Changes from report parliamentary committee draft to plenary report

Added‘Article 446 Disclosure of operational risk

Added1. Institutions shall disclose the following information:

Added(a) the main characteristics and elements of their operational risk management framework;

Added(b) their own funds requirement for operational risk;

Added(c) the business indicator component calculated in accordance with Article 313;

Added(d) the business indicator, calculated in accordance with Article 314(1), and the amounts of each of the business indicator components and their sub-components for each of the three years relevant for the calculation of the business indicator;

Added(e) the number and amounts of business indicator items that were excluded from the calculation of the business indicator in accordance with Article 315(2), as well as the corresponding justifications for the exclusion.

Added2. Institutions that calculate their annual operational risk losses in accordance with Article 316(1) shall disclose the following information in addition to the information listed in paragraph 1:

Added(a) their annual operational risk losses for each of the last ten years, calculated in accordance with Article 316(1);

Added(b) the number and amounts of operational risk losses that were excluded from the calculation of the annual operational risk loss in accordance with Article 320(1), for each of the last ten years and the corresponding justifications for that exclusion.’;

Added(188) Article 447 is amended as follows:

Added(a) point (a) is replaced by the following:

Added‘(a) the composition of their own funds and their risk-based capital ratios as calculated in accordance with Article 92(2);’;

Added(b) the following point (aa) is inserted:

Added‘(aa) where applicable, the risk-based capital ratios as calculated in accordance with Article 92(2), by using un-floored total risk exposure amounts instead of total risk exposure amounts;’;

Added(c) point (b) is replaced by the following:

Added‘(b) the total risk exposure amounts as calculated in accordance with Article 92(3) and, where applicable, the un-floored total risk exposure amounts as calculated in accordance with Article 92(4);’;

Added(d) point (d) is replaced by the following:

Added‘(d) the combined buffer requirement which the institutions are required to hold in accordance with Chapter 4 of Title VII of Directive 2013/36/EU;’;

Added(189) Article 449a is replaced by the following:

Added‘Article 449a Disclosure of environmental, social and governance risks (ESG risks)

AddedInstitutions shall disclose:

Added(a) information on ESG risks, including physical risks and transition risks, and the total amount of exposures to fossil fuel sector entities as defined in Article 4, point (152a);

Added(b) climate targets and transition plans, including absolute carbon emission reduction targets, submitted in accordance with Article 76(2) of Directive 2013/36/EU, and the progress made towards implementing them;

Added(c) how the institution’s business model and strategy take account of ESG risks faced by the undertaking.

AddedThe information referred to in the first paragraph shall be disclosed on an annual basis by small and non-complex institutions and on a semi-annual basis by other institutions.

AddedEBA shall develop draft implementing technical standards specifying uniform disclosure formats for ESG risks, as laid down in Article 434a, ensuring that they are consistent with and uphold the principle of proportionality.’ For small and non-complex institutions, the formats shall not require disclosure of information beyond the information required to be reported to competent authorities in accordance with Article 430(1), points (h) and (i).’;

Added(189a) the following Article is inserted:

Added‘Article 449b

AddedDisclosure of exposures to shadow banking entities

Added1. Credit institutions shall disclose information concerning their individual exposures to shadow banking entities, including all potential risks to the institution arising from those exposures, and the potential impact of those risks, as well as the supervisory regime applicable to their non-bank financial intermediaries counterparties.

Added2. EBA shall develop draft regulatory technical standards to specify the information that institutions are required to disclose, as referred to in paragraph 1, to avoid duplication of the disclosure obligations.

AddedEBA shall submit those draft regulatory technical standards to the Commission by [12 months after the entry into force of this Regulation].

AddedPower is delegated to the Commission to adopt the regulatory technical standards referred to in the first subparagraph in accordance with Articles 10 to 14 of regulation (EU) No 1093/2010.’;

Added(190) in Article 451(1), the following point (f) is added:

Added‘(f) the amount of the additional own funds requirements based on the supervisory review process as referred to in Article 104(1), point (a), of Directive 2013/36/EU to address the risk of excessive leverage and its composition.’;

Added(190a) the following Article is inserted:

Added‘Article 451b

AddedDisclosure of exposures to crypto-assets and related activities

Added1. Institutions shall disclose the following information on crypto-assets and crypto- asset services as well as any activities related to crypto-assets:

Added(a) the direct and indirect exposure amounts in relation to crypto-assets including the gross long and short components of net exposures;(b) the risk weighted exposure amounts for each crypto-asset, to be complemented by a break down by category and the related capital demand;

Added(c) the total risk exposure amount for operational risk broken down by business lines as set out in Table 2 of Article 317;

Added(d) the accounting classification for crypto-asset exposures;

Added(e) a description of the business activities related to crypto-assets, and their impact on the risk profile of the institution; institutions shall provide more detailed information for material business activities, including the issuance of significant asset-referenced tokens within the meaning of Articles 43 and 44 of MiCA Regulation, significant e-money tokens within the meaning of Articles 56 and 57 of MiCA Regulation and the provision of services [under Art. 9(c)(d) of MiCA Regulation];

Added(f) a specific description of their risk management policies related to crypto-asset exposures and services related to crypto-assets.

Added2. Institutions shall not apply the exception laid down in Article 432 for the purposes of the disclosure requirements in paragraph 1.’

Added(191) Article 455 is replaced as follows:

Added‘Article 455 Use of internal models for market risk

Added1. An institution using the internal models referred to in Article 325az for the calculation of own funds requirements for market risk shall disclose:

Added(a) the institution’s objectives in undertaking trading activities and the processes implemented to identify, measure, monitor and control the institution’s market risks;

Added(b) the policies referred to in Article 104(1) for determining which position is to be included in the trading book;

Added(c) a general description of the structure of the trading desks covered by the internal models referred to in Article 325az, including for each desk a broad description of the desk's business strategy, the instruments permitted therein and the main risk types in relation to that desk;

Added(d) a general overview of the trading book positions not covered by the internal models referred to in Article 325az, including a general description of the desk structure and of type of instruments included in the desks or in the desks categories in accordance with Article 104b;

Added(e) the structure and organisation of the market risk management function and governance;

Added(f) the scope, the main characteristics and the key modelling choices of the different internal models referred to in Article 325az used to calculate the risk exposure amounts for the main models used at the consolidated level, and a description to what extent those internal models represent all the models used at the consolidated level, including where applicable:

Added(i) a broad description of the modelling approach used to calculate the expected shortfall referred to in Article 325ba(1), point (a), including the frequency of data update;

Added(ii) a broad description of the methodology used to calculate the stress scenario risk measure referred to in Article 325ba(1), point (b), other than the specifications provided for in Article 325bk(3);

Added(iii) a broad description of the modelling approach used to calculate the default risk charge referred to in Article 325ba(2), including the frequency of data update.

Added2. Institutions shall disclose on an aggregate basis for all the trading desks covered by the internal models referred to in Article 325az the following components, where applicable:

Added(a) the most recent value as well as the highest, lowest and mean value for the previous 60 business days of: