Effective date : January 2020

Scope of application

This guideline is intended for financial services cooperativesNote de bas de page 1, credit unions that are not members of a federation, trust companies, savings companies and legal person constituted under the laws of a jurisdiction other than Québec and that have the capacity to receive deposits of money from the public, governed by the following statutes:

The terms “financial institution” and “institution” refer to all financial entities covered by the above legislation.

Even though all financial institutions must comply with the Pillar 3 disclosure requirements(« Pillar III »), some of the tables and templates are needed only for financial institutions that have been designated as systemically important financial institutions (« SIFIs ») by the Autorité des marchés financiers (« AMF »).

1. Provisions relating to financial disclosure

AMF Note

The paragraphs below concerning financial disclosure requirements are based primarily on the following documents issued by the Basel Committee on Banking Supervision (« BCBS »):

In this guideline, the AMF has reproduced and adapted the paragraphs from the Revised Pillar 3 disclosure requirements. To facilitate comparison, the paragraph numbering from the BCBS document has been retained. Some sections refer directly to the relevant BCBS documents. To help minimize duplication of disclosures, institutions can remove disclosures required by the Enhanced Disclosure Task Force (EDTF)Note de bas de page 2 that are effectively disclosed by the more granular templates and tables of the aforementioned documents.

1.1 Introduction

  1. The provision of meaningful information about common key risk metrics to market participants is a fundamental tenet of a sound banking system. It reduces information asymmetry and helps promote comparability of financial entities’ risk profiles within and across jurisdictions. The AMF expects institutions to comply with the disclosure requirements in this guideline in order to enable market participants to access key information relating to each financial institution’s regulatory capital and risk exposures and thereby increase transparency and confidence about its exposure to risk and the overall adequacy of its regulatory capital.

  2. Paragraph removed

  1. A key goal of this guideline is to improve comparability and consistency of disclosures. To that end, the guideline refers to harmonized templates taken from the BCBS documents. However, it is recognized that a balance needs to be struck between, on the one hand, the use of mandatory templates that promote consistency of reporting and comparability across financial entities and, on the other hand, the need to allow senior management sufficient flexibility to provide commentary on an institution’s specific risk profile. For this reason, this guideline introduces fixed form templates for quantitative information that is considered essential for the analysis of an institution’s regulatory capital requirements, and flexible form templates for information which is considered meaningful to the market but not essential for the analysis of an institution’s regulatory capital adequacy. In addition, senior management must accompany the disclosure requirements in each template with a qualitative commentary that explains the institution’s particular circumstances and risk profile.

  2. Paragraph removed

  1. Paragraph removed

1.2 Reporting location

  1. The AMF expects all financial institutions to publish their Pillar 3 report in a standalone document that provides a readily accessible source of prudential measures for users. The Pillar 3 report may be appended to, or form a discrete section of, an institution’s financial reporting, but it must be easily identifiable to readers. Signposting of disclosure requirements is permitted in certain circumstances, as set out in paragraphs 20–22 below. In addition, the AMF expects all financial institutions to publish their Pillar 3 report quarterly and to ensure that they remain available on their website for at least five years from their publication date.

1.3 Frequency and timing of disclosures

  1. The reporting frequencies for each disclosure requirement are set out in the schedule in paragraph 26 below. The frequencies vary between quarterly, semiannual or annual reporting depending upon the nature of the specific disclosure requirement and the institution’s size.

AMF Note

Institutions that are not systemically important may, until January 1, 2022, continue to comply with the disclosure requirements set out in Chapter 9 of the CAG (revised in March 2019).

  1. A financial institution’s Pillar 3 report must be published concurrently with its financial report for the corresponding period. If a Pillar 3 disclosure is required to be published for a period when a financial institution does not produce any financial report, the disclosure requirement must be published as soon as practicable. However, the time lag must not exceed that allowed to the institution for its financial reporting period-ends. For example, if an institution reports only annually and its annual financial statements are made available five weeks after the end of the annual reporting period-end, interim Pillar 3 disclosures on a quarterly or semiannual basis must be available within five weeks after the end of the relevant quarter or semiannual period.

1.4 Reliability of data

  1. The information provided by institutions under Pillar 3 must be subject, at a minimum, to the same level of internal review and internal control processes as the information provided by institutions for their financial reporting (i.e., the level of data reliability must be the same as for information provided within the management discussion and analysis part of the financial report).

  2. The AMF expects institutions to establish a formal board-approved disclosure policy for Pillar 3 information that sets out the internal controls and procedures for disclosure of such information. The key elements of this policy should be described in the year-end Pillar 3 report or cross-referenced to another location where they are available. The board of directors and senior management are responsible for establishing and maintaining an effective internal control structure over the disclosure of financial information, including Pillar 3 disclosures. They must also ensure that appropriate review of the disclosures takes place. One or more senior officers of the institution, ideally at board level or equivalent, must therefore attest in writing that Pillar 3 disclosures have been prepared in accordance with the board-agreed internal control processes

1.5 Proprietary and confidential information

  1. The disclosure requirements set out below are intended to strike an appropriate balance between the need for meaningful disclosure and the protection of proprietary and confidential information. In exceptional cases, disclosure of certain items required by Pillar 3 may reveal the position of an institution or contravene its legal obligations by making public information that is proprietary or confidential in nature. In such cases, an institution does not need to disclose those specific items, but must disclose more general information about the subject matter of the requirement instead. It must also explain in the narrative commentary to the disclosure requirement the fact that the specific items of information have not been disclosed and the reasons for this.

2. Guiding principles

  1. The AMF follows the BCBS’s five guiding principles for Pillar 3 disclosures by financial institutions. Pillar 3 complements the minimum risk-based capital requirements and other quantitative requirements (Pillar 1) and the supervisory review process (Pillar 2). It is also intended to promote market discipline by providing meaningful regulatory information to investors and other interested parties on a consistent and comparable basis. The guiding principles aim to provide a firm foundation for achieving transparent, high-quality Pillar 3 risk disclosures that will enable users to better understand and compare a financial institution’s business and its risks.

  2. The principles are as follows :

Principle 1: Disclosures should be clear

Disclosures should be presented in a form that is understandable to key stakeholders (i.e., investors, analysts, financial customers and others) and communicated through an accessible medium. Important messages should be highlighted and easy to find. Complex issues should be explained in simple language with important terms defined. Related risk information should be presented together.

Principle 2: Disclosures should be comprehensive

Disclosures should describe an institution’s main activities and all significant risks, supported by relevant underlying data and information. Significant changes in risk exposures between reporting periods should be described, together with the appropriate response by management. Disclosures should provide sufficient information in both qualitative and quantitative terms on an institution’s processes and procedures for identifying, measuring and managing those risks. The level of detail of such disclosure should be proportionate to an institution’s complexity. Approaches to disclosure should be sufficiently flexible to reflect how senior management and the board of directors internally assess and manage risks and strategy, helping users to better understand the institution’s risk tolerance/appetite.

Principle 3: Disclosures should be meaningful to users

Disclosures should highlight an institution’s most significant current and emerging risks and how those risks are managed, including information that is likely to receive market attention. Where meaningful, linkages must be provided to line items on the balance sheet or the income statement. Disclosures that do not add value to users’ understanding or do not communicate useful information should be avoided. Furthermore, information which is no longer meaningful or relevant to users should be removed.

Principle 4: Disclosures should be consistent over time

Disclosures should be consistent over time to enable key stakeholders to identify trends in an institution’s risk profile across all significant aspects of its business. Additions, deletions and other important changes in disclosures from previous reports, including those arising from an institution’s specific, regulatory or market developments, should be highlighted and explained.

Principle 5: Disclosures should be comparable across financial institutions

The level of detail and the format of presentation of disclosures should enable key stakeholders to perform meaningful comparisons of business activities, prudential metrics, risks and risk management between financial entities and across jurisdictions.

3. Presentation of the disclosure requirements

3.1 Templates and tables

  1. The disclosure requirements are presented either in the form of templates or tables. Templates must be completed with quantitative data in accordance with the definitions provided. Tables generally relate to qualitative requirements. Institutions may choose the format they prefer when presenting the information requested in tables.

  2. In line with Principle 3 above, the information provided in the templates and tables should be meaningful to users. The disclosure requirements in this guideline that necessitate an assessment from financial institutions are specifically identified. When preparing these individual tables and templates, institutions will need to consider carefully how widely the disclosure requirement should apply. If an institution considers that the information requested in a template or table is not meaningful to users, for example because the exposures and risk weighted asset (RWA) amounts are deemed immaterial, it may choose not to disclose part or all of the information requested. In such circumstances, however, the institution will be required to explain in a narrative commentary why it considers such information not to be meaningful to users. It should describe the portfolios excluded from the disclosure requirement and the aggregate total RWAs those portfolios represent.

