Commission Implementing Regulation (EU) 2021/637 of 15 March 2021 laying down implementing technical standards with regard to public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013

1. Institutions shall disclose the information referred to in Article 447, points (a) to (g), and Article 438, point (b), of Regulation (EU) No 575/2013 by using template EU KM1 of Annex I to this Regulation and by following the instructions set out in Annex II to this Regulation.

2. Institutions shall disclose the information referred to in Article 438, point (d), of Regulation (EU) No 575/2013 by using template EU OV1 of Annex I to this Regulation and by following the instructions set out in Annex II to this Regulation.

3. Institutions shall disclose the information referred to in Article 438 points (a) and (c), of Regulation (EU) No 575/2013 by using table EU OVC set out in Annex I to this Regulation and by following the instructions set out in Annex II to this Regulation.

4. Institutions shall disclose the information referred to in Article 438, points (f) and (g), of Regulation (EU) No 575/2013 by using templates EU INS1 and EU INS2 set out in Annex I to this Regulation and by following the instructions set out in Annex II to this Regulation.

Institutions shall disclose the information referred to in Article 435 of Regulation (EU) No 575/2013 by using tables EU OVA and EU OVB set out in Annex III to this Regulation and by following the instructions set out in Annex IV to this Regulation.

1. Institutions shall disclose the information referred to in Article 436, points (b) and (c), of Regulation (EU) No 575/2013 by using templates EU LI1 and EU LI3 of Annex V to this Regulation and by following the instructions set out in Annex VI to this Regulation.

2. Institutions shall disclose the information referred to in Article 436, points (b) and (d), of Regulation (EU) No 575/2013 by using template EU LI2 and table EU LIA of Annex V to this Regulation and by following the instructions set out in Annex VI to this Regulation.

3. Institutions shall disclose the information referred to in Article 436, point (e), of Regulation (EU) No 575/2013 by using template EU PV1 of Annex V to this Regulation and by following the instructions set out in Annex VI to this Regulation.

4. Institutions shall disclose the information referred to in Article 436, points (f), (g) and (h), of Regulation (EU) No 575/2013, by using table EU LIB of Annex V to this Regulation and by following the instructions set out in Annex VI to this Regulation.

Institutions shall disclose the information referred to in Article 437 of Regulation (EU) No 575/2013, as follows:

(a) the information referred to in Article 437, points (a), (d), (e) and (f), of Regulation (EU) No 575/2013 by using templates EU CC1 and EU CC2 of Annex VII to this Regulation and by following the instructions set out in Annex VIII to this Regulation;

(b) the information referred to in Article 437, points (b) and (c), of Regulation (EU) No 575/2013 by using table EU CCA of Annex VII to this Regulation and by following the instructions set out in Annex VIII to this Regulation.

Institutions shall disclose the information referred to in Article 440 of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 440, point (a), of Regulation (EU) No 575/2013 by using template EU CCYB1 of Annex IX to this Regulation and by following the instructions set out in Annex X to this Regulation;

(b) the information referred to in Article 440, point (b) of Regulation (EU) No 575/2013 by using template EU CCYB2 of Annex IX to this Regulation and by following the instructions set out in Annex X to this Regulation.

Institutions shall disclose the information referred to in Article 451 of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 451(1), points (a), (b), and (c), and in Article 451, paragraphs 2 and 3, of Regulation (EU) No 575/2013 by using templates EU LR1, EU LR2 and EU LR3 of Annex XI to this Regulation and by following the instructions set out in Annex XII to this Regulation;

(b) the information referred to in Article 451(1), points (d) and (e), of Regulation (EU) No 575/2013 by using table EU LRA of Annex XI to this Regulation and by following the instructions set out in Annex XII to this Regulation.

1. G-SIIs shall disclose the information on the values of the indicators used for determining their score referred to in Article 441 of Regulation (EU) No 575/2013 by using the uniform disclosure format referred to in Article 434a of Regulation (EU) No 575/2013 which shall be used for the collection of the indicator values by relevant authorities as set out in Article 3(2) of Commission Delegated Regulation (EU) No 1222/2014, with the exception of any ancillary data and memorandum items collected in accordance with that Article.

