure class and they shall explain the percentage of risk weighted exposure amount of the relevant exposure class covered by the models for which back-testing results are disclosed here.

13. Institutions shall explain, in the accompanying narrative, the total number of obligors with short-term contracts at the disclosure date, indicating which exposure classes feature a larger number short-term contract obligors. Short-term contracts refer to contracts whose residual maturity is less than 12 months. Institutions shall also explain if there are overlapping windows in the calculation of long run average PD rates.

14. This template excludes counterparty credit risk (CCR) exposures (Chapter 6 of Title II of Part Three CRR), securitisation positions, other non credit-obligation assets and equity exposures.

Column reference	Legal references and instructions
Column reference	Explanation
a (A-IRB)	Exposure classes For each exposure class listed in Article 147(2) CRR, institutions shall disclose a separate template, with a further breakdown for the following exposure classes: — within the exposure class ‘exposures to corporates’ (point (c) of Article 147(2) CRR), breakdown into: — a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies; b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR; c.exposures to corporates – other. — within the exposure class ‘retail exposures’ (point (d) of Article 147(2) and Article 147(5) CRR), breakdown into: — a.Retail exposures – SME secured by immovable property collateral (point (d) of Article 147 (2) CRR in conjunction with Article 154(2) and (3) CRR); b.Retail exposures – non-SME secured by immovable property collateral (point (d) of Article 147 (2) CRR in conjunction with Article 154(3) CRR); c.Retail exposures – Qualifying revolving (point (d) of Article 147 (2) CRR in conjunction with Article 154(4) CRR); d.Retail exposures – SME other; e.Retail exposures – non-SME other.
a (F-IRB)	Exposure classes For each exposure class listed in Article 147(2) CRR, institutions shall disclose a separate template, with a further breakdown for the following exposure classes: — within the exposure class ‘exposures to corporates’ (point (c) of Article 147(2) CRR), breakdown into: — a.exposures to corporates – SME, in accordance with internal classification of exposures to corporates based on the risk management policies; b.exposures to corporates – specialised lending, in accordance with Article 147(8) CRR; c.exposures to corporates – other.
b	PD range This is a fixed PD range that shall not be altered. Exposures shall be allocated to an appropriate bucket of the fixed PD range based on the PD estimated at the beginning of the disclosure period for each obligor assigned to this exposure class (without considering any substitution effects due to CRM). All defaulted exposures shall be included in the bucket representing PD of 100 %.
c, d	Number of obligors at the end of the previous year Institutions shall disclose the following two sets of information: (i) the number of obligors at the end of the previous year (column C of this template); Number of obligors at the end of the year subject to disclosure In both cases all obligors carrying a credit obligation at the relevant point in time shall be included. Institutions shall disclose the number of legal entities or obligors allocated to each bucket of the fixed PD range by the end of the previous year, which were separately rated, regardless of the number of different loans or exposures granted. Joint obligors shall be treated the same as for the purpose of PD calibration. Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place within the retail exposure class, where the definition of default is applied at the level of individual credit facility in accordance with the last sentence of Article 178(1) CRR. Such situation can also take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with second sentence of point (e) of Article 172(1) CRR in other exposure classes. (ii) of which number of obligors that defaulted during the year preceding the disclosure date (column d of this template) This shall be a subset of column C of this template and represent the number of obligors that defaulted during the year. Defaults shall be determined in accordance with Article 178 CRR. Each defaulted obligor shall be counted only once in the numerator and denominator of the one-year default rate calculation, even if the obligor defaulted more than once during the relevant one-year period.
e	Observed average default rate Arithmetic average of one-year default rates as defined in point (78) of Article 4(1) CRR, observed within the available dataset. When calculating one-year default rates institutions shall ensure both of the following: (a) that the denominator consists of the number of non-defaulted obligors with any credit obligation observed at the beginning of the one-year observation period (beginning of the previous disclosure period, i.e. beginning of the year prior to the disclosure reference date); in this context a credit obligation refers to both of the following: (i) any on-balance sheet item, including any amount of principal, interest and fees; (ii) any off-balance sheet items, including guarantees issued by the institution as a guarantor. (b) that the numerator includes all those obligors considered in the denominator that had at least one default event during the one-year observation period (year prior to the disclosure reference date). Institutions shall choose an appropriate approach between an approach based on overlapping one-year time windows, and an approach based on non-overlapping one-year time windows, to calculate the observed average default rate.
f	Exposure weighted average PD (%) Exposure weighted average PD (%) as in column f of template EU CR6; for all exposures included in each bucket of the fixed PD range, the average PD estimate of each obligor, weighted by the exposure value post-CCF and CRM as in column e of template EU CR6
g	Average PD at the disclosure date (%) Arithmetic average of PD at the beginning of the disclosure period of the obligors that fall within the bucket of the fixed PD range and counted in d (average weighted by the number of obligors)
h	Average historical annual default rate (%) The simple average of the annual default rate of at least five most recent years (obligors at the beginning of each year that are defaulted during that year/total number of obligors at the beginning of the year) The institution may use a longer historical period that is consistent with the institution’s actual risk management practices. If the institution uses a longer historical period they shall explain and clarify this in the accompanying narrative to the 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

15. In addition to template EU CR9, institutions shall disclose information in template EU CR9.1 in case where they apply point (f) of Article 180(1) CRR for PD estimation and only for PD estimates in accordance with the same Article. Instructions are the same as for template EU CR9, with the following exceptions:

a.

Under column b of this template institutions shall disclose the PD ranges in accordance with their internal grades that they map to the scale used by the external ECAI, instead of a fixed external PD range;

b.

Institutions shall disclose one column for each ECAI considered following point (f) of Article 180(1) CRR. Institutions shall include in these columns the external rating to which their internal PD ranges are mapped.

ANNEX XXIII

Template EU CR10 – Specialised lending and equity exposures under the simple riskweighted approach

Template EU CR10.1

Specialised lending: Project finance (Slotting approach)
Regulatory categories	Remaining maturity	On-balancesheet exposure	Off-balancesheet exposure	Risk weight	Exposure value	Risk weighted exposure amount	Expected loss amount
Regulatory categories	Remaining maturity	a	b	c	d	e	f
Category 1	Less than 2.5 years			50 %
Category 1	Equal to or more than 2.5 years			70 %
Category 2	Less than 2.5 years			70 %
Category 2	Equal to or more than 2.5 years			90 %
Category 3	Less than 2.5 years			115 %
Category 3	Equal to or more than 2.5 years			115 %
Category 4	Less than 2.5 years			250 %
Category 4	Equal to or more than 2.5 years			250 %
Category 5	Less than 2.5 years			—
Category 5	Equal to or more than 2.5 years			—
Total	Less than 2.5 years
Total	Equal to or more than 2.5 years

Template EU CR10.2

Specialised lending: Income-producing real estate and high volatility commercial real estate (Slotting approach)
Regulatory categories	Remaining maturity	On-balancesheet exposure	Off-balancesheet exposure	Risk weight	Exposure value	Risk weighted exposure amount	Expected loss amount
Regulatory categories	Remaining maturity	a	b	c	d	e	f
Category 1	Less than 2.5 years			50 %
Category 1	Equal to or more than 2.5 years			70 %
Category 2	Less than 2.5 years			70 %
Category 2	Equal to or more than 2.5 years			90 %
Category 3	Less than 2.5 years			115 %
Category 3	Equal to or more than 2.5 years			115 %
Category 4	Less than 2.5 years			250 %
Category 4	Equal to or more than 2.5 years			250 %
Category 5	Less than 2.5 years			—
Category 5	Equal to or more than 2.5 years			—
Total	Less than 2.5 years
Total	Equal to or more than 2.5 years

Template EU CR10.3

Specialised lending: Object finance (Slotting approach)
Regulatory categories	Remaining maturity	On-balancesheet exposure	Off-balancesheet exposure	Risk weight	Exposure value	Risk weighted exposure amount	Expected loss amount
Regulatory categories	Remaining maturity	a	b	c	d	e	f
Category 1	Less than 2.5 years			50 %
Category 1	Equal to or more than 2.5 years			70 %
Category 2	Less than 2.5 years			70 %
Category 2	Equal to or more than 2.5 years			90 %
Category 3	Less than 2.5 years			115 %
Category 3	Equal to or more than 2.5 years			115 %
Category 4	Less than 2.5 years			250 %
Category 4	Equal to or more than 2.5 years			250 %
Category 5	Less than 2.5 years			—
Category 5	Equal to or more than 2.5 years			—
Total	Less than 2.5 years
Total	Equal to or more than 2.5 years

Template EU CR10.4

Specialised lending: Commodities finance (Slotting approach)
Regulatory categories	Remaining maturity	On-balancesheet exposure	Off-balancesheet exposure	Risk weight	Exposure value	Risk weighted exposure amount	Expected loss amount
Regulatory categories	Remaining maturity	a	b	c	d	e	f
Category 1	Less than 2.5 years			50 %
Category 1	Equal to or more than 2.5 years			70 %
Category 2	Less than 2.5 years			70 %
Category 2	Equal to or more than 2.5 years			90 %
Category 3	Less than 2.5 years			115 %
Category 3	Equal to or more than 2.5 years			115 %
Category 4	Less than 2.5 years			250 %
Category 4	Equal to or more than 2.5 years			250 %
Category 5	Less than 2.5 years			—
Category 5	Equal to or more than 2.5 years			—
Total	Less than 2.5 years
Total	Equal to or more than 2.5 years

Template EU CR10.5

Equity exposures under the simple risk-weighted approach
Categories	On-balancesheet exposure	Off-balancesheet exposure	Risk weight	Exposure value	Risk weighted exposure amount	Expected loss amount
Categories	a	b	c	d	e	f
Private equity exposures			190 %
Exchange-traded equity exposures			290 %
Other equity exposures			370 %
Total

ANNEX XXIV Disclosure of specialised lending and equity exposures under the simple risk weight 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.

1. Institutions shall disclose the information referred to in point (e) of Article 438 of Regulation (EU) 575/2013 ( 20 ) (‘CRR’) by following the instructions provided below in this Annex to complete template EU CR10 which is presented in Annex XXIII to this Implementing Regulation. Institutions shall disclose:

a.

information on the following types of specialised lending exposures referred to in Table 1 of Article 153(5):

—

‘Project finance’ in template EU CR10.1;

—

‘Income-producing real estate and high volatility commercial real estate’ in template EU CR10.2;

—

‘Object finance’ in template EU CR10.3;

—

‘Commodities finance’ in template EU CR 10.4;

b.

information on equity exposures under the simple risk-weighted approach in template EU CR10.5.

Column reference	Legal references and instructions
Column reference	Explanation
a	On-balance-sheet exposures Institutions shall disclose the exposure value of on-balance sheet exposures in accordance with Article 166(1) to (7) and Article 167(1) CRR.
b	Off-balance-sheet exposure Institutions shall disclose the exposure value of off-balance sheet exposures in accordance with Articles 166 and 167 (2) CRR without taking into account any conversion factors specified in Article 166(8) or (9) CRR, or any percentages specified in Article 166(10) CRR. Off balance sheet exposures shall comprise all committed but undrawn amounts and all off-balance sheet items, as listed in Annex I CRR.
c	Risk weight This is a fixed column. It shall not be altered. This column has been specified in accordance with Article 153(5) CRR for templates EU CR10.1 to EU CR10.4 and in accordance with Article 155(2) CRR for template EU CR10.5.
d	Exposure value Exposure value in accordance with Article 166 or Article 167 CRR This column shall include the sum of exposure value of on-balance sheet exposures and exposure value of off-balance sheet exposures post conversion factors and percentages in accordance with Article 166(8) to (10) CRR.
e (templates EU CR10.1 to EU CR10.4)	Risk-weighted exposure amount (specialised lending exposures under the slotting approach) The risk-weighted exposure amount calculated in accordance with Article 153 (5) CRR, after supporting factors in accordance with Article 501 and 501a CRR, where relevant
e (template EU CR10.5)	Risk-weighted exposure amount (equity exposures under the simple risk weight approach) The risk-weighted exposure amount calculated in accordance with Article 155(2) CRR
f (templates EU CR10.1 to EU CR10.4)	Expected loss amount (specialised lending exposures under the slotting approach) Amount of expected loss calculated in accordance with Article 158 (6) CRR
f (template EU CR10.5)	Expected loss amount (equity exposures under the simple risk weight approach) Amount of expected loss calculated in accordance with Article 158(7) CRR

Row number	Legal references and instructions
Row number	Explanation
Regulatory category	Templates EU CR10.1 – EU CR10.4 Regulatory categories applicable to specialised lending under the slotting approach for each class of specialised lending exposures; as specified in Article 153(5) CRR and in the final draft RTS on slotting approach
Categories	Template EU CR10.5 Regulatory categories applicable to equities under the simple risk-weight approach in accordance with Article 155(2) CRR

ANNEX XXV

Table EU CCRA – Qualitative disclosure related to CCR

		Flexible format disclosure
(a)	Article 439 (a) CRR Description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties
(b)	Article 439 (b) CRR Description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves
(c)	Article 439 (c) CRR Description of policies with respect to Wrong-Way risk as defined in Article 291 of the CRR
(d)	Article 431 (3) and (4) CRR Any other risk management objectives and relevant policies related to CCR
(e)	Article 439 (d) CRR The amount of collateral the institution would have to provide if its credit rating was downgraded

Template EU CCR1 – Analysis of CCR exposure by approach

Fixed format

		a	b	c	d	e	f	g	h
		Replacement cost (RC)	Potential future exposure (PFE)	EEPE	Alpha used for computing regulatory exposure value	Exposure value pre-CRM	Exposure value post-CRM	Exposure value	RWEA
EU-1	EU - Original Exposure Method (for derivatives)				1,4
EU-2	EU - Simplified SA-CCR (for derivatives)				1,4
1	SA-CCR (for derivatives)				1,4
2	IMM (for derivatives and SFTs)
2a	Of which securities financing transactions netting sets
2b	Of which derivatives and long settlement transactions netting sets
2c	Of which from contractual cross-product netting sets
3	Financial collateral simple method (for SFTs)
4	Financial collateral comprehensive method (for SFTs)
5	VaR for SFTs
6	Total

Template EU CCR2 – Transactions subject to own funds requirements for CVA risk

Fixed format

		a	b
		Exposure value	RWEA
1	Total transactions subject to the Advanced method
2	(i) VaR component (including the 3× multiplier)
3	(ii) stressed VaR component (including the 3× multiplier)
4	Transactions subject to the Standardised method
EU-4	Transactions subject to the Alternative approach (Based on the Original Exposure Method)
5	Total transactions subject to own funds requirements for CVA risk

Template EU CCR3 – Standardised approach – CCR exposures by regulatory exposure class and risk weights

Fixed format

	Exposure classes	Risk weight
		a	b	c	d	e	f	g	h	i	j	k	l
		0 %	2 %	4 %	10 %	20 %	50 %	70 %	75 %	100 %	150 %	Others	Total exposure value
1	Central governments or central banks
2	Regional government or local authorities
3	Public sector entities
4	Multilateral development banks
5	International organisations
6	Institutions
7	Corporates
8	Retail
9	Institutions and corporates with a short-term credit assessment
10	Other items
11	Total exposure value

Template EU CCR4 – IRB approach – CCR exposures by exposure class and PD scale

Fixed format

			a	b	c	d	e	f	g
		PD scale	Exposure value	Exposure weighted average PD (%)	Number of obligors	Exposure weighted average LGD (%)	Exposure weighted average maturity (years)	RWEA	Density of risk weighted exposure amounts
1 … x	Exposure class X
1		0,00 to < 0,15
2		0,15 to < 0,25
3		0,25 to < 0,50
4		0,50 to < 0,75
5		0,75 to < 2,50
6		2,50 to < 10,00
7		10,00 to < 100,00
8		100,00 (Default)
x		Sub-total (Exposure class X)
y	Total (all CCR relevant exposure classes)

Template EU CCR5 – Composition of collateral for CCR exposures

Fixed columns

		a	b	c	d	e	f	g	h
		Collateral used in derivative transactions				Collateral used in SFTs
	Collateral type	Fair value of collateral received		Fair value of posted collateral		Fair value of collateral received		Fair value of posted collateral
	Collateral type	Segregated	Unsegregated	Segregated	Unsegregated	Segregated	Unsegregated	Segregated	Unsegregated
1	Cash – domestic currency
2	Cash – other currencies
3	Domestic sovereign debt
4	Other sovereign debt
5	Government agency debt
6	Corporate bonds
7	Equity securities
8	Other collateral
9	Total

Template EU CCR6 – Credit derivatives exposures

Fixed

		a	b
		Protection bought	Protection sold
Notionals
1	Single-name credit default swaps
2	Index credit default swaps
3	Total return swaps
4	Credit options
5	Other credit derivatives
6	Total notionals
Fair values
7	Positive fair value (asset)
8	Negative fair value (liability)

Template EU CCR7 – RWEA flow statements of CCR exposures under the IMM

Fixed format

		a
		RWEA
1	RWEA as at the end of the previous reporting period
2	Asset size
3	Credit quality of counterparties
4	Model updates (IMM only)
5	Methodology and policy (IMM only)
6	Acquisitions and disposals
7	Foreign exchange movements
8	Other
9	RWEA as at the end of the current reporting period

Template EU CCR8 – Exposures to CCPs

Fixed format

		a	b
		Exposure value	RWEA
1	Exposures to QCCPs (total)
2	Exposures for trades at QCCPs (excluding initial margin and default fund contributions); of which
3	(i) OTC derivatives
4	(ii) Exchange-traded derivatives
5	(iii) SFTs
6	(iv) Netting sets where cross-product netting has been approved
7	Segregated initial margin
8	Non-segregated initial margin
9	Prefunded default fund contributions
10	Unfunded default fund contributions
11	Exposures to non-QCCPs (total)
12	Exposures for trades at non-QCCPs (excluding initial margin and default fund contributions); of which
13	(i) OTC derivatives
14	(ii) Exchange-traded derivatives
15	(iii) SFTs
16	(iv) Netting sets where cross-product netting has been approved
17	Segregated initial margin
18	Non-segregated initial margin
19	Prefunded default fund contributions
20	Unfunded default fund contributions

ANNEX XXVI

Counterparty credit risk disclosure tables and templates: Instructions

1. Institutions shall disclose the information referred to Article 439 CRR regarding their exposure to counterparty credit risk as referred to in Chapter 6 of Title II of Part Three of Regulation (EU) 575/2013 ( 21 ) (‘CRR’) by following the instructions provided in this Annex to complete tables and templates which are presented in Annex XXV to this Implementing Regulation.

Table EU CCRA - Qualitative disclosure related to counterparty credit risk (CCR): Free format text boxes

2. Institutions shall disclose information referred to in points (a) to (d) of Article 439 CRR by following the instructions provided below in this Annex to complete table EU CCRA which is presented in Annex XXV to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
(a)	When disclosing information required in point (a) of Article 439 CRR, institutions shall provide a description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties.
(b)	When disclosing information required in point (b) of Article 439 CRR, institutions shall provide a description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves.
(c)	When disclosing information required in point (c) of Article 439 CRR, institutions shall provide a description of policies with respect to Wrong-Way risk as defined in Article 291 CRR.
(d)	In accordance with Article 431 (3) and (4) CRR institutions shall complement the above information by any other risk management objectives and relevant policies related to CCR.
(e)	When disclosing information required in point (d) of Article 439 CRR institutions shall provide the amount of collateral the institutions would have to provide if their credit rating was downgraded. Where the central bank of a Member State undertakes liquidity assistance in the form of collateral swap transactions, the competent authority may exempt institutions to provide this information where it deems that the disclosure of the information referred to therein could reveal the provision of emergency liquidity assistance. For these purposes, the competent authority shall set out appropriate thresholds and objective criteria.

Template EU CCR1 - Analysis of CCR exposure by approach: Fixed format

3. Institutions shall disclose information referred to in points (f), (g), and (k) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR1 which is presented in Annex XXV to this Implementing Regulation.

4. This template excludes own funds requirements for CVA risk (Title VI of Part Three CRR) and exposures to a central counterparty (Section 9 of Chapter 6 of Title II of Part Three CRR) as defined for the purpose of template EU CCR8. For securities financing transactions, it includes the exposure values before and after the effect of credit risk mitigation as determined under the methods set out in Chapters 4 and 6 of Title II of Part Three CRR, whichever method is used, in accordance with Article 439 (g) CRR, and the associated risk exposure amounts broken down by applicable method.

5. Institutions using the methods set out in Sections 4 to 5 of Chapter 6 of Title II of Part Three CRR shall indicate, in the narrative accompanying the template, the size of their on- and off-balance-sheet derivative business as calculated in accordance with Article 273a(1) or (2) CRR, as applicable, in application of point (m) of Article 439 CRR.

Legal references and instructions
Row number	Explanation
EU-1	Original Exposure Method (for derivatives) Derivatives and long settlement transactions for which the institutions have chosen to calculate the exposure value as alpha*(RC+PFE) with α = 1,4, RC and PFE computed in accordance with Article 282 of Section 5 of Chapter 6 of Title II of Part Three CRR This simplified method for calculating the exposure value of derivative positions can only be used by institutions meeting the conditions laid down in Article 273a (2) or (4) of Chapter 6 of Title II of Part Three CRR.
EU-2	Simplified Standardised Approach for CCR (Simplified SA-CCR for derivatives) Derivatives and long settlement transactions for which the institutions have chosen to calculate the exposure value as alpha*(RC+PFE) with α = 1,4, RC and PFE computed in accordance with Article 281 of Section 4 of Chapter 6 of Title II of Part Three CRR This simplified standardised approach for calculating the exposure value of derivative positions can only be used by institutions meeting the conditions laid down in Article 273a (1) or (4) of Chapter 6 of Title II of Part Three CRR.
1	Standardised Approach for CCR (SA-CCR for derivatives) Derivatives and long settlement transactions for which the institutions have chosen to calculate the exposure value as alpha*(RC+PFE) with α = 1,4, RC and PFE computed in accordance with Section 3 of Chapter 6 of Title II of Part Three CRR
2	IMM (for derivatives and SFTs) Derivatives and long settlement transactions and SFTs for which institutions have been permitted to calculate the exposure value using the Internal Model Method (IMM) in accordance with Section 6 of Chapter 6 of Title II of Part Three CRR
EU-2a	Of which securities financing transactions netting sets Netting sets containing only SFTs, as defined in point (139) of Article 4(1) CRR, for which institutions have been permitted to determine the exposure value using the IMM
EU-2b	Of which derivatives and long settlement transactions netting sets Netting sets containing only derivative instruments listed in Annex II to CRR and long settlement transactions as defined in point (2) of Article 272 CRR, for which institutions have been permitted to determine the exposure value using the IMM
EU-2c	Of which from contractual cross-product netting sets Netting sets containing transactions of different product categories (point (11) of Article 272 CRR), i.e. derivatives and SFTs, for which a contractual cross product netting agreement as defined in point (25) of Article 272 CRR exists and for which institutions have been permitted to determine the exposure value using the IMM
3, 4	Financial collateral simple method (for SFTs) and Financial collateral comprehensive method (for SFTs) Repurchase transactions, securities or commodities lending or borrowing transactions and margin lending transactions for which institutions have chosen to determine the exposure value in accordance with Articles 222 and 223 of Chapter 4 of Title II of Part Three CRR, as opposed to Article 271(2) of Chapter 6 of Title II of Part Three CRR
5	VaR for SFTs Repurchase transactions, securities or commodities lending or borrowing transactions, margin lending transactions, or other capital market-driven transactions other than derivative transactions for which (in accordance with Article 221 CRR) the exposure value is calculated using an internal model approach (IMA) that takes into account correlation effects between security positions subject to the master netting agreement, as well as the liquidity of the instruments concerned
6	Total
Column letter	Explanation
a, b	Replacement cost (RC) and Potential future exposure (PFE) RC and PFE shall be computed: — in accordance with Article 282 (3) and (4) of Section 5 of Chapter 6 of Title II of Part Three CRR for the Original Exposure Method (row EU-1 of this template), — in accordance with Article 281 of Section 5 of Chapter 6 of Title II of Part Three CRR for the Simplified SA-CCR (row EU-2 of this template), — in accordance with Articles 275 and 278 of Sections 4 and 5 of Chapter 6 of Title II of Part Three CRR for the SA-CCR (row 1 of this template) Institutions shall disclose the sum of the replacement costs for all netting sets in the corresponding rows.
c	Effective expected positive exposure (EEPE) The EEPE per netting set is defined in point (22) of Article 272 CRR and shall be calculated in accordance with Article 284(6) CRR. The EEPE to be disclosed here shall be the one applied for the determination of own funds requirements in accordance with Article 284 (3) CRR, i.e. either the EEPE calculated using current market data, or the EEPE calculated using a stress calibration, whichever leads to a higher own funds requirement. Institutions shall specify in the narrative accompanying this template which EEPE has been inserted.
d	Alpha used for computing regulatory exposure value The value of α is fixed as 1,4 in rows EU-1, EU-2 and 1 of this template in accordance with Articles 282(2), 281(1) and 274(2) CRR For IMM purposes, the value of α can either be the default of 1,4 or different when competent authorities require a higher α in accordance with Article 284(4) CRR or permit institutions to use their own estimates in accordance with Article 284(9) of Section 6 of Chapter 6 of Title II of Part Three CRR.
e	Exposure value pre-CRM The exposure value pre-CRM for CCR business shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR taking into account the effect of netting, but disregarding any other credit risk mitigation techniques (e.g. through margin collateral). In the case of SFTs the security leg shall not be considered in the determination of the exposure value pre-CRM when collateral is received and therefore shall not decrease the exposure value. On the contrary, the SFTs security leg shall be considered in the determination of the exposure value pre-CRM in the regular way when collateral is posted. Furthermore, collateralised business shall be handled as uncollateralised, i.e. no margining effects apply. For transactions where specific wrong way risk has been identified, the exposure value pre-CRM must be determined in accordance with Article 291 CRR. The exposure value pre-CRM shall not consider the deduction of the incurred CVA loss in accordance with Article 273(6) CRR. The institution shall disclose the sum of all exposure values pre-CRM in the respective row.
f	Exposure value (post-CRM) The exposure value post-CRM for CCR business shall be calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR For transactions where specific wrong way risk has been identified, the exposure value shall be determined in accordance with Article 291 CRR. In accordance with Article 273(6) CRR, the incurred CVA loss shall not be deducted from the exposure value post-CRM. The institution shall disclose the sum of all exposure values post-CRM in the respective row.
g	Exposure value Exposure value for CCR business calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR, which is the relevant amount for the own funds requirement calculation, i.e. having applied CRM techniques as applicable in accordance with Chapters 4 and 6 of Title II of Part Three CRR and considering the deduction of the incurred CVA loss in accordance with Article 273 (6) CRR The exposure value for transactions where specific wrong way risk has been identified shall be determined in accordance with Article 291 CRR. For cases in which more than one CCR approach is used for a single counterparty, the incurred CVA loss, which is deducted at counterparty level, shall be assigned to the exposure value of the different netting sets in each CCR approach reflecting the proportion of the exposure value post-CRM of the respective netting sets to the total exposure value post-CRM of the counterparty. The institution shall disclose the sum of all exposure values post-CRM in the respective row.
h	RWEA Risk weighted exposure amounts as defined in Article 92 (3) and (4) CRR calculated in accordance with Article 107 CRR, for elements whose risk weights are estimated on the basis of the requirements in Chapters 2 and 3 of Title II of Part Three CRR and for which the exposure value for CCR business is calculated in accordance with Chapters 4 and 6 of Title II of Part Three CRR

Template EU CCR2 – Transactions subject to own funds requirements for CVA risk: Fixed format

6. Institutions shall disclose information referred to in point (h) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR2 which is presented in Annex XXV to this Implementing Regulation.

7. This template shall be filled with regulatory CVA information for all transactions subject to own funds requirements for CVA risk (Title VI of Part Three CRR).

Legal references and instructions
Row number	Explanation
1	Total transactions subject to the Advanced method Transactions subject to the advanced method to calculate own funds requirements for CVA risk in accordance with Article 383 CRR
2	VaR component (including the 3 × multiplier) Transactions subject to own funds requirements for CVA risk for which the risk weighed exposure amounts are obtained via the formula in Article 383 CRR, using VaR calculation based on internal models for market risk (with current parameter calibrations for expected exposure as set out in the first subparagraph of Article 292 (2) CRR). The calculation shall includes the use of a multiplier that is at least 3 (set by the supervisor).
3	Stressed VaR component (including the 3 × multiplier) Transactions subject to own funds requirements for CVA risk for which the risk weighted exposure amounts are obtained via the formula in Article 383 CRR using stressed VaR calculation based on internal models for market risk (with stressed parameters for the calibration of the formula as set out in the first subparagraph of Article 292 (2) CRR). The calculation shall include the use of a multiplier that is at least 3 (set by the supervisor).
4	Transactions subject to the Standardised method Transactions subject to the standardised method to calculate own funds requirements for CVA risk in accordance with Article 384 CRR
EU-4	Transactions subject to the Alternative approach (Based on the Original Exposure Method) Transactions subject to the alternative approach to calculate own funds requirements for CVA risk, in accordance with Article 385 CRR
5	Total transactions subject to own funds requirements for CVA risk
Column letter	Explanation
a	Exposure value Exposure value that is determined in accordance with Chapter 6 of Title II of Part Three CRR (or in the case of transactions in the scope of Article 271(2) CRR, in accordance with Chapter 4 of Title II of Part Three CRR) for transactions that are in the scope of Title VI of Part Three CRR The exposure value shall be the value used in the calculation of own funds requirements for CVA risk considering mitigation effects in accordance with Title VI of Part Three CRR. For transactions treated under the Original Exposure Method (alternative approach), the exposure value shall be the value that has been used for computing risk weighted exposure amounts.
b	RWEA Risk weighted exposure amounts in accordance with point (d) of Article 438 and with point (d) of Article 92 (3) CRR, i.e. own funds requirements for CVA risk calculated via the chosen method multiplied by 12.5 in accordance with point (b) of Article 92(4) CRR

Template EU CCR3 - Standardised approach – CCR exposures by regulatory exposure class and risk weights: Fixed format

8. Institutions shall disclose the information referred to in point (e) of Article 444 CRR by following the instructions provided below in this Annex to complete template EU CCR3 which is presented in Annex XXV to this Implementing Regulation.

9. Institutions using the credit risk standardised approach to compute risk weighted exposure amounts (excluding those derived from own funds requirements for CVA risk and for exposures cleared through a CCP) for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure values in accordance with Chapters 4 and 6 of Title II of Part Three CRR, shall disclose the following information.

10. If an institution deems that the information requested in this template is not meaningful because the exposure and risk weighted exposure amounts are not material, the institution may choose not to disclose the template. The institution is, however, required to explain in a narrative commentary why it considers the information not to be meaningful, including a description of the exposures in the portfolios concerned and the aggregate total of risk weighted exposures amounts from such exposures.

Legal references and instructions
Row number	Explanation
1-9	Exposure classes These rows refer to the regulatory exposure classes as defined in Article 112 to Article 134 of Chapter 4 of Title II of Part Three CRR. In each line, the corresponding exposure values (see definition provided in column g of template EU CCR1) shall be disclosed.
10	Other items This refers to assets subject to a specific risk weight set out in Article 134 of Chapter 4 of Title II of Part Three CRR and any other items not covered in rows 1 to 9 of this template. It also refers to assets not deducted in the application of Article 39 CRR (tax overpayments, tax loss carrybacks and deferred tax assets that do not rely on future profitability), Article 41 CRR (defined benefit pension fund assets), Article 46 and Article 469 CRR (non-significant investments in CET1 of financial sector entities), Article 49 and Article 471 CRR (participations in insurance entities whether or not insurance entities are supervised under the conglomerate directive), Article 60 and Article 475 CRR (non-significant and significant indirect and investments in AT1 of financial sector entities), Article 70 and Article 477 CRR (insignificant and significant indirect and synthetic holdings of T2 from a financial sector entity) when not allocated to other exposure classes, and to qualifying holdings outside the financial sector when they are not 1 250 % risk-weighted in the application of point (k) of Article 36 of Chapter 2 of Title I of Part Two CRR.
11	Total exposure value
Column letter	Explanation
a-k	These columns refer to the credit risk quality steps/risk weights as set out in Chapter 2 of Title II of Part Three CRR for which the corresponding exposure values (see definition provided in column g of template EU CCR1) shall be disclosed.
l	Total exposure value

Template EU CCR4 - IRB approach – CCR exposures by exposure class and PD scale: Fixed format

11. Institutions shall disclose the information referred to in point (g) of Article 452 CRR by following the instructions provided below in this Annex to complete template EU CCR4 which is presented in Annex XXV to this Implementing Regulation.

12. Institutions using either the advanced or the foundation IRB approach to compute risk weighted exposure amounts (excluding those derived from own funds requirements for CVA risk and for exposures cleared through a CCP) for all or part of their CCR exposures in accordance with Article 107 CRR, irrespective of the CCR approach used to determine exposure value in accordance with Chapters 4 and 6 of Title II of Part Three CRR shall disclose the following information.

Legal references and instructions
Row number	Explanation
1 to 8	PD scale CCR exposures shall be allocated to the appropriate bucket of the fixed PD scale based on the PD estimated for each obligor assigned to this exposure class (without considering any substitution due to existence of guarantee or credit derivative). Institutions shall map exposure by exposure to the PD scale provided in the template, also taking into account continuous scales. All defaulted exposures shall be included in the bucket representing PD of 100 %.
1 to x	Exposure class X This refers to the different exposure classes listed in Article 147 of Chapter 3 of Title II of Part Three CRR.
x and y	Sub-total (Exposure class X) / Total (all CCR relevant exposure classes) The (sub-) total of exposure values, risk weighted exposure amounts and number of obligors shall just be the sum of the respective columns. Concerning the different parameters Average PD, Average LGD, Average Maturity and RWEA density the below definitions apply with respect to the sample of exposure class X or all CCR relevant exposure classes.
Column letter	Explanation
a	Exposure value Exposure value (see definition provided in column g of template EU CCR1), broken down by exposure classes and the given PD scale as set out in Chapter 3 of Title II of Part Three CRR
b	Exposure weighted average PD (%) Average of individual obligor grade PDs weighted by their corresponding exposure value in column a of this template
c	Number of obligors The number of legal entities or obligors allocated to each bucket of the fixed PD scale, which were separately rated, regardless of the number of different loans or exposures granted Where different exposures to the same obligor are separately rated, they shall be counted separately. Such situation may take place if separate exposures to the same obligor are assigned to different obligor grades in accordance with the second sentence of point (e) of Article 172(1) CRR.
d	Exposure weighted average LGD (%) Average of obligor grade LGDs weighted by their corresponding exposure value The disclosed LGD shall correspond to the final LGD estimate used in the calculation of own funds requirements obtained after considering any CRM effects and downturn conditions where relevant. In the case of exposures subject to the double default treatment the LGD to be disclosed shall correspond to the one selected in accordance with Article 161 (4) CRR. For defaulted exposures under A-IRB Approach, provisions laid down in point (h) of Article 181(1) CRR shall be considered. The disclosed LGD shall correspond to the estimate of LGD in-default.
e	Exposure weighted average maturity (years) Average of obligor maturities in years weighted by their corresponding exposure value in column a of this template. The disclosed value of maturity shall be determined in accordance with Article 162 CRR.
f	RWEA Risk weighted exposure amounts calculated in accordance with the requirements laid down in Chapter 3 of Title II of Part Three CRR; for exposures to central governments and central banks, institutions and corporates, the risk weighted exposure amount calculated in accordance with Article 153(1) to (4) CRR; the SME and infrastructure supporting factor determined in accordance with Article 501 CRR and Article 501a CRR shall be taken into account; for equity exposures under the PD/LGD approach, the risk weighted exposure amount calculated in accordance with Article 155(3) CRR
g	Density of risk weighted exposure amounts Ratio of the total risk weighted exposure amounts (in column f of this template) to the exposure value (in column a of this template)

Template EU CCR5 - Composition of collateral for CCR exposures: Fixed columns

13. Institutions shall disclose the information referred to in point (e) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR5 as presented in Annex XXV to this Implementing Regulation.

14. This template shall be filled with fair values of collateral (posed or received) used in CCR exposures related to derivative transactions or to SFTs, whether or not the transactions are cleared through a CCP and whether or not collateral is posted to a CCP.

15. Where the central bank of a Member State undertakes liquidity assistance in the form of collateral swap transactions, the competent authority may exempt institutions to provide information in this template where it deems that the disclosure of this information could reveal the provision of emergency liquidity assistance. For these purposes, the competent authority shall set out appropriate thresholds and objective criteria.

Legal references and instructions
Row number	Explanation
1-8	Collateral type Breakdown by type of collateral
9	Total
Column letter	Explanation
a, c, e and g	Segregated Collateral that is held in a bankruptcy-remote manner as defined in Article 300(1) CRR
b, d, f and h	Unsegregated Collateral that is not held in a bankruptcy-remote manner as defined in Article 300(1) CRR
a to d	Collateral used in derivative transactions Collateral (including the initial margin and variation margin collateral) that is used in CCR exposures related to any derivative instrument listed in Annex II CRR or a long settlement transaction as per Article 271(2) CRR not qualifying as an SFTs
e to h	Collateral used in SFTs Collateral (including the initial margin and variation margin collateral as well as the collateral appearing in the security leg of the SFT) that is used in CCR exposures related to any SFT or a long settlement transaction not qualifying as a derivative

Template EU CCR6 - Credit derivatives exposures: Fixed format

Legal references and instructions
Row number	Explanation
1-6	Notionals Sum of absolute notional derivative amounts before any netting broken down by product type
7-8	Fair values Fair values broken down by assets (positive fair values) and liabilities (negative fair values)
Column letter	Explanation
a-b	Credit derivative protection Credit derivative protection bought or sold in accordance with Chapter 6 of Title II of Part Three CRR

16. Institutions shall disclose the information referred to in point (j) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR6 which is presented in Annex XXV to this Implementing Regulation.

Template EU CCR7 - RWEA flow statements of CCR exposures under the IMM: Fixed format

17. Institutions shall disclose the information referred to in point (h) of Article 438 CRR by following the instructions provided below in this Annex to complete template EU CCR7 which is presented in Annex XXV to this Implementing Regulation.

18. Institutions using the IMM to compute risk weighted exposure amounts for all or part of their CCR exposures in accordance with Chapter 6 of Title II of Part Three CRR, irrespective of the credit risk approach used to determine the corresponding risk weights shall disclose a flow statement explaining changes in risk weighted exposure amounts of derivatives and SFTs in the IMM scope differentiated by key drivers and based on reasonable estimations.

19. This template excludes risk weighted exposure amounts for CVA risk (Title VI of Part Three CRR) and exposures to a central counterparty (Section 9 of Chapter 6 of Title II of Part Three CRR).

20. Institutions shall disclose the flows of RWEA as the changes between the risk-weighted exposure amounts at the end of the disclosure reference period (as specified below in row 9 of this template) and the risk-weighted exposure amounts at end of the prior disclosure reference period (as specified below in row 1 of this template; in the case of quarterly disclosures, end-of-quarter prior to the quarter of the disclosure reference period). Institutions may complement their Pillar 3 disclosures by disclosing the same information for the three previous quarters.

21. Institutions shall explain in the accompanying narrative to the template the figures disclosed in row 8 of this template, i.e. any other drivers that contribute significantly to RWEA variations.

Legal references and instructions
Row number	Explanation
1	RWEA as at the end of the previous disclosure period Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the previous disclosure period
2	Asset size RWEA changes (positive or negative) due to organic changes in book size and composition (including the origination of new businesses and maturing exposures) but excluding changes in book size due to acquisitions and disposal of entities
3	Credit quality of counterparties RWEA changes (positive or negative) due to changes in the assessed quality of the institution’s counterparties as measured under the credit risk framework, whatever approach the institution uses This row shall include potential RWEA changes due to IRB models when the institution uses an IRB approach.
4	Model updates (IMM only) RWEA changes (positive or negative) due to model implementation, changes in model scope, or any changes intended to address model weaknesses This row shall reflect only changes in the IMM.
5	Methodology and policy (IMM only) RWEA changes (positive or negative) due to methodological changes in calculations driven by regulatory policy changes, such as new regulations (only in the IMM)
6	Acquisitions and disposals RWEA changes (positive or negative) due to changes in book sizes due to acquisitions and disposal of entities
7	Foreign exchange movements RWEA changes (positive or negative) due to changes arising from foreign currency translation movements
8	Other This category shall be used to capture RWEA changes (positive or negative) that cannot be attributed to the above categories. Institutions shall include the sum of these RWEA changes in this row. Institutions shall further describe any other material drivers of risk weighted amounts movements over the disclosure period in the accompanying narrative for this template.
9	RWEA as at the end of the current disclosure period Risk weighted exposure amounts for CCR exposures under the IMM as at the end of the current disclosure period
Column letter	Explanation
a	RWEA

Template EU CCR8 - Exposures to CCPs: Fixed format

22. Institutions shall disclose the information referred to in point (i) of Article 439 CRR by following the instructions provided below in this Annex to complete template EU CCR8 which is presented in Annex XXV to this Implementing Regulation.

23. Exposures to CCPs: Contracts and transactions listed in Article 301(1) CRR for as long as they are outstanding with a CCP, including exposures to CCP-related transactions in accordance with Article 300(2) CRR, for which the own funds requirements are calculated in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR.

Legal references and instructions
Row number	Explanation
1-10	Qualifying CCP (QCCP) A qualifying central counterparty or ‘QCCP’ as defined in point (88) of Article 4(1) CRR
7 and 8 17 and 18	Initial margin Institutions shall disclose the fair values of collateral received or posted as initial margin defined in point (140) of Article 4(1) CRR. For the purposes of this template, initial margin does not include contributions to a CCP for mutualised loss-sharing arrangements (i.e. in cases where a CCP uses initial margin to mutualise losses among the clearing members, it will be treated as a default fund exposure).
9 and 19	Prefunded default fund contributions The contribution to the default fund of a CCP that is paid in by the institutions ‘Default fund’ is defined in point (89) of Article 4(1) CRR.
20	Unfunded default fund contributions Contributions that an institution acting as a clearing member has contractually committed to provide to a CCP after the CCP has depleted its default fund to cover the losses it incurred following the default of one or more of its clearing members. ‘Default fund’ is defined in point (89) of Article 4(1) CRR.
7 and 17	Segregated See definition in included in template EU CCR5.
8 and 18	Unsegregated See definition in included in template EU CCR5.
Column letter	Explanation
a	Exposure value Exposure value calculated in accordance with the methods laid down in Chapters 4 and 6 of Title II of Part Three CRR for transactions in the scope of Section 9 of Chapter 6 of Title II of Part Three CRR, after the application of the relevant adjustments provided for by Articles 304, 306 and 308 of that section An exposure can be a trade exposure, as defined in point (91) of Article 4(1) CRR. The disclosed exposure value is the amount relevant for the own funds requirements calculation in accordance with Section 9 of Chapter 6 of Title II of Part Three CRR, considering the requirements in Article 497 CRR during the transitional period provided for by that Article.
b	RWEA Risk weighted exposure amounts referred to in point (a) of Article 92(3) CRR calculated in accordance with Article 107 of Section 9 of Chapter 6 of Title II of Part Three CRR.

ANNEX XXVII

Table EU-SECA - Qualitative disclosure requirements related to securitisation exposures

Free format text boxes for disclosure of qualitative information

Legal basis	Row number	Qualitative information - Free format
Article 449(a) CRR	(a)	Description of securitisation and re-securitisation activities; including institutions' risk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions whether they use the Simple Transparent and Standardised (STS) securitisation framework and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy
Article 449(b) CRR	(b)	The type of risk that institutions are exposed to in their securitisation and re-securitisation activities by level of seniority of the relevant securitisation positions, providing a distinction between STS and non-STS positions and: i) risk retained in own-originated transactions; ii) risk incurred in relation to transactions originated by third parties
Article 449(c ) CRR	(c)	Institutions’ approaches to calculating the risk-weighted exposure amounts that they apply to their securitisation activities, including the types of securitisation positions to which each approach applies with a distinction between STS and non-STS positions
Article 449(d) CRR	(d)	A list of SSPEs falling into any of the following categories, with a description of types of institution's exposures to those SSPEs, including derivatives contracts: (i) SSPEs which acquire exposures originated by the institutions; (ii) SSPEs sponsored by the institutions; (iii) SSPEs and other legal entities for which the institutions provide securitisation-related services, such as advisory, asset servicing or management services; (iv) SSPEs included in the institutions' regulatory scope of consolidation
Article 449(e ) CRR	(e)	A list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with Chapter 5 of Title II of Part Three CRR
Article 449(f) CRR	(f)	A list of legal entities affiliated with the institutions and that invest in securitisations originated by the institutions or in securitisation positions issued by SSPEs sponsored by the institutions
Article 449(g) CRR	(g)	A summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions
Article 449(h) CRR	(h)	The names of the ECAIs used for securitisations and the types of exposure for which each agency is used
Article 449(i) CRR	(i)	Where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three CRR including the structure of the internal assessment process and the relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels

Template EU-SEC1 - Securitisation exposures in the non-trading book

a

b

c

d

e

f

g

h

i

j

k

l

m

n

o

Institution acts as originator

Institution acts as sponsor

Institution acts as investor

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

STS

Non-STS

of which SRT

STS

Non-STS

STS

Non-STS

of which SRT

1

Total exposures

2

Retail (total)

3

residential mortgage

4

credit card

5

other retail exposures

6

re-securitisation

7

Wholesale (total)

8

loans to corporates

9

commercial mortgage

10

lease and receivables

11

other wholesale

12

re-securitisation

Template EU-SEC2 - Securitisation exposures in the trading book

a

b

c

d

e

f

g

h

i

j

k

l

Institution acts as originator

Institution acts as sponsor

Institution acts as investor

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

Traditional

Synthetic

Sub-total

STS

Non-STS

STS

Non-STS

STS

Non-STS

1

Total exposures

2

Retail (total)

3

residential mortgage

4

credit card

5

other retail exposures

6

re-securitisation

7

Wholesale (total)

8

loans to corporates

9

commercial mortgage

10

lease and receivables

11

other wholesale

12

re-securitisation

Template EU-SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor

a

b

c

d

e

f

g

h

i

j

k

l

m

n

o

EU-p

EU-q

Exposure values (by RW bands/deductions)

Exposure values (by regulatory approach)

RWEA (by regulatory approach)

Capital charge after cap

≤ 20 % RW

> 20 % to 50 % RW

> 50 % to 100 % RW

> 100 % to < 1 250 % RW

1 250 % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250 % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250 % RW/

deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250 % RW/

deductions

1

Total exposures

2

Traditional transactions

3

Securitisation

4

Retail

5

Of which STS

6

Wholesale

7

Of which STS

8

Re-securitisation

9

Synthetic transactions

10

Securitisation

11

Retail underlying

12

Wholesale

13

Re-securitisation

Template EU-SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor

a

b

c

d

e

f

g

h

i

j

k

l

m

n

o

EU-p

EU-q

Exposure values (by RW bands/deductions)

Exposure values (by regulatory approach)

RWEA (by regulatory approach)

Capital charge after cap

≤ 20 % RW

> 20 % to 50 % RW

> 50 % to 100 % RW

> 100 % to < 1 250 % RW

1 250 % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250 % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250 % RW/ deductions

SEC-IRBA

SEC-ERBA

(including IAA)

SEC-SA

1 250 % RW/ deductions

1

Total exposures

2

Traditional securitisation

3

Securitisation

4

Retail underlying

5

Of which STS

6

Wholesale

7

Of which STS

8

Re-securitisation

9

Synthetic securitisation

10

Securitisation

11

Retail underlying

12

Wholesale

13

Re-securitisation

Template EU-SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments

		a	b	c
		Exposures securitised by the institution - Institution acts as originator or as sponsor
		Total outstanding nominal amount		Total amount of specific credit risk adjustments made during the period
			Of which exposures in default
1	Total exposures
2	Retail (total)
3	residential mortgage
4	credit card
5	other retail exposures
6	re-securitisation
7	Wholesale (total)
8	loans to corporates
9	commercial mortgage
10	lease and receivables
11	other wholesale
12	re-securitisation

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

1. Institutions shall disclose the information referred to in points (a) to (i) of Article 449 of Regulation (EU) 575/2013 ( 22 ) (‘CRR’) by following the instructions provided below in this Annex to complete table EU SECA which is presented in Annex XXVII to this Implementing Regulation.

Legal references and instructions
Row reference	Explanation
(a)	Description of securitisation and re-securitisation activities; includingrisk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions whether they use the Simple Transparent and Standardised (STS) securitisation framework and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy, in accordance with point (a) of Article 449 CRR
(b)	The type of risk that institutions are exposed to in their securitisation and re-securitisation activities by level of seniority of the relevant securitisation positions, providing a distinction between STS and non-STS positions and: i) risk retained in own-originated transactions; ii) risk incurred in relation to transactions originated by third parties, in accordance with point (b) of Article 449 CRR
(c)	Institutions’ approaches to calculating the risk-weighted exposure amounts that they apply to their securitisation activities, including the types of securitisation positions to which each approach applies with a distinction between STS and non-STS positions, in accordance with point (c) of Article 449 CRR
(d)	A list of SSPEs falling into any of the following categories, with a description of types of institution’s exposures to those SSPEs, including derivatives contracts: (i) SSPEs which acquire exposures originated by the institutions; (ii) SSPEs sponsored by the institutions; (iii) SSPEs and other legal entities for which the institutions provide securitisation-related services, such as advisory, asset servicing or management services; (iv) SSPEs included in the institutions' scope of prudential consolidation, in accordance with point (d) of Article 449 CRR
(e)	A list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with point (e) of Article 449 of Chapter 5 of Title II of Part Three CRR
(f)	A list of legal entities affiliated with the institutions and that invest in securitisations originated by the institutions or in securitisation positions issued by SSPEs sponsored by the institutions, in accordance with point (f) of Article 449 CRR
(g)	A summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions, in accordance with point (g) of Article 449 CRR
(h)	The names of the ECAIs used for securitisations and the types of exposure for which each agency is used, in accordance with point (h) of Article 449 CRR
(i)	Where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three CRR, including the structure of the internal assessment process and the relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels, in accordance with point (i) of Article 449 CRR

EU-SEC1 - Securitisation exposures in the non-trading book. Fixed format.

2. Institutions shall disclose the information referred to in point (j) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC1 which is presented in Annex XXVII to this Implementing Regulation. Institutions shall explain in the narrative accompanying the template if they have within their traditional securitisations, ABCP programmes, and, if they have, the volume of ABCP transactions.

Legal references and instructions
Column reference	Explanation
a - g	Institution acts as originator When the ‘institution acts as originator’, as defined in point (13) of Article 4 (1) CRR, the securitisation exposures are the retained positions, even where not eligible for the securitisation framework due to the absence of significant risk transfer. Securitisation exposures in transactions that have achieved significant risk transfer (SRT) shall be presented separately. Originator institutions shall disclose the carrying amount at the disclosure date of all current securitisation exposures they hold in the securitisation transactions that they originated. As such, on-balance sheet securitisation exposures (e.g. bonds, subordinated loans) as well as off-balance sheet exposures and derivatives (e.g. subordinated credit lines, liquidity facilities, interest rate swaps, credit default swaps, etc.) in those securitisation shall be disclosed.
h - k	Institution acts as sponsor When ‘the institution acts as sponsor’ (as defined in point (14) of Article 4(1) CRR) the securitisation exposures shall include exposures to commercial paper conduits to which the institution provides programme-wide enhancements, liquidity and other facilities. Where the institution acts both as originator and sponsor, it shall avoid double-counting. In this regard, the institution can merge the two columns of ‘institution acts as originator’ and ‘institution acts as sponsor’ and use ‘institution acts as originator/sponsor’ columns.
l - o	Institution acts as investor Securitisation exposures when ‘the institution acts as an investor’ are the investment positions purchased in third-party deals. The CRR does not provide an explicit definition for investor. Therefore, in this context it shall be understood as an institution that holds a securitisation position in a securitisation transaction for which it is neither the originator, nor the sponsor. In case the pool of securitised exposures is a mix of the types of securitisation position, the institution shall indicate the most important type.
a – d; h, i, l, m	Traditional transactions In accordance with point (13) of Article 242 CRR, in connection with point (9) of Article 2 of Regulation (EU) 2017/2402 (1), ‘traditional securitisation’ means a securitisation involving the transfer of the economic interest in the exposures being securitised. This shall be accomplished by the transfer of ownership of the securitised exposures from the originator institution to an SSPE or through sub-participation by an SSPE. The securities issued do not represent payment obligations of the originator institution. In the case of traditional securitisations where the originator does not hold any position, then the originator shall not consider that securitisation in the disclosing of this template.
e, f, j, n	Synthetic transactions In accordance with point (14) of Article 242 CRR, in connection with point (10) of Article 2 of Regulation (EU) 2017/2402, ‘synthetic securitisation’ means a securitisation where the transfer of risk is achieved by the use of credit derivatives or guarantees, and the exposures being securitised remain exposures of the originator institution. If the institution has purchased protection it shall disclose the net exposure amounts to which it is exposed and which are not subject to the purchased protection under columns originator/sponsor (i.e. the amount that is not secured) of this template. If the institution has sold protection, the exposure amount of the credit protection shall be disclosed in the ‘investor’ column of this template.
a, b, h, l,	STS exposure Total amount of STS securitisation positions in accordance with the criteria set out in Articles 18 to 26 of the Regulation (EU) 2017/2402
b, d, f	SRT exposure Total amount of securitisation positions in respect of which the originator institution has achieved significant risk transfer (SRT) in accordance with Article 244 (traditional securitisation) and Article 245 (synthetic securitisation) CRR
(1) REGULATION (EU) 2017/2402 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 12 December 2017 laying down a general framework for securitisation and creating a specific framework for simple, transparent and standardised securitisation, and amending Directives 2009/65/EC, 2009/138/EC and 2011/61/EU and Regulations (EC) No 1060/2009 and (EU) No 648/2012 (OJ 347, 28.12.2017, p. 35).

Legal references and instructions

Row number

Explanation

06, 12

Re-securitisation

Total amount of outstanding re-securitisation positions as defined in points (63) and (64) of Article 4(1) CRR

All securitisation exposures related to re-securitisation shall be completed in rows ‘re-securitisation’, and not in the preceding rows (by type of underlying asset) which contain only securitisation exposures other than re-securitisation.

Template EU SEC2 - Securitisation exposures in the trading book. Fixed format.

3. Institutions shall disclose the information referred to point (j) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC2 which is presented in Annex XXVII to this Implementing Regulation.

4. Institutions shall refer to instructions to template EU SEC1 - Securitisation exposures in the non-trading book.

Template EU SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor. Fixed format.

5. Institutions shall disclose the information referred to in point (k)(i) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC3 which is presented in Annex XXVII to this Implementing Regulation.

Legal references and instructions
Column reference	Explanation
a to d	Exposure values (by risk weight bands /deductions) Values to be disclosed in columns (a) to (d) of this template in relation to regulatory risk weights shall be determined in accordance with Chapter 5 of Title II of Part Three CRR.
f to h	Exposure values (by regulatory approach) Columns (f) to (h) of this template corresponding to the regulatory approach used in accordance with the hierarchy of approaches of Article 254 CRR
j, k, l	RWEA (by regulatory approach) Risk weighted exposure amount (RWEA) by regulatory approach in accordance with Chapter 5 of Title II of Part Three CRR Part Three before application of cap
n to EU-p	Capital charge after cap These columns refer to capital charge after application of the cap in accordance with Articles 267 and 268 CRR.
e, i, m, EU-q	1 250 % RW/deductions Columns refer to items: — Subject to a 1 250 % risk weight or deducted in accordance with Chapter 5 of Title II of Part Three CRR; — Subject to a 1 250 % risk weight or deducted in accordance with point (b) of Article 244(1)) and with point (b) of Article 245(1) CRR; — Subject to a 1 250 % risk weight in accordance with Article 254(7) CRR; — or deducted in accordance with Article 253 CRR

Legal references and instructions
Row number	Explanation
1	Total Exposures Total exposures shall refer to the total amount of securitisation and re-securitisation positions held by the institution acting as originator or sponsor. This row shall summarise information on traditional and synthetic securitisation disclosed by originators and sponsors in subsequent rows.
2	Traditional transactions See explanation for template EU SEC1.
3, 10	Securitisation Total amount of outstanding securitisation positions as defined in point (62) of Article 4(1) CRR that are not re-securitisation positions as defined in point (64) of Article 4(1) CRR
5, 7	STS See explanation for template EU SEC1.
8, 13	Re-securitisation See explanation for template EU SEC1.
9	Synthetic transactions See explanation for template EU SEC1.

Template EU SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor. Fixed format.

6. Institutions shall disclose the information referred to in point (k)(ii) of Article 449 CRR by following the instructions provided below in this Annex to complete template EU SEC4 which is presented in Annex XXVII to this Implementing Regulation.

7. Institutions shall refer to instructions to template EU SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor.

Template EU SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments. Fixed format.

8. Institutions shall disclose the information referred to in Article 449(l) CRR by type of securitisation exposure, by following the instructions provided below in this Annex to complete template EU SEC5 which is presented in Annex XXVII to this Implementing Regulation.

Legal references and instructions
Column reference	Explanation
a	Total outstanding nominal amount Total outstanding nominal amount of exposures securitised by the institution (institution acts as originator or as sponsor), broken down by type of securitisation exposure
b	Total outstanding nominal amount - Of which exposures in default Total outstanding nominal amount of exposures securitised by the institution (institution acts as originator or as sponsor) which have been classified as ‘defaulted exposures’ in accordance with Article 178 CRR, broken down by type of securitisation exposure
c	Specific credit risk adjustments made during the period Amount of the specific credit risk adjustments made during the period, in accordance with Article 110 CRR, on the exposures securitised by the institution (institution acts as originator or as sponsor), broken down by type of securitisation exposure

ANNEX XXIX

Table EU MRA: Qualitative disclosure requirements related to market risk

		Flexible format disclosure
a	Points (a) and (d) of Article 435 (1) CRR A description of the institution's strategies and processes to manage market risk, including: — An explanation of management’s strategic objectives in undertaking trading activities, as well as the processes implemented to identify, measure, monitor and control the institution’s market risks — A description of their policies for hedging and mitigating risk and strategies and processes for monitoring the continuing effectiveness of hedges
b	Point (b) of Article 435 (1) CRR A description of the structure and organisation of the market risk management function, including a description of the market risk governance structure established to implement the strategies and processes of the institution discussed in row (a) above, and that describes the relationships and the communication mechanisms between the different parties involved in market risk management.
c	Point (c ) of Article 435 (1) CRR Scope and nature of risk reporting and measurement systems

Template EU MR1 - Market risk under the standardised approach

		a
		RWEAs
	Outright products
1	Interest rate risk (general and specific)
2	Equity risk (general and specific)
3	Foreign exchange risk
4	Commodity risk
	Options
5	Simplified approach
6	Delta-plus approach
7	Scenario approach
8	Securitisation (specific risk)
9	Total

Table EU MRB: Qualitative disclosure requirements for institutions using the internal Market Risk Models

		Flexible format disclosure
EU (a)	Article 455(c) CRR Description of the procedures and systems implemented for the assurance of tradability of the positions included in the trading book in order to comply with the requirements of Article 104. Description of the methodology used to ensure that the policies and procedures implemented for the overall management of the trading book are appropriate.
EU (b)	Article 455(c) CRR For exposures from the trading and the non-trading book that are measured at fair value in accordance with the applicable accounting framework and that have their exposure value adjusted in accordance with Part Two, Title I, Chapter 2, Article 34 and Part Three, Title I, Chapter 3, Article 105 of the CRR (as well as the Commission Delegated Regulation (EU) No 2016/101), institutions shall describe systems and controls to ensure that the valuation estimates are prudent and reliable. These disclosures shall be provided as part of the market risk disclosures for exposures from the trading book.
Point (i) of Article 455(a) CRR (A) Institutions using VaR models and SVaR models must disclose the following information:
(a)	Point (i) of Article 455 (a) and Article 455 (b) CRR Description of activities and risks covered by VaR and SVaR models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.
(b)	Article 455(b) CRR Description of the scope of application of the VaR and SVaR models for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, as well as the percentage of own funds requirements covered by the models or if the same models of VaR/SVaR are used for all entities with market risk exposure
	Point (i) of Article 455(a) CRR Characteristics of the models used, including:
(c)	General description of regulatory VaR and SVaR models
(d)	Discussion of the main differences, if any, between the model used for management purposes and the model used for regulatory purposes (10 day 99%) for VaR and SVaR models.
(e)	For VaR models:
(i)	Data updating frequency;
(ii)	Length of the data period that is used to calibrate the model. Describe the weighting scheme that is used (if any);
(iii)	How the institutions determines the 10-day holding period (for example, does it scale up a 1-day VaR by the square root of 10, or does it directly model the 10-day VaR?);
(iv)	Aggregation approach, which is the method for aggregating the specific and general risk (i.e. do the institutions calculate the specific charge as a stand-alone charge by using a different method than the one used to calculate the general risk or do the institutions use a single model that diversifies general and specific risk?);
(v)	Valuation approach (full revaluation or use of approximations);
(vi)	Whether, when simulating potential movements in risk factors, absolute or relative returns (or a mixed approach) are used (i.e. proportional change in prices or rates or absolute change in prices or rates).
(f)	For SVaR models, specify:
(i)	How the 10-day holding period is determined. For example, does the institution scale up a 1-day VaR by the square root of 10, or does it directly model the 10-day VaR? If the approach is the same as for the VaR models, the institutions may confirm this and refer to disclosure (e) (iii) above;
(ii)	The stress period chosen by the institution and the rationale for this choice;
(iii)	Valuation approach (full revaluation or use of approximations).
(g)	Point (iii) of Article 455(a) CRR Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the VaR and SVaR models apply at the group level).
(h)	Point (iv) of Article 455(a) CRR Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the internal models and modelling processes.
Point (ii) of Article 455(a) CRR (B) Institutions using internal models to measure the own funds requirements for the incremental default and migration risk (IRC) must disclose the following information:
(a)	Point (ii) of Article 455 (a) and Article 455 (b) CRR Description of risks covered by the IRC models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.
(b)	Article 455(b) CRR Description of the scope of application of the IRC model for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, the percentage of own funds requirements covered by the models /or if the same models of IRC is used for all entities with market risk exposure
(c)	Point (ii) of Article 455(a) CRR General description of the methodology used for internal models for incremental default and migration risk, including:
(i)	Information about the overall modelling approach (notably, the use of spread-based models or transition matrix-based models);
(ii)	Information on the calibration of the transition matrix;
(iii)	Information about correlation assumptions;
(d)	Approach used to determine liquidity horizons;
(e)	Methodology used to achieve a capital assessment that is consistent with the required soundness standard;
(f)	Approach used in the validation of the models.
(g)	Point (iii) of Article 455(a) CRR Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the IRC models apply at the group level).
(h)	Point (iv) of Article 455(a) CRR Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the IRC internal models and modelling processes.
Point (ii) of Article 455(a) CRR (C) Institutions using internal models to measure own funds requirements for correlation trading portfolio (comprehensive risk measure) must disclosure the following information:
(a)	Point (ii) of Article 455 (a) and Article 455 (b) CRR Description of risks covered by the comprehensive risk measure models, specifying how they are distributed in portfolios/sub-portfolios for which the competent authority has granted permission.
(b)	Article 455(b) CRR Description of the scope of application of the comprehensive risk measure models for which the competent authority has granted permission, including which entities in the group use these models and how the models represent all the models used at the group level, including the percentage of own funds requirements covered by the models /or if the same models of IRC is used for all entities with market risk exposure
(c)	Point (ii) of Article 455(a) CRR General description of the methodology used for correlation trading, including:
(i)	Information about the overall modelling approach (choice of model correlation between default/migrations and spread: (i) separate but correlated stochastic processes driving migration/default and spread movement; (ii) spread changes driving migration/default; or (iii) default/migrations driving spread changes);
(ii)	Information used to calibrate the parameters of the base correlation: LGD pricing of the tranches (constant or stochastic);
(iii)	Information on the choice of whether to age positions (profits and losses based on the simulated market movement in the model calculated based on the time to expiry of each position at the end of the 1-year capital horizon or using their time to expiry at the calculation date);
(d)	Approach used to determine liquidity horizons.
(e)	Methodology used to achieve a capital assessment that is consistent with the required soundness standard.
(f)	Approach used in the validation of the models.
(g)	Point (iii) of Article 455(a) CRR Description of stress testing applied to the modelling parameters (main scenarios developed to capture the characteristics of the portfolios to which the comprehensive risk measure models apply at the group level).
(h)	Point (iv) of Article 455(a) CRR Description of the approach used for backtesting/validating the accuracy and internal consistency of data and parameters used for the comprehensive risk measure internal models and modelling processes.
(i)	Point (f) of Article 455 CRR Information on weighted average liquidity horizon for each subportfolio covered by the internal models for incremental default and migration risk and for correlation trading

Template EU MR2-A - Market risk under the internal Model Approach (IMA)

		a	b
		RWEAs	Own funds requirements
1	VaR (higher of values a and b)
(a)	Previous day’s VaR (VaRt-1)
(b)	Multiplication factor (mc) x average of previous 60 working days (VaRavg)
2	SVaR (higher of values a and b)
(a)	Latest available SVaR (SVaRt-1))
(b)	Multiplication factor (ms) x average of previous 60 working days (sVaRavg)
3	IRC (higher of values a and b)
(a)	Most recent IRC measure
(b)	12 weeks average IRC measure
4	Comprehensive risk measure (higher of values a, b and c)
(a)	Most recent risk measure of comprehensive risk measure
(b)	12 weeks average of comprehensive risk measure
(c)	Comprehensive risk measure - Floor
5	Other
6	Total

Template EU MR2-B - RWEA flow statements of market risk exposures under the IMA

		a	b	c	d	e	f	g
		VaR	SVaR	IRC	Comprehensive risk measure	Other	Total RWEAs	Total own funds requirements
1	RWEAs at previous period end
1a	Regulatory adjustment
1b	RWEAs at the previous quarter-end (end of the day)
2	Movement in risk levels
3	Model updates/changes
4	Methodology and policy
5	Acquisitions and disposals
6	Foreign exchange movements
7	Other
8a	RWEAs at the end of the disclosure period (end of the day)
8b	Regulatory adjustment
8	RWEAs at the end of the disclosure period

Template EU MR3 - IMA values for trading portfolios

		a
VaR (10 day 99%)
1	Maximum value
2	Average value
3	Minimum value
4	Period end
SVaR (10 day 99%)
5	Maximum value
6	Average value
7	Minimum value
8	Period end
IRC (99.9%)
9	Maximum value
10	Average value
11	Minimum value
12	Period end
Comprehensive risk measure (99.9%)
13	Maximum value
14	Average value
15	Minimum value
16	Period end

Template EU MR4 - Comparison of VaR estimates with gains/losses

Institutions must present an analysis of ‘outliers’ (backtesting exceptions as per Article 366 CRR) in backtested results, specifying the dates and the corresponding excess (VaR-P&L), including at least the key drivers of the exceptions, with similar comparisons for actual P&L and hypothetical P&L (as per Article 366 CRR).