3.2 Templates with a fixed format

  1. Where the format of a template is described as fixed, institutions must complete the fields in accordance with the instructions given.

  2. If a row/column is not considered to be relevant to an institution’s activities or the required information would not be meaningful to users (e.g., immaterial from a quantitative perspective), the institution may delete the specific row/column from the template, but the numbering of the subsequent rows and columns must not be altered. Institutions may add extra rows and extra columns to fixed format templates in order to provide additional detail to a disclosure requirement by adding sub-rows or columns, but the numbering of prescribed rows and columns in the template must not be altered.

3.3 Templates/tables with a flexible format

  1. Where the format of a template is described as flexible, institutions may present the required information either in the format provided in this guideline or in one that better suits the institution. The format for the presentation of qualitative information in tables is not prescribed

  2. However, where a customized presentation of the information is used, the institution must provide information comparable with that required for Pillar 3 disclosure (i.e., at a similar level of granularity as if the template/table were completed as presented in this guideline).

3.4 Signposting

  1. Institutions may disclose in a document separate from their Pillar 3 report (e.g., in an institution’s annual report or through published regulatory reporting) the templates/tables with a flexible format, and the fixed format templates where the criteria in paragraph 21 are met. In such circumstances, the institution must signpost clearly in its Pillar 3 report where the disclosure requirements have been published. This signposting in the Pillar 3 report must include

    • the title and number of the disclosure requirement;

    • the full name of the separate document in which the disclosure requirement has been published;

    • a web link, where relevant; and

    • the page and paragraph number of the separate document where the disclosure requirements can be located.

  2. The disclosure requirements for templates with a fixed format may be disclosed by institutions in a separate document other than the Pillar 3 report, provided all of the following criteria are met:

    • The information contained in the signposted document is equivalent in terms of presentation and content to that required in the fixed template and allows users to make meaningful comparisons with information provided by financial entities disclosing the fixed format templates;

    • The information contained in the signposted document is based on the same scope of consolidation as the one used in Chapter 1 of the CAG.

    • The disclosure in the signposted document is mandatory.

22.Institutions can only make use of signposting to another document if the level of reliability of the data presented in the separate document is equivalent to, or greater than, the internal reliability level required for the Pillar 3 report (see paragraph 9 on reliability, above).

3.5 Qualitative narrative to accompany the disclosure requirements

  1. Institutions are expected to supplement the quantitative information provided in both fixed and flexible templates with a narrative commentary to explain at least any significant changes between reporting periods and any other issues that management considers to be of interest to market participants. The form taken by this additional narrative is at the institution’s discretion.

  2. Disclosure of additional quantitative and qualitative information will provide market participants with a broader picture of an institution´s risk position and promotes market discipline.

  3. Additional voluntary risk disclosures allow institutions to present information relevant to their business model that may not be adequately captured by the standardized requirements. Additional quantitative information that institutions choose to disclose must provide sufficient meaningful information to enable market participants to understand and analyze any figures provided. It must also be accompanied by a qualitative discussion. Any additional disclosure must comply with the five guiding principles described in Section 2.

4. Format and reporting frequency of each disclosure requirement

  1. The chart below presents a summary of the financial disclosure requirements, whether they are required in a fixed or flexible format. It also lists the publishing frequency associated with each template and table. Financial institutions must disclose the information that applies to them according to the chart below. Subject to the adaptations described in Section 5, all the charts refer to BCBS requirements, which can be viewed through the links in the « Basel reference » column.

4.1 Current templates and tables

Tables and templates Format Frequency Basel reference Financial institutions concerned Notes for non-SIFIs
Overview
KM2 – Key metrics – TLAC requirements (at resolution group level) Fixed Quarterly DIS20 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
OVA – Financial institution risk management approach Flexible Annual DIS20 Ce lien s'ouvrira dans une nouvelle fenêtre All
OV1 – Overview of RWA Fixed Quarterly DIS20 Ce lien s'ouvrira dans une nouvelle fenêtre All
Composition of capital and TLAC
CCA – Main features of regulatory capital instruments and of other TLAC eligible instruments Fixed Semiannual DIS25 Ce lien s'ouvrira dans une nouvelle fenêtre All Annual disclosure
TLAC1 –TLAC composition for G-SIBs (at resolution group level) Flexible Semiannual DIS25 Ce lien s'ouvrira dans une nouvelle fenêtre All Annual disclosure
TLAC2 – Material subgroup entity – creditor ranking at legal entity level Flexible Semiannual DIS25 Ce lien s'ouvrira dans une nouvelle fenêtre All
TLAC3 – Resolution entity – creditor ranking at legal entity level Fixed Semiannual DIS25 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
LI1 – Differences between accounting and regulatory scopes of consolidation and mapping of financial statement categories with regulatory risk categories Fixed Semiannual DIS25 Ce lien s'ouvrira dans une nouvelle fenêtre G-SIFIs
LI2 – Main sources of differences between regulatory exposure amounts and carrying values in financial statements Fixed Semiannual DIS25 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
Links between financial statements and regulatory exposures
REMA – Remuneration policy Flexible Annual DIS30 Ce lien s'ouvrira dans une nouvelle fenêtre All
REM1 – Remuneration awarded during the financial year Flexible Annual DIS30 Ce lien s'ouvrira dans une nouvelle fenêtre All
REM2 – Special payments Flexible Annual DIS30 Ce lien s'ouvrira dans une nouvelle fenêtre All
Remuneration
CR1 – Credit quality of assets Flexible Annual DIS35 Ce lien s'ouvrira dans une nouvelle fenêtre All
CR2 – Changes in stock of defaulted loans and debt securities Flexible Annual DIS35 Ce lien s'ouvrira dans une nouvelle fenêtre All
CRB – Additional disclosure related to the credit quality of assets Flexible Annual DIS35 Ce lien s'ouvrira dans une nouvelle fenêtre All
CRB-A – Additional disclosure related to prudential treatment of problem assets Flexible Annual DIS35 Ce lien s'ouvrira dans une nouvelle fenêtre All
Credit risk
CRC – Qualitative disclosure requirements related to credit risk mitigation techniques Flexible Annual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre All
CR3 – Credit risk mitigation techniques – overview Fixed Semiannual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre All
CRD – Qualitative disclosures on financial institutions’ use of external credit ratings under the standardised approach for credit risk Fixed Semiannual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre All
CR4 – Standardised approach – credit risk exposure and credit risk mitigation (CRM) effects Flexible Annual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre All
CR5 – Standardised approach – exposures by asset classes and risk weights Flexible Annual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre All
CRE – Qualitative disclosures related to IRB models Flexible Annual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre All
CR6 – IRB – credit risk exposures by portfolio and probability of default (PD) range Fixed Semiannual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre All
CR7 – IRB – effect on RWA of credit derivatives used as CRM techniques Flexible Annual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre All
CR8 – RWA flow statements of credit risk exposures under IRB Fixed Semiannual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre All
CR9 – IRB – backtesting of PD per portfolio Fixed Semiannual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre All
CR10 – IRB (specialised lending and equities under the simple risk weight method) Flexible Annual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
CCRA – Qualitative disclosure related to counterparty credit risk Fixed Semiannual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
CCR1 – Analysis of counterparty credit risk (CCR) exposure by approach Fixed Semiannual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
CCR2 – Credit valuation adjustment (CVA) capital charge Fixed Quarterly DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
CCR3 – Standardised approach of CCR exposures by regulatory portfolio and risk weights Flexible Annual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
CCR4 – IRB – CCR exposures by portfolio and PD scale Flexible Semiannual DIS40 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
Counterparty credit risk
CCR5 – Composition of collateral for CCR exposure Flexible Annual DIS42 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
CCR6 – Credit derivatives exposures Fixed Semiannual DIS42 Ce lien s'ouvrira dans une nouvelle fenêtre All
CCR7 – RWA flow statements of CCR exposures under the Internal Model Method (IMM) Fixed Semiannual DIS42 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
CCR8 – Exposures to central counterparties Fixed Semiannual DIS42 Ce lien s'ouvrira dans une nouvelle fenêtre All
SECA – Qualitative disclosure requirements related to securitisation exposures Fixed Semiannual DIS42 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
SEC1 – Securitisation exposures in the banking book Flexible Semiannual DIS42 Ce lien s'ouvrira dans une nouvelle fenêtre All Annual disclosure
SEC2 – Securitisation exposures in the trading book Flexible Semiannual DIS42 Ce lien s'ouvrira dans une nouvelle fenêtre All Annual disclosure
SEC3 – Securitisation exposures in the banking book and associated regulatory capital requirements – institution acting as originator or as sponsor Fixed Quarterly DIS42 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
SEC4 – Securitisation exposures in the banking book and associated capital requirements – institution acting as investor Fixed Semiannual DIS42 Ce lien s'ouvrira dans une nouvelle fenêtre All Annual disclosure
Securitisation
MRA – General qualitative disclosure requirements related to market risk Flexible Annual DIS43 Ce lien s'ouvrira dans une nouvelle fenêtre All
MR1 – Market risk under SA Flexible Semiannual DIS43 Ce lien s'ouvrira dans une nouvelle fenêtre All
MRB – Qualitative disclosures for institutions using the IMA Flexible Semiannual DIS43 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
MR2 – RWA flow statements of market risk exposures under IMA (Phase I only) MR2 – Market risk IMA per risk type (Phase II only) Fixed Semiannual DIS43 Ce lien s'ouvrira dans une nouvelle fenêtre All
MR3 – IMA values for trading portfolios (Phase I only) MR3 – RWA flow statements of market risk exposures under IMA (Phase II only) Fixed Semiannual DIS43 Ce lien s'ouvrira dans une nouvelle fenêtre All
Market risk
MR4 – Comparison of VaR estimates with gains/losses (Phase I only) Flexible Annual DIS50 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
GSIB1 – Disclosure of G-SIB indicators Fixed Semiannual DIS50 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
CCyB1 – Geographical distribution of credit exposures used in the countercyclical buffer Flexible Annual DIS50 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
LR2 – Leverage ratio common disclosure template Fixed Semiannual DIS50 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
LIQA – Liquidity risk management Fixed Quarterly DIS50 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
LIQ1 – Liquidity Coverage Ratio (LCR) Flexible Semiannual DIS50 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
Macroprudential supervisory measures
GSIB1 – Communication des indicateurs pour les IFIS globales (IFIS-g) Flexible Annual DIS75 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs
CCyB1 – Répartition géographique des expositions utilisées dans le coussin contracyclique Flexible Semiannual DIS75 Ce lien s'ouvrira dans une nouvelle fenêtre All
Leverage ratio
LR1 – Comparaison résumée des actifs comptables et de la mesure de l’exposition aux fins du ratio de levier Fixed Quarterly DIS80 Ce lien s'ouvrira dans une nouvelle fenêtre All
LR2 – Ratio de levier : modèle de déclaration commun Fixed Quarterly DIS80 Ce lien s'ouvrira dans une nouvelle fenêtre All
Liquidity
LIQA – Gestion du risque de liquidité Flexible Annual DIS85 Ce lien s'ouvrira dans une nouvelle fenêtre All
LIQ1 – ratio de liquidité à court terme (LCR) Fixed Quarterly DIS85 Ce lien s'ouvrira dans une nouvelle fenêtre SIFIs

