- Latest available (Revised)
- Point in Time (31/12/2020)
- Original (As adopted by EU)
Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance)
When the UK left the EU, legislation.gov.uk published EU legislation that had been published by the EU up to IP completion day (31 December 2020 11.00 p.m.). On legislation.gov.uk, these items of legislation are kept up-to-date with any amendments made by the UK since then.
Legislation.gov.uk publishes the UK version. EUR-Lex publishes the EU version. The EU Exit Web Archive holds a snapshot of EUR-Lex’s version from IP completion day (31 December 2020 11.00 p.m.).
Version Superseded: 01/01/2022
Point in time view as at 31/12/2020.
Regulation (EU) No 575/2013 of the European Parliament and of the Council,
PART EIGHT
is up to date with all changes known to be in force on or before 18 August 2024. There are changes that may be brought into force at a future date. Changes that have been made appear in the content and are referenced with annotations.
Changes and effects yet to be applied by the editorial team are only applicable when viewing the latest version or prospective version of legislation. They are therefore not accessible when viewing legislation as at a specific point in time. To view the ‘Changes to Legislation’ information for this provision return to the latest version view using the options provided in the ‘What Version’ box above.
1. Institutions shall publicly disclose the information laid down in Title II, subject to the provisions laid down in Article 432.
2. Permission granted by the competent authorities under Part Three for the instruments and methodologies referred to in Title III shall be subject to the public disclosure by institutions of the information laid down therein.
3. Institutions shall adopt a formal policy to comply with the disclosure requirements laid down in this Part, and have policies for assessing the appropriateness of their disclosures, including their verification and frequency. Institutions shall also have policies for assessing whether their disclosures convey their risk profile comprehensively to market participants.
Where those disclosures do not convey the risk profile comprehensively to market participants, institutions shall publicly disclose the information necessary in addition to that required in accordance with paragraph 1. However, they shall only be required to disclose information which is material and not proprietary or confidential in accordance with Article 432.
4. Institutions shall, if requested, explain their rating decisions to SMEs and other corporate applicants for loans, providing an explanation in writing when asked. The administrative costs of the explanation shall be proportionate to the size of the loan.
[F11 . With the exception of the disclosures laid down in point (c) of Article 435(2) and in Articles 437 and 450, institutions may omit one or more of the disclosures listed in Titles II and III where the information provided by those disclosures is not regarded as material.
Information in disclosures shall be regarded as material where its omission or misstatement could change or influence the assessment or decision of a user of that information relying on it for the purpose of making economic decisions.
F2...
2 . Institutions may also omit one or more items of information referred to in Titles II and III where those items include information that is regarded as proprietary or confidential in accordance with this paragraph, except for the disclosures laid down in Articles 437 and 450.
Information shall be regarded as proprietary to institutions where disclosing it publicly would undermine their competitive position. Proprietary information may include information on products or systems that would render the investments of institutions therein less valuable, if shared with competitors.
Information shall be regarded as confidential where the institutions are obliged by customers or other counterparty relationships to keep that information confidential.
F3...]
3 . In the exceptional cases referred to in paragraph 2, the institution concerned shall state in its disclosures the fact that the specific items of information are not disclosed, the reason for non-disclosure, and publish more general information about the subject matter of the disclosure requirement, except where these are to be classified as proprietary or confidential.
4 . Paragraphs 1, 2 and 3 are without prejudice to the scope of liability for failure to disclose material information.
Textual Amendments
F1Substituted by 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 (Text with EEA relevance).
F2Words in Art. 432(1) omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 190(a) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F3Words in Art. 432(2) omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 190(b) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
Institutions shall publish the disclosures required by this Part at least on an annual basis.
Annual disclosures shall be published in conjunction with the date of publication of the financial statements.
Institutions shall assess the need to publish some or all disclosures more frequently than annually in the light of the relevant characteristics of their business such as scale of operations, range of activities, presence in different countries, involvement in different financial sectors, and participation in international financial markets and payment, settlement and clearing systems. That assessment shall pay particular attention to the possible need for more frequent disclosure of items of information laid down in Article 437, and points (c) to (f) of Article 438, and information on risk exposure and other items prone to rapid change.
F4...
Textual Amendments
F4Words in Art. 433 omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 191 (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
1. Institutions may determine the appropriate medium, location and means of verification to comply effectively with the disclosure requirements laid down in this Part. To the degree feasible, all disclosures shall be provided in one medium or location. If a similar piece of information is disclosed in two or more media, a reference to the synonymous information in the other media shall be included within each medium.
2. Equivalent disclosures made by institutions under accounting, listing or other requirements may be deemed to constitute compliance with this Part. If disclosures are not included in the financial statements, institutions shall unambiguously indicate in the financial statements where they can be found.
[F6The FCA and PRA may each make] technical standards specifying uniform disclosure formats, and associated instructions in accordance with which the disclosures required under Titles II and III 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. To facilitate the comparability of information, the F7... technical standards shall seek to maintain consistency of disclosure formats with international standards on disclosures.
Uniform disclosure formats shall be tabular where appropriate.
F8...]
Textual Amendments
F5Inserted by 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 (Text with EEA relevance).
F6Words in Art. 434a substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/1232), regs. 1(3), 74(a); 2020 c. 1, Sch. 5 para. 1(1)
F7Word in Art. 434a omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/1232), regs. 1(3), 74(b); 2020 c. 1, Sch. 5 para. 1(1)
F8Words in Art. 434a omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2019 (S.I. 2019/1232), regs. 1(3), 74(c); 2020 c. 1, Sch. 5 para. 1(1)
1. Institutions shall disclose their risk management objectives and policies for each separate category of risk, including the risks referred to under this Title. These disclosures shall include:
(a) the strategies and processes to manage those risks;
(b) the structure and organisation of the relevant risk management function including information on its authority and statute, or other appropriate arrangements;
(c) the scope and nature of risk reporting and measurement systems;
(d) the policies for hedging and mitigating risk, and the strategies and processes for monitoring the continuing effectiveness of hedges and mitigants;
(e) a declaration approved by the management body on the adequacy of risk management arrangements of the institution providing assurance that the risk management systems put in place are adequate with regard to the institution's profile and strategy;
(f) a concise risk statement approved by the management body succinctly describing the institution's overall risk profile associated with the business strategy. This statement shall include key ratios and figures providing external stakeholders with a comprehensive view of the institution's management of risk, including how the risk profile of the institution interacts with the risk tolerance set by the management body.
2. Institutions shall disclose the following information, including regular, at least annual updates, regarding governance arrangements:
(a) the number of directorships held by members of the management body;
(b) the recruitment policy for the selection of members of the management body and their actual knowledge, skills and expertise;
(c) the policy on diversity with regard to selection of members of the management body, its objectives and any relevant targets set out in that policy, and the extent to which these objectives and targets have been achieved;
(d) whether or not the institution has set up a separate risk committee and the number of times the risk committee has met;
(e) the description of the information flow on risk to the management body.
Institutions shall disclose the following information regarding the scope of application of the requirements of this Regulation F9...:
the name of the institution to which the requirements of this Regulation apply;
an outline of the differences in the basis of consolidation for accounting and prudential purposes, with a brief description of the entities therein, explaining whether they are:
fully consolidated;
proportionally consolidated;
deducted from own funds;
neither consolidated nor deducted;
any current or foreseen material practical or legal impediment to the prompt transfer of own funds or repayment of liabilities among the parent undertaking and its subsidiaries;
the aggregate amount by which the actual own funds are less than required in all subsidiaries not included in the consolidation, and the name or names of such subsidiaries;
if applicable, the circumstance of making use of the provisions laid down in Articles 7 and 9.
Textual Amendments
F9Words in Art. 436 omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 192 (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
1 . Institutions shall disclose the following information regarding their own funds:
( a ) a full reconciliation of Common Equity Tier 1 items, Additional Tier 1 items, Tier 2 items and filters and deductions applied pursuant to Articles 32 to 35, 36, 56, 66 and 79 to own funds of the institution and the balance sheet in the audited financial statements of the institution;
( b ) a description of the main features of the Common Equity Tier 1 and Additional Tier 1 instruments and Tier 2 instruments issued by the institution;
( c ) the full terms and conditions of all Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments;
( d ) separate disclosure of the nature and amounts of the following:
each prudential filter applied pursuant to Articles 32 to 35;
each deduction made pursuant to Articles 36, 56 and 66;
items not deducted in accordance with Articles 47, 48, 56, 66 and 79;
( e ) a description of all restrictions applied to the calculation of own funds in accordance with this Regulation and the instruments, prudential filters and deductions to which those restrictions apply;
( f ) where institutions disclose capital ratios calculated using elements of own funds determined on a basis other than that laid down in this Regulation, a comprehensive explanation of the basis on which those capital ratios are calculated.
