Final report

1 Final report Final DRAFT IMPLEMENTING TECHNICAL STANDARDS ON PUBLIC DISCLOSURES BY INSTITUTIONS OF THE INFORMATION REFERRED TO IN TITLES II AND III OF PART EIGHT OF REGULATION (EU) NO 575/2013] 1 EBA/ITS/2020/04 24 June 2020 Final report Final draft implementing technical standards on public disclosures by institutions of the information referred to in Titles II and III of Part Eight of Regulation (EU) No 575/2013 Final report Final DRAFT IMPLEMENTING TECHNICAL STANDARDS ON PUBLIC DISCLOSURES BY INSTITUTIONS OF THE INFORMATION REFERRED TO IN TITLES II AND III OF PART EIGHT OF REGULATION (EU) NO 575/2013] 2 Contents 1. Executive summary 3 2. Background and rationale 4 New banking regulatory package 5 Integration of Pillar 3 disclosure requirements with supervisory reporting 6 Proportionality in Pillar 3 disclosures 7 Templates and tables.

2 Use of fixed and flexible formats 8 Other general considerations 8 Disclosure topic by topic 9 Disclosure of key metrics and overview of risk-weighted exposure amounts (Articles 438 and 447) 9 Disclosure of risk management objectives and policies (Article 435) 10 Disclosure of information on the scope of application (Article 436 of the CRR) 11 Prudent valuation adjustments (PVAs) disclosure (point (e) of Article 436) 12 Disclosure on own funds (Article 437) 12 Disclosure of countercyclical capital buffers (Article 440) 15 Disclosure of the leverage ratio (Article 451) 15 Disclosure of liquidity requirements (Articles 435 and 451a) 17 (i) Net stable funding ratio disclosure 18 Credit risk disclosure package 19 Disclosure of exposures to counterparty credit risk (Articles 435, 438 and 439) 30 Disclosure of exposures to securitisation positions (Article 449) 31 Disclosure of use of standardised approach and internal model for market risk (Articles 435, 438, 445 and 455) 32 Disclosure of operational risk (Articles 435, 438, 446 and 454) 33 Disclosure of remuneration policy (Article 450) 33 Disclosure of encumbered and unencumbered assets (Article 443) 34 Timeline for the ITS on disclosures under Titles II and III of Part Eight of the CRR 35 3.

3 Final draft implementing standards 36 4. Accompanying documents 54 Mapping tool mapping of disclosure quantitative data with supervisory reporting 54 Draft cost benefit analysis/impact assessment 54 Views of the Banking Stakeholder Group (BSG) 61 Feedback on the public consultation 63 Final report Final DRAFT IMPLEMENTING TECHNICAL STANDARDS ON PUBLIC DISCLOSURES BY INSTITUTIONS OF THE INFORMATION REFERRED TO IN TITLES II AND III OF PART EIGHT OF REGULATION (EU) NO 575/2013] 3 1. Executive summary Regulation (EU) No 575/2013 (the Capital Requirements Regulation (CRR)) mandates the EBA, in Article 434a, to develop draft implementing technical standards (ITS) specifying uniform disclosure formats, and associated instructions in accordance with which the disclosures required under Titles II and III of Part Eight of the CRR shall be made.

4 Those uniform disclosure formats shall convey sufficiently comprehensive and comparable information for users of that information to assess the risk profiles of institutions and their degree of compliance with the requirements laid down in Parts One to Seven. To facilitate the comparability of information, the ITS shall seek to maintain consistency of disclosure formats with international standards on disclosures. Following the new mandate, the EBA has updated its strategy regarding its policy on institutions Pillar 3 disclosures, in order to foster the role of institutions disclosures in promoting market discipline through, among other actions, the development of a comprehensive ITS on disclosure. The key goals of this strategy and of the new ITS are: a.

5 Optimise the Pillar 3 policy framework to provide a single comprehensive package, improving clarity for users of information. b. Promote market discipline further, by increasing the consistency and comparability of the information disclosed by institutions, and its alignment with the new regulatory changes introduced by Regulation (EU) 2019/876 of the European Parliament and of the Council1 (the revised Capital Requirements Regulation (CRR2)) and with the Basel Committee on Banking supervision (BCBS) revised Pillar 3 disclosure framework. c. Facilitate access by users of information to institutions key prudential data by introducing the new key metrics templates. d. Foster ease of implementation for institutions by facilitating their access to, and understanding of, all the disclosure templates and tables.