4.2 Forthcoming templates and tables

  1. The schedule below lists the templates and tables that may need to be incorporated into the financial disclosure requirements.
Tables and templates Format Frequency Basel reference Financial institutions concerned Effective date
Comparison
KM1 - indicateurs clés (au niveau du groupe consolidé) Fixe Trimestrielle DIS20 Ce lien s'ouvrira dans une nouvelle fenêtre Tous 2021-01-01
CC1 – Composition of regulatory capital Fixe Trimestrielle DIS21 Ce lien s'ouvrira dans une nouvelle fenêtre IFIS seulement 2022-01-01
Capital distribution constriants
CC2 – Reconciliation of regulatory capital to balance sheet Fixe Semestrielle DIS21 Ce lien s'ouvrira dans une nouvelle fenêtre IFIS seulement 2022-01-01
Asset encumbrance
LIA – Explanations of differences between accounting and regulatory exposures amounts Flexible Annuelle DIS26 Ce lien s'ouvrira dans une nouvelle fenêtre Tous 2020-12-31
Market risk
REM3 – Deferred remuneration Fixe Annuelle DIS30 Ce lien s'ouvrira dans une nouvelle fenêtre Tous 2021-01-01
Credit valuation adjustment risk
CRA – General qualitative information about credit risk Fixe Semestrielle DIS31 Ce lien s'ouvrira dans une nouvelle fenêtre Tous 2020-12-31
LR1 – Summary comparison of accounting assets vs leverage ratio exposure measure Flexible Semestrielle DIS50 Ce lien s'ouvrira dans une nouvelle fenêtre IFIS seulement 2022-01-01
CVAA - Informations générales qualitatives exigées concernant l’AEC Flexible Annuelle DIS51 Ce lien s'ouvrira dans une nouvelle fenêtre IFIS seulement 2022-01-01
CVAB - Informations qualitatives - institutions appliquant l’approche standard d’AEC Flexible Annuelle DIS51 Ce lien s'ouvrira dans une nouvelle fenêtre IFIS seulement 2022-01-01
CVA1 - Approche de base abrégée pour l’AEC Fixe Semestrielle DIS51 Ce lien s'ouvrira dans une nouvelle fenêtre IFIS seulement 2022-01-01
CVA2 - Approche de base intégrale pour l’AEC Fixe Semestrielle DIS51 Ce lien s'ouvrira dans une nouvelle fenêtre IFIS seulement 2022-01-01
Operational risk
CVA3 - Approche standard pour l’AEC Fixe Semestrielle DIS51 Ce lien s'ouvrira dans une nouvelle fenêtre IFIS seulement 2022-01-01
CVA4 - États des flux d’APR pour les expositions au risque d’AEC selon l’approche standard Fixe Semestrielle DIS51 Ce lien s'ouvrira dans une nouvelle fenêtre IFIS seulement 2022-01-01
ORA – Exigences d’information qualitative générale relative au cadre de risque opérationnel de l’institution Flexible Annuelle DIS60 Ce lien s'ouvrira dans une nouvelle fenêtre Tous 2021-01-01
OR1 – Pertes historiques Fixe Annuelle DIS60 Ce lien s'ouvrira dans une nouvelle fenêtre Tous 2021-01-01
Liquidity
OR2 – Indicateur d’activité et sous-composantes Fixe Annuelle DIS60 Ce lien s'ouvrira dans une nouvelle fenêtre Tous 2021-01-01
OR3 – Exigences de fonds propres minimales pour le risque opérationnel Fixe Annuelle DIS60 Ce lien s'ouvrira dans une nouvelle fenêtre Tous 2021-01-01
LIQ2 – Ratio structurel de liquidité à long terme (NSFR) Fixe Semestrielle DIS85 Ce lien s'ouvrira dans une nouvelle fenêtre IFIS seulement 2021-03-31

5. Adaptations for certain tables or templates

  1. This section presents the templates and tables adapted by the AMF. Only templates CC1, CC2, TLAC1, CR1, CR2, CR3 and CR10 have been adapted. The other templates can be found in the BCBS documents. Links to the BCBS templates are provided in the chart in section 4. Please note that some of the adaptations make reference to the Total Loss Absorbing Capacity Guideline (TLAC Guideline)Note de bas de page 3.

5.1 Composition of capital and TLAC

Template CC1: Composition of regulatory capital

Purpose : Provide a breakdown of the constituent elements of a financial institution’s capital
Scope of application : This template is mandatory.
Content : Breakdown of regulatory capital according to the scope of regulatory consolidation
Frequency : Semiannual
Format : Fixed
Accompanying narrative : Financial institutions are expected to supplement the template with a narrative commentary to explain any significant changes over the reporting period and the key drivers of such change.

Row Composition of regulatory capital Amounts (a) Source based on references in template CC2 (b)
Common Equity Tier 1 capital: instruments and reserves
1 Directly issued qualifying Tier 1A capital instruments (and equivalent) h
2 Qualifying reserves and retained surpluses
3 Accumulated other comprehensive income (and other reserves)
4 NA
5 Directly issued capital subject to phase-out from Tier 1A regulatory capital (only applicable to non-joint stock companies)
6 Tier 1A capital instruments issued by subsidiaries and held by third parties (amount allowed in Tier 1A capital)
Common Equity Tier 1 capital: regulatory adjustments
7 Tier 1A capital instruments before regulatory adjustments
8 Prudent valuation adjustments a minus d
9 Goodwill (net of related deferred tax liability) b minus e
10 Other intangibles other than mortgage servicing rights and computer software (net of eligible deferred tax liability)
11 Deferred tax assets, excluding those arising from temporary differences (net of eligible deferred tax liability)
12 Cash flow hedge reserve
13 Shortfall of provisions to expected losses
14 Securitization gain on sale (paragraph 36 of Chapter 6 of CBARG)
15 Gains and losses due to changes in the institution’s own credit risk on fair valued liabilities
16 Defined benefit plan assets, after permitted offset (net of eligible deferred tax liability)
17 Investments in own Tier 1A capital instruments (if not consolidated)
18 Reciprocal cross-holdings in Tier 1A capital instruments
19 Institution’s investments in the capital of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation, where it does not own more than 10% of their capital, net of eligible short positions (amount above threshold of 10% of the institution’s capital)
20 Significant Institution’s investments in the capital of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation, net of eligible short positions (amount above threshold of 10% of the institution’s capital) c minus f minus 10 % threshold
21 Mortgage servicing rights (amount above 10% threshold)
22 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related deferred tax liability)
23 Amount exceeding the 15% threshold
24 Of which: significant investments in the Tier 1A capital of financial institutions
25 Of which: mortgage servicing rights
26 Of which: deferred tax assets arising from temporary differences
27 National specific regulatory adjustments
28 Regulatory adjustments applied to Tier 1A and equivalent capital due to insufficient Tier 1B capital and Tier 2 capital to cover deductions
29 Total regulatory adjustments to Tier 1A and equivalent capital
Additional Tier 1 capital: instruments
30 Tier 1A and equivalent capital i
31 Directly issued qualifying Tier 1B capital
32 Of which: classified as equity under applicable accounting standards
33 Of which: classified as liabilities under applicable accounting standards
34 Directly issued capital instruments subject to phase-out from Tier 1B capital
35 Tier 1B capital (and Tier 1A instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed in Tier 1B capital)
36 Of which: instruments issued by subsidiaries subject to phase-out
Additional Tier 1 capital: regulatory adjustments
37 Tier 1B capital before regulatory adjustments
38 Investments in own Tier 1A capital instruments
39 Investments in own Tier 1B capital instruments
40 Institution’s investments in the capital of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation, where it does not own more than 10% of the issued Tier 1A capital of the institution (amount above 10% threshold)
41 Significant investments in the capital of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation
42 National specific regulatory adjustments
43 Regulatory adjustments applied to other Tier 1B capital items due to insufficient Tier 2 capital to cover deductions
44 Total regulatory adjustments to Tier 1B capital
45 Total Tier 1B capital
Tier 2 capital: instruments and provisions
46 Total Tier 1 capital (1A + 1B)
47 Directly issued qualifying Tier 2 capital instruments
48 Directly issued capital instruments subject to phase-out from Tier 2 capital
49 Tier 2 capital instruments (and Tier 1A and Tier 1B instruments not included in rows 5 and 34) issued by subsidiaries and held by third parties (amount allowed in group Tier 2)
50 Of which: instruments issued by subsidiaries subject to phase-out
51 Provisions
Tier 2 capital: regulatory adjustments
52 Tier 2 capital before regulatory adjustments
53 Investments in own Tier 2 instruments
54 Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities
54.a Institution’s investments in the capital and other TLAC liabilities of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation, where it does not own more than 10% of the issued Tier 1A capital of the institution (amount above 10% threshold)
55 Investments in the other TLAC liabilities of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation and where it does not own more than 10% of the issued Tier 1A capital of the institution: amount previously designated for the 5% threshold but that no longer meets the conditions (SIFIs only)
56 Significant investments in the capital and other TLAC liabilities of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation (net of eligible short positions)
57 National specific regulatory adjustments
58 Total regulatory adjustments to Tier 2 capital
59 Total Tier 2 capital
60 Total capital (1A + 1B + 2)
Capital adequacy ratios and buffers
61 Total risk-weighted assets
62 Tier 1A and equivalent capital (as a percentage of risk-weighted assets)
63 Tier 1 capital (as a percentage of risk-weighted assets)
64 Total capital (as a percentage of risk weighted assets)
65 Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets)
66 Of which: capital conservation buffer requirement
67 Of which: institution-specific countercyclical buffer requirement
68 Of which: higher loss absorbency requirement
National minima (if different from Basel III)
69 Tier 1A capital (as a percentage of risk-weighted assets) available after meeting the institution’s minimum capital requirements
70 Tier 1A capital minimum ratio(if different from Basel III minimum)
71 Tier 1 capital minimum ratio (if different from Basel III minimum)
Amounts below the thresholds for deduction (before risk-weighting)
72 Total capital minimum ratio (if different from Basel III minimum)
73 Non-significant investments in the capital and other TLAC liabilities of other financial entities
74 Significant investments in the Tier 1A capital instruments or common stock of financial entities
75 Mortgage servicing rights (net of related deferred tax liability)
Applicable caps on the inclusion of provisions in Tier 2 capital
76 Deferred tax assets arising from temporary differences (net of related deferred tax liability)
77 Provisions eligible for inclusion in Tier 2 capital in respect of exposures subject to standardized approach (prior to application of cap)
78 Cap on inclusion of provisions in Tier 2 capital under standardized approach
79 Provisions eligible for inclusion in Tier 2 capital in respect of exposures subject to internal ratings-based approach (prior to application of cap)
Capital instruments subject to phase-out arrangements (only applicable until 1 Jan 2022)
80 Cap for inclusion of provisions in Tier 2 capital under internal ratings-based approach
81 Current cap on Tier 1A capital instruments subject to phase-out arrangements
82 Amount excluded from Tier 1A capital due to cap (excess over cap after redemptions and maturities)
83 Current cap on Tier 1B capital instruments subject to phase-out arrangements
84 Amount excluded from Tier 1B capital due to cap (excess over cap after redemptions and maturities)
85 Current cap on Tier 2 capital instruments subject to phase-out arrangements
NA Amount excluded from Tier 2 capital due to cap (excess over cap after redemptions and maturities) NA NA

General

The reconciliation requirements included in Template CC2 result in the decomposition of certain regulatory adjustments. For example, the disclosure template below includes the adjustment Goodwill net of related tax liability. The reconciliation requirements will lead to the disclosure of both the goodwill component and the related deferred tax liability component of this regulatory adjustment.

Columns

Financial institutions are required to complete column (b) to show the source of every major input, which is to be cross-referenced to the corresponding rows in Template CC2.

Rows

Set out in the following table is an explanation of each row of the template above. Financial institutions are required to report deductions from capital as positive numbers and additions to capital as negative numbers. For example, goodwill (row 8) should be reported as a positive number, as should gains due to the change in the own credit risk of the institution (row 14). However, losses due to the change in the own credit risk of the institution should be reported as a negative number as these are added back in the calculation of Tier 1A capital.

Row Definition
1 Instruments issued by the parent company of the reporting group that meet all of the Tier 1A capital criteria set out in paragraph 53 of CBARG. This should be equal to the sum of Tier 1A capital and other instruments for non joint stock companies, both of which must meet the Tier 1A capital criteria. This should be net of redeemed and investments in own Tier 1A capital instruments to the extent that these are already derecognized on the balance sheet under the relevant accounting standards. Other paid-in capital elements must be excluded. All minority interest must be excluded.
2 Retained surpluses/retained earnings, prior to all regulatory adjustments. In accordance with paragraph 52 of CBARG, this row should include interim profit and loss that has met any audit, verification or review procedures that the AMF has put in place. Remuneration under the instrument is to be removed in accordance with the applicable accounting standards, i.e. it should be removed from this row when it is removed from the balance sheet of the financial institution.
3 Accumulated other comprehensive income and other disclosed reserves, prior to all regulatory adjustments.
4 Directly issued capital instruments subject to phase-out from Tier 1A capital in accordance with the requirements of paragraph 95 of section 2.9 of CBARG. This is only applicable to non-joint stock companies. Financial institutions structured as joint-stock companies must report zero in this row.
5 Tier 1A and equivalent capital instruments issued by subsidiaries and held by third parties. Only the amount that is eligible for inclusion in Tier 1A capital should be reported here, as determined by the application of paragraph 62 of section 2.1.2.1 of CBARG.
6 Sum of rows 1 to 5.
7 Prudential valuation adjustments according to the requirements of paragraphs 698 to 701 of Basel II (comprehensive version, June 2006), taking into account the guidance set out in Supervisory guidance for assessing banks’ financial instrument fair value practices, April 2009 (in particular Principle 10)
8 Goodwill net of related deferred tax liability (paragraph 67 of section 2.6.1 of CBARG).
9 Other intangibles other than mortgage-servicing rights (net of related deferred tax liability) (paragraph 67 of section 2.6.1 of CBARG).
10 Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related deferred tax liability), as set out in paragraph 69 of section 2.6.1 of CBARG.
11 The element of the cash-flow hedge reserve described in paragraphs 71 and 72 of section 2.6.1 of CBARG.
12 Shortfall of provisions to expected losses (paragraph 73 of section 2.6.1 of CBARG).
13 Securitization gain on sale (paragraph 74 of section 2.6.1 of CBARG)
14 Gains and losses due to changes in own credit risk on fair valued liabilities (paragraph 75 of section 2.6.1 of CBARG).
15 Defined-benefit pension fund net assets, the amount to be deducted as set out in paragraphs 76 and 77 of section 2.6.1 of CBARG.
16 Investments in own Tier 1A instruments (if not already netted off paid-in capital on reported balance sheet) (paragraph 78 of section 2.6.1 of CBARG).
17 Reciprocal cross-holdings in Tier 1A capital (paragraph 79 of section 2.6.1 of CBARG).
18 Institution’s investments in the capital of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation and where it does not own more than 10% of their capital, net of eligible short positions and amount above 10% threshold. Amount to be deducted from Tier 1A capital calculated in accordance with paragraphs 80 to 83 of section 2.6.1 of CBARG.
19 Significant investments in the capital of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation, net of eligible short positions and amount above 10% threshold. Amount to be deducted from Tier 1A capital calculated in accordance with paragraphs 84 to 88 of section 2.6 of CBARG.
20 Mortgage servicing rights (amount above 10% threshold), amount to be deducted from Tier 1A capital in accordance with paragraphs 87 to 88 of section 2.6.2 of CBARG.
21 Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related deferred tax liability), amount to be deducted from Tier 1A capital in accordance with paragraphs 87 and 88 of section 2.6.2 of CBARG.
22 Total amount by which the three threshold items exceed the 15% threshold, excluding amounts reported in rows 19 to 21, calculated in accordance with paragraphs 87 and 88 of section 2.6.2 of CBARG.
23 The amount reported in row 22 that relates to significant investments in the Tier 1A and equivalent capital of financials.
24 The amount reported in row 22 that relates to mortgage servicing rights.
25 The amount reported in row 22 that relates to deferred tax assets arising from temporary differences.
26 Specific regulatory adjustments required to be applied to Tier 1A capital in addition to the CAR – FSC minimum set of adjustments.
27 Regulatory adjustments applied to Tier 1A capital due to insufficient Tier 1B capital to cover deductions. If the amount reported in row 43 exceeds the amount reported in row 36, the excess is to be reported here.
28 Total regulatory adjustments to Tier 1A capital, to be calculated as the sum of rows 7 to 22 plus rows 26 and 27.
29 Tier 1A capital, to be calculated as row 6 minus row 28.
30 Instruments issued by the parent company of the reporting group that meet all of the Tier 1B capital criteria set out in paragraph 55 of section 2.1.1.2 of CBARG. All instruments issued by subsidiaries of the consolidated group should be excluded from this row. This row may include Tier 1B capital issued by an SPV of the parent company only if it meets the requirements set out in paragraph 65 of section 2.1.2.4 of CBARG.
31 The amount in row 30 classified as equity under applicable accounting standards.
32 The amount in row 30 classified as liabilities under applicable accounting standards.
33 Directly issued capital instruments subject to phase-out from Tier 1B capital in accordance with the requirements of paragraph 94(g) of section 2.9 of CBARG.
34 Tier 1B capital (and Tier 1A capital instruments not included in row 5) issued by subsidiaries and held by third parties, the amount allowed in Tier 1B capital in accordance with paragraph 63 of section 2.1.2.2 of CBARG.
35 The amount reported in row 34 that relates to instruments subject to phase-out from Tier 1B capital in accordance with the requirements of paragraph 94(g) of section 2.9 of CBARG.
36 The sum of rows 30, 33 and 34.
37 Investments in own Tier 1B capital instruments, amount to be deducted from Tier 1B capital in accordance with paragraph 78 of section 2.6.1 of CBARG.
38 Reciprocal cross-holdings in Tier 1B capital instruments, amount to be deducted from Tier 1B capital in accordance with paragraph 79 of section 2.6.1 of CBARG.
39 Investments in the Tier 1B capital of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation and where it does not own more than 10% of the issued Tier 1A capital of the institution, net of eligible short positions and amount above 10% threshold. Amount to be deducted from Tier 1B capital calculated in accordance with paragraphs 80–83 of section 2.6.1 of CBARG.
40 Significant investments in the capital of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation (net of eligible short positions) Amount to be deducted from Tier 1B capital in accordance with paragraphs 84 and 85 of section 2.6.1 of CBARG.
41 Specific regulatory adjustments required to be applied to Tier 1B capital in addition to the CBARG minimum set of adjustments.
42 Regulatory adjustments applied to Tier 1B capital due to insufficient Tier 2 capital to cover deductions. If the amount reported in row 57 exceeds the amount reported in row 51, the excess is to be reported here.
43 The sum of rows 37 to 42.
44 Tier 1B capital, to be calculated as row 36 minus row 43.
45 Tier 1B capital, to be calculated as row 29 plus row 44.
46 Instruments issued by the parent company of the reporting group that meet all of the Tier 2 capital criteria set out in paragraph 58 of section 2.1.1.3 of CBARG. All instruments issued by subsidiaries of the consolidated group should be excluded from this row. This row may include Tier 2 capital issued by a special purpose vehicle (SPV) of the parent company only if it meets the requirements set out in paragraph 65 of section 2.1.2.4 of CBARG.
47 Directly issued capital instruments subject to phase-out from Tier 2 capital in accordance with the requirements of paragraph 94(g) of section 2.9 of CBARG.
48 Tier 2 instruments (and Tier 1A and Tier 1B capital instruments not included in row 5 or 32) issued by subsidiaries and held by third parties (amount allowed in Tier 2 capital) in accordance with paragraph 64 of section 2.1.2.3 of CBARG.
49 The amount reported in row 48 that relates to instruments subject to phase-out from Tier 2 capital in accordance with the requirements of paragraph 94(g) of section 2.9 of CBARG.
50 Provisions included in Tier 2 capital, calculated in accordance with section 2.1.2.6 of CBARG.
51 The sum of rows 46 to 48 and row 50.
52 Investments in own other Tier 2 capital instruments, amount to be deducted from Tier 2 capital in accordance with paragraph 78 of section 2.6.1 of CBARG.
53 Reciprocal cross-holdings in Tier 2 capital instruments and other TLAC liabilities, amount to be deducted from Tier 2 capital in accordance with paragraph 79 of section 2.6.1 of CBARG.
54 Investments in the capital instruments and other TLAC liabilities of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation, net of eligible short positions, where it does not own more than 10% of the issued Tier 1A capital of the institution: amount in excess of the 10% threshold that is to be deducted from Tier 2 capital in accordance with paragraphs 80–83 of section 2.6.1 of CBARG. For non-SIFIs, any amount reported in this row will reflect other TLAC liabilities not covered by the 5% threshold and that cannot be absorbed by the 10% threshold. For SIFIs, the 5% threshold is subject to additional conditions; deductions in excess of the 5% threshold are reported instead on row 54a.
54-a This row is for SIFIs only. Investments in other TLAC liabilities of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation and where it does not own more than 10% of the issued Tier 1A capital of the institution, previously designated for the 5% threshold but no longer meeting the conditions under paragraph 80a of section 2.6.1 of CBARG – measured on a gross long basis. The amount to be deducted will be the amount of other TLAC liabilities designated to the 5% threshold but not sold within 30 business days, no longer held in the trading book or now exceeding the 5% threshold (e.g., in the instance of decreasing Tier 1A capital). Note that, for SIFIs, amounts designated to this threshold may not subsequently be moved to the 10% threshold. This row does not apply to non-SIFIs, to whom these conditions on the use of the 5% threshold do not apply.
55 Significant investments in the capital and other TLAC liabilities of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation (net of eligible short positions), amount to be deducted from Tier 2 capital in accordance with paragraphs 84 and 85 of section 2.6.1 of CBARG.
56 Regulatory adjustments that must be applied to Tier 2 capital in addition to the CBARG minimum set of adjustments.
57 The sum of rows 52 to 56.
58 Tier 2 capital, to be calculated as row 51 minus row 57.
59 Total capital, to be calculated as row 45 plus row 58.
60 Total risk weighted assets of the reporting group.
61 Tier 1A capital ratio (as a percentage of risk weighted assets), to be calculated as row 29 divided by row 60 (expressed as a percentage).
62 Tier 1 ratio (as a percentage of risk weighted assets), to be calculated as row 45 divided by row 60 (expressed as a percentage).
63 Total capital ratio (as a percentage of risk weighted assets), to be calculated as row 59 divided by row 60 (expressed as a percentage).
64 Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets). If a multiple point of entry SIFI resolution entity is not subject to a buffer requirement at that scope of consolidation, then it should enter zero.
65 The amount in row 64 (expressed as a percentage of risk weighed assets) that relates to the capital conservation buffer, i.e. financial institutions will report 2.5% here.
66 The amount in row 64 (expressed as a percentage of risk weighted assets) that relates to the institution-specific countercyclical buffer requirement.
67 The amount in row 64 (expressed as a percentage of risk-weighted assets) that relates to the institution’s higher loss absorbency requirement, if applicable.
68 Tier 1A capital (as a percentage of risk-weighted assets) available after meeting the institution’s minimum capital requirements. To be calculated as the Tier 1A capital ratio of the financial institution (row 61) less the ratio of RWA of any common equity used to meet the institution’s Tier 1A, Tier 1B and total minimum capital requirements. For example, suppose a financial institution has 100 RWA, 10 Tier 1A capital, 1.5 Tier 1B capital and no Tier 2 capital. Since it does not have any Tier 2 capital, it will have to earmark its Tier 1A capital to meet the 8% minimum capital requirement. The net Tier 1A capital left to meet other requirements (which could include Pillar 2 buffers or TLAC requirements) will be 10 - 4.5 - 2 = 3.5.
69 Tier 1A minimum capital ratio.
70 Tier 1 capital minimum ratio.
71 Total capital minimum ratio.
72 Investments in the capital instruments and other TLAC liabilities of banks, insurance entities and other financial institutions that are outside the scope of regulatory consolidation where it does not own more than 10% of the issued Tier 1A capital of the institution (in accordance with paragraphs 80 to 83 of section 2.6.1 of CBARG).
73 Significant investments in the Tier 1A capital instruments of financial institutions, the total amount of such holdings that are not reported in row 19 and row 23.
74 Mortgage servicing rights, the total amount of such holdings that are not reported in row 20 and row 24.
75 Deferred tax assets arising from temporary differences, the total amount of such holdings that are not reported in row 21 and row 25.
76 Provisions eligible for inclusion in Tier 2 capital in respect of exposures subject to standardized approach, calculated in accordance with section 2.1.2.6 of CBARG, prior to the application of the cap.
77 Cap on inclusion of provisions in Tier 2 capital under the standardized approach, calculated in accordance with section 2.1.2.6 of CBARG.
78 Provisions eligible for inclusion in Tier 2 capital in respect of exposures subject to the internal ratings-based approach, calculated in accordance with section 2.1.2.6 of CBARG, prior to the application of the cap.
79 Cap on inclusion of provisions in Tier 2 capital under the internal ratings-based approach, calculated in accordance with section 2.1.2.6 of CBARG.
80 Current cap on Tier 1A capital instruments subject to phase-out arrangements (paragraph 95 of section 2.9 of CBARG).
81 Amount excluded from Tier 1A capital due to cap (excess over cap after redemptions and maturities) (paragraph 95 of section 2.9 of CBARG).
82 Current cap on Tier 1B capital instruments subject to phase-out arrangements (paragraph 94(g) of section 2.9 of CBARG).
83 Amount excluded from Tier 1B capital due to cap (excess over cap after redemptions and maturities) (paragraph 94(g) of section 2.9 of CBARG).
84 Current cap on Tier 2 capital instruments subject to phase-out arrangements (paragraph 94(g) of section 2.9 of CBARG).
85 Amount excluded from Tier 2 capital due to cap (excess over cap after redemptions and maturities) (paragraph 94(g) of section 2.9 of CBARG).

