Regulatory compliance

The following table provides the correspondence between disclosure requirements as per Part Eight of CRR and the sections of Pillar 3 report where the information can be found:

CRR Article Description Pillar 3 Section
General principles of disclosure
Art.431 - Disclosure requirements and policies Scope of application of disclosure and publication requirements for data that convey a complete picture of the institution's risk profile. 2022 Prudential Relevance Report - Pillar 3. (Section 1.3)
Art.432 - Non-material, proprietary or confidential information Omission of disclosures considered non-significant or confidential and the reasons, if applicable, for their classification as such. BBVA Group has not made use of the exemption for disclosures considered proprietary or confidential.
Art.433 - Frequency and scope of disclosures Publication of the information with the frequency set by article 433a. Disclosures shall be published coinciding with the publication of the financial statements or as soon as possible thereafter. The BBVA Group publishes more frequently than once a year, as defined in article 433a on disclosures by large entities.
Art.434 - Uniform disclosure formats Obligation to disclose information in electronic format and in a single medium or location. The BBVA Group publishes the 2022 Prudential Relevance Report in a single document, including its annexes, in the BBVA website.
Technical criteria on transparency and disclosure of information
Art.435.- Disclosure of risk management objectives and policies 1. Institutions shall disclose their risk management objectives and policies for each separate category of risk, including the risks referred to in this Title. Those disclosures shall include:
(a) the strategies and processes to manage those categories of risks;		 Section 4.1
Section 4.2
Section 4.3
Section 4.4
Section 4.5
Section 4.6
(b) the structure and organisation of the relevant risk management function including information on the basis of its authority, its powers and accountability in accordance with the institution's incorporation and governing documents; Section 4.1
Section 4.2.1
Section 4.3.4.3
Section 4.4
Section 4.5.2
Section 4.6.3
(c) the scope and nature of risk reporting and measurement systems; Section 4.1.3
Section 4.2.1
Section 4.3.1
Section 4.4.1, 4.4.2 and 4.4.3
Section 4.5.1
Section 4.6.1
(d) the policies for hedging and mitigating risk, and the strategies and processes for monitoring the continuing effectiveness of hedges and mitigants; Section 4.2.8
(e) a declaration approved by the management body on the adequacy of the risk management arrangements of the relevant institution providing assurance that the risk management systems put in place are adequate with regard to the institution's profile and strategy. Section 4.1.1
(f) a concise risk statement approved by the management body succinctly describing the relevant institution's overall risk profile associated with the business strategy; that statement shall include:
  • (i) key ratios and figures providing external stakeholders 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;
  • (ii) information on intragroup transactions and transactions with related parties that may have a material impact of the risk profile of the consolidated group.
 Section 4.1
2. Institutions shall disclose the following information regarding governance arrangements:
(a) the number of directorships held by members of the management body; 		Section 7
(b) the recruitment policy for the selection of members of the management body and their actual knowledge, skills and expertise; Section 7
(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 those objectives and targets have been achieved. Section 7
(d) whether or not the institution has set up a separate risk committee and the number of times the risk committee has met. Section 4.1.1
e) the description of the information flow on risk to the management body. Section 4.1.1
Art.436 - Disclosure of the scope of application (a) the name of the institution to which this Regulation applies. Section 2.1.1
(b) a reconciliation between the consolidated financial statements prepared in accordance with the applicable accounting framework and the consolidated financial statements prepared in accordance with the requirements on regulatory consolidation pursuant to Sections 2 and 3 of Title II of Part One; that reconciliation shall outline the differences between the accounting and regulatory scopes of consolidation and the legal entities included within the regulatory scope of consolidation where it differs from the accounting scope of consolidation; the outline of the legal entities included within the regulatory scope of consolidation shall describe the method of regulatory consolidation where it is different from the accounting consolidation method, whether those entities are fully or proportionally consolidated and whether the holdings in those legal entities are deducted from own funds. Section 2.1.2
(c) a breakdown of assets and liabilities of the consolidated financial statements prepared in accordance with the requirements on regulatory consolidation pursuant to Sections 2 and 3 of Title II of Part One, broken down by type of risks as referred to under this Part. Section 2.1.4
(d) a reconciliation identifying the main sources of differences between the carrying value amounts in the financial statements under the regulatory scope of consolidation as defined in Sections 2 and 3 of Title II of Part One, and the exposure amount used for regulatory purposes; that reconciliation shall be supplemented by qualitative information on those main sources of differences; Section 2.1.4