Information about actual gains/losses, and especially a clarification whether they include reserves and, if not, how reserves are integrated into the backtesting process.

ALLEGATO XXX Tabelle e modelli per l'informativa sul metodo interno e sul metodo standardizzato per il rischio di mercato Istruzioni

ALLEGATO XXX

Tabelle e modelli per l'informativa sul metodo interno e sul metodo standardizzato per il rischio di mercato Istruzioni

1. Il presente allegato contiene le istruzioni che gli enti devono seguire per pubblicare le informazioni di cui agli articoli 435, 445 e 455 del regolamento (UE) n. 575/2013 ( 23 ) («CRR») per compilare le tabelle e i modelli per l'informativa sul rischio di mercato di cui all'allegato XXIX del presente regolamento di esecuzione.

Tabella EU MRA: obblighi di informativa qualitativa sul rischio di mercato - Caselle di testo libero

2. Gli enti pubblicano le informazioni di cui all'articolo 435, paragrafo 1, lettere da a) a d), del CRR per quanto riguarda il rischio di mercato, seguendo le istruzioni fornite di seguito nel presente allegato per compilare la tabella EU MRA di cui all'allegato XXIX del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
a)	Nel pubblicare le informazioni di cui all'articolo 435, paragrafo 1, lettere a) e d), del CRR sugli obiettivi e sulle politiche di gestione del rischio per la gestione del rischio di mercato, gli enti includono: — una spiegazione degli obiettivi strategici di gestione nell'intraprendere attività di negoziazione; — i processi attuati per individuare, misurare, monitorare e controllare i rischi di mercato dell'ente; — le politiche di copertura e di attenuazione del rischio; — le strategie e i processi per la sorveglianza continuativa sull'efficacia delle coperture.
b)	Nel pubblicare le informazioni di cui all'articolo 435, paragrafo 1, lettera b), del CRR sulla struttura e sull'organizzazione della funzione di gestione del rischio di mercato, gli enti includono: — una descrizione della struttura di governance del rischio di mercato istituita per attuare le strategie e i processi dell'ente di cui alla riga a); — una descrizione delle relazioni e dei meccanismi di comunicazione tra le diverse parti coinvolte nella gestione del rischio di mercato.
c)	Nel pubblicare le informazioni di cui all'articolo 435, paragrafo 1, lettera c), del CRR sull'ambito di applicazione e la natura dei sistemi di segnalazione e di misurazione del rischio di mercato, gli enti forniscono una descrizione dell'ambito di applicazione e della natura dei sistemi di segnalazione e di misurazione del rischio di mercato.

Modello EU MR1: rischio di mercato in base al metodo standardizzato - Formato fisso

3. Gli enti pubblicano le informazioni di cui all'articolo 445 del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare il modello EU MR1 di cui all'allegato XXIX del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
Prodotti outright
1	Rischio di tasso di interesse (generico e specifico) Rischio generico e specifico di posizioni in strumenti di debito negoziati nel portafoglio di negoziazione, conformemente alla parte tre, titolo IV, capo 2, del CRR, escluso il rischio specifico connesso alla cartolarizzazione, e che non sono opzionali.
2	Rischio azionario (generico e specifico) Rischio generico e specifico di posizioni in strumenti di capitale nel portafoglio di negoziazione, conformemente alla parte tre, titolo IV, capo 2, del CRR, esclusi gli strumenti opzionali.
3	Rischio di cambio Rischio di posizioni in valuta estera conformemente alla parte tre, titolo IV, capo 3, del CRR, esclusi gli strumenti opzionali.
4	Rischio di posizioni in merci Rischio di posizioni in merci conformemente alla parte tre, titolo IV, capo 4, del CRR, esclusi gli strumenti opzionali.
Opzioni
5	Metodo semplificato Opzioni o warrants di cui all'articolo 329, paragrafo 3, della parte tre, titolo IV, capo 2, del CRR per i quali gli enti calcolano i requisiti di fondi propri relativi a rischi diversi dal rischio delta utilizzando il metodo semplificato (1).
6	Metodo delta plus Opzioni o warrants nel portafoglio di negoziazione di cui all'articolo 329, paragrafo 3, della parte tre, titolo IV, capo 2, del CRR per i quali gli enti calcolano i requisiti di fondi propri relativi a rischi diversi dal rischio delta utilizzando il metodo delta plus (2).
7	Metodo di scenario Opzioni o warrants nel portafoglio di negoziazione di cui all'articolo 329, paragrafo 3, della parte tre, titolo IV, capo 2, del CRR per i quali gli enti calcolano i requisiti di fondi propri relativi a rischi diversi dal rischio delta utilizzando il metodo di scenario (3).
8	Cartolarizzazione (rischio specifico) Rischio specifico delle posizioni verso la cartolarizzazione nel portafoglio di negoziazione conformemente agli articoli 337 e 338 della parte tre, titolo IV, capo 2, del CRR.
9	Totale Somma degli importi nelle righe da 1 a 8 di questo modello.
Lettera della colonna	Spiegazione
a	RWEA Informativa sulle esposizioni ponderate per il rischio di cui all'articolo 438, lettera d), del CRR, calcolate come valore nella colonna b moltiplicato per 12,5 conformemente all'articolo 92, paragrafo 4, lettera b), del CRR.
(1) Secondo la definizione di cui al regolamento delegato (UE) n. 528/2014 della Commissione, del 12 marzo 2014, che integra il regolamento (UE) n. 575/2013 del Parlamento europeo e del Consiglio per quanto riguarda le norme tecniche di regolamentazione per i rischi delle opzioni diversi dal rischio delta nel metodo standardizzato per il rischio di mercato (GU L 148 del 20.5.2014, pag. 29). (2) Secondo la definizione di cui al regolamento delegato (UE) n. 528/2014 della Commissione, del 12 marzo 2014, che integra il regolamento (UE) n. 575/2013 del Parlamento europeo e del Consiglio per quanto riguarda le norme tecniche di regolamentazione per i rischi delle opzioni diversi dal rischio delta nel metodo standardizzato per il rischio di mercato (GU L 148 del 20.5.2014, pag. 29). (3) Secondo la definizione di cui al regolamento delegato (UE) n. 528/2014 della Commissione, del 12 marzo 2014, che integra il regolamento (UE) n. 575/2013 del Parlamento europeo e del Consiglio per quanto riguarda le norme tecniche di regolamentazione per i rischi delle opzioni diversi dal rischio delta nel metodo standardizzato per il rischio di mercato (GU L 148 del 20.5.2014, pag. 29).

Tabella EU MRB: obblighi di informativa qualitativa per gli enti che utilizzano i modelli interni per il rischio di mercato - Caselle di testo libero

4. Gli enti pubblicano le informazioni di cui all'articolo 455, lettere a), b), c) e f), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare la tabella EU MRB di cui all'allegato XXIX del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
EU a)	Nel pubblicare le informazioni di cui all'articolo 455, lettera c), del CRR sull'ambito e le metodologie per l'osservanza dei requisiti di cui all'articolo 104 del CRR, gli enti includono: — una descrizione delle procedure e dei sistemi attuati per garantire la negoziabilità delle posizioni incluse nel portafoglio di negoziazione al fine di soddisfare i requisiti di cui all'articolo 104 del CRR; — una descrizione della metodologia utilizzata per garantire che le politiche e le procedure attuate per la gestione generale del portafoglio di negoziazione siano adeguate.
EU b)	Nel pubblicare le informazioni di cui all'articolo 455, lettera c), del CRR sulla portata e le metodologie per l'osservanza dei requisiti di cui all'articolo 105 del CRR, gli enti includono: — una descrizione delle metodologie di valutazione, compresa una spiegazione del modo in cui sono utilizzate le metodologie mark-to-market e mark-to-model; — la descrizione del processo di verifica indipendente dei prezzi; — le procedure alla base degli aggiustamenti della valutazione o delle riserve (compresa una descrizione del processo e della metodologia per la valutazione delle posizioni di negoziazione per tipologia di strumento).
A)	Enti che utilizzano modelli VaR e sVaR, come definiti all'articolo 365 del CRR.
a)	Nel pubblicare le informazioni di cui all'articolo 455, lettera a), punto i), e all'articolo 455, lettera b), del CRR, gli enti includono una descrizione delle attività e dei rischi coperti dai modelli VaR e sVaR per i quali l'autorità competente ha concesso l'autorizzazione, specificando come sono distribuiti nei portafogli/subportafogli.
b)	Nell'informativa di cui all'articolo 455, lettera b), del CRR, l'ente include: — una descrizione dell'ambito di applicazione dei modelli VaR e sVaR per i quali l'autorità competente ha concesso l'autorizzazione; — se del caso, informazioni che spiegano quali soggetti del gruppo utilizzano tali modelli, in che modo i modelli rappresentano tutti i modelli utilizzati a livello di gruppo e la percentuale di requisiti di fondi propri coperti dai modelli o se gli stessi modelli VaR/sVaR sono utilizzati per tutti i soggetti con esposizione al rischio di mercato.
	Le informazioni di cui all'articolo 455, lettera a), punto i), del CRR sulle caratteristiche del modello utilizzato comprendono quanto segue.
c)	Una descrizione generale dei modelli VaR e sVaR regolamentari.
d)	Un'illustrazione delle principali differenze, se presenti, tra i modelli utilizzati a fini di gestione e il modello utilizzato a fini regolamentari (10 giorni, 99 %) per i modelli VaR e sVaR.
e)	Per i modelli VaR:
i)	la frequenza di aggiornamento dei dati;
ii)	la durata del periodo utilizzato per calibrare il modello. Una descrizione del sistema di ponderazione utilizzato (se previsto);
iii)	una descrizione delle modalità con cui gli enti determinano il periodo di detenzione di 10 giorni (ad esempio, il VaR di 1 giorno è maggiorato per la radice quadrata di 10 o si prende in considerazione direttamente il VaR di 10 giorni?);
iv)	una descrizione del metodo di aggregazione, ossia il metodo per aggregare il rischio specifico e il rischio generico (ad esempio, gli enti calcolano il requisito specifico come requisito individuale utilizzando un metodo diverso da quello utilizzato per il calcolo del rischio generico oppure utilizzano un modello unico che differenzia il rischio generico e il rischio specifico?);
v)	metodo di valutazione (rivalutazione complessiva o uso di approssimazioni);
vi)	se, nel simulare le potenziali variazioni dei fattori di rischio, sono utilizzati rendimenti assoluti o relativi (o con metodo misto) (ad esempio, variazione proporzionale dei prezzi o tassi o variazione assoluta di prezzi o tassi).
f)	Per i modelli sVaR:
i)	una descrizione di come viene determinato il periodo di detenzione di 10 giorni. Ad esempio, l'ente maggiora il VaR di 1 giorno della radice quadrata di 10 o prende in considerazione direttamente il VaR di 10 giorni? Se il metodo è lo stesso dei modelli VaR, gli enti possono confermare tale circostanza e fare riferimento all'informativa e), punto iii), di cui sopra;
ii)	una descrizione del periodo di stress scelto dall'ente e le motivazioni della scelta;
iii)	una descrizione del metodo di valutazione (rivalutazione complessiva o uso di approssimazioni).
g)	Nel pubblicare le informazioni di cui all'articolo 455, lettera a), punto iii), del CRR, l'ente include una descrizione delle prove di stress applicate ai parametri di modellizzazione coerenti con le informazioni di cui al precedente punto A), lettera a) (principali scenari sviluppati per rilevare le caratteristiche dei portafogli cui i modelli VaR e sVaR si applicano a livello di gruppo).
h)	Nel pubblicare le informazioni di cui all'articolo 455, lettera a), punto iv), del CRR, gli enti pubblicano una descrizione del metodo utilizzato per i test retrospettivi/per la convalida dell'accuratezza e della coerenza interna dei dati e dei parametri utilizzati per i modelli interni e i processi interni di modellizzazione.
B)	Enti che utilizzano modelli interni per misurare i requisiti di fondi propri per i rischi incrementali di default e di migrazione (IRC) conformemente alla parte tre, titolo IV, capo 5, sezioni 3 e 4, del CRR.
a)	Nel pubblicare le informazioni di cui all'articolo 455, lettera a), punto ii), e all'articolo 455, lettera b), del CRR, gli enti includono una descrizione dei rischi coperti dai modelli IRC per i quali l'autorità competente ha concesso l'autorizzazione, specificando come sono distribuiti nei portafogli/subportafogli.
b)	Le informazioni di cui all'articolo 455, lettera b), del CRR comprendono una descrizione dell'ambito di applicazione del modello IRC per il quale l'autorità competente ha concesso l'autorizzazione e sono integrate da informazioni che spiegano quali soggetti del gruppo utilizzano tali modelli e in che modo i modelli rappresentano tutti i modelli utilizzati a livello di gruppo, compresa la percentuale di requisiti di fondi propri coperti dai modelli o se gli stessi modelli IRC sono utilizzati per tutti i soggetti con esposizione al rischio di mercato.
	Le informazioni di cui all'articolo 455, lettera a), punto ii), del CRR sulle caratteristiche dei modelli IRC utilizzati comprendono quanto segue.
c)	Una descrizione generale della metodologia utilizzata per i modelli interni per i rischi incrementali di default e di migrazione, comprese:
i)	informazioni sul metodo di modellizzazione globale (in particolare, rispetto all'uso di modelli basati su differenziali o su matrici di migrazione);
ii)	informazioni sulla calibrazione della matrice di migrazione;
iii)	informazioni sulle ipotesi di correlazione.
d)	Gli enti includono una descrizione del metodo utilizzato per determinare gli orizzonti di liquidità.
e)	Gli enti includono una descrizione delle metodologie utilizzate per realizzare la valutazione dell'adeguatezza patrimoniale in linea con le norme di robustezza richieste.
f)	Gli enti includono una descrizione del metodo utilizzato per la convalida dei modelli.
g)	Le informazioni di cui all'articolo 455, lettera a), punto iii), del CRR, comprendono una descrizione delle prove di stress applicate ai parametri di modellizzazione coerenti con le informazioni di cui al precedente punto B), lettera a) (principali scenari sviluppati per rilevare le caratteristiche dei portafogli cui i modelli IRC si applicano a livello di gruppo).
h)	Le informazioni di cui all'articolo 455, lettera a), punto iv), del CRR, comprendono una descrizione del metodo utilizzato per i test retrospettivi/per la convalida dell'accuratezza e della coerenza interna dei dati e dei parametri utilizzati per i modelli interni IRC e i processi interni di modellizzazione.
C)	Enti che utilizzano modelli interni per misurare i requisiti di fondi propri per il portafoglio di negoziazione di correlazione (misura del rischio globale) conformemente alla parte tre, titolo IV, capo 5, sezione 5, del CRR.
a)	Nel pubblicare le informazioni di cui all'articolo 455, lettera a), punto ii), e all'articolo 455, lettera b), del CRR, gli enti includono una descrizione dei rischi coperti dai modelli per la misura del rischio globale per i quali l'autorità competente ha concesso l'autorizzazione, specificando il modo in cui sono distribuiti nei portafogli/subportafogli.
b)	Le informazioni di cui all'articolo 455, lettera b), del CRR comprendono una descrizione dell'ambito di applicazione dei modelli per la misura del rischio globale per i quali l'autorità competente ha concesso l'autorizzazione. Tali informazioni sono integrate da indicazioni che spiegano quali soggetti del gruppo utilizzano tali modelli, in che modo i modelli rappresentano tutti i modelli utilizzati a livello di gruppo e la percentuale di requisiti di fondi propri coperti dai modelli o se gli stessi modelli IRC sono utilizzati per tutti i soggetti con esposizione al rischio di mercato.
	Le informazioni di cui all'articolo 455, lettera a), punto ii), del CRR sulle caratteristiche dei modelli per la misura del rischio globale utilizzati comprendono quanto segue.
c)	Una descrizione generale della metodologia utilizzata per la negoziazione di correlazione, comprendente:
i)	informazioni sul metodo di modellizzazione globale (in particolare, rispetto alla scelta del modello di correlazione tra default/migrazione e differenziale: i) processi stocastici, distinti ma correlati alla base dei movimenti di migrazione/default e differenziale; ii) variazioni del differenziale alla base dei movimenti di migrazione/default; o iii) default/migrazioni alla base delle variazioni del differenziale;
ii)	informazioni utilizzate per calibrare i parametri di correlazione di base: LGD delle tranche (costanti o stocastiche);
iii)	informazioni sulla scelta della durata delle posizioni (profitti e perdite basati sul movimento simulato del mercato nel modello calcolato sulla base del tempo di scadenza di ciascuna posizione alla fine dell'orizzonte patrimoniale di 1 anno o usando la loro vita residua alla data del calcolo).
d)	Gli enti includono una descrizione del metodo utilizzato per determinare gli orizzonti di liquidità.
e)	Gli enti includono una descrizione delle metodologie utilizzate per realizzare la valutazione dell'adeguatezza patrimoniale in linea con le norme di robustezza richieste.
f)	Gli enti includono una descrizione del metodo utilizzato per la convalida dei modelli.
g)	Le informazioni di cui all'articolo 455, lettera a), punto iii), includono una descrizione delle prove di stress applicate ai parametri di modellizzazione (principali scenari sviluppati per rilevare le caratteristiche dei portafogli cui i modelli per la misura del rischio globale si applicano a livello di gruppo).
h)	Le informazioni di cui all'articolo 455, lettera a), punto iv), del CRR, includono una descrizione del metodo utilizzato per i test retrospettivi o per la convalida dell'accuratezza e della coerenza interna dei dati e dei parametri utilizzati per i modelli interni di misura del rischio globale e i processi interni di modellizzazione.
i)	Gli enti integrano le informazioni pubblicate relative ai modelli interni per i rischi incrementali di default e di migrazione e per i portafogli di negoziazione di correlazione con le informazioni di cui all'articolo 455, lettera f), sull'orizzonte medio di liquidità ponderato per i subportafogli, coerentemente con la descrizione di cui al punto B), lettere a) e d), e al punto C), lettere a) e d), della tabella EU MRB.

Modello EU MR2-A: rischio di mercato in base al metodo dei modelli interni (IMA) - Formato fisso

5. Gli enti pubblicano le informazioni di cui all'articolo 455, lettera e), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare il modello EU MR2-A di cui all'allegato XXIX del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
1	VaR (il valore più elevato tra a e b)
a	VaR del giorno precedente (VaRt-1) La misura del valore a rischio del giorno precedente (VaRt-1) calcolata conformemente all'articolo 365, paragrafo 1, del CRR.
b	Fattore moltiplicativo (mc) x media dei 60 giorni lavorativi precedenti (VaRavg) La media delle misure del valore a rischio giornaliero calcolata conformemente all'articolo 365, paragrafo 1, del CRR, in ciascuno dei 60 giorni lavorativi precedenti (VaRavg) moltiplicata per il fattore moltiplicativo (mc), conformemente all'articolo 366 del CRR.
2	sVaR (il valore più elevato tra a e b)
a	Ultimo sVaR disponibile (sVaRt-1) L'ultima misura disponibile del valore a rischio in condizioni di stress (sVaRt-1) calcolata conformemente all'articolo 365, paragrafo 2, del CRR.
b	Fattore moltiplicativo (ms) x media dei 60 giorni lavorativi precedenti (sVaRavg) La media delle misure del valore a rischio in condizioni di stress calcolata secondo le modalità e la frequenza specificate all'articolo 365, paragrafo 2, del CRR, nei sessanta giorni lavorativi precedenti (sVaRavg) moltiplicata per il fattore moltiplicativo (ms) conformemente all'articolo 366 del CRR.
3	IRC (il valore più elevato tra a e b)
a	Misura più recente dell'IRC La misura più recente dei rischi incrementali di default e di migrazione calcolata conformemente alla parte tre, titolo IV, capo 5, sezione 3, del CRR.
b	Media della misura dell'IRC su 12 settimane La media della misura dei rischi incrementali di default e di migrazione calcolata conformemente alla parte tre, titolo IV, capo 5, sezione 3, del CRR sulle precedenti 12 settimane.
4	Misura del rischio globale (il valore più elevato tra a, b e c)
a	Misura di rischio più recente della misura del rischio globale La misura di rischio più recente per il portafoglio di negoziazione di correlazione calcolata conformemente alla parte tre, titolo IV, capo 5, sezione 5, del CRR.
b	Media della misura del rischio globale su 12 settimane La media della misura del rischio per il portafoglio di negoziazione di correlazione calcolata conformemente alla parte tre, titolo IV, capo 5, sezione 5, del CRR, sulle precedenti 12 settimane.
c	Misura del rischio globale - requisito minimo L'8 % del requisito di fondi propri al momento del calcolo della misura di rischio più recente di cui alla lettera a) di questo modello, calcolato conformemente all'articolo 338, paragrafo 4, del CRR, per tutte le posizioni incorporate nel modello interno per il portafoglio di negoziazione di correlazione.
5	Altro Si riferisce ai fondi propri aggiuntivi richiesti dalle autorità di vigilanza agli enti che utilizzano il metodo dei modelli interni per il rischio di mercato (ad esempio, capitale aggiuntivo a norma dell'articolo 101 della direttiva 2013/36/UE).
6	Totale (1+2+3+4+5)
Lettera della colonna	Spiegazione
a	RWEA Informativa sulle esposizioni ponderate per il rischio di cui all'articolo 438, lettera d), del CRR, calcolate come valore nella colonna b moltiplicato per 12,5 conformemente all'articolo 92, paragrafo 4, lettera b), del CRR.
b	Requisiti di fondi propri Requisiti di fondi propri per il rischio di mercato di cui alla parte tre, titolo IV, capo 5, del CRR conformemente alle istruzioni riportate nelle righe da 1 a 4 precedenti.

Modello EU MR2-B: prospetti degli RWEA delle esposizioni soggette al rischio di mercato in base al metodo IMA - Formato fisso

6. Gli enti pubblicano le informazioni di cui all'articolo 438, lettera h), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare il modello EU MR2-B di cui all'allegato XXIX del presente regolamento di esecuzione.

7. Gli enti indicano i flussi degli RWEA come variazioni tra gli importi delle esposizioni ponderati per il rischio al termine del periodo di riferimento dell'informativa (come specificato di seguito nella riga 8) e gli importi delle esposizioni ponderati per il rischio al termine del periodo di riferimento dell'informativa precedente (come specificato di seguito nella riga 1; nel caso di informative trimestrali, al termine del trimestre precedente al trimestre del periodo di riferimento dell'informativa). Gli enti possono integrare la propria informativa nell'ambito del terzo pilastro pubblicando le stesse informazioni per i tre trimestri precedenti.

8. Nella descrizione che accompagna il modello gli enti spiegano i dati indicati nella riga 8 del medesimo modello, ossia ogni altra determinante che contribuisca in modo significativo alle variazioni degli RWEA.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
1	RWEA alla fine del periodo precedente Importi delle esposizioni ponderati per il rischio alla fine del periodo precedente, derivati dalla somma dei requisiti di fondi propri conformemente all'articolo 364 del CRR, ad eccezione dell'articolo 364, paragrafo 2, lettera a), del CRR, e degli eventuali requisiti aggiuntivi di fondi propri richiesti dalle autorità di vigilanza per gli enti che utilizzano il metodo dei modelli interni per il rischio di mercato, moltiplicata per 12,5 conformemente all'articolo 92, paragrafo 4, lettera b), del CRR.
2	Variazioni dei livelli di rischio Cambiamenti dovuti a modifiche di posizione, diversi da quelli dovuti a modifiche della politica di regolamentazione
3	Modifiche del modello Aggiornamenti significativi del modello per riflettere l'esperienza recente (es. ricalibrazione) come pure modifiche significative relative all'ambito di applicazione del modello. Se è stato implementato più di un aggiornamento del modello, possono essere necessarie righe aggiuntive.
4	Metodologia e politica Cambiamenti nella metodologia di calcolo a seguito di modifiche della politica di regolamentazione.
5	Acquisizioni e dismissioni Modifiche dovute ad acquisizioni o dismissioni di linee di business/prodotto o di soggetti.
6	Oscillazioni del cambio Variazioni derivanti da oscillazioni della conversione di valuta estera.
7	Altro Questa categoria deve essere utilizzata per rilevare le modifiche che non possono essere attribuite a nessuna delle categorie di fattori incluse nelle righe da 2 a 6 di questo modello e le spiegazioni relative ai fattori determinanti di tali modifiche devono essere fornite nella descrizione di accompagnamento.
8	RWEA alla fine del periodo di informativa Importi delle esposizioni ponderati per il rischio alla fine del periodo, derivati dalla somma dei requisiti di fondi propri, conformemente all'articolo 364 del CRR, ad eccezione dell'articolo 364, paragrafo 2, lettera a), del CRR, e degli eventuali requisiti aggiuntivi di fondi propri richiesti dalle autorità di vigilanza per gli enti che utilizzano il metodo dei modelli interni per il rischio di mercato, moltiplicata per 12,5 conformemente all'articolo 92, paragrafo 4, lettera b), del CRR.
1a /1b/ 8a/8b	Le righe 1a/1b e 8a/8b di questo modello sono utilizzate quando l'RWEA/il requisito di fondi propri per una delle colonne da a a d del medesimo modello è la misura media su 60 giorni (per VaR e sVaR) o su 12 settimane o la misura minima (per la misura dell'IRC e del rischio globale) e non l'RWEA/il requisito di fondi propri alla fine del periodo (precedente o di informativa) conformemente all'articolo 364, paragrafo 1, lettera a), punto i), e lettera b), punto i), all'articolo 364, paragrafo 2, lettera b), punto i), e all'articolo 364, paragrafo 3, lettera a), del CRR. L'importo nelle righe aggiuntive 1a e 8b è pari alla differenza tra l'RWEA finale derivato dalle misure medie, indicato nelle righe 1 o 8 di questo modello, e le misure derivate direttamente dai modelli nelle righe 1b/8a di questo modello. In questi casi, le righe aggiuntive per la rettifica regolamentare (1a e 8b di questo modello) garantiscono che l'ente è in grado di fornire, nelle righe 1b e 8a di questo modello, la fonte delle variazioni dell'RWEA/del requisito di fondi propri sulla base dell'ultima misura dell'RWEA/del requisito di fondi propri alla fine del periodo (precedente o di informativa). In questo caso, le righe 2, 3, 4, 5, 6 e 7 di questo modello riconciliano i valori delle righe 1b e 8a (1) di questo modello.
Lettera della colonna	Spiegazione
a	VaR Fattori chiave delle variazioni nel corso del periodo conformemente alle righe da 2 a 7 di questo modello (sulla base di una stima ragionevole) degli importi delle esposizioni ponderati per il rischio sulla base del valore a rischio che derivano dai requisiti di fondi propri conformemente all'articolo 364, paragrafo 1, lettera a), del CRR.
b	sVaR Fattori chiave delle variazioni nel corso del periodo conformemente alle righe da 2 a 7 di questo modello (sulla base di una stima ragionevole) degli importi delle esposizioni ponderati per il rischio sulla base del valore a rischio in condizioni di stress che derivano dai requisiti di fondi propri conformemente all'articolo 364, paragrafo 1, lettera b), del CRR ed eventuali fondi propri aggiuntivi richiesti dalle autorità di vigilanza.
c	IRC Fattori chiave delle variazioni nel corso del periodo conformemente alle righe da 2 a 7 di questo modello (sulla base di una stima ragionevole) degli importi delle esposizioni ponderati per i rischi incrementali di default e di migrazione che derivano dai requisiti di fondi propri conformemente all'articolo 364, paragrafo 2, lettera b), del CRR ed eventuali fondi propri aggiuntivi richiesti dalle autorità di vigilanza.
d	Misura del rischio globale Fattori chiave delle variazioni nel corso del periodo conformemente alle righe da 2 a 7 di questo modello (sulla base di una stima ragionevole) degli importi delle esposizioni ponderati per il rischio del portafoglio di negoziazione di correlazione che derivano dai requisiti di fondi propri conformemente all'articolo 364, paragrafo 3, del CRR ed eventuali fondi propri aggiuntivi richiesti dalle autorità di vigilanza.
e	Altro Fattori chiave delle variazioni nel corso del periodo, conformemente alle righe da 2 a 7 di questo modello, degli importi delle esposizioni ponderati per il rischio, nel quadro di metodi basati su modelli, non segnalate nelle colonne da a) a d).
f	Totale degli importi delle esposizioni ponderati per il rischio (a + b + c + d + e)
g	Requisiti di fondi propri totali (f x 8 %)
(1) Cfr. l'illustrazione in Disclosure requirements DIS 99 Worked examples, Comitato di Basilea per la vigilanza bancaria - Banca dei regolamenti internazionali, dicembre 2019.

Modello EU MR3: valori IMA per i portafogli di negoziazione - Formato fisso

9. Gli enti pubblicano le informazioni di cui all'articolo 455, lettera d), del CRR seguendo le istruzioni fornite di seguito nel presente allegato per compilare il modello EU MR3 di cui all'allegato XXIX del presente regolamento di esecuzione.

Riferimenti giuridici e istruzioni
Numero di riga	Spiegazione
	VaR (10 giorni, 99 %) Misura del valore a rischio conformemente all'articolo 365, paragrafo 1, del CRR. Gli importi non comprendono i requisiti aggiuntivi di fondi propri a discrezione dell'autorità di vigilanza (ad esempio in relazione al moltiplicatore).
Da 1 a 4	Valore massimo/minimo/medio dei dati giornalieri del valore a rischio nel corso del periodo e dato giornaliero del valore a rischio di fine periodo.
	sVaR (10 giorni, 99 %) Misura del valore a rischio in condizioni di stress conformemente all'articolo 365, paragrafo 2, del CRR. Gli importi non comprendono i requisiti aggiuntivi di fondi propri a discrezione dell'autorità di vigilanza (moltiplicatore).
Da 5 a 8	Valore massimo/minimo/medio dei dati giornalieri del valore a rischio in condizioni di stress nel corso del periodo e dato giornaliero del valore a rischio di fine periodo.
	IRC (99,9 %) Valore dei rischi incrementali di default e di migrazione conformemente alla parte tre, titolo IV, capo 5, sezione 3, del CRR. Gli importi non comprendono i requisiti aggiuntivi di fondi propri a discrezione dell'autorità di vigilanza (moltiplicatore).
Da 9 a 12	Valore massimo/minimo/medio delle misure dell'IRC nel corso del periodo e misura giornaliera del valore a rischio di fine periodo.
	Misura del rischio globale (99,9 %) Valore dei portafogli di negoziazione di correlazione conformemente alla parte tre, titolo IV, capo 5, sezione 5, del CRR.
Da 13 a 16	Valore massimo/minimo/medio delle misure dei portafogli di negoziazione di correlazione nel corso del periodo e misura giornaliera del valore a rischio di fine periodo.
Lettera della colonna	Spiegazione
a	Valori massimi/minimi/medi nel corso del periodo di informativa e al termine di tale periodo corrispondenti alle righe da 1 a 16 di questo modello.

Modello EU MR4: raffronto tra stime del VaR e profitti/perdite - Formato flessibile

10. Per quanto riguarda le informazioni di cui all'articolo 455, lettera g), del CRR, gli enti pubblicano il grafico che figura nell'allegato XXIX del presente regolamento di esecuzione, comprese le informazioni indicate in questa tabella.

Riferimenti giuridici e istruzioni
	Spiegazione
	Le informazioni di cui all'articolo 455, lettera g), del CRR comprendono la misura del valore a rischio utilizzata a fini regolamentari conformemente all'articolo 365, paragrafo 1, del CRR, calibrata su un periodo di detenzione di 1 giorno per raffrontare al livello di confidenza del 99 % i risultati di negoziazione dell'ente.
	Gli enti presentano un'analisi dei «valori anomali» (eccezioni ai test retrospettivi di cui all'articolo 366 del CRR) nei risultati sottoposti a test retrospettivi, specificando le date e la corrispondente eccedenza (VaR-profitti/perdite). L'analisi dovrebbe specificare almeno le determinanti chiave delle eccezioni. Gli enti pubblicano raffronti analoghi per profitti/perdite effettivi e ipotetici (ossia sulla base di variazioni ipotetiche dei valori del portafoglio che si verificherebbero se le posizioni alla chiusura rimanessero immutate) ai sensi dell'articolo 366 del CRR. Gli enti integrano queste informazioni con informazioni su profitti/perdite effettivi indicando, in particolare, se comprendono riserve; in caso contrario, indicano in che modo le riserve sono integrate nel processo del test retrospettivo.

ANNEX XXXI

Table EU ORA - Qualitative information on operational risk

Free format text boxes for disclosure of qualitative information

Legal basis	Row number	Qualitative information - Free format
Points (a), (b), (c) and(d) of Article 435(1) CRR	(a)	Disclosure of the risk management objectives and policies
Article 446 CRR	(b)	Disclosure of the approaches for the assessment of minimum own funds requirements
Article 446 CRR	(c)	Description of the AMA methodology approach used (if applicable)
Article 454 CRRR	(d)	Disclose the use of insurance for risk mitigation in the Advanced Measurement Approach (if applicable)

Template EU OR1 - Operational risk own funds requirements and risk-weighted exposure amounts

Banking activities		a	b	c	d	e
		Relevant indicator			Own funds requirements	Risk exposure amount
		Year-3	Year-2	Last year	Own funds requirements	Risk exposure amount
1	Banking activities subject to basic indicator approach (BIA)
2	Banking activities subject to standardised (TSA) / alternative standardised (ASA) approaches
3	Subject to TSA:
4	Subject to ASA:
5	Banking activities subject to advanced measurement approaches AMA

ANNEX XXXII Instructions for operational risk disclosure templates

ANNEX XXXII

Instructions for operational risk disclosure templates

Table EU ORA - Qualitative information on operational risk. Flexible table

1. Institutions shall disclose the information included in this table in application of Articles 435(1), 446 and 454 of Regulation (EU) 575/2013 ( 24 ) (‘CRR’).

2. Institutions shall follow the instructions provided below in this Annex to complete the Operational Risk disclosure table EU ORA as presented in Annex XXXI to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
(a)	Disclosure of the risk management objectives and policies In accordance with Article 435(1) CRR, institutions shall disclose their risk management objectives and policies for operational risk, including: — strategies and processes; — structure and organisation of risk management function for operational risk; — risk measurements and control; — operational risk reporting; — policies for hedging and mitigating operational risk.
(b)	Disclosure of the approaches for the assessment of minimum own fund requirements Institutions shall provide a description of the methods used for calculating the own funds requirements for operational risk and the methods for identifying, assessing and managing operational risk. In case of partial use of methodologies, institutions shall disclose the scope and coverage of the different methodologies used.
(c)	Description of the AMA methodology approach used (if applicable) Institutions that disclose the information on the operational risk in accordance with Article 312(2) CRR shall disclose a description of the methodology used, including a description of standards on the external and internal data referred to in Articles 322(3) and (4) CRR.
(d)	Disclose the use of insurance for risk mitigation in the Advanced Measurement Approach (if applicable) Institutions should provide information on the use of insurances and other risk transfer mechanism for operational risk mitigation when using Advance measurement approaches in accordance with Article 454 CRR.

Template EU OR1 - Operational risk own funds requirements and risk-weighted exposure amounts. Fixed template

3. Institutions shall disclose the information referred to in Articles 446 and 454 CRR by following the instructions provided below in this Annex to complete the Operational Risk disclosure template EU OR1 as presented in Annex XXXI to this Implementing Regulation. This template provides information on the calculation of own funds requirements in accordance with Articles 312 to 324 (for Operational Risk under the Basic Indicator Approach (BIA), the Standardised Approach (TSA), the Alternative Standardised Approach (ASA) and the Advanced Measurement Approaches (AMA)) of Title III of Part Three CRR.

4. Institutions using the BIA, TSA and/or ASA shall specify in the narrative accompanying the template if the information at financial year end that they are using for the calculation of own funds requirements is: a) based on audited figures, or: b) in case that they are not available, it is based on business estimates. In the latter case, institutions shall specify any exceptional circumstance that led to changes in these figures (e.g. recent acquisitions or disposals of entities or activities).

Instructions for completing the disclosure template EU OR1
Column	Explanation
a, b, c	Relevant Indicator The term ‘relevant indicator’ refers to ‘the sum of the elements’ at the end of the financial year as defined in Table 1 (for institutions using BIA) included in Article 316(1) CRR. For institutions using TSA or ASA the ‘relevant indicator’ at the end of financial year as defined in Articles 317 to 319 CRR. Institutions using the relevant indicator to calculate the own funds requirements for operational risk (BIA, TSA and ASA) shall disclose the relevant indicator for the respective years in columns a to c of this template. Moreover, in the case of a combined use of different approaches as referred in Article 314 CRR, institutions also disclose the relevant indicator for the activities subject to AMA. AMA banks shall also disclose the relevant indicator for the activities subject to AMA. If the institution has less than 3 years of data on ‘relevant indicator’ available, the available historical data (audited figures) shall be assigned by priority to the corresponding columns in the template. If, for instance, historical data for only one year is available, it shall be disclosed in column c of this template. If it seems reasonable, the forward looking estimates shall then be included in column b (estimate of next year) and column a (estimate of year +2) of this template. Furthermore if there are no historical data on ‘relevant indicator’ available the institution may disclose forward-looking business estimates used for own funds requirements computation.
d	Own fund requirements The own fund requirements calculated in accordance with the approach used, in accordance with Articles 312 to 324 CRR. The resulting amount is disclosed in column d of this template.
e	Risk exposure amount Point (e) of Article 92(3) and Article 92(4) CRR. Own funds requirements in column d of this template multiplied by 12.5.
Row	Explanation
1	Banking activities subject to Basic indicator approach (BIA) This row shall present the amounts corresponding to activities subject to the BIA to calculate the own funds requirements for operational risk (Articles 315 and 316 CRR).
2	Banking activities subject to Standardised (TSA) / Alternative Standardised (ASA) approaches This row shall present the own funds requirements calculated in accordance with the TSA and ASA (Articles 317 to 320 CRR).
3	Subject to TSA In the case of using the TSA, relevant indicator for each respective year shall include all the business lines as defined in table 2, included in Article 317 CRR.
4	Subject to ASA Institutions using the ASA (Article 319 CRR) shall disclose the relevant indicator for the respective years.
5	Banking activities subject to Advanced measurement approaches AMA The relevant data for AMA institutions (Article 312(2) and Articles 321 to 323 CRR) shall be disclosed. In the case of combined use of different approaches in accordance with Article 314 CRR, the relevant indicator for activities subject to AMA shall also be disclosed. AMA banks shall also disclose the relevant indicator for the activities subject to AMA.

ANNEX XXXIII

Table EU REMA - Remuneration policy

Institutions shall describe the main elements of their remuneration policies and how they implement these policies. In particular, the following elements, where relevant, shall be described:

Qualitative disclosures
(a)	Information relating to the bodies that oversee remuneration. Disclosures shall include: — Name, composition and mandate of the main body (management body or remuneration committee as applicable) overseeing the remuneration policy and the number of meetings held by that main body during the financial year. — External consultants whose advice has been sought, the body by which they were commissioned, and in which areas of the remuneration framework. — A description of the scope of the institution’s remuneration policy (eg by regions, business lines), including the extent to which it is applicable to subsidiaries and branches located in third countries. — A description of the staff or categories of staff whose professional activities have a material impact on institutions' risk profile.
(b)	Information relating to the design and structure of the remuneration system for identified staff. Disclosures shall include: — An overview of the key features and objectives of remuneration policy, and information about the decision-making process used for determining the remuneration policy and the role of the relevant stakeholders. — Information on the criteria used for performance measurement and ex ante and ex post risk adjustment. — Whether the management body or the remuneration committee where established reviewed the institution’s remuneration policy during the past year, and if so, an overview of any changes that were made, the reasons for those changes and their impact on remuneration. — Information of how the institution ensures that staff in internal control functions are remunerated independently of the businesses they oversee. — Policies and criteria applied for the award of guaranteed variable remuneration and severance payments.
(c)	Description of the ways in which current and future risks are taken into account in the remuneration processes. Disclosures shall include an overview of the key risks, their measurement and how these measures affect remuneration.
(d)	The ratios between fixed and variable remuneration set in accordance with point (g) of Article 94(1) CRD.
(e)	Description of the ways in which the institution seeks to link performance during a performance measurement period with levels of remuneration. Disclosures shall include: — An overview of main performance criteria and metrics for institution, business lines and individuals. — An overview of how amounts of individual variable remuneration are linked to institution-wide and individual performance. — Information on the criteria used to determine the balance between different types of instruments awarded including shares, equivalent ownership interest, options and other instruments. — Information of the measures the institution will implement to adjust variable remuneration in the event that performance metrics are weak, including the institution’s criteria for determining ‘weak’ performance metrics.
(f)	Description of the ways in which the institution seeks to adjust remuneration to take account of longterm performance. Disclosures shall include: — An overview of the institution’s policy on deferral, payout in instrument, retention periods and vesting of variable remuneration including where it is different among staff or categories of staff. — Information of the institution’ criteria for ex post adjustments (malus during deferral and clawback after vesting, if permitted by national law). — Where applicable, shareholding requirements that may be imposed on identified staff.
(g)	The description of the main parameters and rationale for any variable components scheme and any other non-cash benefit in accordance with point (f) of Article 450(1) CRR. Disclosures shall include: — Information on the specific performance indicators used to determine the variable components of remuneration and the criteria used to determine the balance between different types of instruments awarded, including shares, equivalent ownership interests, share-linked instruments, equivalent non cash-instruments, options and other instruments.
(h)	Upon demand from the relevant Member State or competent authority, the total remuneration for each member of the management body or senior management.
(i)	Information on whether the institution benefits from a derogation laid down in Article 94(3) CRD in accordance with point (k) of Article 450(1) CRR. — For the purposes of this point, institutions that benefit from such a derogation shall indicate whether this is on the basis of point (a) and/or point (b) of Article 94(3) CRD. They shall also indicate for which of the remuneration principles they apply the derogation(s), the number of staff members that benefit from the derogation(s) and their total remuneration, split into fixed and variable remuneration.
(j)	Large institutions shall disclose the quantitative information on the remuneration of their collective management body, differentiating between executive and non-executive members in accordance with Article 450(2) CRR.

Template EU REM1 - Remuneration awarded for the financial year

			a	b	c	d
			MB Supervisory function	MB Management function	Other senior management	Other identified staff
1	Fixed remuneration	Number of identified staff
2		Total fixed remuneration
3		Of which: cash-based
4		(Not applicable in the EU)
EU-4a		Of which: shares or equivalent ownership interests
5		Of which: share-linked instruments or equivalent non-cash instruments
EU-5x		Of which: other instruments
6		(Not applicable in the EU)
7		Of which: other forms
8		(Not applicable in the EU)
9	Variable remuneration	Number of identified staff
10		Total variable remuneration
11		Of which: cash-based
12		Of which: deferred
EU-13a		Of which: shares or equivalent ownership interests
EU-14a		Of which: deferred
EU-13b		Of which: share-linked instruments or equivalent non-cash instruments
EU-14b		Of which: deferred
EU-14x		Of which: other instruments
EU-14y		Of which: deferred
15		Of which: other forms
16		Of which: deferred
17	Total remuneration (2 + 10)

Template EU REM2 - Special payments to staff whose professional activities have a material impact on institutions’ risk profile (identified staff)

		a	b	c	d
		MB Supervisory function	MB Management function	Other senior management	Other identified staff
	Guaranteed variable remuneration awards
1	Guaranteed variable remuneration awards - Number of identified staff
2	Guaranteed variable remuneration awards -Total amount
3	Of which guaranteed variable remuneration awards paid during the financial year, that are not taken into account in the bonus cap
	Severance payments awarded in previous periods, that have been paid out during the financial year
4	Severance payments awarded in previous periods, that have been paid out during the financial year - Number of identified staff
5	Severance payments awarded in previous periods, that have been paid out during the financial year - Total amount
	Severance payments awarded during the financial year
6	Severance payments awarded during the financial year - Number of identified staff
7	Severance payments awarded during the financial year - Total amount
8	Of which paid during the financial year
9	Of which deferred
10	Of which severance payments paid during the financial year, that are not taken into account in the bonus cap
11	Of which highest payment that has been awarded to a single person

Template EU REM3 - Deferred remuneration

		a	b	c	d	e	f	EU - g	EU - h
	Deferred and retained remuneration	Total amount of deferred remuneration awarded for previous performance periods	Of which due to vest in the financial year	Of which vesting in subsequent financial years	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in the financial year	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in future performance years	Total amount of adjustment during the financial year due to ex post implicit adjustments (i.e.changes of value of deferred remuneration due to the changes of prices of instruments)	Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year	Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods
1	MB Supervisory function
2	Cash-based
3	Shares or equivalent ownership interests
4	Share-linked instruments or equivalent non-cash instruments
5	Other instruments
6	Other forms
7	MB Management function
8	Cash-based
9	Shares or equivalent ownership interests
10	Share-linked instruments or equivalent non-cash instruments
11	Other instruments
12	Other forms
13	Other senior management
14	Cash-based
15	Shares or equivalent ownership interests
16	Share-linked instruments or equivalent non-cash instruments
17	Other instruments
18	Other forms
19	Other identified staff
20	Cash-based
21	Shares or equivalent ownership interests
22	Share-linked instruments or equivalent non-cash instruments
23	Other instruments
24	Other forms
25	Total amount

Template EU REM4 - Remuneration of 1 million EUR or more per year

		a
	EUR	Identified staff that are high earners as set out in Article 450(i) CRR
1	1 000 000 to below 1 500 000
2	1 500 000 to below 2 000 000
3	2 000 000 to below 2 500 000
4	2 500 000 to below 3 000 000
5	3 000 000 to below 3 500 000
6	3 500 000 to below 4 000 000
7	4 000 000 to below 4 500 000
8	4 500 000 to below 5 000 000
9	5 000 000 to below 6 000 000
10	6 000 000 to below 7 000 000
11	7 000 000 to below 8 000 000
x	To be extended as appropriate, if further payment bands are needed.

Template EU REM5 - Information on remuneration of staff whose professional activities have a material impact on institutions’ risk profile (identified staff)

		a	b	c	d	e	f	g	h	i	j
		Management body remuneration			Business areas
		MB Supervisory function	MB Management function	Total MB	Investment banking	Retail banking	Asset management	Corporate functions	Independent internal control functions	All other	Total
1	Total number of identified staff
2	Of which: members of the MB
3	Of which: other senior management
4	Of which: other identified staff
5	Total remuneration of identified staff
6	Of which: variable remuneration
7	Of which: fixed remuneration

ANNEX XXXIV

Instructions for the disclosure of remuneration policy templates

Table EU REMA – Remuneration policy: Flexible format

1. Institutions shall disclose the information referred to in points (a), (b), (c), (d), (e), (f), (j) and (k) of Article 450(1) and of Article 450(2) CRR ( 25 ) by following the instructions provided below in this Annex to complete table EU REMA which is presented in Annex XXXIII to this Implementing Regulation.

2. This table has a flexible format. In case that institutions apply a different format, they shall provide information comparable with the information required in this table, with a similar level of granularity and including all the substance information required.

3. For the purpose of this table and the templates explained in this annex, award means the granting of variable remuneration for a specific accrual period, independently of the actual point in time where the awarded amount is paid.

Legal references and instructions
Row number	Explanation
(a)	Information relating to the bodies that oversee remuneration. Disclosures shall include: — name, composition and mandate of the main body (management body and remuneration committee where established) overseeing the remuneration policy and the number of meetings held by that main body during the financial year; — external consultants whose advice has been sought, the body by which they were commissioned, and in which areas of the remuneration framework; — a description of the scope of the institution’s remuneration policy (eg by regions, business lines), including the extent to which it is applicable to subsidiaries and branches located in third countries; — a description of the staff or categories of staff whose professional activities have a material impact on institutions’ risk profile (identified staff).
(b)	Information relating to the design and structure of the remuneration system for identified staff. Disclosures shall include: — an overview of the key features and objectives of remuneration policy, and information about the decision-making process used for determining the remuneration policy and the role of the relevant stakeholders (e.g. the shareholders’ meeting); — information on the criteria used for performance measurement and ex ante and ex post risk adjustment; — whether the management body and the remuneration committee, where established, reviewed the institution’s remuneration policy during the past year, and if so, an overview of any changes that were made, the reasons for those changes and their impact on remuneration; — information of how the institution ensures that staff in internal control functions are remunerated independently of the businesses they oversee; — policies and criteria applied for the award of guaranteed variable remuneration and severance payments.
(c)	Description of the ways in which current and future risks are taken into account in the remuneration processes Disclosures shall include an overview of the key risks, their measurement and how these measures affect remuneration.
(d)	The ratios between fixed and variable remuneration set in accordance with point (g) of Article 94(1) of Directive (EU) 2013/36(‘CRD’) (1)
(e)	Description of the ways in which the institution seeks to link performance during a performance measurement period with levels of remuneration Disclosures shall include: — an overview of main performance criteria and metrics for institution, business lines and individuals. — an overview of how amounts of individual variable remuneration are linked to institution-wide and individual performance. — information on the criteria used to determine the balance between different types of instruments awarded including shares, equivalent ownership interest, options and other instruments — information of the measures the institution will implement to adjust variable remuneration in the event that performance metrics are weak, including the institution’s criteria for determining performance metrics when the performance metrics are considered ‘weak’. In accordance with point (n) of Article 94(1) CRD, to be paid or vested the variable remuneration has to be justified on the basis of the performance of the institution, the business unit and the individual concerned. Institutions shall explain the criteria/thresholds for determining that the performance is weak and that does not justify that the variable remuneration can be paid or vested.
(f)	Description of the ways in which the institution seeks to adjust remuneration to take account of long-term performance Disclosures shall include: — an overview of the institution’s policy on deferral, payout in instrument, retention periods and vesting of variable remuneration including where it is different among staff or categories of staff. — information of the institution’ criteria for ex post adjustments (malus during deferral and clawback after vesting, if permitted by national law). — where applicable, shareholding requirements that may be imposed on identified staff.
(g)	The description of the main parameters and rationale for any variable components scheme and any other non-cash benefit, as referred to in point (f) of Article 450(1) CRR. Disclosures shall include: — Information on the specific risk/performance indicators used to determine the variable components of remuneration and the criteria used to determine the balance between different types of instruments awarded, including shares, equivalent ownership interests, share-linked instruments, equivalent non cash-instruments, options and other instruments.
(h)	Upon demand from the relevant Member State or competent authority, the total remuneration for each member of the management body or senior management, as referred to in point (j) of Article 450(1) CRR
(i)	Information on whether the institution benefits from a derogation laid down in Article 94(3) CRD, as referred to in point (k) of Article 450(1) CRR For the purposes of this point, institutions that benefit from such a derogation shall indicate whether this is on the basis of point (a) and/or point (b) of Article 94(3) CRD. They shall also indicate which of the remuneration requirements they apply the derogation(s), (i.e., point (l) and/or (m) and/or (o) of Article 94(1) CRD), the number of staff members that benefit from the derogation(s) and their total remuneration, split into fixed and variable remuneration.
(j)	Large institutions shall disclose the quantitative information on the remuneration of their collective management body, differentiating between executive and non-executive members, as referred to in Article 450(2) CRR.
(1) DIRECTIVE 2013/36/EU OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).

Template EU REM1 – Remuneration awarded for the financial year: Fixed format

4. Institutions shall apply the instructions provided below in this Annex to complete template EU REM1 as presented in Annex XXXIII to this Implementing Regulation, in application of point (h)(i)-(ii) of Article 450(1) CRR.

Legal references and instructions
Row number	Explanation
1 and 9	Number of identified staff The number of staff whose professional activities have a material impact on the institutions’ risk profile in accordance with Article 92 CRD and the Commission Delegated Regulation on identified staff (1) implementing Article 94(2) CRD (identified staff) and are beneficiaries of the remuneration components listed in this template. It shall be calculated using the FTE (full time equivalent) approach for identified staff other than members of the management body where numbers shall be disclosed as headcount.
2	Total fixed remuneration Sum of amounts in rows 3 to 7 of this template
3	Of which: cash-based The amount of cash-based remuneration within the fixed remuneration
EU-4a	Of which: shares or equivalent ownership interests The sum of the amounts of shares or equivalent ownership interests, subject to the legal structure of the institution concerned referred to in point (l)(i) of Article 94(1) CRD, within the fixed remuneration.
5	Of which: share-linked instruments or equivalent non-cash instruments The sum of the amounts of share-linked instruments or equivalent non-cash instruments referred to in point (l)(i) of Article 94(1) CRD, within the fixed remuneration
EU-5x	Of which: other instruments The amount of other instruments referred to in point (l)(ii) of Article 94(1) CRD, within the fixed remuneration
7	Of which: other forms The amounts of fixed remuneration awarded for the financial year that are other than disclosed in other rows under the total fixed remuneration heading This could include proportionate regular pension contributions, or benefits (where such benefits are without consideration of any performance criteria), referred to in recital (64) CRD or other forms of remuneration like car allowances.
10	Total variable remuneration Sum of amounts in rows 11, EU-13a, EU-13b, EU-14x and 15 of this template The sum of all remuneration components that are not fixed remuneration that is disclosed in row 2 of this template, including guaranteed variable and severance payments awarded during that year.
11	Of which: cash-based The amount of cash-based remuneration within the variable remuneration
12, EU-14a, EU-14b, EU-14y and 16	Of which: deferred The amounts of variable remuneration by different types of component that are deferred, determined in accordance with Article 94 CRD.
EU-13a	Of which: shares or equivalent ownership interests The sum of the amounts of shares or equivalent ownership interests, subject to the legal structure of the institution concerned referred to in point (l)(i) of Article 94(1) CRD, within the variable remuneration
EU-13b	Of which: share-linked instruments or equivalent non-cash instruments The sum of the amounts of share-linked instruments or equivalent non-cash instruments referred to in point (l)(i) of Article 94(1) CRD, within the variable remuneration
EU-14x	Of which: other instruments The amount of other instruments referred to in point (l)(ii) of Article 94(1) CRD, within the variable remuneration
15	Of which: other forms The amounts of variable remuneration awarded for the financial year that are other than those disclosed in other rows under the variable remuneration heading
17	Total remuneration Sum of amounts in rows 2 and 10 of this template.
Column letter	Explanation
a	MB Supervisory function The Management Body in its Supervisory function, as the management body acting in its role of overseeing and monitoring management decision-making, as defined in point (8) of Article 3(1) CRD Institutions shall disclose information based on headcount. In accordance with Article 13 CRR, EU parent institutions shall disclose this information on the basis of their consolidated situation and large subsidiaries of EU parents institutions shall disclose this information on an individual basis or, where applicable in accordance with this Regulation and with CRD, on a sub-consolidated basis. The disclosure entity will reflect in this column information on their management body. If following Articles 6 and 13 CRR, the disclosure is at consolidated or sub-consolidated level, information on the identified staff of the management bodies of the subsidiaries shall be disclosed under the relevant business area
b	MB Management function The members of the Management Body, who are responsible for its Management functions Institutions shall disclose information based on headcount. Institutions shall disclose information based on headcount. In accordance with Article 13 CRR. EU parent institutions shall disclose this information on the basis of their consolidated situation and large subsidiaries of EU parents institutions shall disclose this information on an individual basis or, where applicable in accordance with this Regulation and with CRD, on a sub-consolidated basis .The disclosure entity will reflect in this column information on their management body. If following Articles 6 and 13 CRR, the disclosure is at consolidated or sub-consolidated level, information on the identified staff of the management bodies of the subsidiaries shall be disclosed under the relevant business area
c	Other senior management Senior management as defined in point (9) of Article 3(1) CRD Institutions shall disclose the number of senior managers that are not disclosed under Management Body in its management function and as Other identified staff. Institutions shall disclose information based on FTE.
d	Other identified staff Other staff than Management Body in its Supervisory function or in its Management function, and other than senior management, whose professional activities have a material impact on the institution’s risk profile in accordance with the criteria set out in the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD and where appropriate in addition based on institutions’ criteria Institutions may include in this template the breakdown by business areas proposed in template EU REM5. Institutions shall disclose information based on FTE.
(1) COMMISSION DELEGATED REGULATION (EU) No 604/2014 of 4 March 2014 supplementing Directive 2013/36/EU of the European Parliament and of the Council with regard to regulatory technical standards with respect to qualitative and appropriate quantitative criteria to identify categories of staff whose professional activities have a material impact on an institution's risk profile (OJ L 167, 6.6.2014, p. 30).

Template EU REM2 – Special payments to staff whose professional activities have a material impact on institutions’ risk profile (identified staff): Fixed format

5. Institutions shall disclose the information referred to in point (h)(v)-(vii) of Article 450(1) CRR by following the instructions provided below in this Annex to complete template EU REM2 which is presented in Annex XXXIII to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
1, 4 and 6	Number of identified staff The number of identified staff whose professional activities have a material impact on the institutions’ risk profile in accordance with Article 92 CRD and the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD, for each specific remuneration components For columns a and b (MB) of this template the value shall be based on headcount. For columns c and d of this template the value shall be calculated using the FTE (full time equivalent) method. Row 4 of this template refers to severance payments awarded in previous periods and paid out during the financial year (present year) while row 6 of this template refers to awarded during the financial year (present year).
2	Guaranteed variable remuneration awards – Total amount The amount of guaranteed variable remuneration awards, as referred to in point (e) of Article 94(1) CRD.
3	Of which, guaranteed variable remuneration awards paid during the financial year, that are not taken into account in the bonus cap The amounts of guaranteed variable remuneration awards as referred to in point (e) of Article 94(1) CRD paid during the financial year (present year), which are not taken into account in the bonus cap With regard to the disclosed information referred to in points (g) and (h)(v)-(vi) of Article 450(1) CRR, institutions shall clearly state whether the aggregate quantitative information on remuneration broken down by business area reflects the bonus cap when new sign-on and severance payments are involved.
5	Severance payments awarded in previous periods, that have been paid out during the financial year – Total amount The amount of severance payments as referred to in point (h) of Article 94(1) CRD that have been awarded in previous periods and have been paid out during the financial year (present year)
7	Severance payments awarded during the financial year – Total amount The amount of severance payments as referred to in point (h) of Article 94(1) CRD, awarded during the financial year (present year)
8	Of which, severance payments awarded during the financial year – Paid during the financial year The amount of severance payments as referred to in point (h) of Article 94(1) CRD, awarded during the financial year that has been paid during the financial year
9	Of which, severance payments awarded during the financial year – Deferred The amounts of severance payments as referred to in point (h) of Article 94(1) CRD, awarded during the financial year, which are deferred, determined in accordance with Article 94 CRD
10	Of which, severance payments paid during the financial year, that are not taken into account in the bonus cap The amounts of severance payments as referred to in point (h) of Article 94(1) CRD, paid during the financial year, which are not taken into account in the bonus cap With regard to the disclosed information referred to in points (g) and (h)(v)-(vi) of Article 450(1) CRR, institutions shall clearly state whether the aggregate quantitative information on remuneration broken down by business area reflects the bonus cap when new sign-on and severance payments are involved.
11	Of which, severance payments awarded during the financial year – Highest payment that has been awarded to a single person The amount of the highest severance payment, as referred to in point (h) of Article 94(1) CRD, that has been awarded to a single person during the financial year.
Column letter	Explanation
a	MB Supervisory function The Management Body in its Supervisory function, as the management body acting in its role of overseeing and monitoring management decision-making, as defined in point (8) of Article 3(1) CRD (Headcount)
b	MB Management function The members of the Management Body, who are responsible for its Management functions (Headcount)
c	Other senior management Senior management as defined in point (9) of Article 3(1) CRD Institutions shall disclose the number of senior managers that are not disclosed under Management Body in its management function and as Other identified staff (FTE).
d	Other identified staff Other staff than Management Body in its Supervisory function or in its Management function, and other than senior management, whose professional activities have a material impact on the institution’s risk profile in accordance with the criteria set out in the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD and where appropriate in addition based on institutions’ criteria Institutions may include in this template the breakdown by business areas proposed in template EU REM5 (FTE).

Template EU REM3 –Deferred remuneration: Fixed format

6. Institutions shall disclose the information referred point (h)(iii)-(iv) of Article 450(1) CRR following the instructions provided below in this Annex to complete template EU REM3 which is presented in Annex XXXIII to this Implementing Regulation.