2 .[F10The FCA and the PRA may each make technical standards] to specify uniform templates for disclosure under points (a), (b), (d) and (e) of paragraph 1.
F11...
Textual Amendments
F10Words in Art. 437(2) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 222(1)(a)(2) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F11Words in Art. 437(2) omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 222(1)(b)(2) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
Institutions shall disclose the following information regarding the compliance by the institution with the requirements laid down in Article 92 of this Regulation and in [F12rules 3.1(1)(a) and 3.4 of the Internal Capital Adequacy Assessment Part of the PRA rulebook and rules 2.2.7R and 2.2.13R of the FCA Prudential Sourcebook for Investment Firms]:
a summary of the institution's approach to assessing the adequacy of its internal capital to support current and future activities;
upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process including the composition of the additional own funds requirements based on the supervisory review process as referred to in [F13regulation 34(1) of the Capital Requirements Regulations 2013];
for institutions calculating the risk-weighted exposure amounts in accordance with Chapter 2 of Part Three, Title II, 8 % of the risk-weighted exposure amounts for each of the exposure classes specified in Article 112;
for institutions calculating risk-weighted exposure amounts in accordance with Chapter 3 of Part Three, Title II, 8 % of the risk-weighted exposure amounts for each of the exposure classes specified in Article 147. For the retail exposure class, this requirement applies to each of the categories of exposures to which the different correlations in Article 154(1) to (4) correspond. For the equity exposure class, this requirement applies to:
each of the approaches provided in Article 155;
exchange traded exposures, private equity exposures in sufficiently diversified portfolios, and other exposures;
exposures subject to supervisory transition regarding own funds requirements;
exposures subject to grandfathering provisions regarding own funds requirements;
own funds requirements calculated in accordance with points (b) and (c) of Article 92(3);
own funds requirements calculated in accordance with Part Three, Title III, Chapters 2, 3 and 4 and disclosed separately.
The institutions calculating the risk-weighted exposure amounts in accordance with Article 153(5) or Article 155(2) shall disclose the exposures assigned to each category in Table 1 of Article 153(5), or to each risk weight mentioned in Article 155(2).
Textual Amendments
F12Words in Art. 438 substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 193(a) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F13Words in Art. 438(b) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 193(b) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
Institutions shall disclose the following information regarding the institution's exposure to counterparty credit risk as referred to in Part Three, Title II, Chapter 6:
a discussion of the methodology used to assign internal capital and credit limits for counterparty credit exposures;
a discussion of policies for securing collateral and establishing credit reserves;
a discussion of policies with respect to Wrong-Way risk exposures;
a discussion of the impact of the amount of collateral the institution would have to provide given a downgrade in its credit rating;
gross positive fair value of contracts, netting benefits, netted current credit exposure, collateral held and net derivatives credit exposure. Net derivatives credit exposure is the credit exposure on derivatives transactions after considering both the benefits from legally enforceable netting agreements and collateral arrangements;
measures for exposure value under the methods set out in Part Three, Title II, Chapter 6, Sections 3 to 6 whichever method is applicable;
the notional value of credit derivative hedges, and the distribution of current credit exposure by types of credit exposure;
the notional amounts of credit derivative transactions, segregated between use for the institution's own credit portfolio, as well as in its intermediation activities, including the distribution of the credit derivatives products used, broken down further by protection bought and sold within each product group;
the estimate of α if the institution has received the permission of the competent authorities to estimate α.
1 . An institution shall disclose the following information in relation to its compliance with the requirement for a countercyclical capital buffer referred to in [F14in regulation 2 of the Capital Requirements (Capital Buffers and Macro-prudential Measures) Regulation 2014]:
( a ) the geographical distribution of its credit exposures relevant for the calculation of its countercyclical capital buffer;
( b ) the amount of its institution specific countercyclical capital buffer.
2 .[F15The FCA and the PRA may each make technical standards] specifying the disclosure requirements set out in paragraph 1.
F16...
Textual Amendments
F14Words in Art. 440(1) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 194 (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F15Words in Art. 440(2) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 222(1)(a)(2) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F16Words in Art. 440(2) omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 222(1)(b) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
1 . Institutions identified as G-SIIs [F17by virtue of Part 4 of Capital Requirements (Capital Buffers and Macro-prudential Measures) Regulations 2014] shall disclose, on an annual basis, the values of the indicators used for determining the score of the institutions in accordance with the identification methodology referred to in [F18regulation 23 of those Regulations].