2. G-SIIs shall disclose the information referred to in paragraph 1 in their year-end Pillar 3 report. G-SIIs shall redisclose the information referred to in paragraph 1 in their first Pillar 3 report following the final submission of the values of the indicators to the relevant authorities, where the submitted figures are different from the figures disclosed in the year-end Pillar 3 report.

Institutions shall disclose the information referred to in Article 435(1) and in Article 451a of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 435(1) and in Article 451a(4) of Regulation (EU) No 575/2013 by using table EU LIQA of Annex XIII to this Regulation and by following the instructions set out in Annex XIV to this Regulation;

(b) the information referred to in Article 451a(2) of Regulation (EU) No 575/2013 by using template EU LIQ1 and table EU LIQB of Annex XIII to this Regulation and by following the instructions set out in Annex XIV to this Regulation;

(c) the information referred to in Article 451a(3) of Regulation (EU) No 575/2013 by using template EU LIQ2 of Annex XIII to this Regulation and by following the instructions set out in Annex XIV to this Regulation.

1. Institutions shall disclose the information referred to in Articles 435 and 442 of Regulation (EU) No 575/2013 as follows:(a) the information referred to in Article 435(1), points (a), (b), (d) and (f), of Regulation (EU) No 575/2013 by using table EU CRA of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation;(b) the information referred to in Article 442, points (a) and (b), of Regulation (EU) No 575/2013 by using table EU CRB of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation;(c) the information referred to in Article 442, point (d), of Regulation (EU) No 575/2013 by using template EU CQ3 of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation;(d) the information referred to in Article 442, point (g), of Regulation (EU) No 575/2013 by using template EU CR1-A of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation;(e) the information referred to in Article 442, point (f), of Regulation (EU) No 575/2013 by using template EU CR2 of Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation.

2. Institutions shall disclose the information referred to in Article 442, points (c), (e) and (f), of Regulation (EU) No 575/2013 by using templates EU CR1, EU CQ1, and EU CQ7, columns a, c, e, f and g of template EU CQ4, and columns a, c, e and f of template EU CQ5, set out in Annex XV to this Regulation and by following the instructions set out in Annex XVI to this Regulation.

3. 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 % shall, in addition to the templates and columns referred to in paragraph 2, disclose the information referred to in Article 442, points (c) and (f), of Regulation (EU) No 575/2013 by using templates EU CR2a, EU CQ2, EU CQ6 and EU CQ8, and columns b and d of templates EU CQ4 and EU CQ5 set out in Annex XV to this Regulation by following the instructions set out in Annex XVI. They shall disclose that information on an annual basis.

4. For the purpose of paragraph 3, 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 ratio.

5. Institutions shall commence disclosure in accordance with paragraph 3 where they have reached or exceeded the 5 % threshold referred to in that paragraph in two consecutive quarters during the four quarters prior to the reference date of the disclosure. For the reference date of the first disclosure, institutions shall disclose the information concerned by using the templates referred to in that paragraph where they exceed the 5 % threshold on that disclosure reference date.

6. Institutions shall no longer be obliged to disclose in accordance with paragraph 3 where they have fallen below the 5 % threshold on three consecutive quarters during the four quarters prior to the disclosure reference date.

Institutions shall disclose the information referred to in Article 453, points (a) to (f), of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 453, points (a) to (e), of Regulation (EU) No 575/2013 by using table EU CRC of Annex XVII to this Regulation and by following the instructions set out in Annex XVIII to this Regulation;

(b) the information referred to in Article 453, point (f), of Regulation (EU) No 575/2013 by using template EU CR3 of Annex XVII to this Regulation and by following the instructions set out in Annex XVIII to this Regulation.