(e) for exposures from the trading book and the non-trading book that are adjusted in accordance with Article 34 and Article 105, a breakdown of the amounts of the constituent elements of an institution's prudent valuation adjustment, by type of risks, and the total of constituent elements separately for the trading book and non-trading book positions. Section 4.3.4.2
(f) any current or expected material practical or legal impediment to the prompt transfer of own funds or to the repayment of liabilities between the parent undertaking and its subsidiaries. N/A
(g) the aggregate amount by which the actual own funds are less than required in all subsidiaries that are not included in the consolidation, and the name or names of those subsidiaries; N/A
(h) where applicable, the circumstances under which use is made of the derogation referred to in Article 7 or the individual consolidation method laid down in Article 9. N/A
Art.437 - Disclosure of
own funds		 (a) a full reconciliation of Common Equity Tier 1 items, Additional Tier 1 items, Tier 2 items and the filters and deductions applied to own funds of the institution pursuant to Articles 32 to 36, 56, 66 and 79 with the balance sheet in the audited financial statements of the institution; Section 3.2
(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. Section 3.1
(c) the full terms and conditions of all Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments. Section 3.1
(d) a separate disclosure of the nature and amounts of the following:
  • (i) each prudential filter applied pursuant to Articles 32 to 35;
  • (ii) items deducted pursuant to Articles 36, 56 and 66;
  • (iii) items not deducted pursuant to Articles 47, 48, 56, 66 and 79
 Section 3.2
(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. Section 3.1
(f) 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 this Regulation. N/A
Art.437a - Disclosure of own funds and eligible liabilities a) the composition of their own funds and eligible liabilities, their maturity and their main features; N/A
(b) the ranking of eligible liabilities in the creditor hierarchy; N/A
(c) the total amount of each issuance of eligible liabilities instruments referred to in Article 72b and the amount of those issuances that is included in eligible liabilities items within the limits specified in Article 72b(3) and (4); N/A
(d) the total amount of excluded liabilities referred to in Article 72a(2). N/A
Art.438 - Disclosure of own funds requirements and risk-weighted exposure amounts (a) a summary of their approach to assessing the adequacy of their internal capital to support current and future activities; Section 3.5
(b) the amount of the additional own funds requirements based on the supervisory review process as referred to in point (a) of Article 104(1) of Directive 2013/36/EU and its composition in terms of Common Equity Tier 1, additional Tier 1 and Tier 2 instruments. Section 3.1
(c) upon demand from the relevant competent authority, the result of the institution's internal capital adequacy assessment process. Section 3.5
(d) the total risk-weighted exposure amount and the corresponding total own funds requirement determined in accordance with Article 92, to be broken down by the different risk categories set out in Part Three and, where applicable, an explanation of the effect on the calculation of own funds and risk-weighted exposure amounts that results from applying capital floors and not deducting items from own funds. Section 3.3.1
(e) the on- and off-balance-sheet exposures, the risk-weighted exposure amounts and associated expected losses for each category of specialised lending referred to in Table 1 of Article 153(5) and the on- and off-balancesheet exposures and risk-weighted exposure amounts for the categories of equity exposures set out in Article 155(2). Section 4.2.5.4
(f) the exposure value and the risk-weighted exposure amount of own funds instruments held in any insurance undertaking, reinsurance undertaking or insurance holding company that the institutions do not deduct from their own funds in accordance with Article 49 when calculating their capital requirements on an individual, sub-consolidated and consolidated basis. N/A
(g) the supplementary own funds requirement and the capital adequacy ratio of the financial conglomerate calculated in accordance with Article 6 of Directive 2002/87/EC and Annex I to that Directive where method 1 or 2 set out in that Annex is applied. N/A
(h) the variations in the risk-weighted exposure amounts of the current disclosure period compared to the immediately preceding disclosure period that result from the use of internal models, including an outline of the key drivers explaining those variations. Section 4.2.5.2
Art.439 - Disclosure of exposures to counterparty credit risk (a) a description of the methodology used to assign internal capital and credit limits for counterparty credit exposures, including the methods to assign those limits to exposures to central counterparties; Section 4.2.6.1.1
(b) a description of policies related to guarantees and other credit risk mitigants, such as the policies for securing collateral and establishing credit reserves. Section 4.2.6.1.2
c) a description of policies with respect to General Wrong-Way risk and Specific Wrong-Way risk as defined in Article 291. Section 4.2.6.1.3
(d) the amount of collateral the institution would have to provide if its credit rating was downgraded. Section 4.2.6.1.4
(e) the amount of segregated and unsegregated collateral received and posted per type of collateral, further broken down between collateral used for derivatives and securities financing transactions. Section 4.2.6.2.3
(f) for derivative transactions, the exposure values before and after the effect of the credit risk mitigation as determined under the methods set out in Sections 3 to 6 of Chapter 6 of Title II of Part Three, whichever method is applicable, and the associated risk exposure amounts broken down by applicable method. Section 4.2.6.2
(g) for securities financing transactions, the exposure values before and after the effect of the credit risk mitigation as determined under the methods set out in Chapters 4 and 6 of Title II of Part Three, whichever method is used, and the associated risk exposure amounts broken down by applicable method. Section 4.2.6.2
(h) the exposure values after credit risk mitigation effects and the associated risk exposures for credit valuation adjustment capital charge, separately for each method as set out in Title VI of Part Three; Section 4.2.6.2
(i) the exposure value to central counterparties and the associated risk exposures within the scope of Section 9 of Chapter 6 of Title II of Part Three, separately for qualifying and non-qualifying central counterparties, and broken down by types of exposures; Section 4.2.6.4
(j) the notional amounts and fair value of credit derivative transactions; credit derivative transactions shall be broken down by product type; within each product type, credit derivative transactions shall be broken down further by credit protection bought and credit protection sold; Section 4.2.6.2.3
(k) the estimate of alpha where the institution has received the permission of the competent authorities to use its own estimate of alpha in accordance with Article 284(9); Section 4.2.6.2
(l) separately, the disclosures included in point (e) of Article 444 and point (g) of Article 452; Section 4.2.6.2
Section 4.2.6.2.2
(m) for institutions using the methods set out in Sections 4 to 5 of Chapter 6 of Title II Part Three, the size of their on- and off-balance-sheet derivative business as calculated in accordance with Article 273a(1) or (2), as applicable. N/A
Where the central bank of a Member State provides liquidity assistance in the form of collateral swap transactions, the competent authority may exempt institutions from the requirements in points (d) and (e) of the first subparagraph where that competent authority considers that the disclosure of the information referred to therein could reveal that emergency liquidity assistance has been provided. For those purposes, the competent authority shall set out appropriate thresholds and objective criteria. N/A
Art.440 - Disclosure of countercyclical capital buffers (a) the geographical distribution of the exposure amounts and risk-weighted exposure amounts of its credit exposures used as a basis for the calculation of their countercyclical capital buffer; Section 3.1 and Annex IV
(b) the amount of their institution-specific countercyclical capital buffer. Section 3.1
Art.441 - Disclosure of indicators of global systemic importance G-SIIs shall disclose, on an annual basis, the values of the indicators used for determining their score in accordance with the identification methodology referred to in Article 131 of Directive 2013/36/EU. N/A
Art.442 - Institutions shall disclose the following information regarding the institution's exposure to credit risk and dilution risk (a) the scope and definitions that they use for accounting purposes of ‘past due’ and ‘impaired’ and the differences, if any, between the definitions of ‘past due’ and ‘default’ for accounting and regulatory purposes. Section 4.2.2
(b) a description of the approaches and methods adopted for determining specific and general credit risk adjustments. Section 4.2.2
(c) information on the amount and quality of performing, non-performing and forborne exposures for loans, debt securities and off-balance-sheet exposures, including their related accumulated impairment, provisions and negative fair value changes due to credit risk and amounts of collateral and financial guarantees received. Section 4.2.3.2
(d) an ageing analysis of accounting past due exposures. Section 4.2.3.2
(e) the gross carrying amounts of both defaulted and non-defaulted exposures, the accumulated specific and general credit risk adjustments, the accumulated write-offs taken against those exposures and the net carrying amounts and their distribution by geographical area and industry type and for loans, debt securities and offbalance-sheet exposures. Section 4.2.3.2
(f) any changes in the gross amount of defaulted on- and off-balance-sheet exposures, including, as a minimum, information on the opening and closing balances of those exposures, the gross amount of any of those exposures reverted to non-defaulted status or subject to a write-off. Section 4.2.3.2
(g) the breakdown of loans and debt securities by residual maturity. Section 4.2.3.2
Art.443 - Disclosure of encumbered and unencumbered assets Institutions shall disclose information concerning their encumbered and unencumbered assets. For those purposes, institutions shall use the carrying amount per exposure class broken down by asset quality and the total amount of the carrying amount that is encumbered and unencumbered. Disclosure of information on encumbered and unencumbered assets shall not reveal emergency liquidity assistance provided by central banks. Section 4.5.7
Art.444 - Disclosure of the use of the Standardised Approach a) the names of the nominated ECAIs and ECAs and the reasons for any changes in those nominations over the disclosure period; Section 4.2.4.1
(b) the exposure classes for which each ECAI or ECA is used; Section 4.2.4.1
(c) a description of the process used to transfer the issuer and issue credit ratings onto items not included in the trading book; Section 4.2.4.1
(d) the association of the external rating of each nominated ECAI or ECA with the risk weights that correspond to the credit quality steps as set out in Chapter 2 of Title II of Part Three, taking into account that it is not necessary to disclose that information where the institutions comply with the standard association published by EBA; Section 4.2.4.1