2 .[F19The FCA and the PRA may each make technical standards] to specify the uniform formats and date for the purposes of the disclosure referred to in paragraph 1. In developing those technical standards, [F20the FCA or the PRA (as the case may be) must take] into account international standards.
F21...
Textual Amendments
F17Words in Art. 441(1) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 195(a)(i) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F18Words in Art. 441(1) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 195(a)(ii) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F19Words in Art. 441(2) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 222(1)(a)(2) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F20Words in Art. 441(2) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 195(b) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F21Words in Art. 441(2) omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 222(1)(b) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
Institutions shall disclose the following information regarding the institution's exposure to credit risk and dilution risk:
the definitions for accounting purposes of ‘ past due ’ and ‘ impaired ’ ;
a description of the approaches and methods adopted for determining specific and general credit risk adjustments;
the total amount of exposures after accounting offsets and without taking into account the effects of credit risk mitigation, and the average amount of the exposures over the period broken down by different types of exposure classes;
the geographic distribution of the exposures, broken down in significant areas by material exposure classes, and further detailed if appropriate;
the distribution of the exposures by industry or counterparty type, broken down by exposure classes, including specifying exposure to SMEs, and further detailed if appropriate;
the residual maturity breakdown of all the exposures, broken down by exposure classes, and further detailed if appropriate;
by significant industry or counterparty type, the amount of:
impaired exposures and past due exposures, provided separately;
specific and general credit risk adjustments;
charges for specific and general credit risk adjustments during the reporting period;
the amount of the impaired exposures and past due exposures, provided separately, broken down by significant geographical areas including, if practical, the amounts of specific and general credit risk adjustments related to each geographical area;
the reconciliation of changes in the specific and general credit risk adjustments for impaired exposures, shown separately. The information shall comprise:
a description of the type of specific and general credit risk adjustments;
the opening balances;
the amounts taken against the credit risk adjustments during the reporting period;
the amounts set aside or reversed for estimated probable losses on exposures during the reporting period, any other adjustments including those determined by exchange rate differences, business combinations, acquisitions and disposals of subsidiaries, and transfers between credit risk adjustments;
the closing balances.
Specific credit risk adjustments and recoveries recorded directly to the income statement shall be disclosed separately.
F22...
[F23The FCA and the PRA may each make technical standards] to specify disclosure of the balance sheet value per exposure class broken down by asset quality and the total amount of the balance sheet value that is unencumbered. F24...
F25...
Textual Amendments
F22Words in Art. 443 omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 196(a) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F23Words in Art. 443 substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 222(1)(a)(2) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F24Words in Art. 443 omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 196(b) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F25Words in Art. 443 omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 222(1)(b)(2) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
For institutions calculating the risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 2, the following information shall be disclosed for each of the exposure classes specified in Article 112:
the names of the nominated ECAIs and ECAs and the reasons for any changes;
the exposure classes for which each ECAI or ECA is used;
a description of the process used to transfer the issuer and issue credit assessments onto items not included in the trading book;
the association of the external rating of each nominated ECAI or ECA with the credit quality steps prescribed in Part Three, Title II, Chapter 2, taking into account that this information needs not be disclosed if the institution complies with the standard association published by [F26the competent authority];
the exposure values and the exposure values after credit risk mitigation associated with each credit quality step prescribed in Part Three, Title II, Chapter 2 as well as those deducted from own funds.
Textual Amendments
F26Words in Art. 444(d) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 197 (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
The institutions calculating their own funds requirements in accordance with points (b) and (c) of Article 92(3) shall disclose those requirements separately for each risk referred to in those provisions. In addition, the own funds requirement for specific interest rate risk of securitisation positions shall be disclosed separately.
Institutions shall disclose the approaches for the assessment of own funds requirements for operational risk that the institution qualifies for; a description of the methodology set out in Article 312(2), if used by the institution, including a discussion of relevant internal and external factors considered in the institution's measurement approach, and in the case of partial use, the scope and coverage of the different methodologies used.