Template CC2: Reconciliation of regulatory capital to balance sheet

Purpose : Enable users to identify the differences between the scope of accounting consolidation and the scope of regulatory consolidation, and to show the link between a financial institution’s balance sheet in its published financial statements and the numbers that are used in the composition of capital disclosure template set out in Template CC1.
Scope of application : The template is mandatory for all financial institutions.
Content : Carrying values (corresponding to the values reported in financial statements). Amounts must be calculated as at period end.
Frequency : Semiannual
Format : Flexible (but the rows must align with the presentation of the institution’s financial report).
Accompanying narrative : Financial institutions are expected to supplement the template with a narrative commentary to explain any significant changes in the expanded balance sheet items over the reporting period and the key drivers of such change. Narrative commentary to significant changes in other balance sheet items could be found in Table LIA.

Reconciliation of regulatory capital to balance sheet Carrying values as reported in published financial statements (a) Carrying values under regulatory scope of consolidation (b) Reference (c )
Assets
Cash and balances at central banks
Items in the course of collection from other financial institutions
Trading portfolio assets
Financial assets designated at fair value
Derivative financial instruments
Loans and advances to financial institutions
Loans and advances to customers
Reverse repurchase agreements and other similar secured lending
Available for sale financial investments
Current and deferred tax assets
Prepayments, accrued income and other assets
Investments in associates and joint ventures
Goodwill and intangible assets
Of which: goodwill
Of which: other intangibles (excluding mortgage servicing rights (MSRs))
Of which: MSRs
Property, plant and equipment
Total assets
Liabilities
Deposits from financial institutions
Items in the course of collection due to other financial institutions
Customer accounts
Repurchase agreements and other similar secured borrowing
Trading portfolio liabilities
Financial liabilities designated at fair value
Derivative financial instruments
Debt securities in issue
Accruals, deferred income and other liabilities
Current and deferred tax liabilities
Of which: deferred tax liabilities (DTL) related to goodwill
Of which: DTL related to intangible assets (excluding MSR)
Of which: DTL related to MSR
Subordinated liabilities
Provisions
Retirement benefit liabilities
Total liabilities
Shareholders’ equity
Paid-in share capital
Of which: amount eligible for Tier 1A capital
Of which: amount eligible for Tier 1B capital
Retained surpluses or earnings
Accumulated other comprehensive income
Total capital

Columns

Financial institutions are required to take their balance sheet in their published financial statements (numbers reported in column (a) above) and report the numbers when the regulatory scope of consolidation is applied (numbers reported in column (b) above). If there are rows in the balance sheet under the regulatory scope of consolidation that are not present in the published financial statements, financial institutions are required to add these and give a value of zero in column (a). If an institution’s scope of accounting consolidation and its scope of regulatory consolidation are exactly the same, columns (a) and (b) should be merged and this fact should be clearly disclosed.

Rows

Similar to Template LI1, the rows in the above template should follow the balance sheet presentation used by the institution in its financial statements, on which basis the institution is required to expand the balance sheet to identify all the items that are disclosed in Template CC1. Set out above (items (a) to (i)) are some examples of items that may need to be expanded for a particular group. Disclosure should be proportionate to the complexity of the institution’s balance sheet. Each item must be given a reference number/letter in column (c) that is used as cross reference to column (b) of Template CC1.

Linkages across templates

  1. The amounts in columns (a) and (b) in Template CC2 before balance sheet expansion should be identical to columns (a) and (b) in Template LI1.

  2. Each expanded item is to be cross-referenced to the corresponding items in Template CC1 CC1.

Template TLAC1: TLAC composition for G-SIFIs (at resolution group level)

Purpose : Provide details of the composition of a SIFI’s TLAC
Scope of application : This template is mandatory for all SIFIs. It should be completed at the level of each resolution group within a SIFI.
Content : Carrying values (corresponding to the values reported in financial statements).
Frequency : Semiannual
Format : Fixed
Accompanying narrative : SIFIs are expected to supplement the template with a narrative commentary to explain any significant changes over the reporting period and the key drivers of such change(s).

Row Regulatory capital elements of TLAC and adjustments Amounts (a)
Regulatory capital elements of TLAC and adjustments
1 Tier 1A and equivalent capital instruments
2 Tier 1B capital before TLAC adjustments
3 Tier 1B capital ineligible as TLAC as issued out of subsidiaries to third parties
4 Other adjustments
5 Tier 1B capital instruments eligible under the TLAC framework
6 Tier 2 capital before TLAC adjustments
7 Amortized portion of Tier 2 instruments where remaining maturity > 1 year
8 Tier 2 capital ineligible as TLAC as issued out of subsidiaries to third parties
9 Other adjustments
10 Tier 2 capital instruments eligible under the TLAC framework
11 TLAC arising from regulatory capital
Non-regulatory capital elements of TLAC
12 External TLAC instruments issued directly by the financial institutions and subordinated to excluded liabilities
13 External TLAC instruments issued directly by the financial institutions which are not subordinated to excluded liabilities but meet all other TLAC term sheet requirements
14 Of which: amount eligible as TLAC after application of the caps
15 External TLAC instruments issued by funding vehicles prior to April 1, 2022
16 Eligible ex ante commitments to recapitalize a SIFI in resolution
17 TLAC arising from non-regulatory capital instruments before adjustments
Non-regulatory capital elements of TLAC: adjustments
18 TLAC before deductions
19 Deductions of exposures between multiple point of entry (MPE) resolution groups that correspond to items eligible for TLAC (not applicable to single point of entry (SPE) SIFIs)
20 Deduction of investments in own other TLAC liabilities
21 Other adjustments to TLAC
22 TLAC after deductions
Risk-weighted assets (RWA) and leverage exposure measure for TLAC purposes
23 Total risk-weighted assets adjusted as permitted under the TLAC regime
24 Leverage exposure measure
TLAC ratios and buffers
25 TLAC (as a percentage of risk-weighted assets adjusted as permitted under the TLAC regime)
26 TLAC (as a percentage of leverage exposure)
27 Tier 1A capital (as a percentage of risk-weighted assets) available after meeting the resolution group’s minimum capital and TLAC requirements
28 Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer plus higher loss absorbency requirement, expressed as a percentage of risk-weighted assets)
29 Of which: capital conservation buffer requirement
30 Of which: institution-specific countercyclical buffer requirement
31 Of which: higher loss absorbency requirement

Row Definition
1 Tier 1A capital of the resolution group, calculated in line with CBARG and the TLAC Guideline. National authorities may require this row to be reported net of an MPE SIFI resolution entity’s Tier 1A capital investments in other resolution groups.
2 Tier 1B capital. This row will provide information on the additional Tier 1 capital of the resolution group, calculated in line with the Basel III and the TLAC framework.
3 Tier 1B instruments issued out of subsidiaries to third parties that are ineligible as TLAC. Such instruments could be recognized to meet minimum TLAC until March 31, 2022. An amount (equal to that reported in row 34 in Template CC1) should thus be reported only starting from April 1, 2022.
4 Other elements of Tier 1B capital that are ineligible as TLAC (excluding those already incorporated in row 3). For example, national authorities may include in this row deductions related to an MPE SIFI resolution entity’s Tier 1B capital investments in other resolution groups.
5 Tier 1B capital instruments eligible under the TLAC framework, to be calculated as row 2 minus rows 3 and 4.
6 Tier 2 capital of the resolution group, calculated in line with CBARG and the TLAC Guideline.
7 Amortized portion of Tier 2 instruments where remaining maturity is greater than 1 year. This row recognizes that as long as the remaining maturity of a Tier 2 instrument is above the one-year residual maturity requirement of the TLAC Guideline, the full amount may be included in TLAC, even if the instrument is partially derecognized in regulatory capital via the requirement to amortize the instrument in the five years before maturity. Only the amount not recognized in regulatory capital but meeting all TLAC eligibility criteria should be reported in this row.
8 Tier 2 instruments issued out of subsidiaries to third parties that are ineligible as TLAC. Such instruments could be recognized to meet minimum TLAC until March 31, 2022. An amount (equal to that reported in row 48 of Template CC1) should thus be reported only starting from April 1, 2022.
9 Other elements of Tier 2 capital that are ineligible as TLAC (excluding those already incorporated in row 8). For example, some jurisdictions recognize an element of Tier 2 capital in the final year before maturity, but such amounts are ineligible as TLAC. Regulatory capital instruments issued by funding vehicles are another example. Also, national authorities may include in this row deductions related to an MPE SIFI resolution entity’s investments in Tier 2 instruments or other TLAC liabilities of other resolution groups.
10 Tier 2 instruments eligible under the TLAC framework, to be calculated as row 6 plus row 7 minus rows 8 and 9.
11 To be calculated as: row 1 plus row 5 plus row 10.
12 External TLAC instruments issued directly by the resolution entity and subordinated to excluded liabilities. The amount reported in this row must meet the subordination requirements set out in the TLAC Guideline, or be exempt from the requirement by meeting the conditions set out in paragraphs (i) to (iv) of the same section.
13 External TLAC instruments issued directly by the resolution entity that are not subordinated to Excluded Liabilities but meet the other TLAC Guideline requirements.
14 The amount reported in row 13 above after the application of the 2.5% and 3.5% caps set out in the penultimate paragraph of Section 11 of the Financial Stability Board’s TLAC Term Sheet (https://www.fsb.org/wp-content/uploads/TLAC-Principles-and-Term-Sheet-for-publication-final.pdf Ce lien s'ouvrira dans une nouvelle fenêtre).
15 External TLAC instrument issued by a funding vehicle prior to April 1, 2022. Amounts issued after that date are not eligible as TLAC and should not be reported here.
16 Eligible ex ante commitments to recapitalize a SIFI in resolution, subject to the conditions set out in the second paragraph of Section 7 of the Financial Stability Board’s TLAC Term Sheet.
17 Non-regulatory capital elements of TLAC before adjustments. To be calculated as: row 12 plus row 14 plus row 15 plus row 16.
18 TLAC before adjustments. To be calculated as row 11 plus row 17.
19 Deductions of exposures between MPE SIFI resolution groups that correspond to items eligible for TLAC (not applicable to SPE SIFIs). All amounts reported in this row should correspond to deductions applied after the appropriate adjustments agreed by the crisis management group.
20 Deductions of investments in own other TLAC liabilities; amount to be deducted from TLAC resources in accordance with paragraph 78 of section 2.6.1 of CBARG.
21 Other adjustments to TLAC
22 TLAC of the resolution group (as the case may be) after deductions. To be calculated as row 18 minus row 19 minus row 20 minus row 21.
23 Total risk-weighted assets of the resolution group under the TLAC regime. For SPE SIFIs, this information is based on the consolidated figure, so the amount reported in this row will coincide with that in row 60 of Template CC1.
24 Leverage exposure measure of the resolution group (denominator of leverage ratio).
25 TLAC ratio (as a percentage of RWA for TLAC purposes), to be calculated as row 22 divided by row 23.
26 TLAC ratio (as a percentage of leverage exposure measure), to be calculated as row 22 divided by row 24.
27 Tier 1A capital (as a percentage of risk-weighted assets) available after meeting the resolution group’s minimum capital requirements and TLAC requirement. To be calculated as the Tier 1A capital ratio, less any common equity (as a percentage of risk weighted assets) used to meet Tier 1A, Tier 1, and minimum capital and TLAC requirements. For example, suppose a resolution group (that is subject to regulatory capital requirements) has 100 RWA, 10 Tier 1A capital, 1.5 Tier 1B capital, no Tier 2 capital and 9 non-regulatory capital TLAC-eligible instruments. The resolution group will have to earmark its Tier 1A capital to meet the 8% minimum capital requirement and 18% minimum TLAC requirement. The net Tier 1A capital left to meet other requirements (which could include Pillar 2 or buffers) will be 10 - 4.5 - 2 - 1 = 2.5.
28 Institution-specific buffer requirement (capital conservation buffer plus countercyclical buffer plus SIFI buffer requirement, expressed as a percentage of risk-weighted assets). Calculated as the sum of: (i) the SIFI’s capital conservation buffer; (ii) the SIFI’s specific countercyclical buffer requirement calculated in accordance with paragraph xiii of section 1.3.2 of CBARG; and (iii) the higher loss-absorbency requirement as set out in Global systemically important banks: assessment methodology and the additional loss absorbency requirement: Rules text (November 2011). Not applicable to individual resolution groups of an MPE SIFI, unless the relevant authority imposes buffer requirements at the level of consolidation and requires such disclosure.
29 The amount in row 28 (expressed as a percentage of risk weighed assets) that relates to the capital conservation buffer, i.e. SIFIs will report 2.5% here. Not applicable to individual resolution groups of an MPE SIFI, unless otherwise required by the relevant authority.
30 The amount in row 28 (expressed as a percentage of risk weighted assets) that relates to the institution’s specific countercyclical buffer requirement. Not applicable to individual resolution groups of an MPE SIFI, unless otherwise required by the relevant authority.
31 The amount in row 28 (expressed as a percentage of risk-weighted assets) that relates to the higher loss absorbency requirement. Not applicable to individual resolution groups of an MPE SIFI, unless otherwise required by the relevant authority.

5.2 Credit risk

Template CR1: Credit quality of assets

Purpose : Provide a comprehensive picture of the credit quality of an institution’s (on- and off-balance sheet) assets.
Scope of application : This template is mandatory.
Content : Carrying values (corresponding to the accounting values reported in financial statements but according to the scope of regulatory consolidation).
Frequency : Semiannual
Format : Fixed
Accompanying narrative : Institutions must include their definition of default in an accompanying narrative.

Row Type of exposure Defaulted exposures (gross carrying values) (a) Non-defaulted exposures (b) Allowances / impairments (c) Specific provisions (d) General provisions (e ) Provisions for expected credit losses on IRB exposures (f) Net values (a+b-c)
1 Loans
1.1 Sovereigns and their central banks
1.2 Non-central government public sector entities
1.3 Multilateral development banks
1.4 Deposits institutions and banks
1.5 Securities firms
1.6 Corporates
1.7 Regulatory retail portfolios
1.8 Secured by residential property
1.9 Secured by commercial real estate
1.10 Equity
1.11 Past-due loans
1.12 Higher-risk categories
1.13 Other assets
2 Debt securities
3 Off-balance sheet exposures
4 Total

Expression Définition
Gross carrying values On- and off-balance sheet items that give rise to a credit risk exposure according to the Basel framework. On-balance sheet items include loans and debt securities. Off-balance sheet items must be measured according to the following criteria: (a) guarantees given – the maximum amount that the institution would have to pay if the guarantee were called. The amount must be gross of any credit conversion factor (CCF) or credit risk mitigation (CRM) techniques. (b) Irrevocable loan commitments – total amount that the institution has committed to lend. The amount must be gross of any CCF or CRM techniques. Revocable loan commitments must not be included. The gross value is the accounting value before any allowance/impairments but after considering write-offs. Institutions must not take into account any credit risk mitigation technique.
Write-offs Write-offs related to a direct reduction of the carrying amount when the entity has no reasonable expectations of recovery.
Defaulted exposures Institutions should use the definition of default that they also use for regulatory purposes. Institutions must provide this definition of default in the accompanying narrative.
Non-defaulted exposures Any exposure not meeting the above definition of default.
Allowances/impairments Total amount of impairments made via an allowance against impaired and not impaired exposures according to the applicable accounting framework.
Net values = Total gross value less allowances/impairments.
Linkages across templates Amount in [CR1:1/g] is equal to the sum [CR3:1/a] + [CR3:1/b]. Amount in [CR1:2/g] is equal to the sum [CR3:2/a] + [CR3:2/b]. Amount in [CR1:4/a] is equal to [CR2:6/a].

Template CR2: Changes in stock of defaulted loans and debt securities

Purpose : Identify the changes in an institution’s stock of defaulted exposures, the flows between non-defaulted and defaulted exposure categories and reductions in the stock of defaulted exposures due to write-offs.
Scope of application : This template is mandatory.
Content : Carrying values (corresponding to the accounting values reported in financial statements but according to the scope of regulatory consolidation). Use CR1 loans segmentation.
Frequency : Semiannual
Format : Fixed
Accompanying narrative : Institutions should explain the drivers of any significant changes in the amounts of defaulted exposures from the previous reporting period and any significant movement between defaulted and non-defaulted loans.

Row Changes in exposures Sovereigns and their central banks Non-central government public sector entities Total loans Debt securities Total
1 Defaulted loans and debt securities at end of the previous reporting period
2 Loans and debt securities that have defaulted since the last reporting period
3 Returned to non-defaulted status
4 Amounts written off
5 Other changes
6 Defaulted loans and debt securities at end of the reporting period (1+2-3-4±5)

Term Definition
Defaulted exposures Net of write-offs and gross of (i.e. ignoring) allowances/impairments
Loans and debt securities that have defaulted since the last reporting period Any loan or debt securities that became marked as defaulted during the reporting period.
Return to non?defaulted status Loans or debt securities that returned to non-default status during the reporting period.
Amounts written off Both total and partial write-offs.
Other changes Balancing items that are necessary to enable total to reconcile.

Template CR3: Credit risk mitigation techniques – overview

Purpose : Disclose the extent of use of credit risk mitigation techniques.
Scope of application : This template is mandatory.
Content : Carrying values. Institutions must include all CRM techniques used to reduce capital requirements and disclose all secured exposures, irrespective of whether the standardized or IRB approach is used for RWA calculation.
Frequency : Semiannual
Format : Fixed. The row numbers listed below must be retained. Where institutions are unable to categorize exposures secured by collateral, financial guarantees or credit derivatives into “loans” and “debt securities”, they can either (i) merge two corresponding cells or (ii) divide the amount by the pro-rata weight of gross carrying values; they must explain which method they have used.
Accompanying narrative : Institutions are expected to supplement the template with a narrative commentary to explain any significant changes over the reporting period and the key drivers of such changes.

Row Type of exposure Exposures unsecured (gross carrying amount) (a) Exposures secured by collateral (b) Exposures secured by collateral - Secured amount (c) Exposures secured by financial guarantees (d) Exposures secured by financial guarantees - Secured amount (e) Exposures secured by credit derivatives (f) Exposures secured by credit derivatives - Secured amount (g)
1 Loans
1.1 Sovereigns and their central banks
1.2 Non-central government public sector entities
1.3 Multilateral development banks
1.4 Deposits institutions and banks
1.5 Securities firms
1.6 Corporates
1.7 Regulatory retail portfolios
1.8 Secured by residential property
1.9 Secured by commercial real estate
1.10 Equity
1.11 Past-due loans
1.12 Higher-risk categories
1.13 Other assets
2 Debt securities
3 Total
4 Of which defaulted

Term Definition
Exposures unsecured (gross carrying amount) Carrying amount of exposures (net of allowances/impairments) that do not benefit from a credit risk mitigation technique.
Exposures secured by collateral Carrying amount of exposures (net of allowances/ impairments) that are partly or totally secured by collateral, regardless of what portion of the original exposure is secured.
Exposures secured by collateral - Secured amount Amount corresponding to the portion of the original exposure that is secured by collateral. Where the value of the collateral (meaning the amount that the collateral can be settled for) exceeds the value of the exposure, report the exposure amount (i.e. do not report the over-collateralization).
Exposures secured by financial guarantees Carrying amount of exposures (net of allowances/ impairments) that are partly or totally secured by financial guarantees, regardless of what portion of the original exposure is secured.
Exposures secured by financial guarantees - Secured amount Amount corresponding the portion of the original exposure that is secured by financial guarantees. Where the value of the financial guarantees (meaning the amount that the collateral can be settled for) exceeds the value of the exposure, report the exposure amount (i.e. do not report over-collateralization).
Exposures secured by credit derivatives Carrying amount of exposures (net of allowances/ impairments) that are partly or totally secured by credit derivatives, regardless of what portion of the original exposure is secured.
Exposures secured by credit derivatives - Secured amount Amount corresponding to the portion of the original exposure that is secured by credit derivatives. Where the value of the credit derivatives (amount that the credit derivatives can be settled for) exceeds the value of the exposure, report the amount of the exposure (i.e. do not report over-collateralization).

Template CR10: IRB (specialized lending and equities under the simple risk-weight method

Purpose : Provide quantitative disclosures of institutions’ specialized lending and equity exposures using the simple risk-weight approach.
Scope of application : The template is mandatory for institutions using one of the approaches included in the template.
Content : Carrying values, exposure amounts and RWA.
Frequency : Semiannual
Format : Flexible
Accompanying narrative : Institutions are expected to supplement the template with a narrative commentary to explain any significant changes over the reporting period and the key drivers of such changes.

Specialised lending other than HVCRE
Exposure amount
Regulatory categories Remaining maturity On-balance sheet amount Off-balance sheet amount Risk weight PF OF CF IPRE Total RWA Expected losses
Strong Less than 2.5 years 50 %
Equal to or more than 2.5 years 70 %
Good Less than 2.5 years 70 %
Equal to or more than 2.5 years 90 %
Satifactory 115 %
Weak 250 %
Default 0 %
Total

Specialised lending HVCRE
Exposure amount
Regulatory categories Remaining maturity On-balance sheet amount Off-balance sheet amount Risk weight PF OF CF IPRE Total RWA Expected losses
Strong Less than 2.5 years 70 %
Equal to or more than 2.5 years 95 %
Good Less than 2.5 years 95 %
Equal to or more than 2.5 years 120 %
Satisfactory 140 %
Weak 250 %
Default 0 %
Total

Equities under the simple risk-weight approach
Regulatory categories On-balance sheet amount Off-balance sheet amount Risk weight Exposure amount RWA Expected losses
Exchange-traded equity exposures 300 %
Other equity exposures 400 %
Total

Term Definition
HVCRE High-volatility commercial real estate.
On-balance sheet amount Amount of exposure (net of allowances and write-offs) under the regulatory scope of consolidation.
Off-balance sheet amount Exposure value without taking into account conversion factors 1 and the effect of credit risk mitigation techniques.
Exposure amount Amount relevant for the capital requirement’s calculation, therefore after having applied CRM techniques and CCF.
Expected losses Calculated according to paragraphs 377 to 379 of section 5.7.1 of CAG .
PF Project finance
OF Object finance
CF Commodities finance
IPRE Income-producing real estate
  1. For the AMF, a financial services cooperative is an entity or institution defined in the scope of application of the Ligne directrice sur les normes relatives à la suffisance du capital de base (« CBARG »). Credit unions that are not members of a federation, trust companies and savings companies are defined in the scope of application of the Capital Adequacy Guideline (« CAG »).
  2. The EDTF was formed in May 2012 by the Financial Stability Board(FSB).
  3. May be designated as TLACG