(e) the exposure values and the exposure values after credit risk mitigation associated with each credit quality step as set out in Chapter 2 of Title II of Part Three, by exposure class, as well as the exposure values deducted from own funds. Section 4.2.4.3
Section 4.2.6.2
Art.445 - Disclosure of exposure to market risk 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 points. In addition, own funds requirements for the specific interest rate risk of securitisation positions shall be disclosed separately. Section 4.3.3
Art.446 - Disclosure of operational risk management (a) the approaches for the assessment of own funds requirements for operation risk that the institution qualifies for. Section 4.6.4
(b) where the institution makes use of it, a description of the methodology set out in Article 312(2), which shall include a discussion of the relevant internal and external factors being considered in the institution's advanced measurement approach; N/A
(c) in the case of partial use, the scope and coverage of the different methodologies used. N/A
Art.447 - Disclosure of key metrics (a) the composition of their own funds and their own funds requirements as calculated in accordance with Article 92. Executive summary
Section 3.1
(b) the total risk exposure amount as calculated in accordance with Article 92(3); Executive summary
(c) where applicable, the amount and composition of additional own funds which the institutions are required to hold in accordance with point (a) of Article 104(1) of Directive 2013/36/EU. Section 3.1
(d) their combined buffer requirement which the institutions are required to hold in accordance with Chapter 4 of Title VII of Directive 2013/36/EU. Executive summary
(e) their leverage ratio and the total exposure measure as calculated in accordance with Article 429. Executive summary
Section 5.1
(f) the following information in relation to their liquidity coverage ratio as calculated in accordance with the delegated act referred to in Article 460(1):
  • (i) the average or averages, as applicable, of their liquidity coverage ratio based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period;
  • (ii) the average or averages, as applicable, of total liquid assets, after applying the relevant haircuts, included in the liquidity buffer pursuant to the delegated act referred to in Article 460(1), based on end-of-themonth observations over the preceding 12 months for each quarter of the relevant disclosure period;
  • (iii) the averages of their liquidity outflows, inflows and net liquidity outflows as calculated pursuant to the delegated act referred to in Article 460(1), based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period;
Section 4.5.5
(g) the following information in relation to their net stable funding requirement as calculated in accordance with Title IV of Part Six:
  • (i) the net stable funding ratio at the end of each quarter of the relevant disclosure period;
  • (ii) the available stable funding at the end of each quarter of the relevant disclosure period;
  • (iii) the required stable funding at the end of each quarter of the relevant disclosure period;
 Executive summary
Section 4.5.6
(h) their own funds and eligible liabilities ratios and their components, numerator and denominator, as calculated in accordance with Articles 92a and 92b and broken down at the level of each resolution group, where applicable. N/A
Art.448 - Disclosure of exposures to interest rate risk on positions not held in the trading book (a) the changes in the economic value of equity calculated under the six supervisory shock scenarios referred to in Article 98(5) of Directive 2013/36/EU for the current and previous disclosure periods. Section 4.4.1
(b) the changes in the net interest income calculated under the two supervisory shock scenarios referred to in Article 98(5) of Directive 2013/36/EU for the current and previous disclosure periods. Section 4.4.1
(c) a description of key modelling and parametric assumptions, other than those referred to in points (b) and © of Article 98(5a) of Directive 2013/36/EU used to calculate changes in the economic value of equity and in the net interest income required under points (a) and (b) of this paragraph. Section 4.4.1
(d) an explanation of the significance of the risk measures disclosed under points (a) and (b) of this paragraph and of any significant variations of those risk measures since the previous disclosure reference date. Section 4.4.1
(e) the description of how institutions define, measure, mitigate and control the interest rate risk of their nontrading book activities for the purposes of the competent authorities' review in accordance with Article 84 of Directive 2013/36/EU, including:
  • (i) a description of the specific risk measures that the institutions use to evaluate changes in their economic value of equity and in their net interest income;
  • (ii) a description of the key modelling and parametric assumptions used in the institutions' internal measurement systems that would differ from the common modelling and parametric assumptions referred to in Article 98(5a) of Directive 2013/36/EU for the purpose of calculating changes to theeconomic value of equity and to the net interest income, including the rationale for those differences;
  • (iii) a description of the interest rate shock scenarios that institutions use to estimate the interest rate risk;
  • (iv) the recognition of the effect of hedges against those interest rate risks, including internal hedges that meet the requirements laid down in Article 106(3);
  • (v) an outline of how often the evaluation of the interest rate risk occurs.
 Section 4.4.1
(f) the description of the overall risk management and mitigation strategies for those risks. Section 4.4.1
(g) average and longest repricing maturity assigned to non-maturity deposits. Section 4.4.1
2. By way of derogation from paragraph 1 of this Article, the requirements set out in points (c) and (e)(i) to (e) (iv) of paragraph 1 of this Article shall not apply to institutions that use the standardised methodology or the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU. N/A
Art.449 - Disclosure of exposures to securitisation positions (a) a description of their securitisation and re-securitisation activities, including their risk management and investment objectives in connection with those activities, their role in securitisation and re-securitisation transactions, whether they use the simple, transparent and standardised securitisation (STS) as defined in point (10) of Article 242, and the extent to which they use securitisation transactions to transfer the credit risk of the securitised exposures to third parties with, where applicable, a separate description of their synthetic securitisation risk transfer policy; Section 4.2.7.1.1
(b) the type of risks they are exposed to in their securitisation and re-securitisation activities by level of seniority of the relevant securitisation positions providing a distinction between STS and non-STS positions and:
  • (i) the risk retained in own-originated transactions;
  • (ii) the risk incurred in relation to transactions originated by third parties;
 Section 4.2.7.2
(c) their approaches for calculating the risk-weighted exposure amounts that they apply to their securitisation activities, including the types of securitisation positions to which each approach applies and with a distinction between STS and non-STS positions. Section 4.2.7.1.3
(d) a list of SSPEs falling into any of the following categories, with a description of their types of exposures to those SSPEs, including derivative contracts:
  • (i) SSPEs which acquire exposures originated by the institutions;
  • (ii) SSPEs sponsored by the institutions;
  • (iii) SSPEs and other legal entities for which the institutions provide securitisation-related services, such as advisory, asset servicing or management services;
  • (iv) SSPEs included in the institutions' regulatory scope of consolidation.
 Section 4.2.7.2
(e) a list of any legal entities in relation to which the institutions have disclosed that they have provided support in accordance with Chapter 5 of Title II of Part Three. Section 4.2.7.2
(f) a list of legal entities affiliated with the institutions and that invest in securitisations originated by the institutions or in securitisation positions issued by SSPEs sponsored by the institutions. Section 4.2.7.2
(g) a summary of their accounting policies for securitisation activity, including where relevant a distinction between securitisation and re-securitisation positions. Section 4.2.7.1.4
(h) the names of the ECAIs used for securitisations and the types of exposure for which each agency is used. Section 4.2.4.1
(i) where applicable, a description of the Internal Assessment Approach as set out in Chapter 5 of Title II of Part Three, including the structure of the internal assessment process and the relation between internal assessment and external ratings of the relevant ECAI disclosed in accordance with point (h), the control mechanisms for the internal assessment process including discussion of independence, accountability, and internal assessment process review, the exposure types to which the internal assessment process is applied and the stress factors used for determining credit enhancement levels. Section 4.2.7.3
(j) separately for the trading book and the non-trading book, the carrying amount of securitisation exposures, including information on whether institutions have transferred significant credit risk in accordance with Articles 244 and 245, for which institutions act as originator, sponsor or investor, separately for traditional and synthetic securitisations, and for STS and non-STS transactions and broken down by type of securitisation exposures. Section 4.2.7.2
(k) for the non-trading book activities, the following information:
  • (i) the aggregate amount of securitisation positions where institutions act as originator or sponsor and the associated risk-weighted assets and capital requirements by regulatory approaches, including exposures deducted from own funds or risk weighted at 1 250 %, broken down between traditional and synthetic securitisations and between securitisation and re-securitisation exposures, separately for STS and non-STS positions, and further broken down into a meaningful number of risk-weight or capital requirement bands and by approach used to calculate the capital requirements.
 Section 4.2.7.3.2
  • (ii) the aggregate amount of securitisation positions where institutions act as investor and the associated riskweighted assets and capital requirements by regulatory approaches, including exposures deducted from own funds or risk weighted at 1 250 %, broken down between traditional and synthetic securitisations, securitisation and re-securitisation positions, and STS and non-STS positions, and further broken down into a meaningful number of risk weight or capital requirement bands and by approach used to calculate the capital requirements.
Section 4.2.7.2
Section 4.2.7.3.2
(l) for exposures securitised by the institution, the amount of exposures in default and the amount of the specific credit risk adjustments made by the institution during the current period, both broken down by exposure type. Section 4.2.7.3.3
Art.449 a - Disclosure of environmental, social and governance risks (ESG risks) From 28 June 2022, large institutions which have issued securities that are admitted to trading on a regulated market of any Member State, as defined in point (21) of Article 4(1) of Directive 2014/65/EU, shall disclose information on ESG risks, including physical risks and transition risks, as defined in the report referred to in Article 98(8) of Directive 2013/36/EU. The information referred to in the first paragraph shall be disclosed on an annual basis for the first year and biannually thereafter. Section 8
Art.450 - Disclosure of remuneration policy (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, where 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. Section 6.1
(b) information about the link between pay of the staff and their performance; Section 6.4
(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; Section 6.3
(d) the ratios between fixed and variable remuneration set in accordance with point (g) of Article 94(1) of Directive 2013/36/EU. Section 6.7
(e) information on the performance criteria on which the entitlement to shares, options or variable components of remuneration is based. Section 6.5
(f) the main parameters and rationale for any variable component scheme and any other non-cash benefits. Section 6.6
(g) aggregate quantitative information on remuneration, broken down by business area. Section 6.8
(h) aggregate quantitative information on remuneration, broken down by senior management and members of staff whose professional activities have a material impact on the risk profile of the institutions, indicating the following: Detailed in the following sections
  • (i) the amounts of remuneration awarded for the financial year, split into fixed remuneration including a description of the fixed components, and variable remuneration, and the number of beneficiaries.
Section 6.8
  • (ii) the amounts and forms of awarded variable remuneration, split into cash, shares, share-linked instruments and other types separately for the part paid upfront and the deferred part.
 Section 6.8
  • (iii) the amounts of deferred remuneration awarded for previous performance periods, split into the amount due to vest in the financial year and the amount due to vest in subsequent years.
 Section 6.8
  • (iv) the amount of deferred remuneration due to vest in the financial year that is paid out during the financial year, and that is reduced through performance adjustments.
 Section 6.8
  • (v) the guaranteed variable remuneration awards during the financial year, and the number of beneficiaries of those awards.
 Section 6.8
  • (vi) the severance payments awarded in previous periods, that have been paid out during the financial year.
 Section 6.8
  • (vii) the amounts of severance payments awarded during the financial year, split into paid upfront and deferred, the number of beneficiaries of those payments and highest payment that has been awarded to a single person.
 Section 6.8
(i) the number of individuals that have been remunerated EUR 1 million or more per financial year, with the remuneration between EUR 1 million and EUR 5 million broken down into pay bands of EUR 500 000 and with the remuneration of EUR 5 million and above broken down into pay bands of EUR 1 million. Section 6.8
(j) upon demand from the relevant Member State or competent authority, the total remuneration for each member of the management body or senior management. Section 6.8
(k) information on whether the institution benefits from a derogation laid down in Article 94(3) of Directive 2013/36/EU. For the purposes of point (k) of the first subparagraph of this paragraph, institutions that benefit from such a derogation shall indicate whether they benefit from that derogation on the basis of point (a) or (b) of Article 94(3) of Directive 2013/36/EU. They shall also indicate for which of the remuneration principles they apply the derogation(s), the number of staff members that benefit from the derogation(s) and their total remuneration, split into fixed and variable remuneration. N/A
2. For large institutions, the quantitative information on the remuneration of institutions' collective management body referred to in this Article shall also be made available to the public, differentiating between executive and non-executive members. 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 Regulation (EU) 2016/679 of the European Parliament and of the Council. Section 6.8
Art.451 - Disclosure of the leverage ratio (a) the leverage ratio and how the institutions apply Article 499(2). Section 5.1
(b) a breakdown of the total exposure measure referred to in Article 429(4), as well as a reconciliation of the total exposure measure with the relevant information disclosed in published financial statements. Section 5.1
(c) where applicable, the amount of exposures calculated in accordance with Articles 429(8) and 429a(1) and the adjusted leverage ratio calculated in accordance with Article 429a(7). Annex V
(d) a description of the processes used to manage the risk of excessive leverage. Section 5.3
(e) a description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers. Section 5.2
2. Public development credit institutions as defined in Article 429a(2) shall disclose the leverage ratio without the adjustment to the total exposure measure determined in accordance with point (d) of the first subparagraph of Article 429a(1). Annex V
3. In addition to points (a) and (b) of paragraph 1 of this Article, large institutions shall disclose the leverage ratio and the breakdown of the total exposure measure referred to in Article 429(4) based on averages calculated in accordance with the implementing act referred to in Article 430(7). Annex V
Art 451a - Disclosure of liquidity requirements (a) the average or averages, as applicable, of their liquidity coverage ratio based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period; Section 4.5.5
(b) the average or averages, as applicable, of total liquid assets, after applying the relevant haircuts, included in the liquidity buffer pursuant to the delegated act referred to in Article 460(1), based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period, and a description of the composition of that liquidity buffer. Section 4.5.5
(c) the averages of their liquidity outflows, inflows and net liquidity outflows as calculated in accordance with the delegated act referred to in Article 460(1), based on end-of-the-month observations over the preceding 12 months for each quarter of the relevant disclosure period and the description of their omposition. Section 4.5.5
(a) quarter-end figures of their net stable funding ratio calculated in accordance with Chapter 2 of Title IV of Part Six for each quarter of the relevant disclosure period. Section 4.5.6
(b) an overview of the amount of available stable funding calculated in accordance with Chapter 3 of Title IV of Part Six. Section 4.5.6
(c) an overview of the amount of required stable funding calculated in accordance with Chapter 4 of Title IV of Part Six. Section 4.5.6
4. Institutions shall disclose the arrangements, systems, processes and strategies put in place to identify, measure, manage and monitor their liquidity risk in accordance with Article 86 of Directive 2013/36/EU. Section 4.5.1
Section 4.5.2
Art.452 - Disclosure of the use of the IRB Approach to credit risk (a) the competent authority's permission of the approach or approved transition. Section 4.2.5.1.1
(b) for each exposure class referred to in Article 147, the percentage of the total exposure value of each class subject to the Standardised Approach laid down in Chapter 2 of Title II of Part Three or to the IRB Approach laid down in Chapter 3 of Title II of Part Three, as well as the part of each exposure class subject to a roll-out plan; where institutions have received permission to use own LGDs and conversion factors for the calculation of risk-weighted exposure amounts, they shall disclose separately the percentage of the total exposure value of each exposure class subject to that permission. Section 4.2.5.1.1
(c) the control mechanisms for rating systems at the different stages of model development, controls and changes, which shall include information on:
  • (i) the relationship between the risk management function and the internal audit function;
  • (ii) the rating system review;
  • (iii) the procedure to ensure the independence of the function in charge of reviewing the models from the functions responsible for the development of the models;
  • (iv) the procedure to ensure the accountability of the functions in charge of developing and reviewing the models;
Section 4.2.5.1.5
(d) the role of the functions involved in the development, approval and subsequent changes of the credit risk models. Section 4.2.5.1.5
(e) the scope and main content of the reporting related to credit risk models. Section 4.2.5.1.5
(f) a description of the internal ratings process by exposure class, including the number of key models used with respect to each portfolio and a brief discussion of the main differences between the models within the same portfolio, covering:
  • (i) the definitions, methods and data for estimation and validation of PD, which shall include information on how PDs are estimated for low default portfolios, whether there are regulatory floors and the drivers for differences observed between PD and actual default rates at least for the last three periods;
  • (ii) where applicable, the definitions, methods and data for estimation and validation of LGD, such as methods to calculate downturn LGD, how LGDs are estimated for low default portfolio and the time lapse between the default event and the closure of the exposure;
  • (iii) where applicable, the definitions, methods and data for estimation and validation of conversion factors, including assumptions employed in the derivation of those variables.
 Section 4.2.5.1.7
(g) as applicable, the following information in relation to each exposure class referred to in Article 147:
  • (i) their gross on-balance-sheet exposure;
  • (ii) their off-balance-sheet exposure values prior to the relevant conversion factor;
  • (iii) their exposure after applying the relevant conversion factor and credit risk mitigation;
  • (iv) any model, parameter or input relevant for the understanding of the risk weighting and the resulting risk exposure amounts disclosed across a sufficient number of obligor grades (including default) to allow for a meaningful differentiation of credit risk;
  • (v) separately for those exposure classes in relation to which institutions have received permission to use own LGDs and conversion factors for the calculation of risk-weighted exposure amounts, and for exposures for which the institutions do not use such estimates, the values referred to in points (i) to (iv) subject to that permission;
 Section 4.2.5.2
Section 4.2.6.2.2
(h) institutions' estimates of PDs against the actual default rate for each exposure class over a longer period, with separate disclosure of the PD range, the external rating equivalent, the weighted average and arithmetic average PD, the number of obligors at the end of the previous year and of the year under review, the number of defaulted obligors, including the new defaulted obligors, and the annual average historical default rate. Section 4.2.5.3
Art.453 - Disclosure of the use of credit risk mitigation techniques (a) the core features of the policies and processes for on- and off-balance-sheet netting and an indication of the extent to which institutions make use of balance sheet netting. Section 4.2.6.1.2
(b) the core features of the policies and processes for eligible collateral evaluation and management. Section 4.2.6.1.2
(c) a description of the main types of collateral taken by the institution to mitigate credit risk. Section 4.2.9.2.2
(d) for guarantees and credit derivatives used as credit protection, the main types of guarantor and credit derivative counterparty and their creditworthiness used for the purpose of reducing capital requirements, excluding those used as part of synthetic securitisation structures. Section 4.2.9.3
(e) information about market or credit risk concentrations within the credit risk mitigation taken. Section 4.2.9.4
(f) for institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, the total exposure value not covered by any eligible credit protection and the total exposure value covered by eligible credit protection after applying volatility adjustments; the disclosure set out in this point shall be made separately for loans and debt securities and including a breakdown of defaulted exposures. Section 4.2.9.3
(g) the corresponding conversion factor and the credit risk mitigation associated with the exposure and the incidence of credit risk mitigation techniques with and without substitution effect. Section 4.2.9.3
(h) for institutions calculating risk-weighted exposure amounts under the Standardised Approach, the on- and off-balance-sheet exposure value by exposure class before and after the application of conversion factors and any associated credit risk mitigation. Section 4.2.3.3
(i) for institutions calculating risk-weighted exposure amounts under the Standardised Approach, the riskweighted exposure amount and the ratio between that risk-weighted exposure amount and the exposure value after applying the corresponding conversion factor and the credit risk mitigation associated with the exposure; the disclosure set out in this point shall be made separately for each exposure class. Section 4.2.3.3
(j) for institutions calculating risk-weighted exposure amounts under the IRB Approach, the risk-weighted exposure amount before and after recognition of the credit risk mitigation impact of credit derivatives; where institutions have received permission to use own LGDs and conversion factors for the calculation of riskweighted exposure amounts, they shall make the disclosure set out in this point separately for the exposure classes subject to that permission. N/A
Art.454 - Disclosure of the use of the Advanced Measurement Approaches to operational risk 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 their use of insurance and other risk-transfer mechanisms for the purpose of mitigating that risk. Section 4.6.4
Art.455 - Use of internal market risk models (a) for each sub-portfolio covered:
  • (i) the characteristics of the models used;
  • (ii) 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;
  • (iii) a description of stress testing applied to the sub-portfolio;
  • (iv) a description of the approaches used for back-testing and validating the accuracy and consistency of the internal models and modelling processes;
Section 4.3.4.
(b) the scope of permission by the competent authority. Section 4.3.1
(c) a description of the extent and methodologies for compliance with the requirements set out in Articles 104 and 105. Section 4.3.2
(d) the highest, the lowest and the mean of the following:
  • (i) the daily value-at-risk measures over the reporting period and at the end of the reporting period;
  • (ii) the stressed value-at-risk measures over the reporting period and at the end of the reporting period;
  • (iii) the risk numbers for incremental default and migration risk and for the specific risk of the correlation trading portfolio over the reporting period and at the end of the reporting period.
 Section 4.3.4.2.2
(e) the elements of the own funds requirement as specified in Article 364. Section 4.3.4.2.2
(f) the weighted average liquidity horizon for each sub-portfolio covered by the internal models for incremental default and migration risk and for correlation trading. Section 4.3.4.2
(g) 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. Section 4.3.4.2.4