Institutions shall disclose the following information regarding the exposures in equities not included in the trading book:
the differentiation between exposures based on their objectives, including for capital gains relationship and strategic reasons, and an overview of the accounting techniques and valuation methodologies used, including key assumptions and practices affecting valuation and any significant changes in these practices;
the balance sheet value, the fair value and, for those exchange-traded, a comparison to the market price where it is materially different from the fair value;
the types, nature and amounts of exchange-traded exposures, private equity exposures in sufficiently diversified portfolios, and other exposures;
the cumulative realised gains or losses arising from sales and liquidations in the period; and
the total unrealised gains or losses, the total latent revaluation gains or losses, and any of these amounts included in Common Equity Tier 1 capital.
Institutions shall disclose the following information on their exposure to interest rate risk on positions not included in the trading book:
the nature of the interest rate risk and the key assumptions (including assumptions regarding loan prepayments and behaviour of non-maturity deposits), and frequency of measurement of the interest rate risk;
the variation in earnings, economic value or other relevant measure used by the management for upward and downward rate shocks according to management's method for measuring the interest rate risk, broken down by currency.
Institutions calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 5 or own funds requirements in accordance with Article 337 or 338 shall disclose the following information, where relevant, separately for their trading and non-trading book:
a description of the institution's objectives in relation to securitisation activity;
the nature of other risks including liquidity risk inherent in securitised assets;
the type of risks in terms of seniority of underlying securitisation positions and in terms of assets underlying those latter securitisation positions assumed and retained with re-securitisation activity;
the different roles played by the institution in the securitisation process;
an indication of the extent of the institution's involvement in each of the roles referred to in point (d);
a description of the processes in place to monitor changes in the credit and market risk of securitisation exposures including, how the behaviour of the underlying assets impacts securitisation exposures and a description of how those processes differ for re-securitisation exposures;
a description of the institution's policy governing the use of hedging and unfunded protection to mitigate the risks of retained securitisation and re-securitisation exposures, including identification of material hedge counterparties by relevant type of risk exposure;
the approaches to calculating risk-weighted exposure amounts that the institution follows for its securitisation activities including the types of securitisation exposures to which each approach applies;
the types of SSPE that the institution, as sponsor, uses to securitise third-party exposures including whether and in what form and to what extent the institution has exposures to those SSPEs, separately for on- and off-balance sheet exposures, as well as a list of the entities that the institution manages or advises and that invest in either the securitisation positions that the institution has securitised or in SSPEs that the institution sponsors;
a summary of the institution's accounting policies for securitisation activities, including:
whether the transactions are treated as sales or financings;
the recognition of gains on sales;
the methods, key assumptions, inputs and changes from the previous period for valuing securitisation positions;
the treatment of synthetic securitisations if not covered by other accounting policies;
how assets awaiting securitisation are valued and whether they are recorded in the institution's non-trading book or the trading book;
policies for recognising liabilities on the balance sheet for arrangements that could require the institution to provide financial support for securitised assets;
the names of the ECAIs used for securitisations and the types of exposure for which each agency is used;
where applicable, a description of the Internal Assessment Approach as set out in Part Three, Title II, Chapter 5, Section 3, including the structure of the internal assessment process and relation between internal assessment and external ratings, the use of internal assessment other than for Internal Assessment Approach capital purposes, 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, by exposure type;
an explanation of significant changes to any of the quantitative disclosures in points (n) to (q) since the last reporting period;
separately for the trading and the non-trading book, the following information broken down by exposure type:
the total amount of outstanding exposures securitised by the institution, separately for traditional and synthetic securitisations and securitisations for which the institution acts only as sponsor;
the aggregate amount of on-balance sheet securitisation positions retained or purchased and off-balance sheet securitisation exposures;
the aggregate amount of assets awaiting securitisation;
for securitised facilities subject to the early amortisation treatment, the aggregate drawn exposures attributed to the originator's and investors' interests respectively, the aggregate capital requirements incurred by the institution against the originator's interest and the aggregate capital requirements incurred by the institution against the investor's shares of drawn balances and undrawn lines;
the amount of securitisation positions that are deducted from own funds or risk-weighted at 1 250 %;
a summary of the securitisation activity of the current period, including the amount of exposures securitised and recognised gain or loss on sale;
separately for the trading and the non-trading book, the following information:
the aggregate amount of securitisation positions retained or purchased and the associated capital requirements, broken down between securitisation and re-securitisation exposures and further broken down into a meaningful number of risk-weight or capital requirement bands, for each capital requirements approach used;
the aggregate amount of re-securitisation exposures retained or purchased broken down according to the exposure before and after hedging/insurance and the exposure to financial guarantors, broken down according to guarantor credit worthiness categories or guarantor name;
for the non-trading book and regarding exposures securitised by the institution, the amount of impaired/past due assets securitised and the losses recognised by the institution during the current period, both broken down by exposure type;
for the trading book, the total outstanding exposures securitised by the institution and subject to a capital requirement for market risk, broken down into traditional/synthetic and by exposure type;
where applicable, whether the institution has provided support within the terms of Article 248(1) and the impact on own funds.