Institutions calculating risk-weighted exposure amounts under the Standardised Approach shall disclose the information referred to in Article 444 and in Article 453, points (g), (h) and (i), of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 444, points (a) to (d), of Regulation (EU) No 575/2013 by using table EU CRD of Annex XIX to this Regulation and by following the instructions set out in Annex XX to this Regulation;

(b) the information referred to in Article 453, points (g), (h) and (i), of and Article 444, point (e), of Regulation (EU) No 575/2013 by using template EU CR4 of Annex XIX to this Regulation and by following the instructions set out in Annex XX to this Regulation;

(c) the information referred to in Article 444, point (e), of Regulation (EU) No 575/2013 by using template EU CR5 of Annex XIX to this Regulation and by following the instructions set out in Annex XX to this Regulation and, for the information on the exposure values deducted from own funds referred to in that same Article, by using template EU CC1 of Annex VII to this Regulation and by following the instructions set out in Annex VIII to this Regulation.

Institutions calculating risk-weighted exposure amounts under the IRB Approach shall disclose the information referred to in Articles 438 and 452 and in Article 453, points (g) and (j), of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 452, points (a) to (f), of Regulation (EU) No 575/2013 by using table EU CRE and template EU CR6-A of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation;

(b) the information referred to in Article 452, point (g), of Regulation (EU) No 575/2013 by using template EU CR6 of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation;

(c) the information referred to in Article 453, points (g) and (j), of Regulation (EU) No 575/2013 by using templates EU CR7-A and EU CR7 of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation;

(d) the information referred to in Article 438, point (h), of Regulation (EU) No 575/2013 by using template EU CR8 of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation;

(e) the information referred to in Article 452, point (h), of Regulation (EU) No 575/2013 by using templates EU CR9 and EU CR9.1 of Annex XXI to this Regulation and by following the instructions set out in Annex XXII to this Regulation.

Institutions shall disclose the information referred to in Article 438, point (e), of Regulation (EU) No 575/2013 by using template EU CR10 of Annex XXIII to this Regulation and by following the instructions set out in Annex XXIV to this Regulation.

Institutions shall disclose the information referred to in Article 438, point (h), and Article 439 of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 439, points (a), (b), (c) and (d), of Regulation (EU) No 575/2013 by using table EU CCRA of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(b) the information referred to in Article 439, points (f), (g), (k) and (m), of Regulation (EU) No 575/2013 by using template EU CCR1 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(c) the information referred to in Article 439, point (h), of Regulation (EU) No 575/2013 by using template EU CCR2 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(d) the information referred to in Article 439, point (l) of Regulation (EU) No 575/2013 by using templates EU CCR3 and EU CCR4 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(e) the information referred to in Article 439, point (e), of Regulation (EU) No 575/2013 by using template EU CCR5 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(f) the information referred to in Article 439, point (j), of Regulation (EU) No 575/2013 by using, template EU CCR6 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(g) the information referred to in Article 438, point (h), of Regulation (EU) No 575/2013 by using template EU CCR7 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation;

(h) the information referred to in Article 439, point (i) of Regulation (EU) No 575/2013 by using template EU CCR8 of Annex XXV to this Regulation and by following the instructions set out in Annex XXVI to this Regulation.

Institutions shall disclose the information referred to in Article 449 of Regulation (EU) No 575/2013 as follows:

(a) the information referred to in Article 449, points (a) to (i), of Regulation (EU) No 575/2013 by using table EU SECA of Annex XXVII to this Regulation and by following the instructions set out in Annex XXVIII to this Regulation;

(b) the information referred to in Article 449, point (j), of Regulation (EU) No 575/2013 by using templates EU SEC1 and EU SEC2 of Annex XXVII to this Regulation and by following the instructions set out in Annex XXVIII to this Regulation;

(c) the information referred to in Article 449, point (k), of Regulation (EU) No 575/2013 by using templates EU SEC3 and EU SEC4 of Annex XXVII to this Regulation and by following the instructions set out in Annex XXVIII to this Regulation;

(d) the information referred to in Article 449, point (l) of Regulation (EU) No 575/2013 by using template EU SEC5 of Annex XXVII to this Regulation and by following the instructions set out in Annex XXVIII to this Regulation.

