Legal references and instructions

Row number

Explanation

1 to XXX

Total Assets

The row structure shall be the same as the row structure of the balance sheet used in the latest available financial reporting of the institution.

‘Financial reporting’ refers to the annual individual or consolidated financial statements defined in Articles 4 and 24 of Directive (EU) 2013/34 (1), as well as (when applicable) to the financial statements in the meaning of the international accounting standards as endorsed in the EU in the application of Regulation (EC) 1606/2002 (2).

1 to XXX

Total Liabilities

The row structure shall be the same as the row structure of the balance sheet used in the latest available financial reporting of the institution.

‘Financial reporting’ refers to the annual individual or consolidated financial statements defined in Articles 4 and 24 of Directive (EU) 2013/34/EU, as well as (when applicable) to the financial statements in the meaning of the international accounting standards as endorsed in the EU in the application of Regulation (EC) 1606/2002.

Legal references and instructions

Column reference

Explanation

a

Carrying values as reported in published financial statements

Amount reported on the assets side and the liabilities side of the balance sheet established following the consolidation requirements in the applicable accounting framework, including frameworks based on Directive (EU) 2013/34/EU and with Directive (EEC) 86/635 (1), or the international accounting standards as endorsed in the EU

b

Carrying values under the scope of prudential consolidation

Amount reported on the assets side and the liabilities side of the balance sheet established following the regulatory consolidation requirements in Sections 2 and 3 of Title II of Part One CRR

If the scope of accounting consolidation and the scope of prudential consolidation are exactly the same, columns (a) and (b) of this template shall be merged.

c

Carrying values of items subject to credit risk framework

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) to which Chapters 2 and 3 of Title II of Part Three CRR applies

d

Carrying values of items subject to counterparty credit risk framework

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) to which Chapter 6 of Title II of Part Three CRR applies

e

Carrying values of items subject to the securitisation framework

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) from the non-trading book to which Chapter 5 of Title II of Part Three CRR applies

f

Carrying values of items subject to the market risk framework

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) to which Title IV of Part Three CRR applies. Items corresponding to securitisation positions in the trading book -to which the requirements in Title IV of Part Three CRR shall be included in this column.

g

Carrying values of items not subject to own funds requirements or subject to deduction from own funds

Carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) not subject to own funds requirements in accordance with CRR; carrying amounts under the scope of prudential consolidation of items (other than off-balance-sheet items) that are subject to deductions from own funds in accordance with Part Two CRR

Deducted items may include, for instance, the items listed in Articles 37, 38, 39, and 41 CRR.

The amounts for assets shall be the amounts actually deducted from own funds, taking into account any netting with liabilities allowed by (and any threshold for) deduction applicable as per the relevant articles in Part Two CRR.

When the items listed in point (k) Article 36(1) and in Article 48 CRR are 1 250  % risk-weighted instead of being deducted, they shall not be disclosed in column (g) of this template but in the other appropriate columns of template EU LI1. This also applies to any other item that is 1 250  % risk-weighted in accordance with the requirements in CRR.

The amounts for liabilities shall be the amount of liabilities that must be taken into consideration for the determination of the amount of assets to be deducted from own funds as per the relevant articles in Part Two CRR. In addition, all liabilities other than those that (i) are relevant for the application of requirements in Chapter 4 of Title II of Part Three CRR, or (ii) that are relevant for the application of requirements in Chapter 6 of Title II of Part Three CRR and in Title IV of Part Three CRR shall be disclosed in this column.

all

Where a single item attracts capital requirements in accordance with more than one risk framework, values shall be disclosed in all columns corresponding to the capital requirements they relate to. As a consequence, the sum of amounts in columns (c) to (g) of this template may be greater than the amount in column (b) of this template. Institutions shall provide qualitative explanations on assets and liabilities that are subject to capital requirements for more than one risk framework listed in Part Three CRR.

Legal references and instructions

Row number

Explanation

1

Assets carrying value amount under the scope of prudential consolidation

Amounts in columns (b) to (e) of this template shall be the same as the amounts in columns (c) to (f) of template EU LI1.

2

Liabilities carrying value amount under the scope of prudential consolidation

Amounts in columns (b) to (e) of this template shall be the same as the amounts in columns (c) to (f) of template EU LI1.

3

Total net amount under scope of prudential consolidation

Amount after on-balance-sheet netting between assets and liabilities under the scope of prudential consolidation, regardless of the eligibility of those assets and liabilities of the specific netting rules in the application of Chapters 4 and 5 of Title II of Part Three CRR and of Title IV of Part Three CRR

The amount in this row shall be equal to the value in row 1 deducted by the value in row 2 of this template.

4

Off-balance-sheet amounts

Include off-balance-sheet original exposures, prior to the use of a conversion factor, where relevant, from the established off-balance-sheet statement, following the scope of prudential consolidation in column (a) to (d) of this template.

5

Differences in valuations

Impact of the carrying amount of value adjustments in accordance with Article 34 of Chapter 2 of Title I of Part Two CRR and with Article 105 of Chapter 3 of Title I of Part Three CRR on trading book and non-trading book exposures measured at fair value in accordance with the applicable accounting framework

This amount shall be consistent with the amount in row 7 of template EU CC1 as well as with the amount in row 12 column (f) of template EU PV1.

6

Differences due to different netting rules, other than those already included in row 2 of this template

This item refers to the net on-balance-sheet and off-balance-sheet exposure amounts after the application of the specific netting rules in Chapters 4 and 5 of Title II of Part Three CRR and in Title IV of Part Three CRR. The impact of the application of the netting rules can be negative (in case more exposures have to be netted than the use of on-balance-sheet netting in row 2 of this template) or positive (in the case of the application of netting rules in the CRR leading to a lower amount being netted out than on-balance-sheet netting in row 2 of this template).

7

Differences due to consideration of provisions

Re-integration in the exposure value of specific and general credit risk adjustments (as defined in the Commission Delegated Regulation (EU) 183/2014 (1)) that have been deducted in accordance with the applicable accounting framework from the carrying amount of exposures under Chapter 3 of Title II of Part Three CRR for risk-weighting purposes. Regarding exposures risk-weighted in accordance with Chapter 2 of Title II of Part Three CRR, when the carrying amount in the financial statements under the scope of prudential consolidation has been reduced by elements qualifying as general credit risk adjustments under the aforementioned delegated regulation, these elements shall be re-integrated in the exposure value.

8

Differences due to the use of credit risk mitigation techniques

Impact on the exposure value under the scope of prudential consolidation of the application of credit risk mitigation techniques as defined in the CRR.

9

Differences due to credit conversion factors

Impact on the exposure value of off-balance sheet exposures under the scope of prudential consolidation of the application of the relevant conversion factors in accordance with CRR

The conversion factor for off-balance-sheet items to be risk-weighted in the application of Title II of Part Three CRR shall be determined in accordance with Articles 111, 166, 167 and 182 (as applicable for credit risk), and in Article 246 CRR (as applicable for securitisation risk).

10

Differences due to Securitisation with risk transfer

Impact on the exposure value of securitised exposures of the use of securitised transactions to transfer credit risk to third parties in accordance with the CRR

11

Other differences (if relevant)

Other meaningful drivers for differences between financial statements’ carrying values under the regulatory scope of application and the exposure amounts considered for regulatory purposes

Institutions shall complement the quantitative disclosures included in this row with qualitative explanations on the main drivers of these differences in table EU LIA.

12

Exposure amounts considered for regulatory purposes

Aggregate amount considered as a starting point of the RWEA calculation after the application of CRM methods other than netting in Chapter 4 of Title II of Part Three CRR and after the application of netting requirements in Chapters 4 and 5 of Title II of Part Three CRR and in Title IV of Part Three CRR of the same regulation for each of the risk categories

In case the Standardised Approach (SA) is applied, this is the value after specific credit adjustments, additional value adjustments in accordance with Articles 34 and 110 CRR and other own funds reductions related to the asset item. For off-balance sheet items listed in Annex I to this Implementing Regulation, the exposure value shall be the nominal value after reduction of specific credit risk adjustments, multiplied with the applicable percentage mentioned in points (a) and (d) of Article 111(1) CRR.

For the IRB approach, the disclosed value shall be the exposure value within the meaning of Articles 166, 167 and 168 CRR.

Thus, the carrying values as reported in the financial statements under the scope of prudential consolidation shall be disclosed in the corresponding rows 1 to 3 of this template, while the off-balance-sheet original exposures shall be disclosed in row 4 of this template. Any specific regulatory addition or reduction concerning these amounts is to be included in rows 5 to 11 of this template to explain how to reconcile these amounts with the exposure amount for regulatory purposes as the starting point of the RWEA calculation in accordance with each of the frameworks mentioned in columns (b) to (e) of this template. This means that in particular for credit risk, the exposure amounts considered for regulatory purposes to be disclosed in row 12 of this template will be different from the carrying values as reported in the financial statements under the scope of prudential consolidation, due to the particular regulatory treatment of accounting provisions for the calculation of the RWEAs.

Legal references and instructions

Column reference

Explanation

a

Total

Total in Column (a) of template EU LI2 = Amounts in Column (b) of template EU LI1 – Amounts in Column (g) of template EU LI1.

The breakdown of columns in the regulatory risk categories (b) to (e) corresponds to the breakdown listed in Part Three CRR:

b

Credit risk framework

Exposures in Title II of Part Three CRR

Exposures under the credit risk framework shall correspond either to the exposure amount applied in the credit risk standardised approach (see Article 111 of Chapter 2 of Title II of Part Three CRR) or to the exposures at default (EAD) in the credit risk – IRB approach (see Articles 166, 167 and 168 in Chapter 3 of Title II of Part Three CRR).

c

Securitisation framework

Exposures from the non-trading book given in Chapter 5 of Title II of Part Three CRR

Securitisation exposures shall be determined in accordance with Article 246 of Chapter 5 of Title II of Part Three CRR.

d

Counterparty Credit Risk framework (CCR)

Exposures considered in Chapter 6 of Title II of Part Three CRR

e

Market risk framework

Market risk exposures corresponding to positions subject to the market risk framework in Title IV of Part Three CRR

Only rows 1 to 3 and 12 of this template shall be disclosed regarding this column.

all

Where a single item is subject to capital requirements in accordance with more than one risk framework, it shall be disclosed in all the relevant columns corresponding to the capital requirements. As a consequence, the sum of amounts in columns (b) to (e) of this template may be greater than the amount in column (a) of this template. Institutions shall provide qualitative explanations on assets and liabilities that are subject to capital requirements for more than one risk framework listed in Part Three CRR.

Legal references and instructions

Row number

Explanation

The rows are flexible. Disclosures shall be provided for entities included within the accounting and the regulatory scopes of consolidation as defined in accordance with the applicable accounting framework and Sections 2 and 3 of Title II of Part One CRR, for which the method of the accounting consolidation is different from the method of the regulatory consolidation. One row per entity.

Legal references and instructions

Column reference

Explanation

a

Name of the entity

Commercial name of any entity included or deducted from the regulatory and accounting scope of consolidation of an institution

b

Method of accounting consolidation

Consolidation method used in accordance with the applicable accounting framework

c to g

Method of regulatory consolidation

Consolidation method implemented for the purpose of Chapter 2 of Title II of Part One CRR

At a minimum, the methods listed in point (b) of Article 436 CRR shall be disclosed.

Institutions shall tick the applicable columns to identify the method of consolidation of each entity under the accounting framework and whether, under the scope of prudential consolidation, each entity is (i) fully consolidated; (ii) proportionally consolidated; (iii) recognised under the equity method; (iv) neither consolidated nor deducted or; (v) deducted.

h

Description of the entity

Brief description of the entity, with (at a minimum) disclosure of its sector of activity

Legal references and instructions

Row number

Explanation

(a)

Institutions shall explain and quantify the origins of any significant differences between the amounts in columns (a) and (b) in template EU LI1, regardless of whether the differences proceed from different consolidation rules or from the use of different accounting standards between the accounting and the regulatory consolidations.

(b)

Institutions shall explain the origins of differences between carrying values under the scope of prudential consolidation and amounts considered for regulatory purposes shown in template EU LI2.

Legal references and instructions

Row number

Explanation

(a)

Institutions shall disclose 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.

(b)

Where applicable, institutions shall disclose the name or names of the subsidiaries that are not included in the consolidation.

(c)

Where applicable, institutions shall disclose the circumstances under which use is made of the derogation referred to in Article 7 CRR or the individual consolidation method laid down in Article 9 CRR.

(d)

Where applicable, institutions shall disclose 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.

Legal references and instructions

Row number

Explanation

Rows 1 to 10

Category level AVA

The category level AVAs for market price uncertainty, close-out costs, model risk, concentrated positions, future administrative costs, early termination and operational risk shall be determined in accordance with Articles 9 to 11 and 14 to 17 of Commission Delegated Regulation (EU) 2016/101 respectively.

For the market price uncertainty, close-out cost and model risk categories, which are subject to diversification benefit as set out under Articles 9(6), 10(7) and 11(7) of Delegated Regulation (EU) 2016/101 respectively, category level AVAs shall be disclosed in columns a to EU-e2 of this template as the straight sum of the individual AVAs before diversification benefit. Diversification benefits in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101 shall be included in column (f) of this template.

1

Market price uncertainty

Article 105(10) CRR

Market price uncertainty AVAs shall be computed in accordance with Article 9 of Commission Delegated Regulation (EU) 2016/101.

2

Not applicable

3

Close-out costs

Article 105(10) CRR

Close-out costs AVAs shall be computed in accordance with Article 10 of Commission Delegated Regulation (EU) 2016/101

4

Concentrated positions

Article 105(11) CRR

Concentrated positions AVAs shall be computed under Article 14 of Commission Delegated Regulation (EU) 2016/101.