6 E. Increase the efficiency of disclosures by institutions and reduce costs via technology, through the integration of quantitative disclosure data and supervisory reporting. For this purpose the EBA is developing several all-inclusive regulatory disclosure products, including the comprehensive draft ITS on institutions public disclosures, applicable to all institutions subject to the disclosure requirements under Part Eight of the CRR, which is the subject of this Final report . 1 Regulation (EU) 2019/876 of the European Parliament and of the Council of 20 May 2019 amending Regulation (EU) No 575/2013 as regards the leverage ratio, the net stable funding ratio, requirements for own funds and eligible liabilities, counterparty credit risk, market risk, exposures to central counterparties, exposures to collective investment undertakings, large exposures, reporting and disclosure requirements, and Regulation (EU) No 648/2012, OJ L 150, , p.

7 1 225. Final report Final DRAFT IMPLEMENTING TECHNICAL STANDARDS ON PUBLIC DISCLOSURES BY INSTITUTIONS OF THE INFORMATION REFERRED TO IN TITLES II AND III OF PART EIGHT OF REGULATION (EU) NO 575/2013] 4 2. Background and rationale 1. Regulation (EU) No 2019/876 (CRR2) amending Regulation (EU) No 575/2013 (CRR) mandates the EBA, in Article 434a, to develop draft implementing technical standards (ITS) specifying uniform disclosure formats, and associated instructions in accordance with which the disclosures required under Titles II and III of Part Eight of the CRR shall be made. Those uniform disclosure formats shall convey sufficiently comprehensive and comparable information for users of that information to assess the risk profiles of institutions and their degree of compliance with the requirements laid down in Parts One to Seven.

8 To facilitate the comparability of information, the ITS shall seek to maintain consistency of disclosure formats with international standards on disclosures. 2. Currently, the EBA Pillar 3 policy framework is disseminated across a range of different regulatory products, with a limited scope in terms of disclosures and of institutions, following the partial mandates included in the Level 1 text. The framework includes ITS and regulatory technical standards (RTS): a. ITS on disclosure of own funds2; b. ITS on disclosure of leverage ratio3; c. RTS on disclosure of countercyclical capital buffers4; d. RTS on disclosure of encumbered and unencumbered assets5; e. ITS on disclosure of global systemically important institution (G-SII) indicators6.

9 3. It also includes the following guidelines: a. Guidelines on disclosures under Part Eight of the CRR, mainly applicable to G-SIIs and other systemically important institutions (O-SIIs)7; b. Guidelines on disclosure of non-performing and forborne exposures8; 2 :32013R1423 3 :JOL_2016_039_R_0004 4 :JOL_2015_244_R_0001 5 :32017R2295&from=EN 6 :32014R1030&from=DE 7 + report +on+the+Guidelines+on+disclosure+ requirements+under+Part+Eight+of+Regulat ion+575+2013+%28 EBA-GL-2016-11% 8 +GLs+on+disclosure+of+non-performing+and +forborne+ Final report Final DRAFT IMPLEMENTING TECHNICAL STANDARDS ON PUBLIC DISCLOSURES BY INSTITUTIONS OF THE INFORMATION REFERRED TO IN TITLES II AND III OF PART EIGHT OF REGULATION (EU) NO 575/2013] 5 c.

10 Guidelines on sound remuneration policies under Articles 74(3) and 75(2) of Directive 2013/36/EU and disclosures under Article 450 of Regulation (EU) No 575/20139; d. Guidelines on liquidity coverage ratio (LCR) disclosure to complement the disclosure of liquidity risk management under Article 435 of Regulation (EU) No 575/201310; e. Guidelines on disclosure requirements of international financial reporting standard 9 (IFRS 9) transitional arrangements11; f. Guidelines on disclosure of G-SII indicators12. 4. Following the mandate included in Article 434a of CRR2, the EBA is implementing a comprehensive, more standardised approach in terms of its policy regarding institutions Pillar 3 disclosures. For this purpose the EBA is implementing several all-inclusive regulatory disclosure products, including the comprehensive Final draft ITS on institutions public disclosures, applicable to all institutions subject to the disclosure requirements under Part Eight of the CRR, which is the object of this Final report .