1. Institutions shall disclose the information referred to in Article 445 of Regulation (EU) No 575/2013 by using template EU MR1 of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation.

2. Institutions shall disclose the information referred to in Articles 435, 438 and 455 of Regulation (EU) No 575/2013 as follows:(a) the information regarding market risk referred to in Article 435(1), points (a) to (d), of Regulation (EU) No 575/2013 by using table EU MRA of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation;(b) the information referred to in Article 455, points (a), (b), (c) and (f), of Regulation (EU) No 575/2013 by using table EU MRB of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation;(c) the information referred to in Article 455, point (e), of Regulation (EU) No 575/2013 by using template EU MR2-A of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation;(d) the information regarding internal market risk models referred to in Article 438, point (h), of Regulation (EU) No 575/2013 by using template EU MR2-B of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation;(e) the information referred to in Article 455, point (d), of Regulation (EU) No 575/2013 by using template EU MR3 of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation;(f) the information referred to in Article 455, point (g), of Regulation (EU) No 575/2013 by using template EU MR4 of Annex XXIX to this Regulation and by following the instructions set out in Annex XXX to this Regulation.

Institutions shall disclose the information referred to in Article 435, Article 438, point (d), and Articles 446 and 454 of Regulation (EU) No 575/2013 by using table EU ORA and template EU OR1 of Annex XXXI to this Regulation and by following the instructions set out in Annex XXXII to this Regulation.

Institutions shall disclose the information referred to in Article 450 of Regulation (EU) No 575/2013, as follows:

(a) the information referred to in Article 450(1), points (a) to (f), and points (j) and (k), and the information referred to in Article 450(2) of that Regulation, by using table EU REMA of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;

(b) the information referred to in Article 450(1), points (h)(i) and (h)(ii), of Regulation (EU) No 575/2013 by using template EU REM1 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;

(c) the information referred to in Article 450(1), points (h)(v), (h)(vi) and (h)(vii), of Regulation (EU) No 575/2013 by using template EU REM2 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;

(d) the information referred to in Article 450(1), points (h)(iii) and (h)(iv), of Regulation (EU) No 575/2013 by using template EU REM3 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation;

(e) the information referred to in Article 450(1), points (g) and (i), of Regulation (EU) No 575/2013 by using templates EU REM4 and EU REM5 of Annex XXXIII to this Regulation and by following the instructions set out in Annex XXXIV to this Regulation.

Institutions shall disclose the information referred to in Article 443 of Regulation (EU) No 575/2013 by using templates EU AE1, EU AE2 and EU AE3 and table EU AE4 of Annex XXXV to this Regulation and by following the instructions set out in Annex XXXVI to this Regulation.

1. The numbering of rows or columns shall not be altered where an institution omits one or more disclosures in accordance with Article 432 of Regulation (EU) No 575/2013.

2. Institutions shall make a clear note in the narrative accompanying the template or table concerned indicating which rows or columns are not populated and stating the reason of the omission of the disclosure.

3. The information required by Article 431 of Regulation (EU) No 575/2013 shall be clear and comprehensive, enabling users of that information to understand the quantitative disclosures, and shall be placed next to the templates to which that information relates.

4. Numeric values shall be presented as follows:(a) quantitative monetary data shall be disclosed using a minimum precision equivalent to millions of units;(b) quantitative data disclosed as ‘Percentage’ shall be expressed as per unit with a minimum precision equivalent to four decimals.

5. Institutions shall, in addition to the information disclosed in accordance with this Regulation, also provide the following information:(a) disclosure reference date and reference period;(b) reporting currency;(c) name and, where relevant, legal entity identifier (LEI) of the disclosing institution;(d) where relevant, the accounting standard used;(e) where relevant, the scope of consolidation.