5

Early termination

Article 105(10) CRR

Early termination AVAs shall be computed in accordance with Article 16 of Commission Delegated Regulation (EU) 2016/101.

6

Model risk

Article 105(10) CRR

Model risk AVAs shall be computed in accordance with Article 11 of Commission Delegated Regulation (EU) 2016/101.

7

Operational risk

Article 105(10) CRR

Operational risk AVAs shall be computed in accordance with Article 17 of Commission Delegated Regulation (EU) 2016/101.

8

Not applicable

9

Not applicable

10

Future administrative costs

Article 105(10) CRR

Future administrative costs AVAs shall be computed in accordance with Article 15 of Commission Delegated Regulation (EU) 2016/101.

11

Not applicable

12

Total additional valuation adjustments

Total AVA to be deducted from own funds under Articles 34 and 105 CRR shall be disclosed in row 12, column (f) of this template. This amount shall be consistent with the amount in row 7 of template EU CC1 as well as with the amount in row 5, column (a) of template EU LI2.

For portfolios subject to the Core approach as set out in Chapter III of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA shall be the sum of amounts in rows 1 to 10 of this template, and, the amounts computed in accordance with point (b) sub-paragraphs (i) to (iii) of Article 7 (2) of Delegated Regulation (EU) 2016/101, for portfolios subject to the Fall-back approach, if any.

For portfolios subject to the simplified approach as set out in Chapter II of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA included in column (f) of this template shall be the amount computed in accordance with Article 5 of this Chapter.

Column letter

Explanation

a-e

Breakdown by RISK CATEGORY

Institutions shall allocate their fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Commission Delegated Regulation (EU) 2016/101 (trading book and non-trading book) in accordance with the following risk categories: interest rates, foreign exchange, credit, equities, commodities.

The breakdown in these columns excludes the AVAs computed in accordance with Articles 12 and 13 of Commission Delegated Regulation (EU) 2016/101 that are disclosed in columns EU-e1 and EU-e2 of this template.

EU e1

Category level AVA - Valuation uncertainty: Unearned credit spreads AVA

Article 105(10) CRR, Article 12 of Commission Delegated Regulation (EU) 2016/101

The total AVA for unearned credit spreads (‘AVA on CVA’) and its allocation between market price uncertainty, close-out cost or model risk AVAs shall be determined in accordance with Article 12 of Commission Delegated Regulation (EU) 2016/101.

EU e2

Category level AVA - Investment and funding costs AVA

Article 105(10) CRR, Article 13 of Commission Delegated Regulation (EU) 2016/101

The total AVA for investing and funding costs and its allocation between market price uncertainty, close-out cost or model risk AVAs shall be determined in accordance with Article 13 of Commission Delegated Regulation (EU) 2016/101.

f

Total category level post-diversification

For portfolios subject to the Core approach as set out in Chapter III of Commission Delegated Regulation (EU) 2016/101, the total category level post-diversification shall encompass the total AVAs computed in accordance with the Core approach for fair-valued assets and liabilities included in the threshold computation in accordance with Article 4(1) of Commission Delegated Regulation (EU) 2016/101. This includes the diversification benefits defined in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101.

The total AVA in row 12, column (f) of this template, shall include the amounts computed in accordance with point (b) sub-paragraphs (i) to (iii) of Article 7 (2) of Delegated Regulation (EU) 2016/101, for portfolios subject to the Fall-back approach, if any.

For portfolios subject to the simplified approach as set out in Chapter II of the Delegated Regulation (EU) 2016/101 on prudent valuation, the total AVA included in row 12 of this template shall be the amount computed in accordance with Article 5 of this Chapter.

g

Of which: total core approach in the trading book

For each relevant category of AVAs, for portfolios subject to the Core approach as set out in Chapter III of Commission Delegated Regulation (EU) 2016/101, share of AVAs stemming from positions held in the 'trading book': all positions in financial instruments and commodities held by an institution with trading intent or to hedge positions held with trading intent in accordance with Article 104 CRR.

The disclosed value shall include the diversification benefits defined in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101.

h

Of which: total core approach in the banking book

For each relevant category of AVAs, for portfolios subject to the Core approach as set out in Chapter III of Commission Delegated Regulation (EU) 2016/101, share of AVAs stemming from fair-valued positions in financial instruments and commodities not held in the trading book

The disclosed value shall include the diversification benefits determined in accordance with Articles 9(6), 10(7) and 11(7) of Commission Delegated Regulation (EU) 2016/101.