1 . Institutions shall disclose at least the following information, regarding the remuneration policy and practices of the institution for those categories of staff whose professional activities have a material impact on its risk profile:
( a ) information concerning the decision-making process used for determining the remuneration policy, as well as the number of meetings held by the main body overseeing remuneration during the financial year, including, if applicable, information about the composition and the mandate of a remuneration committee, the external consultant whose services have been used for the determination of the remuneration policy and the role of the relevant stakeholders;
( b ) information on link between pay and performance;
( c ) the most important design characteristics of the remuneration system, including information on the criteria used for performance measurement and risk adjustment, deferral policy and vesting criteria;
( d ) the ratios between fixed and variable remuneration set in accordance with [F27rules 15.09 to 15.13 of the Remuneration Part of the PRA rulebook and rules 19A.3.44R to 44DR and 19D.3.48R to 52R of the Senior Management Arrangements, Systems and Controls sourcebook of the FCA Handbook];
( e ) information on the performance criteria on which the entitlement to shares, options or variable components of remuneration is based;
( f ) the main parameters and rationale for any variable component scheme and any other non-cash benefits;
( g ) aggregate quantitative information on remuneration, broken down by business area;
( h ) aggregate quantitative information on remuneration, broken down by senior management and members of staff whose actions have a material impact on the risk profile of the institution, indicating the following:
the amounts of remuneration for the financial year, split into fixed and variable remuneration, and the number of beneficiaries;
the amounts and forms of variable remuneration, split into cash, shares, share-linked instruments and other types;
the amounts of outstanding deferred remuneration, split into vested and unvested portions;
the amounts of deferred remuneration awarded during the financial year, paid out and reduced through performance adjustments;
new sign-on and severance payments made during the financial year, and the number of beneficiaries of such payments;
the amounts of severance payments awarded during the financial year, number of beneficiaries and highest such award to a single person;
( i ) the number of individuals being remunerated EUR 1 million or more per financial year, for remuneration between EUR 1 million and EUR 5 million broken down into pay bands of EUR 500 000 and for remuneration of EUR 5 million and above broken down into pay bands of EUR 1 million;
( j ) upon demand from [F28the PRA or FCA] the total remuneration for each member of the management body or senior management.
2 . For institutions that are significant in terms of their size, internal organisation and the nature, scope and the complexity of their activities, the quantitative information referred to in this Article shall also be made available to the public at the level of members of the management body of the institution.
Institutions shall comply with the requirements set out in this Article in a manner that is appropriate to their size, internal organisation and the nature, scope and complexity of their activities and without prejudice to [F29the General Data Protection Regulation (EU) 2016/679].
Textual Amendments
F27Words in Art. 450(1)(d) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 198(2) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F28Words in Art. 450(1)(j) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 198(3) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F29Words in Art. 450(2) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 198(4) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
1 . Institutions shall disclose the following information regarding their leverage ratio calculated in accordance with Article 429 and their management of the risk of excessive leverage:
( a ) the leverage ratio and how the institution applies Article 499(2) and (3);
( b ) a breakdown of the total exposure measure as well as a reconciliation of the total exposure measure with the relevant information disclosed in published financial statements;
( c ) where applicable, the amount of derecognised fiduciary items in accordance with Article 429(11);
( d ) a description of the processes used to manage the risk of excessive leverage;
( e ) a description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers.
2 .[F30The FCA and the PRA may each make technical standards] to determine the uniform disclosure template for the disclosure referred to in paragraph 1 and the instructions on how to use such template.
F31...