Legal references and instructions
Row number	Explanation
1	MB Supervisory function The Management Body in its Supervisory function, as the management body acting in its role of overseeing and monitoring management decision-making, as defined in point (8) of Article 3(1) CRD Sum of amounts in rows 2, 3, 4, 5, and 6 of this template
2, 8, 14 and 20	Cash-based The amount of cash-based remuneration within the variable remuneration
3, 9, 15 and 21	Shares or equivalent ownership interests The sum of the amounts of shares or equivalent ownership interests, subject to the legal structure of the institution concerned referred to in point (l)(i) of Article 94(1) CRD, within the variable remuneration
4, 10, 16 and 22	Share-linked instruments or equivalent non-cash instruments The sum of the amounts of share-linked instruments or equivalent non-cash instruments referred to in point (l)(i) of Article 94(1) CRD, within the variable remuneration
5, 11, 17 and 23	Other instruments The amount of other instruments referred to in point (l)(ii) of Article 94(1) CRD, within the variable remuneration
6, 12, 18 and 24	Other forms The amounts of variable remuneration other than disclosed in rows ‘Cash-based’, ‘Shares or equivalent ownership interests, subject to the legal structure of the institution concerned or share-linked instruments or equivalent non-cash instruments’ and ‘Other instruments’ This could include proportionate regular pension contributions, or benefits (where such benefits are without consideration of any performance criteria), referred to in recital (64) CRD, or other forms of remuneration like car allowances.
7	MB Management function The members of the Management Body, who are responsible for its Management functions; sum of amounts in rows 8, 9, 10, 11 and 12 of this template.
13	Other senior management Senior management as defined in point (9) of Article 3(1) CRD; sum of amounts in rows 14, 15, 16, 17 and 18 of this template Institutions shall disclose the number of senior managers that are not disclosed under Management Body in its management function and as Other identified staff.
19	Other identified staff Other staff than Management Body in its Supervisory function or in its Management function, and other than senior management, whose professional activities have a material impact on the institution’s risk profile in accordance with the criteria set out in the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD and where appropriate in addition based on institutions’ criteria; sum of amounts in rows 20, 21, 22, 23 and 24 of this template
25	Total amount Sum of amounts in rows 1, 7, 13 and 19 of this template
Column letter	Explanation
a	Total amount of deferred remuneration awarded for previous performance periods The amount of deferred remuneration, as determined in accordance with Article 94 CRD, that has been awarded for previous performance periods (sum of amounts in columns b and c of this template)
b	Of which due to vest in the financial year The amount of deferred remuneration awarded for previous performance periods, as determined in accordance with Article 94 CRD, that is due to vest in the financial year
c	Of which vesting in subsequent financial years The amount of deferred remuneration awarded for previous performance periods, as determined in accordance with Article 94 CRD, that will be vested in the subsequent financial years
d	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in the financial year The amount of performance adjustment to deferred remuneration, as determined in accordance with Article 94 CRD, that was due to vest in the financial years
e	Amount of performance adjustment made in the financial year to deferred remuneration that was due to vest in future financial years The amount of performance adjustment to deferred remuneration, as determined in accordance with Article 94 CRD, that was due to vest in future performance years
f	Total amount of adjustment during the financial year due to ex post implicit adjustments during the financial year (i.e. changes of value of deferred remuneration due to the changes of prices of instruments) When relevant the amount of change of value during the financial year due to ex post implicit adjustments, like changes of value of deferred remuneration due to the changes of prices of instruments, estimated on a best effort basis.
EU - g	Total amount of deferred remuneration awarded before the financial year actually paid out in the financial year The amount of deferred remuneration, as determined in accordance with Article 94 CRD, that has been paid out in the financial year As soon as the deferred remuneration is vested it shall be considered as paid out.
EU - h	Total of amount of deferred remuneration awarded for previous performance period that has vested but is subject to retention periods The amount of deferred remuneration, awarded for previous performance periods, that has been vested but is subject to retention periods, as determined in accordance with Article 94 CRD

Template EU REM4 – Remuneration of 1 million EUR or more per year: Fixed format

7. Institutions shall disclose the information referred to point (i) of Article 450(1) CRR by following the instructions provided below in this Annex to complete template EU REM4 which is presented in Annex XXXIII to this Implementing Regulation.

8. Data shall be submitted using accounting year-end figures in EUR. All amounts shall be disclosed as full amounts, i.e. not rounded amounts, in euro (e.g. EUR 1 234 567 instead of EUR 1.2 million). Where remuneration is in a currency other than EUR, the exchange rate used by the Commission for financial programming and the budget for December of the reporting year shall be used for the conversion of the consolidated figures to be disclosed.

Legal references and instructions
Row number	Explanation
1 to 8	Remuneration between 1 and 5 million EUR per financial year, broken down by 500.000 EUR bands
9 to x	Remuneration more than 5 million EUR per financial year, broken down by 1 million EUR bands
Column letter	Explanation
a	Number of identified staff that have been remunerated EUR 1 million or more per financial year Institutions shall disclose information based on headcount.

Template EU REM5 – Information of staff whose professional activities have a material impact on institutions’ risk profile (identified staff): Fixed format

9. Institutions shall disclose the information referred to point (g) of Article 450(1) CRR by following the instructions provided below in this Annex to complete template EU REM5 which is presented in Annex XXXIII to this Implementing Regulation.

10. Regarding the columns with the business areas breakdown, all lending, including wholesale lending, shall be included in retail lending. For investment banking, it shall include corporate finance and trading and sales. Further guidance on the activities comprised in those business lines can be found in Article 317 CRR within the table defining the business lines within the standardised approach for operational risk.

Legal references and instructions
Row number	Explanation
1	Total number of identified staff Staff members, whose professional activities have a material impact on institutions’ risk profile (identified staff) of an institution and its subsidiaries, including subsidiaries not subject to the CRD and all members of their respective management bodies The value shall be disclosed based on FTE.
2	Of which: members of the MB The number of members in the respective Management body in its Supervisory function and in its Management function, and in the whole Management body
3	Of which: other senior management Other staff than the members of the Management Body, who are senior management as defined in point (9) of Article 3(1) CRD
4	Of which: other identified staff Other staff than members of the Management Body, and other than senior management, whose professional activities have a material impact on the institution’s risk profile in accordance with the criteria set out in the Commission Delegated Regulation on identified staff implementing Article 94(2) CRD and where appropriate in addition based on institutions’ criteria
5	Total remuneration of identified staff The total amount of remuneration shall mean all forms of fixed and variable remuneration and shall include payments and benefits, monetary or non-monetary, awarded directly to staff by or on behalf of institutions in exchange for professional services rendered by staff, carried interest payments within the meaning of point (d) of Article 4(1) of Directive 2011/61/EU (1), and other payments made via methods and vehicles which, if they were not considered as remuneration, would lead to a circumvention of the remuneration requirements of CRD.
6	Of which: variable remuneration The sum of all remuneration components which are not fixed remuneration that are referred to in row 7 of this template.
7	Of which: fixed remuneration Institutions shall consider remuneration fixed where the conditions for its award and its amount: a. are based on a predetermined criteria; b. are non-discretionary reflecting the level of professional experience and seniority of staff; c. are transparent with respect to the individual amount awarded to the individual staff member; d. are permanent, i.e. maintained over a period tied to the specific role and organisational responsibilities; e. are non-revocable; the permanent amount is only changed via collective bargaining or following renegotiation in line with national criteria on wage setting; f. cannot be reduced, suspended or cancelled by the institution; g. do not provide incentives for risk assumption; and h. do not depend on performance.
Column letter	Explanation
a, b and c	Management body (MB) The Management body of the institution, with the breakdown of Supervisory function and Management function Institutions shall disclose information based on headcount.
d to h	Business areas The major business areas of the institution, as Investment banking, Retail banking, Asset management, Corporate functions, Independent internal control functions Information shall be disclosed based on FTE.
i	All other All other business areas that were not covered in the previous columns separately Information shall be disclosed based on FTE.
(1) Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers and amending Directives 2003/41/EC and 2009/65/EC and Regulations (EC) No 1060/2009 and (EU) No 1095/2010 (OJ L 174, 1.7.2011, p. 1)

ANNEX XXXV

Template EU AE1 - Encumbered and unencumbered assets

		Carrying amount of encumbered assets		Fair value of encumbered assets		Carrying amount of unencumbered assets		Fair value of unencumbered assets
			of which notionally eligible EHQLA and HQLA		of which notionally eligible EHQLA and HQLA		of which EHQLA and HQLA		of which EHQLA and HQLA
		010	030	040	050	060	080	090	100
010	Assets of the disclosing institution
030	Equity instruments
040	Debt securities
050	of which: covered bonds
060	of which: securitisations
070	of which: issued by general governments
080	of which: issued by financial corporations
090	of which: issued by non-financial corporations
120	Other assets

Template EU AE2 - Collateral received and own debt securities issued

		Fair value of encumbered collateral received or own debt securities issued		Unencumbered
				Fair value of collateral received or own debt securities issued available for encumbrance
			of which notionally eligible EHQLA and HQLA		of which EHQLA and HQLA
		010	030	040	060
130	Collateral received by the disclosing institution
140	Loans on demand
150	Equity instruments
160	Debt securities
170	of which: covered bonds
180	of which: securitisations
190	of which: issued by general governments
200	of which: issued by financial corporations
210	of which: issued by non-financial corporations
220	Loans and advances other than loans on demand
230	Other collateral received
240	Own debt securities issued other than own covered bonds or securitisations
241	Own covered bonds and securitisations issued and not yet pledged
250	TOTAL COLLATERAL RECEIVED AND OWN DEBT SECURITIES ISSUED

Template EU AE3 - Sources of encumbrance

		Matching liabilities, contingent liabilities or securities lent	Assets, collateral received and own debt securities issued other than covered bonds and securitisations encumbered
		010	030
010	Carrying amount of selected financial liabilities

Table EU AE4 - Accompanying narrative information

Free format text boxes for disclosure of qualitative information, in accordance with Article 443 CRR

Row number	Qualitative information - Free format
(a)	General narrative information on asset encumbrance
(b)	Narrative information on the impact of the business model on assets encumbrance and the importance of encumbrance to the institution's business model, which provides users with the context of the disclosures required in Template EU AE1 and EU AE2.

ANNEX XXXVI

Instructions for the assets encumbrance disclosure templates

1. Institutions shall disclose the information referred to in Article 443 of Regulation (EU) 575/2013 ( 26 ) (‘CRR’) by following the instructions provided below in this Annex to complete templates EU AE1 to EU AE4 which are presented in Annex XXXV to this Implementing Regulation.

2. For the purpose of the Asset encumbrance disclosure templates, the definition of asset encumbrance included in point 1.7 of Annex XVII (instructions for reporting templates on asset encumbrance) to Commission Implementing Regulation (EU) 680/2014 ( 27 ) shall apply.

3. Institutions shall disclose the items referred in templates EU AE1, EU AE2 and EU AE3 in the same manner as reported in accordance with Annex XVI (reporting templates on asset encumbrance) to Commission Implementing Regulation (EU) 680/2014, unless otherwise specifically provided in those tables.

4. The items referred to in paragraph 3 shall be disclosed using median values. Median values shall be rolling quarterly medians over the previous twelve months and shall be determined by interpolation.

5. When disclosures take place on a consolidated basis, the applicable scope of consolidation shall be the scope of prudential consolidation as defined in Section 2 or Chapter 2 of Title II of Part One CRR.

6. Asset quality indicators by asset type in columns C030, C050, C080 and C100 of template EU AE1 and by types of collateral received and debt securities issued, including covered bonds and securitisations, in columns C030 and C060 as set out in template EU AE2 shall apply only to credit institutions that meet either of the following conditions:

(a)

their total assets, calculated in accordance with paragraph 10 of point 1.6 of Annex XVII to Commission Implementing Regulation (EU) 680/2014, amount to more than EUR 30 billion;

(b)

their asset encumbrance level, calculated in accordance with paragraph 9 of point 1.6 of Annex XVII to Commission Implementing Regulation (EU) 680/2014, is above 15 %.

Template EU AE1- Encumbered and unencumbered assets

7. Institutions shall complete template EU AE1, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below.

Legal references and instructions
Row number	Explanation
010	Assets of the disclosing institution International Accounting Standards (IAS) 1.9 (a), Implementation Guidance (IG) 6, in the case of IFRS institutions Total assets of the institution registered in its balance sheet, with the exception of own debt securities and own equity instruments when the applicable accounting standards allow their recognition on-balance sheet The value disclosed in this row shall be the median of the sums of four quarterly end-of-period values over the previous twelve months for rows 030, 040 and 120.
030	Equity instruments The median values of equity instruments as defined in the applicable accounting principles (IAS 32.1 in the case of IFRS institutions), with the exception of own equity instruments when the applicable accounting standards allow their recognition on-balance sheet
040	Debt securities The median values of debt instruments held by the institution issued as securities that are not loans in accordance with the Regulation (EU) 1071/2013 of the European Central Bank (‘ECB BSI Regulation’) (1), with the exception of own debt securities when the applicable accounting standards allow their recognition on-balance sheet
050	of which: covered bonds The median values of debt securities held by the institution that are bonds referred to in the first subparagraph of Article 52(4) of Directive (EC) 2009/65 (2), irrespective of whether these instruments take the legal form of a security or not
060	of which: securitisations The median values of debt securities held by the institution that are securitisation positions as defined in point (62) of Article 4(1) CRR
070	of which: issued by general governments The median values of debt securities held by the institution which are issued by general governments
080	of which: issued by financial corporations The median values of debt securities held by the institution issued by credit institutions as defined in point (1) of Article 4(1) CRR and by other financial corporations Other financial corporations shall include all financial corporations and quasi-corporations other than credit institutions such as investment firms, investment funds, insurance companies, pension funds, collective investment undertakings, and clearing houses as well as remaining financial intermediaries, financial auxiliaries and captive financial institutions and money lenders.
090	of which: issued by non-financial corporations The median values of debt securities held by the institution issued by corporations and quasi-corporations not engaged in financial intermediation but principally in the production of market goods and non-financial services in accordance with the ECB BSI Regulation
120	Other assets The median value of other assets of the institution registered in the balance sheet, other than those disclosed in the above rows and different from own debt securities and own equity instruments that may not be derecognised from the balance sheet by a non-IFRS institution In this case, own debt instruments shall be included in row 240 of template EU AE2 and own equity instruments excluded from the asset encumbrance disclosure. Other assets shall include cash on hand (holding of national and foreign banknotes and coins in circulation that are commonly used to make payments), loans on demand (IAS 1.54(i) for IFRS institutions) including the balances receivable on demand at central banks and other institutions. Other assets also include loans and advances other than loans on demand, that is, debt instruments held by the institutions that are not securities, other than balances receivable on demand, including loans collateralized by immovable property as defined in point (a) of paragraph 86 of Part 2 of Annex V to Commission Implementing Regulation (EU) 680/2014. Other assets may also include intangible assets, including goodwill, deferred tax assets, property, plant and other fixed assets, derivative assets, reverse repo and stock borrowing receivables. When underlying assets and cover pool assets of retained securitisations and retained covered bonds are loans on demand or loans and advances other than loans on demand, they shall also be included in this row.
(1) REGULATION (EU) No 1071/2013 OF THE EUROPEAN CENTRAL BANK of 24 September 2013 concerning the balance sheet of the monetary financial institutions sector (ECB/2013/33) (OJ L 297, 7.11.2013, p. 1). (2) DIRECTIVE 2009/65/EC OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 13 July 2009 on the coordination of laws, regulations and administrative provisions relating to undertakings for collective investment in transferable securities (UCITS) (OJ L 302, 17.11.2009, p. 32).

Legal references and instructions
Column number	Explanation
010	Carrying amount of encumbered assets The median value of the carrying amount of the assets held by the institution that are encumbered Carrying amount shall mean the amount on the asset side of the balance sheet. For each asset class, the disclosed carrying amount shall be the median value of the different disclosed carrying amounts at the end of each disclosure period considered for the computation of the median.
030	of which: notionally eligible EHQLA and HQLA The median value of the carrying amount of encumbered assets which are notionally eligible to the qualification of assets of extremely high liquidity and credit quality (EHQLA) and assets of high liquidity and credit quality (HQLA) For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be those assets listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 (1) and that would comply with the general and operational requirements set out in Articles 7 and 8 of that Delegated Regulation, were it not for their status as encumbered assets in accordance with Annex XVII to Commission Implementing Regulation (EU) 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Delegated Regulation (EU) 2015/61. The carrying amount of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Delegated Regulation (EU) 2015/61. For each asset class, the disclosed carrying amount shall be the median value of the different disclosed carrying amounts at the end of each disclosure period considered for the computation of the median.
040	Fair value of encumbered assets The median value of the fair value of the debt securities held by the disclosing institution that are encumbered in accordance with the definition of asset encumbrance Fair value of a financial instrument shall be the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (see IFRS 13 Fair Value Measurement and IFRS 13 and Article 8 of Directive 2013/34/EU (2) for non-IFRS institutions). For each asset class, disclosed fair value shall be the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median.
050	of which: notionally eligible EHQLA and HQLA The median value of the fair value of encumbered assets that are notionally eligible to the qualification of EHQLA and HQLA. For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA are those assets listed in Articles 10, 11, 12, 13, 15 and 16 of Delegated Regulation (EU) 2015/61 and that would comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, were it not for their status as encumbered assets in accordance with Annex XVII to Commission Implementing Regulation (EU) 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. For each asset class, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median.
060	Carrying amount of unencumbered assets The median value of the carrying amount of the assets held by the institution that are unencumbered in accordance with the definition provided of asset encumbrance. Carrying amount means the disclosed amount in the asset side of the balance sheet. For each asset class, the disclosed carrying amount is the median value of the different disclosed carrying amounts at the end of each disclosure period considered for the computation of the median.
080	of which: EHQLA and HQLA The median value of the carrying amount of unencumbered EHQLA and HQLA as listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 and that comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The carrying amount of EHQLA and HQLA shall be the carrying amount before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. For each asset class, the disclosed carrying amount is the median value of the different disclosed carrying amounts at the end of each disclosure period considered for the computation of the median.
090	Fair value of unencumbered assets The median value of fair value of the debt securities held by the institution that are unencumbered. Fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. (See IFRS 13 Fair Value Measurement and IFRS 13 and Article 8 of Directive (EU) 2013/34). For each asset class, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median.
100	of which: EHQLA and HQLA The median value of the fair value of unencumbered EHQLA and HQLA as listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 and that comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. For each asset class, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median.
(1) COMMISSION DELEGATED REGULATION (EU) 2015/61 of 10 October 2014 to supplement Regulation (EU) No 575/2013 of the European Parliament and the Council with regard to liquidity coverage requirement for Credit Institutions (OJ L 11, 17.1.2015, p. 1). (2) 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).

Template EU AE2 - Collateral received and own debt securities issued

8. Institutions shall complete template EU AE2, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below.

Legal references and instructions
Row number	Explanation
130	Collateral received by the disclosing institution All classes of collateral received by the institution. All securities received by a borrower institution in any securities borrowing transactions shall be disclosed in this row. The total collateral received by the institution is the median of the sums of four quarterly end of period values over the previous twelve months for rows 140 to 160, 220 and 230.
140	Loans on demand The median value of collateral received by the institution that comprises loans on demand shall be disclosed in this row (see legal references and instructions regarding row 120 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction.
150	Equity instruments The median value of collateral received by the institution that comprises equity instruments (see legal references and instructions regarding row 030 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transactions.
160	Debt securities The median value of collateral received by the institution that comprises debt securities (see legal references and instructions regarding row 040 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction.
170	of which: covered bonds The median value of collateral received by the institution that comprises covered bonds (see legal references and instructions regarding row 050 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction.
180	of which: securitisations The median value of collateral received by the institution that comprises asset- backed securities (see legal references and instructions regarding row 060 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction.
190	of which: issued by general governments The median value of collateral received by the institution that comprises debt securities issued by general governments (see legal references and instructions regarding row 070 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction.
200	of which: issued by financial corporations The median value of collateral received by the institution that comprises debt securities issued by financial corporations (see legal references and instructions regarding row 080 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction.
210	of which: issued by non-financial corporations The median value of collateral received by the institution that comprises debt securities issued by non-financial corporations (see legal references and instructions regarding row 090 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction.
220	Loans and advances other than loans on demand The median value of collateral received by the institution that comprises loans and advances other than loans on demand (see legal references and instructions regarding row 120 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction.
230	Other collateral received The median value of collateral received by the institution that comprises other assets (see legal references and instructions regarding row 120 of template EU AE1). It includes all securities received by a borrower institution in any securities borrowing transaction.
240	Own debt securities issued other than own covered bonds or securitisations The median value of own debt securities issued other than own covered bonds or securitisations. As the retained or repurchased own debt securities issued, in accordance with IAS 39.42, for IFRS institutions, decrease the relating financial liabilities, these securities are not included in the category of assets of the disclosing institution. Own debt securities that may not be derecognised from the balance sheet by a non-IFRS institution shall be included in this row.
241	Own covered bonds and securitisations issued and not yet pledged The median value of own covered bonds and securitisations issued that are retained by the disclosing institution and not encumbered. To avoid double counting, the following rule applies in relation to own covered bonds and securitisations issued and retained by the disclosing institution: (a) where those securities are pledged, the amount of the cover pool/underlying assets that are backing them shall be disclosed in template EU AE1 as encumbered assets. The source of funding in the event of pledging own covered bonds and securitisations is the new transaction in which the securities are being pledged (central bank funding or other type of secured funding) and not the original issuance of covered bonds or securitisations. (b) where those securities are not yet pledged, the amount of the cover pool/underlying assets that are backing those securities shall be disclosed in template EU AE1 as unencumbered assets.
250	Total collateral received and own debt securities issued All classes of collateral received by the institution and own debt securities issued retained by the institution that are not own covered bonds issued or own securitisations issued. This row is the sum of the median values for row 010 in template EU AE1 and rows 130 and 240 in template EU AE2.

Legal references and instructions
Column number	Explanation
010	Fair value of encumbered collateral received or own debt securities issued The median of the fair value of the collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are encumbered in accordance with Article 100 CRR. The fair value of a financial instrument is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (as in IFRS 13 Fair Value Measurement for IFRS institutions). For each item of collateral, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median.
030	of which: notionally eligible EHQLA and HQLA The median value of the fair value of the encumbered collateral received, including in any securities borrowing transaction, or own debt securities issued held/retained by the institution that are notionally eligible to the qualification of EHQLA and HQLA. For the purpose of this Regulation, notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA are items of collateral received or own debt securities issued held/retained by the institution listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 and that would comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, were it not for their status as encumbered assets in accordance with Annex XVII to Commission Implementing Regulation (EU) 680/2014. Notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall also comply with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The fair value of notionally eligible encumbered EHQLA and notionally eligible encumbered HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61. For each item of collateral, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median.
040	Fair value of collateral received or own debt securities issued available for encumbrance The median of the fair value of the collateral received, including in any securities borrowing transaction, by the institution that are unencumbered but are available for encumbrance since the institution is permitted to sell or re-pledge it in absence of default by the owner of the collateral. It also includes the fair value of own debt securities issued, other than own covered bonds or securitisation positions, that are unencumbered but available for encumbrance. For each item of collateral, disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median.
060	of which: EHQLA and HQLA The median value of the fair value of the unencumbered collateral received or own debt securities issued held/retained by the institution other than own covered bonds or securitisation positions available for encumbrance which qualify as EHQLA and HQLA as listed in Articles 10, 11, 12, 13, 15 and 16 of Commission Delegated Regulation (EU) 2015/61 and that comply with the general and operational requirements set out in Articles 7 and 8 of Commission Delegated Regulation (EU) 2015/61, as well as with the exposure class-specific requirements set out in Articles 10 to 16 and 35 to 37 of Commission Delegated Regulation (EU) 2015/61. The fair value of EHQLA and HQLA shall be the fair value before the application of the haircuts specified in Articles 10 to 16 of Commission Delegated Regulation (EU) 2015/61.

Template EU AE3 - Sources of encumbrance

9. Institutions shall complete template EU AE3, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below.

Legal references and instructions

Row number

Explanation

010

Carrying amount of selected financial liabilities

The median value of the item ‘Carrying amount of selected financial liabilities’ of the institution, insofar as these liabilities entail asset encumbrance for that institution.

Legal references and instructions
Column number	Explanation
010	Matching liabilities, contingent liabilities or securities lent The median values of matching liabilities, contingent liabilities (loan commitments received and financial guarantees received) or securities lent with non-cash collateral, insofar as these transactions entail asset encumbrance for that institution. Financial liabilities are disclosed at their carrying amount; contingent liabilities are disclosed at their nominal value; and securities lent with non-cash collateral are disclosed at their fair values. Disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. Liabilities without any associated funding, such as derivatives, shall be included.
030	Assets, collateral received and own securities issued other than covered bonds and securitisations encumbered The amount of the assets, collateral received and own securities issued other than covered bonds and securitisations that are encumbered as a result of the different types of transactions hereby disclosed. To ensure consistency with the criteria in templates EU AE1 and EU AE2, assets of the institution registered in the balance sheet shall be disclosed at the median value of their carrying amount, whereas re-used collateral received and encumbered own securities issued other than covered bonds and securitisations shall be disclosed at the median value of their fair value. Disclosed fair value is the median value of the different fair values observed at the end of each disclosure period considered for the computation of the median. Assets encumbered without matching liabilities shall also be included.

Table EU AE4 - Accompanying narrative information

10. Institutions shall complete table EU AE4, which is presented in Annex XXXV to this Implementing Regulation, by following the instructions below.

Legal references and instructions
Row number	Explanation
a	General narrative information on asset encumbrance, including: (a) an explanation of any difference between the regulatory consolidation scope used for the purpose of the disclosures on asset encumbrance and the scope retained for the application of the liquidity requirements on a consolidated basis as defined in Chapter 2 of Title I of Part Two CRR, which is used to define (E)HQLA eligibility; (b) an explanation of any difference between, on the one hand, pledged and transferred assets in accordance with the applicable accounting frameworks and as applied by the institution and, on the other hand, encumbered assets and an indication of any difference of treatment of transactions, such as when some transactions are deemed to lead to pledge or transfer of assets but not to encumbrance of assets, or vice versa; (c) the exposure value used for the purposes of disclosure and how median exposure values are derived.
b	Narrative information relating to the impact of the institution’s business model on its level of encumbrance and the importance of encumbrance on the institution’s funding model, including the following: (a) the main sources and types of encumbrance, detailing, where applicable, encumbrance due to significant activities with derivatives, securities lending, repos, covered bonds issuance and securitisation; (b) the structure of encumbrance between entities within a group, and especially whether the encumbrance level of the consolidated group stems from particular entities and whether there is significant intragroup encumbrance; (c) information on over-collateralisation, especially regarding covered bonds and securitisations, and the incidence of over-collateralisation on the levels of encumbrance; (d) additional information on encumbrance of assets, collateral and off-balance sheet items and the sources of encumbrance by any significant currencies other than the reporting currency as referred to in Article 415(2) CRR; (e) a general description of the proportion of items included in column 060 'Carrying amount of unencumbered assets' in template EU AE1 that the institution would not deem available for encumbrance in the normal course of its business (e.g. intangible assets, including goodwill, deferred tax assets, property, plant and other fixed assets, derivative assets, reverse repo and stock borrowing receivables); (f) the amount of underlying assets and of cover pool assets of retained securitisations and retained covered bonds, and whether those underlying and cover pool assets are encumbered or unencumbered, along with the amount of associated retained securitisations and retained covered bonds; (g) where relevant for explaining the impact of their business model on their level of encumbrance, details (including quantitative information if relevant) on each of the following: (i) the types and amounts of encumbered and unencumbered assets included in row 120 of template EU AE1; (ii) the amounts and types of encumbered assets and off-balance sheet items included in row 010 of template EU AE3 that are not associated with any liabilities; (h) where relevant in the context of their use of encumbrance in relation to their business model, additional information on the breakdown of the following rows in the templates EU AE1, EU AE2 and EU AE3: (i) Row 120 of template EU AE1 - ‘Other assets’, (ii) Row 230 of template EU AE2 ‘Other collateral received’, (iii) Row 010 of template EU AE3 - ‘Carrying amount of selected financial liabilities’ (especially if part of the encumbrance of assets is associated with liabilities and another part is not).

ANNEX XXXVII

Table EU IRRBBA - Qualitative information on interest rate risks of non-trading book activities

Free format text boxes for disclosure of qualitative information

Row number	Qualitative information - free format	Legal basis
(a)	A description of how the institution defines IRRBB for purposes of risk control and measurement	Article 448(1), point (e)
(b)	A description of the institution's overall IRRBB management and mitigation strategies	Article 448(1), point (f)
(c)	The periodicity of the calculation of the institution's IRRBB measures, and a description of the specific measures that the institution uses to gauge its sensitivity to IRRBB	Article 448(1), points (e) (i) and (v); Article 448(2)
(d)	A description of the interest rate shock and stress scenarios that the institution uses to estimate changes in the economic value and in net interest income (if applicable)	Article 448(1), point (e) (iii); Article 448(2)
(e )	A description of the key modelling and parametric assumptions different from those used for disclosure of template EU IRRBB1 (if applicable)	Article 448(1), point (e) (ii); Article 448(2)
(f)	A high-level description of how the Institution hedges its IRRBB, as well as the associated accounting treatment (if applicable)	Article 448(1), point (e) (iv); Article 448(2)
(g)	A description of key modelling and parametric assumptions used for the IRRBB measures in template EU IRRBB1 (if applicable)	Article 448(1), point (c); Article 448(2)
(h)	Explanation of the significance of the IRRBB measures and of their significant variations since previous disclosures	Article 448(1), point (d)
(i)	Any other relevant information regarding the IRRBB measures disclosed in template EU IRRBB1 (optional)
(1) (2)	Disclosure of the average and longest repricing maturity assigned to non-maturity deposits	Article 448(1), point (g)

Template EU IRRBB1 - Interest rate risks of non-trading book activities

Supervisory shock scenarios		a	b	c	d
		Changes of the economic value of equity		Changes of the net interest income
		Current period	Last period	Current period	Last period
1	Parallel up
2	Parallel down
3	Steepener
4	Flattener
5	Short rates up
6	Short rates down

ANNEX XXXVIII

Instructions for interest rate risk on positions not held in the trading book disclosure templates

Disclosure instructions for Template EU IRRBBA

Institutions are to disclose the qualitative information specified below on the basis of their internal risk measurement system methodology, standardised methodology or the simplified standardised methodology, when applicable, in accordance with Article 84 of Directive 2013/36/EU.

These instructions have been developed based on the requirements in Article 448 of Regulation (EU) No 575/2013 and in line with the Basel Pillar 3 disclosure standard.

Legal references and instructions
Row number	Explanation
(a)	A description of how the institution defines IRRBB for purposes of risk control and measurement In accordance with Article 448(1), point (e), of Regulation (EU) No 575/2013, institutions are to provide a general description of how the interest rate risk of their non-trading book activities for the purposes of the competent authorities’ review in accordance with Article 84 of Directive 2013/36/EU is defined, measured, mitigated and controlled.
(b)	A description of the institution’s overall IRRBB management and mitigation strategies In accordance with Article 448(1), point (f), of Regulation (EU) No 575/2013, institutions are to provide a general description of the overall IRRBB management and mitigation strategies, including:: the monitoring of economic value of equity and net interest income in relation to established limits, hedging practices, conduct of stress testing, outcome analysis, the role of independent audit, the role and practices of the asset and liability management committee, the institution’s practices to ensure appropriate model validation, and timely model updates in response to changing market conditions.
(c)	The periodicity of the calculation of the institution’s IRRBB measures, and a description of the specific measures that the institution uses to gauge its sensitivity to IRRBB In accordance with Article 448(1), point (e)(i) and (v), of Regulation (EU) No 575/2013, institutions are to provide a general description of the specific risk measures that are used to estimate changes in their economic value of equity and in their net interest income and indicate the periodicity of the evaluation of the interest rate risks. In accordance with Article 448(2) of Regulation (EU) No 575/2013, the description of the specific risk measures used to gauge the sensitivity to IRRBB are not to apply to institutions that use the standardised methodology or the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU.
(d)	A description of the interest rate shock and stress scenarios that the institution uses to estimate changes in the economic value and in net interest income (if applicable) In accordance with Article 448(1), point (e)(iii), of Regulation (EU) No 575/2013, institutions are to provide a general description of the interest rate shock scenarios used to estimate the interest rate risk. In accordance with Article 448(2) of Regulation (EU) No 575/2013, those disclosure requirements are not to apply to institutions that use the standardised methodology or the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU.
(e)	A description of the key modelling and parametric assumptions different from those used for disclosure of template EU IRRBB1 (if applicable) In accordance with Article 448(1), point (e)(ii), of Regulation (EU) No 575/2013, where key modelling and parametric assumptions used in the institution’s internal measurement systems differ from those referred to in Article 98(5a) of Directive 2013/36/EU used for disclosure of template EU IRRBB1, the institution is to provide a general description of those assumptions, including the rationale for those differences (e.g. historical data, published research, management judgement and analysis, etc.). In accordance with Article 448(2) of Regulation (EU) No 575/2013, those disclosure requirements are not to apply to institutions that use the standardised methodology or the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU.
(f)	A high-level description of how the institution hedges its IRRBB, as well as the associated accounting treatment (if applicable) Specifically, in accordance with Article 448(1), point (e)(iv), of Regulation (EU) No 575/2013, institutions are to identify the effect of hedges against their interest rate risks, including internal hedges that meet the requirements laid down in Article 106(3) of Regulation (EU) No 575/2013. In accordance with Article 448(2) of Regulation (EU) No 575/2013, those disclosure requirements are not to apply to institutions that use the standardised methodology or the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU.
(g)	A description of key modelling and parametric assumptions used for the IRRBB measures in template EU IRRBB1 (if applicable) In accordance with Article 448(1), point (c), of Regulation (EU) No 575/2013, institutions are to provide a general description of the key modelling and parametric assumptions, other than those referred to in Article 98(5a), points (b) and (c), of Directive 2013/36/EU used for the purpose of calculating changes to the economic value of equity and to the net interest income in template EU IRRBB1. This general description is to include at least: (a) how the average repricing maturity of non-maturity deposits has been determined, including any unique product features that affect the assumed behavioural repricing date; (b) the methodology used to estimate the loan prepayment rates, and/or the early withdrawal rates for fixed-term deposits, and other significant assumptions; (c) any other assumptions, including for instruments with behavioural optionalities, that have a material impact on the IRRBB measures disclosed in template EU IRRBB1, including an explanation of why these are material. In accordance with Article 448(2) of Regulation (EU) No 575/2013, those disclosure requirements are not to apply to institutions that use the standardised methodology or the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU.
(h)	Explanation of the significance of the IRRBB measures and of their significant variations since previous disclosures In accordance with Article 448(1), point (d), of Regulation (EU) No 575/2013, institutions are to provide a general explanation of the significance of the IRRBB measures disclosed in template EU IRRBB1 and of any significant variations of those IRRBB measures since the previous disclosure reference date.
(i)	Any other relevant information regarding the IRRBB measures disclosed in template EU IRRBB1 (optional) Any other relevant information which institutions wish to disclose regarding the IRRBB measures included in template EU IRRBB1. . Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, institutions are to disclose the parameters used for the supervisory shock scenarios, the definition of net interest income they are using and any other relevant information for understanding how the changes of net interest income have been computed in template EU IRRBB1.
(1), (2)	Disclosure of the average and longest repricing maturity assigned to non-maturity deposits In accordance with Article 448(1), point (g), of Regulation (EU) No 575/2013, institutions are to disclose the average and longest repricing maturity assigned to non-maturity deposits from retail and non-financial wholesale counterparties. The disclosure shall refer separately to both the core part and the full amount of non-maturity deposits from retail and non-financial wholesale counterparties.

