Final report

1 Final report ON THE GUIDELINES ON DISCLOSURE REQUIREMENTS UNDER PART EIGHT OF REGULATION (EU) NO 575/2013 EBA/GL/2016/11, version 2* 14 December 2016 Final report Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013 * Version amended on 9 June 2017 to reflect corrigenda on pages 57, 72, 76, 78, 82 and 91, as well as l anguage corrections and legislation updates in various parts of t he report ON THE GUIDELINES ON DISCLOSURE REQUIREMENTS UNDER PART EIGHT OF REGULATION (EU) NO 575/2013 2 Contents 1. Executive summary 5 Next steps 6 2. Background and rationale 7 The EBA draft guidelines 7 Content of the guidelines 10 Other issues in the context of the guidelines 23 The EBA s statement on early application of the guidelines 27 Guidelines 29 1.

2 Compliance and reporting obligations 30 2. Subject matter, scope and definitions 31 3. Implementation 33 4. Guidelines on disclosure requirements in Part Eight of Regulation (EU) No 575/2013 34 Disclosure requirements, guidance and formats 34 General requirements for disclosures 36 Risk management, objectives and policies 43 Information on the scope of application of the regulatory framework 48 Own funds 55 Capital requirements 55 Macroprudential supervisory measures 60 Credit risk and general information on CRM 60 Credit risk and CRM in the standardised approach 89 Credit risk and CRM in the IRB approach 96 CCR 106 Unencumbered assets 118 Market risk 119 Remuneration 127 Leverage ratio 127 Dissemination of information 127 Annex 1 Overview of the guidelines 128 Accompanying documents 135 Draft cost-benefit analysis/impact assessment 135 Feedback from the public consultation 141 Final report ON THE GUIDELINES ON DISCLOSURE

3 REQUIREMENTS UNDER PART EIGHT OF REGULATION (EU) NO 575/2013 3 List of figures, tables and templates Figure 1: Frequency of application of the guidelines .. 13 Figure 2: Decision tree on the scope of application of these guidelines .. 26 Figure 3: Impact assessment Objectives of the guidelines .. 137 Figure 4: Impact assessment Number and size of the institutions .. 140 Figure 5: Summary of responses to the public consultation and the EBA s analysis .. 145 Table 1: EU OVA Institution risk management approach .. 44 Table 2: EU CRA General qualitative information about credit risk .. 45 Table 3: EU CCRA Qualitative disclosure requirements related to CCR .. 46 Table 4: EU MRA Qualitative disclosure requirements related to market risk.

4 46 Table 5: EU LIA Explanations of differences between accounting and regulatory exposure amounts .. 55 Table 6: EU CRB-A Additional disclosure related to the credit quality of assets .. 61 Table 7: EU CRC Qualitative disclosure requirements related to CRM techniques .. 85 Table 8: EU CRD Qualitative disclosure requirements on institutions use of external credit ratings under the standardised approach for credit risk .. 89 Table 9: EU CRE Qualitative disclosure requirements related to IRB models .. 96 Table 10: EU MRB Qualitative disclosure requirements for institutions using the IMA .. 120 Template 1: EU LI1 Differences between accounting and regulatory scopes of consolidation and the mapping of financial statement categories with regulatory risk categories.

5 49 Template 2: EU LI2 Main sources of differences between regulatory exposure amounts and carrying values in financial statements .. 51 Template 3: EU LI3 Outline of the differences in the scopes of consolidation (entity by entity) . 54 Template 4: EU OV1 Overview of RWAs .. 56 Template 5: EU CR10 IRB (specialised lending and equities) .. 58 Template 6: EU INS1 Non-deducted participations in insurance undertakings .. 59 Template 7: EU CRB-B Total and average net amount of exposures .. 61 Template 8: EU CRB-C Geographical breakdown of exposures .. 64 Template 9: EU CRB-D Concentration of exposures by industry or counterparty types .. 66 Template 10: EU CRB-E Maturity of exposures.

6 69 Final report ON THE GUIDELINES ON DISCLOSURE REQUIREMENTS UNDER PART EIGHT OF REGULATION (EU) NO 575/2013 4 Template 11: EU CR1-A Credit quality of exposures by exposure class and instrument .. 72 Template 12: EU CR1-B Credit quality of exposures by industry or counterparty types .. 75 Template 13: EU CR1-C Credit quality of exposures by geography .. 78 Template 14: EU CR1-D Ageing of past-due exposures .. 80 Template 15: EU CR1-E Non-performing and forborne exposures .. 81 Template 16: EU CR2-A Changes in the stock of general and specific credit risk adjustments .. 83 Template 17: EU CR2-B Changes in the stock of defaulted and impaired loans and debt securities.

7 84 Template 18: EU CR3 CRM techniques Overview .. 87 Template 19: EU CR4 Standardised approach Credit risk exposure and CRM effects .. 91 Template 20: EU CR5 Standardised approach .. 93 Template 21: EU CR6 IRB approach Credit risk exposures by exposure class and PD range .. 99 Template 22: EU CR7 IRB approach Effect on the RWAs of credit derivatives used as CRM techniques .. 102 Template 23: EU CR8 RWA flow statements of credit risk exposures under the IRB approach . 103 Template 24: EU CR9 IRB approach Backtesting of PD per exposure class .. 105 Template 25: EU CCR1 Analysis of CCR exposure by approach .. 106 Template 26: EU CCR2 CVA capital charge.

8 108 Template 27: EU CCR8 Exposures to CCPs .. 109 Template 28: EU CCR3 Standardised approach CCR exposures by regulatory portfolio and risk .. 111 Template 29: EU CCR4 IRB approach CCR exposures by portfolio and PD scale .. 112 Template 30: EU CCR7 RWA flow statements of CCR exposures under the IMM .. 115 Template 31: EU CCR5-A Impact of netting and collateral held on exposure values .. 116 Template 32: EU CCR5-B Composition of collateral for exposures to CCR .. 117 Template 33: EU CCR6 Credit derivatives exposures .. 118 Template 34: EU MR1 Market risk under the standardised approach .. 119 Template 35: EU MR2-A Market risk under the IMA .. 122 Template 36: EU MR2-B RWA flow statements of market risk exposures under the IMA.

9 123 Template 37: EU MR3 IMA values for trading portfolios .. 124 Template 38: EU MR4 Comparison of VaR estimates with gains/losses .. 126 Final report ON THE GUIDELINES ON DISCLOSURE REQUIREMENTS UNDER PART EIGHT OF REGULATION (EU) NO 575/2013 5 1. Executive summary The Basel Committee on Banking Supervision (BCBS) released a revised version of the Pillar 3 framework (RPF) in January 2015. The European Banking Authority (EBA) is issuing own-initiative guidelines to ensure the harmonised and timely implementation of the RPF in the EU. These guidelines do not change the substance of the regulatory disclosures regarding the requirements defined in Part Eight of Regulation (EU) No 575/2013 (the CRR).

10 However, they provide guidance on these disclosures from a presentational aspect. By introducing more specific guidance and formats for disclosures through the use of tables and templates, the guidelines (following the RPF) represent a significant step towards enhancing the consistency and comparability of institutions regulatory disclosures in accordance with Part Eight of the CRR. The EBA has long taken part in initiatives that enhance the comparability and consistency of institutions Pillar 3 disclosures. With the release of the RPF (whose first application is set for 2016 year-end disclosures), European Union (EU) institutions are facing stronger market pressure to move towards a more harmonised presentation of their disclosures.