Textual Amendments
F30Words in Art. 451(2) substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 222(1)(a)(2) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
F31Words in Art. 451(2) omitted (31.12.2020) by virtue of The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 222(1)(b) (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
Institutions calculating the risk-weighted exposure amounts under the IRB Approach shall disclose the following information:
the competent authority's permission of the approach or approved transition;
an explanation and review of:
the structure of internal rating systems and relation between internal and external ratings;
the use of internal estimates other than for calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 3;
the process for managing and recognising credit risk mitigation;
the control mechanisms for rating systems including a description of independence, accountability, and rating systems review;
a description of the internal ratings process, provided separately for the following exposure classes:
central governments and central banks;
institutions;
corporate, including SMEs, specialised lending and purchased corporate receivables;
retail, for each of the categories of exposures to which the different correlations in Article 154(1) to (4) correspond;
equities;
the exposure values for each of the exposure classes specified in Article 147. Exposures to central governments and central banks, institutions and corporates where institutions use own estimates of LGDs or conversion factors for the calculation of risk-weighted exposure amounts, shall be disclosed separately from exposures for which the institutions do not use such estimates;
for each of the exposure classes central governments and central banks, institutions, corporates and equity, and across a sufficient number of obligor grades (including default) to allow for a meaningful differentiation of credit risk, institutions shall disclose:
the total exposures, including for the exposure classes central governments and central banks, institutions and corporates, the sum of outstanding loans and exposure values for undrawn commitments; and for equities the outstanding amount;
the exposure-weighted average risk weight;
for the institutions using own estimates of conversion factors for the calculation of risk-weighted exposure amounts, the amount of undrawn commitments and exposure-weighted average exposure values for each exposure class;
For the retail exposure class and for each of the categories set out in point (c)(iv), either the disclosures outlined in point (e) (if applicable, on a pooled basis), or an analysis of exposures (outstanding loans and exposure values for undrawn commitments) against a sufficient number of EL grades to allow for a meaningful differentiation of credit risk (if applicable, on a pooled basis);
the actual specific credit risk adjustments in the preceding period for each exposure class (for retail, for each of the categories as set out in point (c)(iv)) and how they differ from past experience;
a description of the factors that impacted on the loss experience in the preceding period (for example, has the institution experienced higher than average default rates, or higher than average LGDs and conversion factors);
the institution's estimates against actual outcomes over a longer period. At a minimum, this shall include information on estimates of losses against actual losses in each exposure class (for retail, for each of the categories as set out in point (c)(iv) over a period sufficient to allow for a meaningful assessment of the performance of the internal rating processes for each exposure class (for retail for each of the categories as set out in point (c)(iv). Where appropriate, the institutions shall further decompose this to provide analysis of PD and, for the institutions using own estimates of LGDs and/or conversion factors, LGD and conversion factor outcomes against estimates provided in the quantitative risk assessment disclosures set out in this Article;
for all exposure classes specified in Article 147 and for each category of exposure to which the different correlations in Article 154 (1) to (4) correspond:
for the institutions using own LGD estimates for the calculation of risk-weighted exposure amounts, the exposure-weighted average LGD and PD in percentage for each relevant geographical location of credit exposures;
for the institutions that do not use own LGD estimates, the exposure-weighted average PD in percentage for each relevant geographical location of credit exposures.
For the purposes of point (c), the description shall include the types of exposure included in the exposure class, the definitions, methods and data for estimation and validation of PD and, if applicable, LGD and conversion factors, including assumptions employed in the derivation of these variables, and the descriptions of material deviations from the definition of default as set out in Article 178, including the broad segments affected by such deviations.
[F32For the purposes of point (j), the “relevant geographical location of credit exposures” means—
(a)exposures in the United Kingdom; or
(b)exposures in a third country in which the institution carries out activities through a branch or a subsidiary.]
Textual Amendments
F32Words in Art. 452 substituted (31.12.2020) by The Capital Requirements (Amendment) (EU Exit) Regulations 2018 (S.I. 2018/1401), regs. 1(3), 199 (with savings in S.I. 2019/680, reg. 11); 2020 c. 1, Sch. 5 para. 1(1)
The institutions applying credit risk mitigation techniques shall disclose the following information:
the policies and processes for, and an indication of the extent to which the entity makes use of, on- and off-balance sheet netting;
the policies and processes for collateral valuation and management;
a description of the main types of collateral taken by the institution;
the main types of guarantor and credit derivative counterparty and their creditworthiness;
information about market or credit risk concentrations within the credit mitigation taken;
for institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, but not providing own estimates of LGDs or conversion factors in respect of the exposure class, separately for each exposure class, the total exposure value (after, where applicable, on- or off-balance sheet netting) that is covered — after the application of volatility adjustments — by eligible financial collateral, and other eligible collateral;
for institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, separately for each exposure class, the total exposure (after, where applicable, on- or off-balance sheet netting) that is covered by guarantees or credit derivatives. For the equity exposure class, this requirement applies to each of the approaches provided in Article 155.