Disclosure instructions for Template EU IRRBB1

1. Institutions are to assess the interest rate risk of non-trading book activities on the basis of their internal measurement system methodology, standardised methodology or simplified standardised methodology, when applicable, as defined in accordance with Article 84 of Directive 2013/36/EU, given the supervisory shock scenarios and the common modelling and parametric assumptions defined in Article 98(5a) of Directive 2013/36/EU.

2. These instructions have been developed based on the requirements in Article 448 of Regulation (EU) No 575/2013 and in line with the Basel Pillar 3 disclosure standard.

3. Institutions are not required to provide in their first-time disclosure the information for the previous period.

Instructions for completing the disclosure template EU IRRBB1
Column	Explanation
a, b	Changes of the economic value of equity Article 448(1), point (a), of Regulation (EU) No 575/2013. Institutions shall report the changes in the economic value of equity under each supervisory interest rate shock scenario, for the current and previous period, in accordance with the requirements under Articles 84 and 98(5) of Directive 2013/36/EU.
c, d	Changes of the net interest income Article 448(1), point (b), of Regulation (EU) No 575/2013. Institutions shall report the changes in the net interest income under the two supervisory interest rate shock scenarios envisaged in the template for the current and previous period, in accordance with the requirements under Articles 84 and 98(5) of Directive 2013/36/EU. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, institutions shall describe the definition and key characteristics (scenarios, assumptions and net interest income horizons) of net interest income they are using in point (i) of table EU IRRBBA or, if they leave those columns blank, they shall explain the reasons in point (i) of table EU IRRBBA.
Row	Explanation
1	Parallel up Institutions are to disclose the changes of the economic value of equity and the changes of the net interest income under a constant parallel upward shock in the yield curve. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA.
2	Parallel down Institutions are to disclose the changes of the economic value of equity and the changes of the net interest income under a constant parallel downward shock in the yield curve. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA.
3	Steepener Institutions are to disclose the changes of the economic value of equity under a scenario of short rates down and long rates up of the yield curve. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA.
4	Flattener Institutions are to disclose the changes of the economic value of equity under a scenario of short rates up and long rates down of the yield curve. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA.
5	Short rates up Institutions are to disclose the changes of the economic value of equity under a scenario of short rates up of the yield curve. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA.
6	Short rates down Institutions are to disclose the changes of the economic value of equity under a scenario of short rates down of the yield curve. Until the criteria of the guidelines specified in Article 84(6) of Directive 2013/36/EU and the further elements listed in Article 98(5a) of Directive 2013/36/EU are applicable, the parameters used for this scenario shall be described in point (i) of table EU IRRBBA.

ANNEX XXXIX Prudential disclosures on ESG risks (Article 449a CRR)

ANNEX XXXIX

Prudential disclosures on ESG risks (Article 449a CRR)

INDEX - Prudential disclosures on ESG risks (Article 449a CRR)

Table 1 - Qualitative information on Environmental risk

Table 2 - Qualitative information on Social risk

Table 3 - Qualitative information on Governance risk

Template 1: Banking book- Indicators of potential climate Change transition risk: Credit quality of exposures by sector, emissions and residual maturity

Template 2: Banking book - Indicators of potential climate change transition risk: Loans collateralised by immovable property - Energy efficiency of the collateral

Template 3: Banking book - Indicators of potential climate change transition risk: Alignment metrics

Template 4: Banking book - Indicators of potential climate change transition risk: Exposures to top 20 carbon-intensive firms

Template 5: Banking book - Indicators of potential climate change physical risk: Exposures subject to physical risk

Template 6. Summary of key performance indicators (KPIs) on the Taxonomy-aligned exposures

Template 7 - Mitigating actions: Assets for the calculation of GAR

Template 8 - GAR (%)

Template 9 - Mitigating actions: BTAR

Template 10 - Other climate change mitigating actions that are not covered in Regulation (EU) 2020/852

Table 1 - Qualitative information on Environmental risk

in accordance with Article 449a CRR

Row number	Qualitative information - Free format
	Business strategy and processes
(a)	Institution's business strategy to integrate environmental factors and risks, taking into account the impact of environmental factors and risks on institution's business environment, business model, strategy and financial planning
(b)	Objectives, targets and limits to assess and address environmental risk in short-, medium-, and long-term, and performance assessment against these objectives, targets and limits, including forward-looking information about the design of business strategy and processes
(c)	Current investment activities and (future) investment targets towards environmental objectives and EU Taxonomy-aligned activities
(d)	Policies and procedures relating to direct and indirect engagement with new or existing counterparties on their strategies to mitigate and reduce environmental risks
	Governance
(e)	Responsibilities of the management body for setting the risk framework, supervising and managing the implementation of the objectives, strategy and policies in the context of environmental risk management covering relevant transmission channels
(f)	Management body's integration of short-, medium- and long-term effects of environmental factors and risks, organisational structure both within business lines and internal control functions
(g)	Integration of measures to manage environmental factors and risks in internal governance arrangements, including the role of committees, the allocation of tasks and responsibilities, and the feedback loop from risk management to the management body covering relevant transmission channels
(h)	Lines of reporting and frequency of reporting relating to environmental risk
(i)	Alignment of the remuneration policy with institution's environmental risk-related objectives
	Risk management
(j)	Integration of short-, medium- and long-term effects of environmental factors and risks in the risk framework
(k)	Definitions, methodologies and international standards on which the environmental risk management framework is based
(l)	Processes to identify, measure and monitor activities and exposures (and collateral where applicable) sensitive to environmental risks, covering relevant transmission channels
(m)	Activities, commitments and exposures contributing to mitigate environmental risks
(n)	Implementation of tools for identification, measurement and management of environmental risks
(o)	Results and outcome of the risk tools implemented and the estimated impact of environmental risk on capital and liquidity risk profile
(p)	Data availability, quality and accuracy, and efforts to improve these aspects
(q)	Description of limits to environmental risks (as drivers of prudential risks) that are set, and triggering escalation and exclusion in the case of breaching these limits
(r)	Description of the link (transmission channels) between environmental risks with credit risk, liquidity and funding risk, market risk, operational risk and reputational risk in the risk management framework

Table 2 - Qualitative information on Social risk

in accordance with Article 449a CRR

Row number	Qualitative information - Free format
	Business strategy and processes
(a)	Adjustment of the institution's business strategy to integrate social factors and risks taking into account the impact of social risk on the institution's business environment, business model, strategy and financial planning
(b)	Objectives, targets and limits to assess and address social risk in short-term, medium-term and long-term, and performance assessment against these objectives, targets and limits, including forward-looking information in the design of business strategy and processes
(c)	Policies and procedures relating to direct and indirect engagement with new or existing counterparties on their strategies to mitigate and reduce socially harmful activities
	Governance
(d)	Responsibilities of the management body for setting the risk framework, supervising and managing the implementation of the objectives, strategy and policies in the context of social risk management covering counterparties' approaches to:
(i)	Activities towards the community and society
(ii)	Employee relationships and labour standards
(iii)	Customer protection and product responsibility
(iv)	Human rights
(e)	Integration of measures to manage social factors and risks in internal governance arrangements, including the role of committees, the allocation of tasks and responsibilities, and the feedback loop from risk management to the management body
(f)	Lines of reporting and frequency of reporting relating to social risk
(g)	Alignment of the remuneration policy in line with institution's social risk-related objectives
	Risk management
(h)	Definitions, methodologies and international standards on which the social risk management framework is based
(i)	Processes to identify, measure and monitor activities and exposures (and collateral where applicable) sensitive to social risk, covering relevant transmission channels
(j)	Activities, commitments and assets contributing to mitigate social risk
(k)	Implementation of tools for identification and management of social risk
(l)	Description of setting limits to social risk and cases to trigger escalation and exclusion in the case of breaching these limits
(m)	Description of the link (transmission channels) between social risks with credit risk, liquidity and funding risk, market risk, operational risk and reputational risk in the risk management framework

Table 3 - Qualitative information on Governance risk

in accordance with Article 449a CRR

Row number	Qualitative information - Free format
	Governance
(a)	Institution's integration in their governance arrangements of the governance performance of the counterparty, including committees of the highest governance body, committees responsible for decision-making on economic, environmental, and social topics
(b)	Institution's accounting of the counterparty's highest governance body’s role in non-financial reporting
(c)	Institution's integration in governance arrangements of the governance performance of their counterparties including:
(i)	Ethical considerations
(ii)	Strategy and risk management
(iii)	Inclusiveness
(iv)	Transparency
(v)	Management of conflict of interest
(vi)	Internal communication on critical concerns
	Risk management
(d)	Institution's integration in risk management arrangements the governance performance of their counterparties considering:
(i)	Ethical considerations
(ii)	Strategy and risk management
(iii)	Inclusiveness
(iv)	Transparency
(v)	Management of conflict of interest
(vi)	Internal communication on critical concerns

Template 1: Banking book- Indicators of potential climate Change transition risk: Credit quality of exposures by sector, emissions and residual maturity

Template 2: Banking book - Indicators of potential climate change transition risk: Loans collateralised by immovable property - Energy efficiency of the collateral

Template 3: Banking book - Indicators of potential climate change transition risk: Alignment metrics

Template 4: Banking book - Indicators of potential climate change transition risk: Exposures to top 20 carbon-intensive firms

	a	b	c	d	e
	Gross carrying amount (aggregate)	Gross carrying amount towards the counterparties compared to total gross carrying amount (aggregate) (*1)	Of which environmentally sustainable (CCM)	Weighted average maturity	Number of top 20 polluting firms included
1
(*1) For counterparties among the top 20 carbon emitting companies in the world

Template 5: Banking book - Indicators of potential climate change physical risk: Exposures subject to physical risk

Template 6. Summary of key performance indicators (KPIs) on the Taxonomy-aligned exposures

	KPI			% coverage (over total assets) (*1)
	Climate change mitigation	Climate change adaptation	Total (Climate change mitigation + Climate change adaptation)	% coverage (over total assets) (*1)
GAR stock
GAR flow
(*1) % of assets covered by the KPI over banks’ total assets

Template 7 - Mitigating actions: Assets for the calculation of GAR

Template 8 - GAR (%)

Template 9 - Mitigating actions: BTAR

Template 9.1 - Mitigating actions: Assets for the calculation of BTAR

Template 9.2 - BTAR %

Template 9.3 - Summary table - BTAR %

Template 10 - Other climate change mitigating actions that are not covered in Regulation (EU) 2020/852

ANNEX XL Instructions for disclosure of ESG risks

ANNEX XL

Instructions for disclosure of ESG risks

1. Institutions shall disclose the information referred to in Article 449a of Regulation (EU) No 575/2013 by following the instructions provided in this Annex. The instructions are to be used to complete the tables and templates which are set out in Annex XXXIX to this Regulation.

2. For the purposes of these instructions, the following terms shall be understood as follows:

(a)

‘environmental, social or governance (ESG) risks’ means the risk of losses arising from any negative financial impact on the institution stemming from the current or prospective impacts of environmental, social or governance (ESG) factors on the institution’s counterparties or invested assets;

(b)

‘environmental risk’ means the risk of losses arising from any negative financial impact on the institution stemming from the current or prospective impacts of environmental factors on the institution’s counterparties or invested assets, including factors related to the transition towards the following environmental objectives:

(i)

climate change mitigation;

(ii)

climate change adaptation;

(iii)

the sustainable use and protection of water and marine resources;

(iv)

the transition to a circular economy;

(v)

pollution prevention and control;

(vi)

the protection and restoration of biodiversity and ecosystems;

Environmental risk includes both physical risk and transition risk.

(c)

‘physical risk’, as part of the overall environmental risk, means the risk of losses arising from any negative financial impact on the institution stemming from the current or prospective impacts of the physical effects of environmental factors on the institution’s counterparties or invested assets;

(d)

‘transition risk’, as part of the overall environmental risk, means the risk of losses arising from any negative financial impact on the institution stemming from the current or prospective impacts of the transition to an environmentally sustainable economy on the institution’s counterparties or invested assets;

(e)

‘social risk’ means the risk of losses arising from any negative financial impact on the institution stemming from the current or prospective impacts of social factors on the institution’s counterparties or invested assets;

(f)

‘governance risk’ means the risk of losses arising from any negative financial impact on the institution stemming from the current or prospective impacts of governance factors on the institution’s counterparties or invested assets.

3. References to the international and Union policy frameworks and available benchmarks throughout these instructions include: the Paris Agreement adopted under the United Nations Framework Convention on Climate Change ( 28 ) (the ‘Paris Agreement’), the Communication from the Commission on the European Green Deal ( 29 ), Directive 2013/34/EU of the European Parliament and of the Council ( 30 ), Directive 2014/95/EU of the European Parliament and of the Council ( 31 ), the Communication from the Commission – Guidelines on non-financial reporting: Supplement on reporting climate-related information ( 32 ), the guidance made available by the Task Force on Climate-related Financial Disclosures (TCFD) Recommendations ( 33 ), the United Nations Environment Programme Finance Initiative (UNEP FI) ( 34 ), the Global Reporting Initiative Sustainability Reporting Standards ( 35 ), and the United Nations’ Principles for Responsible Investment (UNPRI) ( 36 ).

Table 1 – Qualitative information on Environmental risk: Free format text boxes for disclosure of qualitative information in Annex XXXIX.

4. Institutions shall use the following instructions to complete Table 1 – ‘Qualitative information on Environmental risk’ as set out in Annex XXXIX to this Regulation to describe the integration of environmental risks, including specific information on climate change risks and on other environmental risks, in their business strategy and processes, governance and risk management. This is for the purposes of Article 449a of Regulation (EU) No 575/2013, read in conjunction with Article 435 of that Regulation.

Legal references and instructions
Row number	Explanation
	Business strategy and processes
(a)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), points (a) and (e), of that Regulation, institutions shall provide an explanation of how their business model, strategy and processes, and their financial planning integrate the risks stemming from environmental factors (i.e. environmental risks) and how those risks may evolve over time given changing technology, policy framework, business environment, stakeholder preferences, and changes in the physical environment itself.
(b)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a) and points (c) to (f) of that Regulation, institutions shall set out the objectives, the targets and the limits for the assessment and management of environmental risks. Institutions shall explain the processes they use to set out those objectives, targets and limits. Institutions are to explain how those objectives, targets and limits are linked to the current international and Union policy framework, and to the available benchmarks.
(c)	In accordance with Article 449a of Regulation (EU) No 575/2013, institutions shall provide information on their current and future (planned) investment in environmentally sustainable activities and in activities and sectors aligned to the environmental objectives, including climate change objectives, set out in Article 9 of Regulation (EU) 2020/852. Where that information depends on the institution’s own approach or is based on the institutions’ internal terms of reference, institutions shall include in their disclosures a description of those approaches and internal terms of reference.
(d)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (d), of that Regulation, institutions shall provide information on the measures taken to mitigate the risks associated to environmental factors. Institutions are to consider the counterparty’s capacity to manage environmental risks.
	Governance
(e)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (b), and Article 435(2), points (a), (b) and (c), of that Regulation, institutions shall provide information on the involvement of their management body in the supervision and management of environmental risks. Institutions are to take into account the potential transmission channels of such environmental risks (including physical, transition and liability risks).
(f)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), point (d), of that Regulation, institutions shall provide information on how their management body integrates short-term, medium-term and long-term effects of environmental risks in the organisational structure of the institution for the purposes of risk management. Institutions are to explain how such exercise at management body’s level is then reflected in their business lines and internal control functions.
(g)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), points (a), (b) and (c), of that Regulation, institutions shall provide information on the organisation of their risk committees and on the allocation of tasks and responsibilities in the risk management framework to monitor and manage environmental risks, taking into account physical, transition and liability risk transmission channels.
(h)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), point (e), of that Regulation, institutions shall provide information on the ways in which they include environmental risks into their internal reporting framework and structure, as well as information on the frequency of their internal reporting and information exchange on such risks.
(i)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), point (e), of that Regulation, institutions shall provide information on whether environmental risks are included in their remuneration policy, and on the criteria and metrics used to determine the impact of environmental risk considerations on variable remunerations.
	Risk management
(j)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (f), of that Regulation, institutions shall provide information on the integration of short-, medium- and long-term effects of environmental factors and risks in the risk tolerance framework. Institutions shall decide on the relevant time horizon in accordance with their own risk profile and exposures.
(k)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a), of that Regulation, institutions shall provide information on the methods, definitions and standards used to identify and manage environmental factors and risks, as well as the framework on which those standards, definitions and methods are based. Institutions shall explain how such methods, definitions and standards relate to the applicable international and Union policy framework and available benchmarks.
(l)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a), of that Regulation, institutions shall disclose: (a) the processes by which the institution identifies and monitors its activities and exposures which are sensitive and vulnerable to environmental risks, including any movable and immovable assets associated with such activities and exposures; (b) the processes by which the institution identifies and monitors environmental risks that are financially material or currently non-material with a prospect to become material in the future. Activities, exposures and assets which are sensitive and vulnerable to environmental risks shall include those related to agriculture, fisheries, forestry, energy sectors in combination with their geographical location, reliance on water or other environmental factors and risks, which may be vulnerable to different factors, including flood, draught, fires, and loss of biodiversity. They shall also include concentration of the counterparty’s operations in endangered zones, and they shall be deemed to cover the entire value chain of the counterparty. When disclosing the information referred to in this point, institutions shall indicate the materiality (including double materiality) which is to be understood in the sense set out in the definitions contained in the report referred to in Article 98(8) of Directive 2013/36/EU of the European Parliament and of the Council (1) and shall cover the life-cycle of exposures, including loan origination together with creditworthiness assessment of the counterparty and monitoring. Institutions shall explain the extent to which such assessment covers the relevant transmission channels, including (i) lower profitability, (ii) lower real estate value, lower household wealth, (iii) lower asset performance, (iv) increase cost of compliance, and (v) increase legal costs. Institution that identify no environmental risks as material shall explain and substantiate why that is the case and describe the methods they used to reach such conclusion.
(m)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (d), of that Regulation, institutions shall provide information on the activities, commitments, and exposures they have put in place to mitigate environmental risks. Institutions shall disclose the methods they use to identify risk mitigating measures and activities. In addition, they shall provide information on the extent to which those activities, commitments and exposures account for relevant transmission channels, including (i) lower profitability, (ii) lower real estate value, lower household wealth, (iii) lower asset performance, (iv) increase cost of compliance, and (v) increase legal costs.
(n)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), points (a) and (f), of that Regulation, institutions shall provide information on the implementation tools that they use to identify and manage environmental risks. Such tools include stress testing, sensitivity analysis or other forward-looking indicators, applied at exposure-level, portfolio-level, counterparty-level or sectoral-level, depending on the materiality of the risk. The disclosed information shall indicate the assumptions and the methods underlying the relevant implementation tools. Institutions shall also indicate the time horizon used for the assessment of environmental risks on the basis of accounting and prudential metrics, that is short-term, medium-term or long-term time horizons.
(o)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), points (a) and (f), of that Regulation, institutions shall describe the outcome of the assessment from the risk tool used in accordance with point 14. Institutions shall provide the estimated impact of environmental risk, including climate change risk, on the institution’s solvency, regulatory capital requirements and liquidity risk profile in the framework of internal capital adequacy assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP).
(p)	In accordance with Article 449a of Regulation (EU) No 575/2013, institutions shall provide information on the data and information available to them to carry out the risk management of environmental risks, the key data and information currently missing and measures they are taking to address the data gaps and to improve data quality and accuracy.
(q)	In accordance with Article 449a of Regulation (EU) No 575/2013 in conjunction with Article 435(1), point (f), of that Regulation, institutions shall provide information on the limits they set on financing projects or counterparties which significantly harm environmental objectives in line with their business strategy. Those limits shall include limits set by the institutions at the point of origination and monitoring to avoid or mitigate environmental risks, and limits that indicate when a specific exposure would trigger corrective actions, further investigation, internal escalation, or exclusion from portfolio.
(r)	Institutions shall describe how they map and link the emergence of environmental risks on their balance sheet through credit risk, liquidity risk, market risk and operational risk. Institutions are to explain how they assess and manage the impact of transition to a low-carbon and climate-resilient economy on the prudential risk categories including credit risk, liquidity risk, market risk and operational risk.
(1) Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (OJ L 176, 27.6.2013, p. 338).

Table 2 – Qualitative information on Social risk: Free format text boxes for disclosure of qualitative information in Annex XXXVII

5. Institutions shall use the following instructions to complete Table 2 – ‘Qualitative Information on Social risk’ set out in Annex XXXIX to this Regulation, in order to describe the integration of social risks in their business strategy and processes, governance and risk management, in accordance with Article 449a of Regulation (EU) No 575/2013 in conjunction with Article 435 of that Regulation.

Legal references and instructions
Row number	Explanation
	Business strategy and processes
(a)	In accordance with Article 449a of Regulation (EU) No 575/2013 in conjunction with Article 435(1), points (a) and (e), of that Regulation, institutions shall describe how their business model, strategy, processes and financial planning integrate risks stemming from social factors (i.e. social risks) and how those risk evolve over time given changing technology, policy framework, business environment and stakeholders’ preferences.
(b)	In accordance with Article 449a of Regulation (EU) No 575/2013 in conjunction with Article 435(1), point (a) and points (c) to (f), of that Regulation, institutions shall provide a description of their objectives, targets and limits for the assessment and management of social risks, and a description of the processes they use to set out those objectives, targets and limits. Institutions are to explain the linkages of those objectives, targets and limits to the applicable international and Union policy framework and to available benchmarks. Social aspects include human rights violation, labour rights, income inequality, lack of human rights, customer safety and protection, privacy, poverty and non-discrimination. Furthermore, climate change and transition to low carbon economy have social impacts that include changes to the job market. These include the decrease in the demand for certain jobs and skills, the emergence of new jobs and skills, consumers’ changing preferences, shareholders’ willingness to swiftly integrate climate, environmental and social changes in their companies, as set out in paragraph 78 of the EBA report adopted under Article 98(8) of Directive 2013/36/EU.
(c)	In accordance with Article 449a Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (d), of that Regulation, institutions shall describe how they take measures to mitigate risks associated with social factors, including understanding the counterparties’ capacity to manage social risks and entering into a dialogue with them to mitigate social risks.
	Governance
(d)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (b), and Article 435(2), points (a), (b) and (c), of that Regulation, institutions shall describe how their management body is involved in the supervision and management of social risks. That information shall cover the rationale of the approach taken by the management body and take into account a number of social factors. Those factors include the institution’s engagement towards the community and society, its relationships with employees and compliance with labour standards, customer protection and product responsibility, and human rights.
(e)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), points (a), (b) and (c), of that Regulation, institutions shall describe how they organise their risk committees and how they allocate tasks and responsibilities in the risk management framework to monitor and manage social risks. Institutions shall provide information on both their internal and external resources devoted to the assessment of social risks.
(f)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), point (e), of that Regulation, institutions shall describe how they include social risks into their internal reporting framework and structure, and set out the frequency of their internal reporting and information exchange on social risks.
(g)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2), point (e), of that Regulation, institutions shall provide information on whether social risks are included in their remuneration policy, as well as on the criteria and metrics used to determine the impact of social risk considerations on variable remunerations.
	Risk management
(h)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a), of that Regulation, institutions shall provide information on what methods, definitions and standards they use for the identification and management of social factors and risks, as well as the framework on which those standards, definitions and methods are based. Institutions are to explain how those methods, definitions and standards relate to the current international and Union policy framework and available benchmarks.
(i)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a), of that Regulation, institutions shall provide information on the process by which they identify and monitor their activities and exposures, which are sensitive to social risks, including via their counterparties, investment or asset management activities, and including any movable and immovable assets associated with those activities and exposures. Institutions shall provide information on the process by which they identify and monitor social risks that are financially material or currently non-material with a prospect to be material in the future. Such activities, exposures and assets sensitive to social risks may be related to counterparties breaching labour law, human rights or other social laws or rights that may face legal dispute. More precisely, sectors with enhanced social risk may include those with migrant workers, low wages, poor labour standards or poor working conditions negatively affecting communities and having an enhanced chance of being under public and political scrutiny.
(j)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a), of that Regulation, institutions shall provide information on the activities, commitments and assets that they have in place to mitigate social risks.
(k)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (a), of that Regulation, institutions shall provide information on the implementation tools that they use for identification and management of social risks. Such tools include the scenario analysis, applied at exposure-level, portfolio-level, counterparty-level or sectoral-level and cover factors including migration, demographic trends, change in labour force and technological change. Social risks can also include change of consumer behaviour, issues around discrimination and social inclusiveness, scenario analysis on increasing inequality, social impact of climate change, climate change adaptation/mitigation and environmental degradation. Institutions shall provide information about the assumptions and methods used to perform such scenario analysis. Institutions shall indicate the time horizon used for the assessment of the social risk on the accounting and prudential metrics, i.e. short-term, medium-term or long-term time horizon.
(l)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1), point (f), of that Regulation, institutions shall provide information on the limits they set out in relation to financing projects or counterparties which significantly harm the social objectives of their business strategy. Such limits shall include those set by institutions at the point of origination and monitoring to avoid or mitigate social risks as well as the limits that indicate when a specific exposure would trigger further investigation, internal escalation, corrective actions or exclusion from the portfolio.
(m)	In accordance with Article 449a of Regulation (EU) No 575/2013, institutions shall provide information on the ways in which they map and link the emergence of social risks on their balance sheet through credit risk, liquidity risk, market risk and operational risk. Institutions are to provide information on the ways in which they assess and manage the impact of relevant socially harmful events on the prudential risks categories including credit risk, liquidity risk, market risk and operational risk.

Table 3 – Qualitative information on Governance risk: Free format text boxes for disclosure of qualitative information in Annex XXXVII

6. Institutions shall use the following instructions to complete Table 3 – Qualitative information on Governance risk set out in Annex XXXIX to this Regulation in order to describe the integration of governance risks in their governance and risk management, in accordance with of Article 449a of Regulation (EU) No 575/2013, read in conjunction with Article 435 of that Regulation.

Legal references and instructions
Row number	Explanation
	Governance
(a)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2) of that Regulation, institutions shall provide information on the ways in which they integrate the counterparty’s governance performance in their governance arrangements. The considerations on the counterparty’s governance performance are to cover the necessary steps of the decision-making, supervision and management processes of the counterparty at all levels, including committees of the highest governance body and committees responsible for decision-making on economic, environmental, and social topics.
(b)	Institutions shall explain how they take into account the role of the counterparty’s top governing body in non-financial reporting, including the top committee or functional position that formally reviews and approves the organisation’s sustainability report and ensures that all material topics are covered.
(c)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(2) of that Regulation, institutions shall provide information on how they integrate their counterparties’ governance performance in their governance arrangements. The considerations related to the governance performance of the institution’s counterparties are to cover all of the following: (a) ethical considerations, including integrity of conduct, values and ethics, anti-bribery and anti-corruption measures, accountability and rule of law; (b) strategy and risk management, including strategy implementation, operational execution and monitoring, internal controls and risk management policies and procedures; (c) inclusiveness; including, gender gap and representation of people from minority groups in the management, income gap; (d) transparency; including disclosures on discrimination, tax commitments and payments, disclosure on lobbying activities, and rules and practices; (e) management of conflict of interest, including processes for the highest governance body to ensure that any conflict of interest is avoided, managed and mitigated; and (f) internal communication on critical concerns, including how internal process of the counterparty operates for communicating critical concerns to the highest governance body.
	Risk management
(d)	In accordance with Article 449a of Regulation (EU) No 575/2013, in conjunction with Article 435(1) of that Regulation, institutions shall provide information on how they integrate in their risk management arrangements the governance performance of their counterparties considering aspects set out in row 3.

Template 1 – Banking book – Indicators of potential climate change transition risk: Credit quality of exposures by sector, emissions and residual maturity. Fixed format.

1. Institutions shall use the following instructions to complete template 1 set out in Annex XXXIX to this Regulation to provide information on the exposures that are more prone to the risks that institutions may face from the transition to a low-carbon and climate resilient economy. For the purposes of Article 449a of Regulation (EU) No 575/2013:

(a)

institutions shall disclose information on their exposures towards non-financial corporates operating in carbon-related sectors, and on the quality of those exposures, including non-performing status, stage 2 classification, and related provisions as well as maturity buckets;

(b)

institutions shall start disclosing information on scope 1, 2 and 3 emissions of their counterparties, if already available, including qualitative information in the narrative accompanying this template on the methodology and sources used for the calculation of those emissions. Where institutions are not yet estimating their counterparties’ emissions associated with their financing activities, including lending and investment activities, they shall disclose information on their plans to implement methodologies to estimate and disclose this information. Institutions shall start disclosing information in columns (i) to (k) of the template with first disclosure reference date as of 30 June 2024.

2. Institutions shall include in the narrative accompanying the template, explanations on the information disclosed and the changes compared to previous disclosure periods, as well as any implications that those exposures may have in terms of credit, market, operational, reputational and liquidity risks for the institutions.

3. Institutions shall include in the rows of the template the breakdown of the gross carrying amount of loans and advances, debt securities and equity instruments to non-financial corporations, other than those held for trading, by sector of economic activities using the Nomenclature of Economic Activities (NACE) codes, laid down in Regulation (EC) No 1893/2006 of the European Parliament and of the Council ( 37 ), based on the principal activity of the counterparty. They shall also include subtotals that aggregate the gross carrying amount of exposures towards sectors and subsectors that highly contribute to climate change. In particular, reference is made to the sectors listed in Sections A to H and Section L of Annex I to Regulation (EC) No 1893/2006, which include the oil, gas, mining and transportation sectors, as sectors that highly contribute to climate change, as specified in Recital 6 of Commission Delegated Regulation (EU) 2020/1818 ( 38 ); and a subtotal of exposures towards ‘other sectors’ not mentioned in that Recital.

4. The counterparty NACE sector allocation shall be based on the nature of the direct counterparty. Where the institutions’ counterparty is a holding company, institutions shall consider the NACE sector of the specific obligor under the holding company (if different from the holding company) which receives the funding (i.e. the specific subsidiary of the holding company in question) rather than that of the holding company, particularly in those cases where the obligor that is benefiting from the financing is a non-financial corporate. Similarly, when the direct counterparty of an institution (the obligor) is a special purpose vehicle (SPV), institutions shall disclose the relevant information under the NACE sector associated with the economic activity of the parent company of the SPV. The classification of the exposures incurred jointly by more than one obligor shall be based on the characteristics of the obligor that was the more relevant, or determinant, for the institution to grant the exposure. The distribution of jointly incurred exposures by NACE codes shall be driven by the characteristics of the more relevant or determinant obligor. Institutions shall disclose information by NACE codes with the level of granularity required in the rows of the template.

Columns	Instructions
a	Total gross carrying amount Institutions shall disclose the gross carrying amount, referred to in Part 1 of Annex V to Implementing Regulation (EU) 2021/451, of those exposures towards non-financial corporates, including loans and advances, debt securities and equity instruments, classified in the accounting portfolios in the banking book in accordance with that Implementing Regulation, excluding financial assets held for trading or held for sale assets.
b	Of which exposures towards companies excluded from EU Paris-aligned Benchmarks Institutions shall disclose the gross carrying amount of those exposures towards counterparties that are excluded from the EU Paris-aligned benchmarks as specified in Article 12(1), points (d) to (g) and Article 12(2) of Delegated Regulation (EU) 2020/1818.
c	Of which environmentally sustainable (CCM) Institutions shall disclose exposures that qualify as environmentally sustainable because they are financing activities that contribute or enable the environmental objective of climate change mitigation in accordance with Articles 10 and 16 of Regulation (EU) 2020/852, as disclosed in template 7 of Annex XXXIX to this Regulation. Institutions shall start disclosing that information in 2024, with first disclosure reference date as of 31 December 2023, for exposures included in the numerator of the GAR. Institutions may start disclosing that information in 2025, with first disclosure reference date as of 31 December 2024, for those exposures included in the numerator of the BTAR but not in the numerator of the GAR.
d	Of which stage 2 Institutions applying the International Financial Reporting Standards (IFRS) shall disclose the gross carrying amount of ‘Stage 2’ instruments as referred to in IFRS 9. The columns on ‘Of which stage 2’ shall not be disclosed by institutions that apply national generally accepted accounting principles based on Council Directive 86/635/EEC (1).
e	Of which non-performing exposures Institutions shall disclose non-performing exposures as defined in Article 47a(3) of Regulation (EU) No 575/2013.
f	Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Institutions shall disclose the amounts set out in Part 2, points 11, 69, 70, 71, 106 and 110, of Annex V to Implementing Regulation (EU) 2021/451.
g	Of which stage 2 Institutions shall disclose the accumulated impairment amount of stage 2 exposures. Institutions applying IFRS are to disclose the gross carrying amount of ‘Stage 2’ instruments as set out in IFRS 9. The columns on ‘Of which stage 2’ shall not be disclosed by institutions that apply national generally accepted accounting principles based on Directive 86/635/EEC.
h	Of which non-performing exposures Institutions shall disclose non-performing exposures as referred to in Article 47a(3) Regulation (EU) No 575/2013.
i	GHG financed emissions (scope 1, scope 2 and scope 3 emissions of the counterparty) (in tons of CO2 equivalent) Where the information is available, institutions shall disclose the estimates of the scope of their scope 3 GHG emissions in CO2 tonnes (TCO2) as part of column (i). The disclosure covers all sectors and subsectors that highly contribute to climate change, including the oil, gas, mining and transportation sectors, – as specified in recital 6 of Delegated Regulation (EU) 2020/1818 – included in rows 2 to 52 of the template. Institutions shall base the estimation of scope 3 emissions on the information on emissions gathered from their counterparties and on the information on sector-average emissions intensity. The methods to compute the carbon emission of companies include the Global GHG Accounting and Reporting Standard for the Financial Industry, developed by the Partnership for Carbon Accounting Financials (2) (PCAF, of particular relevance for the TCFD), or the Carbon Disclosure Project (3). Institutions shall estimate the scope 3 emissions per sector in a proportionate manner, including by taking into account their exposures (loans and advances, debt securities and equity holdings) towards the counterparty compared to the total liabilities (accounting liabilities and shareholders’ equity) of the counterparty. In the narrative part accompanying the template, institutions shall provide detailed explanations of the data sources used and of the methodology that they have applied for the estimation of their scope 3 GHG emissions. In particular, institutions shall explain whether they are disclosing any of the following: (a) reported emissions (emissions are collected from the borrower or investee company directly); (b) physical activity-based emissions (emissions are estimated by the reporting financial institution based on primary physical activity data collected from the borrower or investee); (c) economic activity-based emissions (emissions are estimated by the reporting financial institution based on economic activity data collected from the borrower or investee company). Where institutions are not yet estimating their counterparties’ emissions associated to their financing activities, including lending and investment activities, they shall disclose information on their plans to implement methods to estimate that information. Institutions shall disclose the information in columns (i), (j) and (k) of the template with first disclosure reference date as of 30 June 2024. Institutions may decide to start disclosing this information earlier, i.e. with first disclosure reference date as of 31 December 2022.
j	Of which Scope 3 financed emissions Institutions shall disclose their counterparties’ scope 3 emissions associated with institutions’ lending and investment activities. Where institutions are not yet estimating their scope 3 emissions, they shall leave column (j) blank and, in the narrative part accompanying the template, they shall disclose their plans to implement methods to estimate and disclose that information. Institutions shall disclose their scope 3 emissions on a best effort basis, covering the most relevant sectors in line with PCAF approach and the phased-in approach for scope 3 emissions included in Article 5 of Delegated Regulation (EU) 2020/1818. Institutions shall disclose information on scope 3 emissions of the counterparty for all sectors included in the template with first reference date as of 30 June 2024. For sectors where data and methodological challenges exist, institutions shall follow the Greenhouse Gas Protocol and its 15 stages, both upstream and downstream. In line with the TCFD guidance on metrics and targets, institutions shall be transparent about the challenges to collect that type of information and avoid double counting to the extent possible. Institutions shall start disclosing information in column (j) of the template, with first disclosure reference date as of 30 June 2024. Institutions may decide to start disclosing this information earlier, i.e. with first disclosure reference date as of 31 December 2022.
k	GHG emissions (column (i)): gross carrying amount percentage of the portfolio derived from company-specific reporting Institutions shall indicate the percentage of the portfolio (gross carrying amount of the exposures) for which they have been able to estimate their counterparties’ scope 1, 2 and 3 emissions associated with institutions’ lending and investment activities based on information disclosed by their counterparties or reported to the institution on bilateral basis.
l – p	< = 5 years; > 5 year < = 10 years; > 10 year < = 20 years; > 20 years; Average weighted maturity Institutions shall allocate the exposures to the relevant bucket depending on the remaining maturity of the financial instrument, taking into account the following: (a) where the amount is repaid in instalments, the exposure shall be allocated in the maturity bucket corresponding to the last instalment; (b) where an exposure has no stated maturity for reasons other than the counterparty having the choice of the repayment date, or in the case of equity holdings, the amount of this exposure shall be disclosed in the largest maturity bucket ‘> 20 years’; (c) for the computation of the average maturity of the exposures, institutions shall weigh the maturity of each exposure by the gross carrying amount of the exposures.
(1) Council Directive 86/635/EEC of 8 December 1986 on the annual accounts and consolidated accounts of banks and other financial institutions (OJ L 372, 31.12.1986, p. 1). (2) https://carbonaccountingfinancials.com/standard. (3) https://www.cdp.net/en.

Template 2: Banking book – Indicators of potential climate change transition risk: Loans collateralised by immovable property – Energy efficiency of the collateral. Fixed format.

1. Institutions shall use the following instructions to disclose the information required in ‘Template 2: Banking book – Indicators of potential climate change transition risk: Loans collateralised by immovable property – Energy efficiency of the collateral’, as set out in Annex XXXIX to this Regulation.

2. Directive 2010/31/EU of the European Parliament and of the Council ( 39 ) and Directive 2012/27/EU of the European Parliament and of the Council ( 40 ) promote policies that aim to achieve a highly energy efficient and decarbonised building stock by 2050. Directive 2010/31/EU introduced the Energy performance certificates (EPC) as instruments for improving the energy performance of buildings. Those certificates are referred to as a certificate recognised by a Member State or by a legal person designated by it, which indicates the energy performance of a building or building unit, calculated in accordance with that Directive.

3. This template shows the gross carrying amount, as referred to in Part 1 of Annex V to Implementing Regulation (EU) 2021/451, of loans collateralised with commercial and residential immovable property and of repossessed real estate collaterals, including information on the level of energy efficiency of the collaterals measured in terms of kWh/m2 energy consumption (columns (b) to (g) of the template), in terms of the label of the energy performance certificate (EPC) of the collateral as referred to in Article 2, point (12), of Directive 2010/31/EU for Member States, or as defined in any relevant local regulation for those exposures outside the Union, where a mapping to the Union EPC label exists (columns (h) to (n)).

4. In particular, in columns (b) to (g), institutions shall disclose the gross carrying amount of exposures by energy efficiency buckets based on the specific energy consumption of the collateral in kWh/m2, as indicated in the EPC label of the collateral or estimated by institutions in the absence of the EPC label. Institutions shall indicate in rows 5 and 10 of the template the extent to which those data are estimated and not based on EPC labels. In columns (h) to (n), institutions shall disclose the gross carrying amount of exposures grouped by the EPC label of the collateral for those collaterals where the EPC is available to the institution.

5. When disclosing the EPC distribution of the collaterals, institutions shall disclose separately, in column (o), those exposures for which they do not have the EPC information of the collateral. Where institutions do not have the EPC information, but are using internal calculations to estimate the energy efficiency of the collateral, institutions are to disclose the percentage of the exposures without EPC label of the collateral for which they are providing estimates (the percentage is to be computed based on the gross carrying amount of the exposures). Institutions shall disclose the total gross carrying amounts by energy consumption level and by EPC label, with a breakdown by location (Union vs non-Union area) differentiating between loans collateralised by commercial immovable property, loans collateralised by residential immovable property and collateral obtained by taking possession.

6. In the case of exposures to entities located in third countries where there is no EPC label equivalent, institutions shall leave columns (h) to (n) blank. However, institutions shall disclose the information required in columns (o) and (p) and, when relevant, columns (b) to (g) with estimated data.

7. For those exposures linked to more than one collateral, such as two immovable properties, the energy efficiency information of the properties linked to the exposure shall be split and disclosed separately under energy efficiency levels (both for the KWh/m2 of the collateral, columns (b) to (g), and for the EPC label, columns (h) to (n) corresponding to energy efficiency of each collateral). More specifically, institutions shall calculate the share of each collateral in the gross carrying amount of exposure based on the value of the collateral and disclose under the energy efficiency bucket linked to each collateral. For example, the institution has a loan with a gross carrying amount of EUR 100 000 collateralised by two properties: property A and property B. Property A has a collateral value of EUR 80 000 and EPC label A, while property B has a collateral value of EUR 70 000 and EPC label D. In this example, institutions should disclose EUR 53 333 (that is EUR 100 000 * [80 000 /(80 000 + 70 000 )] under EPC label A and EUR 46 667 (that is EUR 100 000 * [70 000 /(80 000 + 70 000 )] under EPC label D, both corresponding to the specific loan in question.

Template 3: Banking book – Indicators of potential climate change transition risk: Alignment metrics. Flexible format (fixed columns, flexible rows).

1. Institutions shall use the following instructions to disclose the information required in ‘Template 3: Banking book – Indicators of potential climate change transition risk: Alignment metrics’, as set out in Annex XXXIX to this Regulation.

2. Institutions shall disclose in this template information on their alignment efforts with the objectives of the Paris Agreement for a selected number of sectors. The disclosures on the alignment shall capture the extent to which financial flows are consistent with a pathway towards low greenhouse gas emissions and climate-resilient development as referred to in the Paris Agreement. The economic scenario that describes that decarbonisation pathway is the International Energy Agency (IEA) Net Zero Emissions by 2050 Scenario (NZE2050) ( 41 ). Institutions shall take into account that scenario. Given that the IEA provides scenarios at global level and some specific metrics at European level, institutions are to measure the distance from the IEA scenario benchmarks at global level and, where the specific European level metrics are available, at European level.

3. Institutions that are already estimating information on their sectoral alignment to the Paris Agreement shall disclose the information in this template. Institutions are to explain in the narrative part accompanying the template the method used and the data source. Those institutions that are not yet estimating their sectoral alignment shall disclose information on their plans to implement a method to estimate and disclose that information. In any case, institutions shall start disclosing the information included in this template with first disclosure reference date as of 30 June 2024.

4. Institutions shall disclose in this template:

(a)

Columns (a) and (b): these columns contain the sectors (IEA sectors) in column (a) under which rows 1-8 list the mandatory minimum set of sectors, and subsectors (NACE sectors in column (b) according to the minimum ‘list of NACE sectors to be considered’ as indicated in the template).

(b)

Where the institution’s counterparty is a holding company, institutions shall consider the NACE sector of the specific obligor controlled by the holding company (if different from the holding company) which receives the funding rather than that of the holding company, particularly in those cases where the obligor is a non-financial corporate. Similarly, where the direct counterparty of the institution (the obligor) is a special purpose vehicle (‘SPV’), institutions shall disclose the relevant information under the NACE sector associated with the economic activity of the parent company of the SPV.

(c)

The classification of the exposures incurred jointly by more than one obligor shall be based on the characteristics of the obligor that was the more relevant, or determinant, for the institution to grant the exposure. Institutions shall disclose information by NACE codes with the level of granularity required in column (b).

(d)

Column (c): the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451 of those exposures towards non-financial corporates in each of the sectors specified in columns (a) and (b), including loans and advances, debt securities and equity instruments, classified in the accounting portfolios in the banking book in accordance with that Implementing Regulation, excluding financial assets held for trading or held for sale assets.

(e)

Columns (d) and (e): alignment metric(s) applied by the institution and closest year of reference for the alignment metric(s) for each sector. Institutions shall use the alignment metric(s) that can be measured against the Net Zero Emissions by 2050 Scenario (NZE2050). Institutions are to ensure that the metrics allow to comprehensively disclose the institutions’ financed production capacities and encompass all relevant carbon-intensive financed activities. Some sample metrics are included in the template. Institutions are to disclose several metrics for each sector that is relevant to their financing activity. These are to cover emission intensity metrics, technology mix-based metrics and production-based metrics. Institutions are to rely on the assessment of the underlying assets and activities linked to the financial instruments.

For loans whose use of proceeds is known, the value shall be included for the relevant sector and alignment metric. For loans whose use of proceeds is unknown, the gross carrying amount of the exposure shall be allocated to the relevant sectors and alignment metrics based on the counterparties’ activity distribution, including by counterparties’ turnover by activity.

Institutions shall add a row in the template for each relevant combination of sectors disclosed in column (b) and alignment metrics included in column (d).

(f)

Column (f): the point in time distance of the column (d) metric(s) to the 2030 data points of the Net Zero Emissions by 2050 Scenario (NZE2050), shall be expressed in percentage points. That distance shall represent the current degree of alignment with the scenario indicator for 2030 and shall be expressed as the difference between the indicator in column (d) and the IEA scenario projection for 2030, divided by the scenario benchmark indicator and converted into percentage terms.

Institutions can find the relevant information and the applicable scenario indicators for 2030 per sector on the IEA website. In particular, institutions shall refer to the ‘Net Zero by 2050 – A Roadmap for the Global Energy Sector’ that the IEA publish on an annual basis ( 42 ). The specific data points and indicators can be downloaded from the excel table included in the Net Zero by 2050 Scenario designed by the International Energy Agency

The exposures’ underlying activities shall be considered aligned where the level of the indicator is below that of the benchmark for decreasing benchmarks (carbon intensive activities) or above for increasing benchmarks (low carbon activities);

(g)

Column (g): institutions’ target for 3 years after the year of reference indicated in column (e) and the alignment metric indicated in column (d). Column (g) shall indicate the portfolio alignment path and targets that institutions plan to achieve to remain on track with the IEA scenario in the long term.

Template 4 – Banking book – Indicators of potential climate change transition risk: Exposures to top 20 carbon-intensive firms. Fixed format

1. Institutions shall use the following instructions to disclose the information required in ‘Template 4: Banking book – Indicators of potential climate change transition risk: Exposures to top 20 carbon-intensive firms, as set out in Annex XXXIX to this Regulation.

2. Institutions shall disclose in this template aggregate information on exposures towards the most carbon-intensive counterparties in the world. They shall include aggregated and anonymised information on the gross carrying amount of exposures towards up to 20 counterparties that are among the top 20 most carbon-intensive corporates worldwide. Information shall be based on publicly available reputable and accurate information. Examples of data sources to identify the top carbon-intensive companies include the Carbon Majors Database and Reports of the Carbon Disclosure Project and Climate Accountability Institute as well as Thomson Reuters.

3. Institutions shall disclose in the narrative accompanying the disclosure the source of the data they use. Where institutions are not able to identify exposures towards the top 20 carbon-intensive firms in the world, they shall explain why they have not indicated such exposures, including in the case in which they do not have any exposures towards the top 20 carbon-intensive firms in the world.

	Column	Instructions
a	Gross carrying amount (aggregate)	Gross carrying amount has the meaning referred to in Part 1 of Annex V to Implementing Regulation (EU) 2021/451. It includes loans and advances, debt securities and equity instruments, classified under the accounting portfolios in the banking book according to that Implementing Regulation, excluding financial assets held for trading and held for sale assets. Institutions shall include the aggregate exposures towards up to 20 counterparties of the institution that are among the top 20 most carbon-intensive corporates worldwide.
b	Gross carrying amount towards the company compared to total gross carrying amount (aggregate)	Institutions shall disclose the percentage resulting from the aggregate gross carrying amount indicated in column (a), divided by the total gross carrying amount of the institutions’ exposures in the banking book, as referred to in Part 1 of Annex V to Implementing Regulation (EU) 2021/451, including loans and advances, debt securities and equity instruments in the banking book, classified under the accounting portfolios in the banking book in accordance with that Implementing Regulation, excluding financial assets held for trading and held for sale assets.
c	Of which environmentally sustainable (CCM)	Institutions shall disclose the aggregate gross carrying amount of environmentally sustainable exposures contributing to the objective of climate change mitigation. That amount shall be based on the purpose of the activity funded, for special purpose lending, or on the counterparty’s information on the level of alignment of its economic activities with Regulation (EU) 2020/852, for the objective of climate change mitigation (% of turnover contributing substantially to climate change mitigation). Institutions shall start disclosing this information with first disclosure reference date as of 31 December 2023.
d	Average maturity	Institutions shall disclose the average maturity of the exposures considered in the computation weighted by the gross carrying amount of the exposure.
e	Number of top 20 polluting firms included	Institutions shall indicate the number of top polluting companies included in the calculation of the aggregate gross carrying amount.

Template 5 – Banking book – Indicators of potential climate change physical risk: Exposures subject to physical risk. Fixed format.

1. Institutions shall use the following instructions to disclose the information required in ‘Template 5: Banking book – Indicators of potential climate change physical risk: Exposures subject to physical risk’, as set out in Annex XXXIX to this Regulation.

2. Institutions shall include in this template information on exposures in the banking book, including loans and advances, debt securities and equity instruments not held-for-trading and not held-for-sale, towards non-financial corporates, on loans collateralized with immovable property and on repossessed real estate collaterals, exposed to chronic and acute climate-related hazards, with a breakdown by sector of economic activity (NACE classification) and by geography of location of the activity of the counterparty or of the collateral, for those sectors and geographical areas subject to climate change acute and chronic events.

3. For the identification of geographies prone to specific climate-related hazards, institutions shall use dedicated portals and databases. To obtain information on the characteristics of locations sensitive to climate-change events, institutions may use the data offered by Union bodies and by national government authorities including meteorological, environmental, statistical agencies or geoscience organisations. Examples of data sources to identify geographical areas subject to climate change related hazards include ( 43 ): GFDRR – ThinkHazard! (covering heatwaves, water scarcity and stress, floods, wildfires, hurricanes, landslide); PREP – PREPdata (coastal flood, extreme heat, landslide, water scarcity and stress, wildfire); WRI – Aqueduct Water Risk Atlas (flood, coastal flood, water scarcity and stress) Swiss Re – CatNet® (flood, tropical cyclone (hurricane &typhoon), wildfire); World Bank – Climate Change Knowledge Portal (extreme heat, extreme precipitation, drought); PCA – Global Drought Risk platform (drought); NOAA – Historical hurricane tracks (tropical cyclone (hurricane &typhoon).

4. When the counterparty is a holding company, institutions shall consider the NACE sector of the specific obligor controlled by the holding company (if different than the holding company itself) which receives the funding, particularly in those cases where the obligor is a non-financial corporate. Similarly, where the direct counterparty of the institution (the obligor) is an SPV, institutions shall disclose the relevant information under the NACE sector associated with the economic activity of the parent company of the SPV. The classification of the joint exposures towards more than one obligor shall be based on the characteristics of the obligor that was the most relevant for the institution to grant the exposure. The distribution of jointly incurred exposures by NACE codes shall be driven by the characteristics of the more relevant or determinant obligor.

5. Institutions shall disclose the information in this template on a best effort basis and explain in the narrative accompanying the template the sources of information and methods that they have used to identify exposures subject to climate-change physical risk.

Columns	Instructions
a	Geographical area subject to climate change acute and chronic events Institutions shall cover geographical areas exposed to adverse impact from climate-change physical events. These geographical areas include the countries or other geographical or administrative regions where the counterparty’s activities or the collateral are located, and which are exposed to chronic or acute climate-change events. For geographical coverage of the exposures, institutions shall use the level of divisions indicated in Nomenclature of Territorial Units for Statistics (or NUTS), as appropriate.
b	Gross carrying amount Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451 of those exposures towards non-financial corporates (including loans and advances, debt securities and equity instruments), classified under the accounting portfolios in the banking book in accordance with that Implementing Regulation, excluding financial assets held for trading and held for sale assets.
c – o	of which exposures sensitive to impact from climate change physical events Institutions shall disclose the gross carrying amount of exposures prone to impact from climate change physical events. The gross carrying amount of exposures prone to impact from climate change physical events may be equal to the full exposure amount disclosed in column (b) of this template or may be a part of that exposure amount.
c – g	Breakdown by maturity bucket Institutions shall allocate the exposures to the relevant bucket depending on the residual maturity of the financial instrument, taking into account the following: (a) where the amount is to be repaid in instalments, the exposure shall be allocated in the maturity bucket corresponding to the last instalment; (b) where an exposure has no stated maturity for reasons other than the counterparty having the choice of the repayment date, the amount of this exposure shall be disclosed in column ‘> 20 years’; (c) to compute the average maturity of the exposure, institutions shall weigh the maturity of each exposure by the gross carrying amount of the exposures.
h	of which exposures sensitive to impact from chronic climate change events Institutions shall disclose the gross carrying amount of exposures sensitive to impact from chronic climate-change events only, including hazards relating to gradual changes in weather and climate and having a possible impact on economic output and productivity.
i	of which exposures sensitive to impact from acute climate change events Institutions shall disclose the gross carrying amount of exposures sensitive to impact from acute climate change events only, including hazards that may cause sudden damage to properties, disruption of supply chains, and depreciation of assets.
j	of which exposures sensitive to impact both from chronic and acute climate change events Institutions shall disclose the gross carrying amount subject to impact from both chronic and acute climate change events, referred to in columns (h) and (i).
k	Of which stage 2 Institutions applying IFRS shall disclose the gross carrying amount of ‘Stage 2’ instruments as defined in IFRS 9. The columns on ‘Of which stage 2’ shall not be disclosed by institutions that apply national generally accepted accounting principles based on Directive 86/635/EEC.
l	Of which non-performing exposures Institutions shall disclose the gross carrying amount of non-performing exposures as referred to in Article 47a(3) Regulation (EU) No 575/2013, which are prone to impact from climate change events.
m, n, o	Accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions Institutions shall disclose the amounts referred to in Part 2, points 11, 69, 70, 71, 106 and 110, of Annex V to Implementing Regulation (EU) 2021/451.
n	of which Stage 2 exposures Column (m) shall contain the accumulated impairment amount of stage 2 exposures. Institutions applying IFRS shall disclose the gross carrying amount of ‘Stage 2’ instruments as defined in IFRS 9. The columns on ‘Of which stage 2’ shall not be disclosed by institutions that apply national generally accepted accounting principles based on Directive 86/635/EEC.
o	of which non-performing exposures Institutions shall disclose the amount of the accumulated impairment, accumulated negative changes in fair value due to credit risk and provisions attributable to non-performing exposures, as referred to in Article 47a(3) Regulation (EU) No 575/2013.

Template 6 – Summary of key performance indicators (KPIs) on the Taxonomy-aligned exposures. Fixed format.

1. Institutions shall provide in template 6 an overview of the KPIs calculated on the basis of templates 7 and 8 of Annex XXXIX, including the green asset ratio (GAR) as referred to in Commission Delegated Regulation (EU) 2021/2178 ( 44 )

2. While Delegated Regulation (EU) 2021/2178 requires entities to estimate and disclose the GAR twice, once based on the turnover taxonomy alignment of the counterparty (for non-financial corporates) for those exposures the purpose of which is not to finance specific identified activities (general purpose lending), and again based on the capital expenditure (CapEx) taxonomy alignment of the counterparty for the same general purpose lending exposures, in this template institutions shall only disclose the GAR once, based on the turnover alignment of the counterparty for the general purpose lending part only.

3. For the stock, GAR (climate change mitigation), GAR (climate change adaptation), GAR (climate change mitigation and climate change adaptation) shall correspond to the KPI included in columns (b), (g) and (l) respectively of Template 8, accordingly. Similarly, for the flow, GAR (climate change mitigation), GAR (climate change adaptation), GAR (climate change mitigation and climate change adaptation) shall correspond to the KPI included in row 1, columns (r), (w) and (ab) of the same Template 8.

4. Information on the coverage shall be included in Template 8, row 1, column (p) for GAR stock, and (af) for GAR flow.

5. Institutions shall disclose this information with first reference date as of 31 December 2023, which is in line with the first reference date for the disclosure of the information on the GAR referred to in Delegated Regulation (EU) 2021/2178.

Template 7 – Mitigating actions: Assets for the calculation of GAR. Fixed format

1. Institutions shall use the following instructions to disclose the information required in ‘Template 7 – Mitigating actions: Assets for the calculation of GAR’, as set out in Annex XXXIX to this Regulation.

2. Institutions shall disclose in this template information on gross carrying amount of institutions’ loans and advances, debt securities and equity instruments on their banking book, with a breakdown of the information by type of counterparty, including financial corporations, non-financial corporations, households, local governments as well as real estate lending towards households, and the taxonomy eligibility and taxonomy alignment of the exposures with regard to the environmental objectives of climate change mitigation and climate change adaptation as referred to in Article 9, points (a) and (b), of Regulation (EU) 2020/852.

3. In particular, institutions shall include in this template information necessary for the calculation of the GAR in accordance with Delegated Regulation (EU) 2021/2178. While Delegated Regulation (EU) 2021/2178 requires institutions to estimate and disclose the GAR twice, once based on the turnover taxonomy alignment of the counterparty (for non-financial corporates) for those exposures the purpose of which is not to finance specific identified activities (general purpose lending), and again based on the CapEx taxonomy alignment of the counterparty for the same general purpose lending exposures, in this template institutions shall only disclose the GAR once based only on the turnover alignment of the counterparty for the general purpose lending part.

4. Based on that information, institutions shall calculate and disclose their GAR as referred to in Delegated Regulation (EU) 2021/2178. The information included shall relate to climate change mitigation and climate change adaptation as referred to in Article 9, points (a) and (b), of Regulation (EU) 2020/852.

5. Institutions shall disclose this information with first reference date as of 31 December 2023 that is the first disclosure reference date for the information on the GAR as referred to in Delegated Regulation (EU) 2021/2178.

Columns	Instructions
a	Gross carrying amount Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451.
b	Of which: towards taxonomy relevant sectors Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451. Institutions shall disclose the gross carrying amount of eligible exposures towards sectors (4 level NACE codes) relevant for the corresponding environmental objective according to the Taxonomy, as specified in Annex I to the Commission Delegated Regulation (EU) 2021/2139 (1). Institutions shall disclose exposures towards relevant sectors under the objective of climate change mitigation in accordance with Article 9, point (a), and Article 10 of Regulation (EU) 2020/852.
c	Of which: environmentally sustainable Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451. Institutions shall disclose the gross carrying amount of eligible exposures that are environmentally sustainable, as specified in the Annex I to Delegated Regulation (EU) 2021/2139. Institutions shall disclose environmentally-sustainable exposures under the objective of climate-change mitigation in accordance with Article 9, point (a), and Article 10 of Regulation (EU) 2020/852. When the use of proceeds is known (specialised lending, including project finance loans, as referred to in Annex V to Implementing Regulation (EU) 2021/451), institutions shall disclose the extent to which the exposure is environmentally-sustainable. Such disclosure is based on the extent which the funded project substantially contributes to climate change mitigation, in accordance with Article 10 of Regulation (EU) 2020/852, or is an enabling activity in accordance with Article 16 of that Regulation, and meets the criteria specified in Article 3 of that Regulation. When the use of proceeds is unknown, institutions shall disclose the extent to which the exposure is environmentally sustainable by using the information received from the counterparty, in accordance with Article 8 of Regulation (EU) 2020/852, on the proportion of the turnover derived from products or services associated with economic activities that qualify as environmentally sustainable under Article 3 of that Regulation. Each exposure shall be considered only once and shall be allocated to only one environmental objective. Where the exposures are relevant for more than one environmental objective, the allocation shall be made to the most relevant objective.
d	Of which: specialised lending Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451. Specialised lending exposures shall be understood as referred to in Article 147(8) of Regulation (EU) No 575/2013. It includes exposures which are environmentally sustainable under the objective of climate-change mitigation in accordance with Article 9, point (a), and Article 10 of Regulation (EU) 2020/852. When the use of proceeds is known, in the case of specialised lending institutions shall disclose the extent to which the exposure is environmentally sustainable based on the extent and proportion to which the specific project funded qualify as contributing substantially to climate change mitigation (project specific information), in accordance with Article 10 of Regulation (EU) 2020/852, or as enabling activity in accordance with Article 16, and meets the criteria specified in Article 3 of that Regulation. Institutions shall provide transparent information on the kind of economic activities that are being funded through specialised lending. Where the same specialised lending exposure is relevant to two environmental objectives, institutions shall allocate it to the most relevant one.
e	Of which: transitional Article 10 of Regulation (EU) 2020/852.
f	Of which: enabling Article 16 of Regulation (EU) 2020/852.
g	Of which: towards taxonomy relevant sectors Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451. Institutions shall disclose the gross carrying amount of eligible exposures towards sectors (4 level NACE codes) relevant for the corresponding environmental objective according to the Taxonomy, as specified in Annex II to Delegated Regulation (EU) 2021/2139. Institutions shall disclose exposures towards relevant sectors under the objective of climate change adaptation in accordance with Article 9, point (b), and Article 11 of Regulation (EU) 2020/852.
h	Of which: environmentally sustainable Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451. Institutions shall disclose the gross carrying amount of eligible exposures that are environmentally sustainable, as specified in Annex II to Delegated Regulation (EU) 2021/2139. Institutions shall disclose environmentally-sustainable exposures under the objective of climate change adaptation in accordance with Article 9, point (b), and Article 11 of Regulation (EU) 2020/852. When the use of proceeds is known, in the case of specialised lending institutions shall disclose the extent to which the exposure is environmentally sustainable based on the extent and proportion to which the funded project qualifies as contributing substantially to climate change adaptation, in accordance with Article 11 of Regulation (EU) 2020/852, or as enabling activity in accordance with Article 16 of that Regulation, and meets the criteria specified in its Article 3 of that Regulation. Where the use of proceeds is unknown, institutions shall disclose the extent to which the exposure is environmentally sustainable by using the information from the counterparty, in accordance with Article 8 of Regulation (EU) 2020/852, on the proportion of the turnover derived from products or services associated with economic activities that qualify as environmentally sustainable under Article 3 of that Regulation. Each exposure shall be considered only once and shall be allocated to only one environmental objective. Where the exposures are relevant for more than one environmental objective, exposures shall be allocated to the most relevant objective.
i	Of which: specialised lending Institutions are to disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451. Specialised lending exposures shall be understood as referred to in Article 147(8) of Regulation (EU) No 575/2013. Institutions shall disclose special lending exposures which are environmentally sustainable under the objective of climate change adaptation in accordance with Article 9, point (b), and Article 11 of Regulation (EU) 2020/852. Institutions shall disclose the extent to which the exposure is environmentally sustainable by using the information from the counterparty. When the use of proceeds is known, in the case of specialised lending institutions shall disclose the extent to which the exposure is environmentally sustainable based on the extent and proportion to which the specific funded project qualifies as contributing substantially to climate change adaptation (project specific information), in accordance with Article 11 of Regulation (EU) 2020/852, or as enabling activity in accordance with Article 16 of that Regulation, and meets the criteria specified in its Article 3 of that Regulation. Institutions shall provide transparent information on the kind of economic activities that are being funded through specialised lending. Where the same specialised lending exposure can be relevant for two environmental objectives, the exposure shall be allocated to the most relevant one.
j	Of which: adaptation Article 11 of Regulation (EU) 2020/852. These activities shall cover those that are not enabling activities.
k	Of which: enabling Article 16 of Regulation (EU) 2020/852.
l	Of which: towards taxonomy relevant sectors Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451. Institutions shall include the sum of column (b) and column (g) of this template.
m	Of which: environmentally sustainable Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451. Institutions shall include the sum of column (c) and column (h) of this template.
n	Of which: specialised lending Institutions shall disclose the gross carrying amount as defined in Part 1 of Annex V to Implementing Regulation (EU) 2021/451. Specialised lending exposures shall be understood as referred to in Article 147(8) of Regulation (EU) No 575/2013. Institutions shall include the sum of column (d) and column (i) of this template.
o	Of which: transitional/adaptation Article 10 and Article 11 of Regulation (EU) 2020/852. Institutions shall include the sum of column (e) and column (j) of this template.
p	Of which: enabling Article 16 of Regulation (EU) 2020/852. Institutions shall include the sum of column (f) and column (k) of this template.
(1) Commission Delegated Regulation (EU) 2021/2139 of 4 June 2021 supplementing Regulation (EU) 2020/852 of the European Parliament and of the Council by establishing the technical screening criteria for determining the conditions under which an economic activity qualifies as contributing substantially to climate change mitigation or climate change adaptation and for determining whether that economic activity causes no significant harm to any of the other environmental objectives (OJ L 442, 9.12.2021, p. 1).

Rows	Instructions
	GAR – Covered assets in both numerator and denominator Eligible exposures shall be those that are related to the counterparties and asset classes covered in the scope of the disclosure requirements in accordance with Article 8 of Regulation (EU) 2020/852.
1	Loans and advances, debt securities and equity instruments not HfT eligible for GAR Institutions shall disclose loans and advances, debt securities and equity instruments classified in the banking book, not held for trading and not held for sale as defined in Annex V to Implementing Regulation (EU) 2021/451.
2	Financial corporations Institutions shall disclose the exposures referred to in Part 1, point 42, point (c) and point (d), of Annex V to Implementing Regulation (EU) 2021/451.
3	Credit institutions Institutions shall disclose the exposures referred to in Part 1, point 42, letter (c), of Annex V to Implementing Regulation (EU) 2021/451.
4, 9, 13, 17, 21, 34, 40	Loans and advances Institutions shall disclose the loans and advances referred to in Part 1, point 32, of Annex V to Implementing Regulation (EU) 2021/451.
5, 10, 14, 18, 22, 37, 41	Debt securities Institutions shall disclose the debt securities as referred to in Part 1, point 31, of Annex V to Implementing Regulation (EU) 2021/451.
6, 11, 15, 19, 23, 38, 42	Equity instruments Institutions shall disclose the equity instruments as referred to in Annex V to Implementing Regulation (EU) 2021/451. Equity instruments in the banking book include investments in associates, joint ventures and subsidiaries which are not fully or proportionally consolidated.
7	Other financial corporations Institutions shall disclose the exposures to other financial corporations as referred to in Part 1, point 42, letter (d), of Annex V to Implementing Regulation (EU) 2021/451.
8	Of which: investment firms Institutions shall disclose the exposures to investment firms as defined in Article 4, paragraph (1), point (2), of Regulation (EU) No 575/2013.
12	Of which: management companies Institutions shall disclose the exposures to management companies as defined in Article 4(1), point (19), of Regulation (EU) No 575/2013.
16	Of which: insurance undertakings Institutions shall disclose the exposures to insurance undertakings as defined in Article 4, paragraph (1), point (5), of Regulation (EU) No 575/2013
20	Non-financial corporations subject to NFRD disclosure obligations Institutions shall disclose the exposures to non-financial corporation as referred to in Part 1, point 42, letter (e), of Annex V to Implementing Regulation (EU) 2021/451, which are subject to disclosure obligations under Directive 2014/95/EU.
28	Of which: commercial real estate loans Institutions shall disclose the exposures referred to in Part 2, point 173, letter (a), and point 239ix of Annex V to Implementing Regulation (EU) 2021/451.
24	Households Institutions shall disclose the loans and advances as referred to in Part 1, point 42, letter (f), of Annex V to Implementing Regulation (EU) 2021/451. Institutions are to collect information from their counterparties bilaterally through the loan origination process, and the regular credit review and monitoring process.
25	Of which: loans collateralised by residential immovable property Institutions shall disclose the loans and advances collateralised by residential immovable property as referred to in Part 2, point 173, letter (a), of Annex V to Implementing Regulation (EU) 2021/451. The alignment of those exposures to Regulation (EU) 2020/852 shall only be assessed following a simplified approach for the objective of climate change mitigation in accordance with the technical screening criteria for buildings, namely renovation and acquisition and ownership in accordance with points 7.2., 7.3., 7.4., 7.5, 7.6., and 7.7. respectively, of Annex I to Delegated Regulation (EU) 2021/2139, based on the energy efficiency of the underlying collateral.
26	Of which: building renovation loans Institutions shall disclose the loans that are granted to households with the purpose of renovating their house. The alignment of these exposures to Regulation (EU) 2020/852 shall only be assessed following a simplified approach for the objective of climate change mitigation in accordance with the technical screening criteria for buildings, namely renovation and acquisition and ownership in accordance with points 7.2., 7.3., 7.4., 7.5, 7.6., and 7.7., respectively, of Annex I to Delegated Regulation (EU) 2021/2139, based on the energy efficiency of the underlying collateral.
27	Of which motor vehicle loans Institutions shall disclose the motor vehicle loans as referred to in Part 2, point 173, letter (b)(ii), of Annex V to Implementing Regulation (EU) 2021/451 and other loans granted for the acquisition of a motor vehicle assessed following a simplified approach for the objective of climate change mitigation in accordance with the technical screening criteria for financing, renting, leasing of vehicles in accordance with Section 6.5 of Annex I to Delegated Regulation (EU) 2021/2139, based on the energy efficiency of the underlying vehicle.
28	Local governments financing The addition of rows 29 and 30.
29	Housing financing Institutions shall disclose the loans granted by institutions to local government with the aim of funding the acquisition of public housing.
30	Other local government financing Institutions shall disclose the loans granted by institutions to local government with the aim of funding specialised lending exposures other than those resulting from the acquisition of public housing.
31	Collateral obtained by taking possession: residential and commercial immovable properties Institutions shall disclose the collateral obtained by taking possession as referred to in Part 2, point 341, of Annex V to Implementing Regulation (EU) 2021/451.
32	Total GAR assets This row shall be equal to row 1 of this template.
	Assets excluded from the numerator for GAR calculation (covered in the denominator)
33	EU Non-financial corporations (not subject to NFRD disclosure obligations) Institutions shall disclose exposures to non-financial corporation as defined in Part 1, point 42(e), of Annex V to Implementing Regulation (EU) 2021/451, which are located in the Union and not subject to disclosure obligations under Directive 2014/95/EU.
37	Non-EU Non-financial corporations (not subject to NFRD disclosure obligations) Institutions shall disclose exposures to non-financial corporation as defined in Part 1, point 42(e) of Annex V to Implementing Regulation (EU) 2021/451, which are located outside the Union and not subject to disclosure obligations under Directive 2014/95/EU.
	Assets excluded from the numerator for GAR (covered in the denominator)
41	Derivatives Institutions shall disclose derivatives not held for trading as referred to in Part 1, Section 10, of Annex V to Implementing Regulation (EU) 2021/451.
42	On demand interbank loans Institutions shall disclose ‘Other demand deposits’ as referred in to Part 2, point 3, of Annex V to Implementing Regulation (EU) 2021/451.
43	Cash and cash-related assets Institutions shall disclose ‘Cash on hand’ as referred to in Part 2, point 1, of Annex V to Implementing Regulation (EU) 2021/451.
44	Other assets (including goodwill, commodities etc.) Institutions shall disclose other assets in the balance-sheet of the institution not included in rows 41, 42 and 43 of this template.
45	Total assets in the denominator (GAR) This row shall be the sum of rows 32, 33, 37 and 41 to 44 of this template.
	Other assets excluded from both the numerator and denominator for GAR calculation
46	Sovereigns Institutions shall disclose general governments as referred to in Part 1, point 42, of Annex V to Implementing Regulation (EU) 2021/451, excluding exposures included in rows 29 and 30 of this template.
47	Central bank exposures Institutions shall disclose exposures towards central banks.
48	Trading book Institutions shall disclose financial assets held for trading or trading financial assets as defined in the applicable accounting principles.
49	Total assets excluded from numerator and denominator This row shall be the sum of rows 46, 47 and 48 of this template.
50	Total assets This row shall be the sum of rows 45 and 49 of this template.

Template 8 – GAR (%)

1. Institutions shall use the following instructions to disclose the information required in ‘Template 8 – GAR (%)’, as set out in Annex XXXIX to this Regulation.

2. Based on the information included in template 7, institutions shall disclose in this template the GAR as referred to in Delegated Regulation (EU) 2021/2178.

3. The purpose of this template is to show to what extent institutions’ activities qualify as environmentally sustainable in accordance with Articles 3 and 9 of Regulation (EU) 2020/852 so that stakeholders can understand the actions put in place by the institutions to mitigate climate change transition and physical risks.

4. Delegated Regulation (EU) 2021/2178 requires institutions to estimate and disclose the GAR twice. Once, the disclosure is based on the turnover taxonomy alignment of the counterparty (for non-financial corporates) for those exposures the purpose of which is not to finance specific identified activities (general purpose lending). A second disclosure is based on the CapEx alignment to Regulation (EU) 2020/852 of the counterparty for the same general purpose lending exposures. In this template, institutions shall only disclose the GAR once, based on the turnover alignment of the counterparty for the general purpose lending part only.

5. Institutions shall start disclosing this information with first reference date as of 31 December 2023, which is in line with the first reference date for the disclosure of the information on the GAR referred to in Delegated Regulation (EU) 2021/2178.

Columns	Instructions
a	Proportion of assets funding taxonomy relevant sectors Institutions shall disclose the proportion of the stock of assets funding activities referred to in Regulation (EU) 2020/852 (i.e. eligible assets) in total stock of covered assets. This item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of eligible assets funding taxonomy-relevant sectors referred to in Regulation (EU) 2020/852 for the objective of climate change mitigation as referred to in the instructions corresponding to column (b) of Template 7. The denominator of the KPI shall be the gross carrying amount of covered assets as defined in the instructions corresponding to column (a) of Template 7.
b	Of which: environmentally sustainable Institutions shall disclose the proportion of the stock of assets funding environmentally sustainable activities (i.e., aligned assets) in the stock of eligible assets. The item shall be expressed in percentage terms. The numerator of the KPI shall be the gross carrying amount of eligible assets funding environmentally sustainable activities for the objective of climate-change mitigation as referred to in the instructions corresponding to column (c) of Template 7. The denominator of the KPI shall be the gross carrying amount of covered exposures as referred to in the instructions corresponding to column (a) of Template 7.
c	Of which: specialised lending Institutions shall disclose the proportion of the stock of assets categorised as specialised lending funding environmentally sustainable activities for the objective of climate change mitigation in the stock of assets funding environmentally sustainable activities. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (d) of Template 7. The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.
d	Of which: transitional Article 10 of Regulation (EU) 2020/852. Institutions shall disclose the proportion of the stock of assets related to transitional activities for the objective of climate change mitigation in the stock of assets funding environmentally sustainable activities. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (e) of Template 8. The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.
e	Of which: enabling Article 16 of Regulation (EU) 2020/852. Institutions shall disclose the proportion of the stock of assets related to enabling activities for the objective of climate change mitigation in the stock of assets funding environmentally sustainable activities. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (f) of Template 7. The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.
f	Proportion of assets funding taxonomy relevant sectors Institutions shall disclose the proportion of the stock of assets funding taxonomy-relevant activities (i.e. eligible assets) in total stock of covered assets. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of eligible assets funding taxonomy-relevant sectors for the objective of climate change adaptation as referred to in the instructions corresponding to column (g) of Template 7. The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.
g	Of which: environmentally sustainable Institutions shall disclose the proportion of the stock of assets funding environmentally sustainable activities (i.e. aligned assets) in the stock of eligible assets. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of eligible assets funding environmentally sustainable activities for the objective of climate change adaptation as referred to in the instructions corresponding to column (h) of Template 7. The denominator of the KPI shall be the gross carrying amount of covered exposures as referred to in the instructions corresponding to column (a) of Template 7.
h	Of which: specialised lending Institutions shall disclose the proportion of the stock of assets categorised as specialised lending funding environmentally sustainable activities for the objective of climate change adaptation in the stock of assets funding environmentally sustainable activities. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (i) of Template 7. The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.
i	Of which: adaptation Article 11 of Regulation (EU) 2020/852. Institutions shall disclose the proportion of the stock of assets related to adaptation activities for the objective of climate change adaptation in the stock of assets funding environmentally sustainable activities. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (j) of Template 7. The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.
j	Of which: enabling Article 16 of Regulation (EU) 2020/852. Institutions shall disclose the proportion of the stock of assets related to enabling activities for the objective of climate change adaptation in the stock of assets funding environmentally sustainable activities. The item shall be expressed in percentage terms. The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (k) of Template 7. The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.
k	Proportion of assets funding taxonomy relevant sectors Institutions shall disclose the proportion of the stock of assets funding taxonomy-relevant activities (i.e. eligible assets) for the objectives of climate change mitigation and climate change adaptation, compared to the total stock of covered assets. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of eligible assets funding taxonomy relevant sectors as referred to in the instructions corresponding to column (l) of Template 7. The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.
l	Of which: environmentally sustainable Institutions shall disclose the proportion of the stock of assets funding environmentally sustainable activities for the objectives of climate change mitigation and adaptation in the stock of eligible assets. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of eligible assets funding environmentally sustainable activities as referred to in the instructions corresponding to column (m) of Template 7. The denominator of the KPI shall be the gross carrying amount of covered exposures as referred to in the instructions corresponding to column (a) of Template 7.
m	Of which: specialised lending Institutions shall disclose the proportion of the stock of assets categorised as specialised lending funding environmentally-sustainable activities for the objectives of climate change mitigation and adaptation in the stock of assets funding environmentally sustainable activities. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of assets as referred to in the instructions corresponding to column (n) of Template 7. The denominator of the KPI shall be the gross carrying amount of covered assets as referred to in the instructions corresponding to column (a) of Template 7.
n	Of which: transitional/adaptation Articles 10 and 11 of Regulation (EU) 2020/852. The percentage shall correspond to column (d) and column (i).
o	Of which: enabling Article 16 of Regulation (EU) 2020/852. The percentage shall correspond to column (e) and column (j).
p	Proportion of total assets covered Institutions shall disclose the proportion of total assets covered by the GAR. The item shall be expressed in percentage terms. The numerator of the KPI shall be the gross carrying amount of the stock of covered assets as referred to in the instructions corresponding to column (1) of Template 7. The denominator of the KPI shall be the gross carrying amount of total assets on institutions’ balance sheet as referred to in the instructions corresponding to row 50 of Template 7.
q	Proportion of new assets funding taxonomy relevant sectors Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) funding taxonomy-relevant activities (i.e. eligible assets) for the objective of climate change mitigation in total new eligible assets (i.e. eligible assets originated within the current disclosure period). New assets shall be calculated net of repayments and other reductions. Tis item shall be expressed as in percentage terms. The numerator of the KPI shall be the gross carrying amount of eligible new assets funding taxonomy relevant sectors as referred to in the instructions corresponding to column (b) of Template 7. The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
r	Of which: environmentally sustainable Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities for the objective of climate change mitigation in total new eligible assets (i.e. eligible assets originated within the current disclosure period). New assets shall be calculated net of repayments and other reductions. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (c) of Template 7. The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
s	Of which: specialised lending Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) categorised as specialised lending funding environmentally sustainable activities for the objective of climate change mitigation in total new eligible assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New eligible assets shall be calculated net of repayments and other reductions. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (d) of Template 8. The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
t	Of which: transitional Article 10 of Regulation (EU) 2020/852. Institutions shall disclose the proportion of the new assets (i.e. assets originated within the current disclosure period) related to transitional activities for the objective of climate change mitigation in total new eligible assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New eligible assets shall be calculated net of repayments and other reductions. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (e) of Template 8. The denominator of the KPI shall be the gross carrying amount of covered new assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
u	Of which: enabling Article 16 of Regulation (EU) 2020/852. Institutions shall disclose the proportion of the new assets (i.e. assets originated within the current disclosure period) related to enabling activities for the objective of climate change mitigation in total new eligible assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New eligible assets shall be calculated net of repayments and other reductions. The item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (f) of Template 8. The denominator of the KPI shall be the gross carrying amount of covered new assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
v	Proportion of new assets funding taxonomy relevant sectors Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) funding activities covered by Regulation (EU) 2020/852 for the objective of climate change adaptation in total new eligible assets (i.e. eligible assets originated within the current disclosure period). New assets shall be calculated net of repayments and other reductions. This item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of eligible new assets funding taxonomy relevant sectors as referred to in the instructions corresponding to column (g) of Template 7. The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
w	Of which: environmentally sustainable Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities for the objective of climate change adaptation in total new eligible assets (i.e. eligible assets originated within the current disclosure period). New assets shall be calculated net of repayments and other reductions. This item shall be expressed in percentage terms. The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (h) of Template 7. The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
x	Of which: specialised lending Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) categorised as specialised lending funding environmentally sustainable activities for the objective of climate change adaptation in total new eligible assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New eligible assets shall be calculated net of repayments and other reductions. This item shall be expressed as a percentage. The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (i) of Template 7. The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
y	Of which: adaptation Article 11 of Regulation (EU) 2020/852. Institutions shall disclose the proportion of the new assets (i.e. assets originated within the current disclosure period) related to transitional activities for the objective of climate change adaptation in total new eligible assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New eligible assets shall be calculated net of repayments and other reductions. This item shall be expressed in percentage terms. The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (j) of Template 7. The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
z	Of which: enabling Article 16 of Regulation (EU) 2020/852. Institutions shall disclose the proportion of the new assets (i.e. assets originated within the current disclosure period) related to enabling activities for the objective of climate change adaptation in total new eligible assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New eligible assets shall be calculated net of repayments and other reductions. This item shall be expressed in percentage terms. The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (k) of Template 7. The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
aa	Proportion of assets funding taxonomy relevant sectors Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) funding activities covered by the objectives laid down in Regulation (EU) 2020/852 of climate change mitigation and climate change adaptation in total new eligible assets (i.e. eligible assets originated within the current disclosure period). New assets shall be calculated net of repayments and other reductions. This item shall be expressed in percentage terms. The numerator of the KPI shall be the gross carrying amount of eligible new assets funding taxonomy relevant sectors as referred to in the instructions corresponding to column (l) of Template 7. The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
ab	Of which: environmentally sustainable Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities for the objective of climate change mitigation and climate change adaptation in total new eligible assets (i.e. eligible assets originated within the current disclosure period). New assets shall be calculated net of repayments and other reductions. This item shall be expressed in percentage terms. The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (m) of Template 7. The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
ac	Of which: specialised lending Institutions shall disclose the proportion of new assets (i.e. assets originated within the current disclosure period) categorised as specialised lending funding environmentally sustainable activities for the objectives of climate change mitigation and climate change adaptation in total new assets (i.e. assets originated within the current disclosure period) funding environmentally sustainable activities. New assets shall be calculated net of repayments and other reductions. This item shall be expressed in percentage terms. The numerator of the KPI shall be the gross carrying amount of eligible new assets as referred to in the instructions corresponding to column (n) of Template 7. The denominator of the KPI shall be the gross carrying amount of new covered assets from those assets, as referred to in the instructions corresponding to column (a) of Template 7.
ad	Of which: transitional/adaptation Articles 10 and 11 of Regulation (EU) 2020/852. The percentage shall correspond to column (t) and column (y).
ae	Of which: enabling Article 16 of Regulation (EU) 2020/852. The percentage shall correspond to column (u) and column (z).
af	Proportion of new total assets covered Institutions shall disclose the proportion of new total assets covered by the GAR. New assets shall be calculated net of repayments and other reductions. The item shall be expressed as a percentage. The numerator of the KPI shall be the difference in the gross carrying amount of covered assets, as referred to in the instructions corresponding to row 1 of Template 7, between current disclosure period (t) and previous disclosure period (t-1). The denominator of the KPI shall be the difference in the gross carrying amount of new total assets, as referred to in the instructions corresponding to row 53 of Template 7, between current disclosure period (t) and previous disclosure period (t-1).

Rows	Instructions
1	GAR as referred to in Delegated Regulation (EU) 2021/2178.
2	Loans and advances, debt securities and equity instruments not HfT eligible for GAR calculation GAR % for exposures in row 1 of Template 7.
3	Financial corporations GAR % for exposures in row 2 of Template 7.
4	Credit institutions GAR % for exposures in row 3 of Template 7.
5	Other financial corporations GAR % for exposures in row 7 of Template 7.
6	Of which: investment firms GAR % for exposures in row 8 of Template 7.
7	Of which: management companies GAR % for exposures in row 12 of Template 7.
8	Of which: insurance undertakings GAR % for exposures in row 16 of Template 7.
9	NFCs subject to NFRD disclosure obligations GAR % for exposures in row 20 of Template 7.
10	Households GAR % for exposures in row 24 of Template 7.
11	Of which loans collateralised by residential immovable property GAR % for exposures in row 25 of Template 7.
12	Of which building renovation loans GAR % for exposures in row 26 of Template 7.
13	Of which motor vehicle loans GAR % for exposures in row 27 of Template 7.
14	Local government financing GAR % for exposures in row 28 of Template 7.
15	Housing financing GAR % for exposures in row 29 of Template 7.
16	Other local government financing GAR % for exposures in row 30 of Template 7.
17	Collateral obtained by taking possession: residential and commercial immovable properties GAR % for exposures in row 31 of Template 7.

Template 9 – Mitigating actions: BTAR

1. Article 9 of Implementing Regulation (EU) 2021/2178 provides that the Commission reviews the application of that Regulation by 30 June 2024. The Commission is to assess in particular the need for any further amendments with regards to the inclusion of:

(a)

exposures to central governments and central banks in the numerator and denominator of key performance indicators of financial undertakings;

(b)

exposures to undertakings that do not publish a non-financial statement pursuant to Articles 19a or 29a of Directive 2013/34/EU in the numerator of key performance indicators of financial undertakings.

2. Institutions may choose to include in this template the following information. For those counterparties that are non-financial corporates and do not have disclosure obligations, institutions may disclose, on a reasonable effort basis and based on information already available and collected on a voluntary and bilateral basis from their counterparties or calculated using estimates, extended information on the taxonomy eligibility and taxonomy alignment as referred to in Regulation (EU) 2020/852 with regard to the environmental objectives of climate-change mitigation and adaptation, as referred to in Article 9, points (a) and (b), of Regulation (EU) 2020/852, of those exposures towards European non-financial corporations that are not subject to the disclosure obligations laid down in Directive 2013/34/EU and non-European non-financial corporations not subject to the disclosure obligations laid down in Directive 2013/34/EU. That information may be disclosed only once, based on counterparties’ turnover alignment for the general-purpose lending loans, as in the case of the GAR.

The first disclosure reference date of this template is as of 31 December 2024. Institutions are not required to disclose this information before 1 January 2025.

Template 9.1 – Mitigating actions: Assets for the calculation of BTAR

1. Institutions may disclose in this template the gross carrying among of the assets relevant for the calculation of the BTAR. This template shall only apply to counterparties that are not subject to disclosure obligations.

1	TOTAL GAR ASSETS As disclosed in row 32 of template 7.
2	EU Non-financial corporations (not subject to NFRD disclosure obligations) Institutions shall disclose exposures to non-financial corporation as defined in Part 1, point 42(e), of Annex V to Implementing Regulation (EU) 2021/451, which are located in the Union and which are not subject to disclosure obligations under Directive 2013/34/EU. Where the counterparty is not subject to disclosures under Article 8 of Regulation (EU) 2020/852, for the calculation of the percentage of taxonomy-aligned exposures as referred to in Regulation (EU) 2020/852, institutions may, on a reasonable effort basis, collect information from their counterparties on a voluntary and bilateral basis through the loan origination, and regular credit review and monitoring process. Only where the counterparty is not able or willing to provide the relevant data, credit institutions shall make use of internal estimates and proxies and explain in the narrative accompanying the template the extend of use of those estimates and the kind of estimates applied. Where institutions are unable to collect on a voluntary and bilateral basis or estimate relevant information, or are unable to do it in a reasonable way that is not overly burdensome for them or their counterparties, they shall explain that fact in the narrative accompanying the template, explaining the reasons and counterparties affected. For disclosures involving corporates not subject to disclosure obligations under Directive 2013/34/EU, including small and medium enterprises (SMEs), when assessing general purpose lending/financing with unknown use of proceeds, institutions shall follow a simplified approach and focus their assessment on the main economic activity of the corporate, that is, on their main source of turnover, in order to determine the overall alignment of the exposures with Regulation (EU) 2020/852. In the case of specialised lending, the assessment shall be based on the extent to which the specific project funded qualifies as contributing substantially to climate change mitigation or adaptation (project specific information).
4	Of which: loans collateralised by commercial immovable property The exposures referred to in Part 2, point 173, letter (a), and point 239ix, of Annex V to Implementing Regulation (EU) 2021/451. The taxonomy-alignment as referred to in Regulation (EU) 2020/852 of those exposures shall only be assessed following a simplified approach, for the objective of climate change mitigation in accordance with the technical screening criteria for buildings, namely renovation and acquisition and ownership in accordance with points 7.2., 7.3., 7.4., 7.5, 7.6., and 7.7. respectively, of Annex I to Delegated Regulation (EU) 2021/2139, based on the energy efficiency of the underlying collateral.
5	Of which: building renovation loans Loans that are granted to SMEs and other non-financial corporations not subject to disclosure obligations under Directive 2014/95/EU with the purpose of renovating a building. The taxonomy alignment as referred to in Regulation (EU) 2020/852 of these exposures shall only be assessed following a simplified approach, for the objective of climate change mitigation in accordance with the technical screening criteria for buildings, namely renovation and acquisition and ownership in accordance with points 7.2., 7.3., 7.4., 7.5, 7.6., and 7.7. respectively, of Annex I to Delegated Regulation (EU) 2021/2139, based on the energy efficiency of the underlying collateral.
8	Non-EU Non-financial corporations (not subject to NFRD disclosure obligations) Exposures to non-financial corporation as referred to in Part 1, point 42, letter (e), of Annex V to Implementing Regulation (EU) 2021/451, which are located outside the Union and not subject to disclosure obligations under Directive 2014/95/EU. Where institutions are providing that information in their disclosures under Article 8 of Regulation (EU) 2020/852 in accordance with Article 7(7) of Delegated Regulation (EU) 2021/2178, they shall disclose here the same information. Otherwise, institutions shall collect information from their counterparties on a bilateral basis through the loan origination, and regular credit review and monitoring process, or use the following proxies for the disclosure of information on non-EU exposures on a best-effort-basis: (a) their own models and the classification of exposures according to them; in this case institutions shall explain the main features of the models applied; (b) where available, counterparties’ public disclosures based on international standards (including TCFD); institutions shall in that case explain the type of information available and the standards applied; (c) other publicly available data. Institutions are to explain in the narrative accompanying this template the sources used for the disclosure of this information. Where institutions are unable to collect on a bilateral basis or estimate relevant information or are unable to do it in a reasonable way that is not overly burdensome for them or their counterparties, they shall explain that fact in the narrative accompanying the template, explaining the reasons and counterparties affected. For this type of counterparties, when assessing general purpose lending/financing with unknown use of proceeds, institutions shall follow a simplified approach and focus their assessment on the main economic activity of the corporate, that is, on their main source of turnover, in order to determine the overall alignment of the exposures with Regulation (EU) 2020/852. In the case of specialised lending, the assessment shall be based on the extent and proportion to which the specific project funded qualify as contributing substantially to climate change mitigation or adaptation (project specific information), and for the real estate portfolio the assessment shall be conducted for the objective of climate change mitigation based on the energy efficiency of the underlying collateral and their alignment with criteria specified for the relevant activities in Regulation (EU) 2020/852.
Row 12	TOTAL BTAR ASSETS Sum of rows 1, 2 and 8
Rows 13 to 19	See definitions in template 7 (rows 41 to 50)

Template 9.2 – BTAR %

Institutions may disclose in this template the percentage of BTAR assets as disclosed in template 1 compared to the total assets in the denominator of the BTAR as disclosed in row 17 of template 9.1.

Template 9.3 – BTAR %

This template contains a summary of the BTAR KPI, breakdown by climate change environmental objective, and total, and with the breakdown for stock and flow.

Template 10 – Other climate change mitigating actions that are not covered in Regulation (EU) 2020/852

1. This template covers other climate change mitigating actions and includes exposures of the institutions that are not taxonomy-aligned as referred to in Regulation (EU) 2020/852 according to templates 7 and 8 but that still support counterparties in the transition and adaptation process for the objectives of climate change mitigation and climate change adaptation. Those mitigating actions and activities shall include bonds and loans issued under standards other than the Union standards, including green bonds; sustainable bonds that are linked to aspects on climate change; sustainability-linked bonds that are linked to aspects on climate change; green loans; sustainability-linked loans that are linked to aspects on climate change; sustainability-linked loans that are linked to aspects on climate change.

2. Institutions shall include in the narrative accompanying this template detailed explanations on the nature and type of mitigating actions reflected in this template, including information on the type of risks that they aim to mitigate, climate change objectives that they support and information on the related counterparties and the timing of the actions. They shall also explain why those exposures are not fully aligned with the criteria laid down in Regulation (EU) 2020/852, and are not sustainable in accordance with Regulation (EU) 2020/852 but still contribute towards mitigating climate change risk transition or physical risk, as well as any other relevant information that may help understand the risk management framework of the institution.

3. Institutions shall start disclosing the information included in the templates with first disclosure reference date as of 31 December 2022.

Columns	Instructions
a	Type of financial instrument Institutions shall disclose the type of financial instrument as referred to in Annex V to Implementing Regulation (EU) 2021/451.
b	Type of counterparty Institutions shall disclose the type of counterparty as referred to in Part 1, point 42, of Annex V to Implementing Regulation (EU) 2021/451.
c	Gross carrying amount (million EUR) Institutions shall disclose the gross carrying amount as referred to in Part 1, point 34, of Annex V to Implementing Regulation (EU) 2021/451.
d	Type of risk mitigated (Climate change transition risk) Institutions shall disclose the type of risk that is being mitigated with that action: climate change transition risk.
e	Type of risk mitigated (Climate change physical risk) Institutions shall disclose the type of risk that is being mitigated with that action: climate change physical risk.
f	Qualitative information on the nature of the mitigating actions Institutions shall describe the nature of the mitigating actions contributing to climate change mitigation referred to in Article 10 of Regulation (EU) 2020/852 and to climate-change adaptation referred to in Article 11 of that Regulation, and on the reasons why the exposures are not regarded as taxonomy-aligned for the purpose of the GAR.

1. Panoramica

1.1 Riferimenti

1.2 Requisiti identificati

1.3 Standard correlati

2. Requisiti identificati

3. Standard correlati