Implementing Regulation (EU) No 1423/2013, Delegated Regulation (EU) 2015/1555, Implementing Regulation (EU) 2016/200 and Delegated Regulation (EU) 2017/2295 are repealed.

This Regulation shall enter into force on the twentieth day following that of its publication in the Official Journal of the European Union.

It shall apply from 28 June 2021.

This Regulation shall be binding in its entirety and directly applicable in all Member States.

Template EU OV1 – Overview of total risk exposure amounts

Template EU KM1 - Key metrics template

Template EU INS1 - Insurance participations

Template EU INS2 - Financial conglomerates information on own funds and capital adequacy ratio

Table EU OVC - ICAAP information

Internal Capital Adequacy Assessment Process + ongoing assessment of the bank's risks, how the bank intends to mitigate those risks and how much current and future capital is necessary having considered other mitigating factors

Free format text boxes for disclosure on qualitative items

Instructions for overview disclosure templates

Template EU OV1 – Overview of total risk exposure amounts. Fixed format

1. Institutions shall apply the instructions below to complete template EU OV1 as presented in Annex I to this Implementing Regulation, in application of point (d) of Article 438 of Regulation (EU) No 575/2013 (1) (‘CRR’).

2. Institutions shall explain, where relevant, in the narrative accompanying the template, the effect that applying capital floors and not deducting items from own funds has on the calculation of own funds and risk exposure amounts.

Template EU KM1 – Key metrics template. Fixed format

3. Institutions shall apply the instructions provided below in this Annex to complete template EU KM1 presented in Annex I to this Implementing Regulation, in application of points (a) to (g) of Article 447 CRR and in application of point (b) of Article 438 CRR.

Template EU INS1 – Insurance participations: Fixed format

4. Institutions shall apply the instructions provided below in this Annex to complete template EU INS1 as presented in Annex I, in application of point (f) of Article 438 CRR.

Template EU INS2 – Financial conglomerates - Information on own funds and capital adequacy ratio. Fixed format

5. Institutions shall apply the instructions provided below in this Annex to complete template EU INS2 presented in Annex I to this Implementing Regulation, in application of point (g) of Article 438 CRR.

Table EU OVC - ICAAP information. Flexible format

6. Institutions shall apply the instructions provided below in this Annex to complete table EU OVC as presented in Annex I, in application of points (a) and (c) of Article 438 CRR.

Table EU OVA - Institution risk management approach

Free format text boxes for disclosure of qualitative information

Table EU OVB - Disclosure on governance arrangements

Free format text boxes for disclosure of qualitative information

Instructions for disclosure of risk management objectives and policies

Table EU OVA - Institution risk management approach: Free format text boxes for disclosure of qualitative information

1. Institutions shall disclose the information referred to Article 435(1) of Regulation (EU) 575/2013 (2) (‘CRR’) by following the instructions provided below in this Annex to complete table EU OVA which is presented in Annex III to this Implementing Regulation.

Table EU OVB - Disclosure on governance arrangements: Free format text boxes for disclosure of qualitative information.

2. Institutions shall disclose the information referred to in Article 435(2) CRR by following the instructions provided below in this Annex to complete table EU OVB which is presented in Annex III to this Implementing Regulation.

Template EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories

Template EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements

Template EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity)

Table EU LIA - Explanations of differences between accounting and regulatory exposure amounts

Free format text boxes for disclosure of qualitative information

Table EU LIB - Other qualitative information on the scope of application

Free format text boxes for disclosure of qualitative information

Template EU PV1 - Prudent valuation adjustments (PVA)

Fixed format

Instructions for disclosure of information on the scope of application of the regulatory framework

Template EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories. Flexible format.

1. Institutions shall disclose the information referred to in point (c) of Article 436 of Regulation (EU) 575/2013 (3) (‘CRR’) by following the instructions provided below in this Annex to complete template EU LI1 which is presented in Annex V to this Implementing Regulation.

Template EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements. Fixed format.

2. Institutions shall disclose the information referred to in point (d) of Article 436 CRR by following the instructions provided below in this Annex to complete template EU LI2 which is presented in Annex V to this Implementing Regulation.

Template EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity)

3. Institutions shall disclose the information referred to in point (b) of Article 436 CRR by following the instructions provided below in this Annex to complete template EU LI3 which is presented in Annex V to this Implementing Regulation.

Table EU LIA - Explanations of differences between accounting and regulatory exposure amounts. Free format text boxes for disclosure of qualitative information

4. Institutions shall disclose the information referred to in points (b) and (d) of Article 436 CRR by following the instructions provided below in this Annex to complete table EU LIA which is presented in Annex V to this Implementing Regulation.

Table EU LIB – Other qualitative information on the scope of application. Free format text boxes for disclosure of qualitative information

5. Institutions shall disclose the information referred to points (f), (g) and (h) of Article 436 CRR following the instructions provided below in this Annex to complete table EU LIB which is presented in Annex V to this Implementing Regulation.

Template EU PV1 – Prudent valuation adjustments (PVA): Fixed format

6. Institutions applying the core approach for the determination of the additional valuation adjustment for prudent valuation in accordance with Chapter III of the Commission Delegated Regulation (EU) 2016/101 (4) shall disclose the information referred to in point (e) of Article 436 CRR by following the instructions provided below in this Annex to complete template EU PV1 which is presented in Annex V to this Implementing Regulation.

Template EU CC1 - Composition of regulatory own funds

Template EU CC2 - reconciliation of regulatory own funds to balance sheet in the audited financial statements

Flexible template. Rows have to be disclosed in line with the balance sheet included in the audited financial statements of the institutions. Columns shall be kept fixed, unless the institution has the same accounting and regulatory scope of consolidation, in which case columns (a) and (b) shall be merged

Template EU CCA: Main features of regulatory own funds instruments and eligible liabilities instruments

Instructions for own funds disclosure templates

Template EU CC1 – Composition of regulatory own funds

1. Institutions shall disclose the information referred to in points (a), (d), (e) and (f) of Article 437 of Regulation (EU) 575/2013 (5) (“CRR”) by following the instructions provided in this Annex to complete template EU CC1 which is presented in Annex VII to this Implementing Regulation.

2. For the purposes of template EU CC1, regulatory adjustments comprise deductions from own funds and prudential filters.

3. Institutions are required to complete column (b) of this template to show the source of every major input, which is to be cross-referenced to the corresponding rows in template EU CC2.

4. Institutions shall include in the narrative accompanying the template a description of all restrictions applied to the calculation of own funds in accordance with CRR and the instruments, prudential filters and deductions to which those restrictions apply. They shall also include a comprehensive explanation of the basis on which capital ratios are calculated where those capital ratios are calculated by using elements of own funds determined on a basis other than the basis laid down in the CRR.

Template EU CC2 – Reconciliation of regulatory own funds to balance sheet in the audited financial statements

5. Institutions shall disclose the information referred to in point (a) of Article 437 CRR by following the instructions provided in this Annex to complete template EU CC2 which is presented in Annex VII to this Implementing Regulation.

6. Institutions shall disclose the balance sheet included in their published financial statements. Financial statements shall be the audited financial statements for the year-end disclosures.

7. The rows of the template are flexible and shall be disclosed by institutions in line with their financial statements. Own funds items in the audited financial statements shall include all items that are components of or are deducted from regulatory own funds, including equity, liabilities such as debt, or other balance sheet lines that affect regulatory own funds such as intangible assets, goodwill, deferred tax assets. Institutions shall expand the own funds items of the balance sheet as necessary to ensure that all of the components included in the composition of own funds disclosure template (template EU CC1) appear separately. Institutions shall only expand elements of the balance sheet up to the level of granularity that is necessary for deriving the components required by template EU CC1. Disclosure shall be proportionate to the complexity of the institution's balance sheet.

8. The columns are fixed and shall be disclosed as follows:

a. Column a: Institutions shall include the figures reported in the balance sheet included in their published financial statements in accordance with the accounting scope of consolidation.

b. Column b: Institutions shall disclose the figures corresponding to the scope of prudential consolidation.

c. Column c: Institutions shall include the cross-reference between the own find item in template EU CC2 and the relevant items in the own funds disclosure template EU CC1. The reference in column c of template EU CC2 will be linked to the reference included in column b of template EU CC1.

9. In the following cases where institutions’ scope of accounting consolidation and its scope of prudential consolidation are exactly the same, column (a) and (b) of this template shall be merged and this fact shall be clearly disclosed: d. Where institutions comply with the obligations laid down in Part Eight CRR on a consolidated or sub-consolidated basis but the scope of consolidation and the method for consolidation used for the balance sheet in the financial statements are identical to the scope of consolidation and the method for consolidation defined pursuant to Chapter 2 of Title II of Part One CRR, and institutions clearly state the absence of differences between the respective scopes and methods for consolidation. e. Where institutions meet the obligations laid down in Part Eight CRR on an individual basis.

Table EU CCA – Main features of regulatory own funds instruments and eligible liabilities instruments.

10. Institutions shall disclose the information referred to in points (b) and (c) of Article 437 CRR by following the instructions provided in this Annex to complete table EU CCA which is presented in Annex VII to this Implementing Regulation.

11. Institutions shall complete table EU CCA for the following categories: Common Equity Tier 1 instruments, Additional Tier 1 instruments, Tier 2 instruments and, within the meaning of Article 72b CRR, eligible liabilities instruments.

12. The tables shall comprise separate columns with the features of each regulatory own fund instruments and eligible liabilities instruments. In cases where different instruments of a same category have identical features, institutions may complete only one column disclosing these identical features and identify the issuances to which the identical features refer. When disclosing the columns for these instruments, institutions shall group them under three sections (horizontally along the table) to indicate whether they are for meeting (i) only own funds (but not eligible liabilities) requirements; (ii) both own funds and eligible liabilities requirements; or (iii) only eligible liabilities (but not own funds) requirements.

13. In relation to eligible liabilities instruments that are not subordinated to excluded liabilities, institutions shall disclose only securities which are fungible, negotiable financial instruments, at the exclusion of loans and deposits.

Template EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer

Template EU CCyB2 - Amount of institution-specific countercyclical capital buffer

Template EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the countercyclical capital buffer. Fixed format for columns, flexible format for rows.

1. Institutions shall disclose the information referred to in point (a) of Article 440 of Regulation (EU) 575/2013 (6) (‘CRR’) by following the instructions provided below in this Annex to complete template EU CCyB1 which is presented in Annex IX to this Implementing Regulation.

2. The scope of template EU CCyB1 is limited to credit exposures relevant for the calculation of CCyB in accordance with Article 140(4) of Directive (EU) 2013/36 (7) (‘CRD’).

Template EU CCyB2 - Amount of institution specific countercyclical capital buffer

3. Institutions shall disclose the information referred to in point (b) of Article 440 CRR by following the instructions provided below in this Annex to complete template EU CCyB2 which is presented in Annex IX to this Implementing Regulation.

Template EU LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures

Template EU LR2 - LRCom: Leverage ratio common disclosure

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

Table EU LRA: Disclosure of LR qualitative information

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 (8) (‘CRR’).

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.

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.

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

Table EU LIQA - Liquidity risk management

in accordance with Article 451a(4) CRR

Template EU LIQ1 - Quantitative information of LCR

Scope of consolidation: (solo/consolidated)

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

in accordance with Article 451a(2) CRR

Template EU LIQ2: Net Stable Funding Ratio

In accordance with Article 451a(3) CRR

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 (9) (‘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 (10) 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.

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 (11).

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.

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:

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

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

Template EU CR1-A: Maturity of exposures

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

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

Template EU CQ1: Credit quality of forborne exposures

Template EU CQ2: Quality of forbearance

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