The institutions using the Advanced Measurement Approaches set out in Articles 321 to 324 for the calculation of their own funds requirements for operational risk shall disclose a description of the use of insurances and other risk transfer mechanisms for the purpose of mitigation of this risk.
Institutions calculating their capital requirements in accordance with Article 363 shall disclose the following information:
for each sub-portfolio covered:
the characteristics of the models used;
where applicable, for the internal models for incremental default and migration risk and for correlation trading, the methodologies used and the risks measured through the use of an internal model including a description of the approach used by the institution to determine liquidity horizons, the methodologies used to achieve a capital assessment that is consistent with the required soundness standard and the approaches used in the validation of the model;
a description of stress testing applied to the sub-portfolio;
a description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;
the scope of permission by the competent authority;
a description of the extent and methodologies for compliance with the requirements set out in Articles 104 and 105;
the highest, the lowest and the mean of the following:
the daily value-at-risk measures over the reporting period and as per the period end;
the stressed value-at-risk measures over the reporting period and as per the period end;
the risk numbers for incremental default and migration risk and for the specific risk of the correlation trading portfolio over the reporting period and as per the period-end;
the elements of the own funds requirement as specified in Article 364;
the weighted average liquidity horizon for each sub-portfolio covered by the internal models for incremental default and migration risk and for correlation trading;
a comparison of the daily end-of-day value-at-risk measures to the one-day changes of the portfolio's value by the end of the subsequent business day together with an analysis of any important overshooting during the reporting period.]
The Whole Regulation you have selected contains over 200 provisions and might take some time to download. You may also experience some issues with your browser, such as an alert box that a script is taking a long time to run.
Would you like to continue?
The Whole Regulation you have selected contains over 200 provisions and might take some time to download.
Would you like to continue?
The Whole Regulation without Annexes you have selected contains over 200 provisions and might take some time to download. You may also experience some issues with your browser, such as an alert box that a script is taking a long time to run.
Would you like to continue?
The Whole Regulation without Annexes you have selected contains over 200 provisions and might take some time to download.
Would you like to continue?
The Whole Regulation you have selected contains over 200 provisions and might take some time to download. You may also experience some issues with your browser, such as an alert box that a script is taking a long time to run.
Would you like to continue?
The Whole Regulation without Annexes you have selected contains over 200 provisions and might take some time to download. You may also experience some issues with your browser, such as an alert box that a script is taking a long time to run.
Would you like to continue?
Latest Available (revised):The latest available updated version of the legislation incorporating changes made by subsequent legislation and applied by our editorial team. Changes we have not yet applied to the text, can be found in the ‘Changes to Legislation’ area.
Original (As adopted by EU): The original version of the legislation as it stood when it was first adopted in the EU. No changes have been applied to the text.
Point in Time: This becomes available after navigating to view revised legislation as it stood at a certain point in time via Advanced Features > Show Timeline of Changes or via a point in time advanced search.
Geographical Extent: Indicates the geographical area that this provision applies to. For further information see ‘Frequently Asked Questions’.
Show Timeline of Changes: See how this legislation has or could change over time. Turning this feature on will show extra navigation options to go to these specific points in time. Return to the latest available version by using the controls above in the What Version box.
Access essential accompanying documents and information for this legislation item from this tab. Dependent on the legislation item being viewed this may include:
This timeline shows the different versions taken from EUR-Lex before exit day and during the implementation period as well as any subsequent versions created after the implementation period as a result of changes made by UK legislation.
The dates for the EU versions are taken from the document dates on EUR-Lex and may not always coincide with when the changes came into force for the document.
For any versions created after the implementation period as a result of changes made by UK legislation the date will coincide with the earliest date on which the change (e.g an insertion, a repeal or a substitution) that was applied came into force. For further information see our guide to revised legislation on Understanding Legislation.
Use this menu to access essential accompanying documents and information for this legislation item. Dependent on the legislation item being viewed this may include:
Click 'View More' or select 'More Resources' tab for additional information including: