Additional Guidance 2019 ex-ante data reporting form. October 2018

Transcription

1 Additiona Guidance 2019 ex-ante data reporting form October 2018

2 The foowing sides compement the definitions and guidance incuded in the Ex-ante Contributions Reporting Form (hereafter Data Reporting Form) deveoped for 2019 ex-ante contributions to the Singe Resoution Fund, by providing: Key messages and functionaities by main buiding bocks in the Data Reporting Form Iustrations, especiay for specific topics Main differences, with the 2018 data reporting form Introduction of a new risk indicator: the share of interbank oans and deposits in the EU; Move to the reporting of LEI; Anciary wording improvements and updates reated to FINREP/COREP references. NOTE: Definitions and guidance incuded in the Data Reporting Form prevai to the information provided in the sides. 2

3 Overview of the key functionaities in the Data Reporting Form The Read me tab provides genera instructions for competing the Data Reporting Form The Data Reporting Form identifies sma institutions that quaify for the ump sum approach, mortgage institutions and specia investment firms. These institutions provide ony a imited amount of data uness they are considered risky (according to the artice 10.8 of the Deegated Reguation 2015/63) or opt for an aternative cacuation) STOP here, no more information is needed from the institution If the vaue of '2B2' is 'Yes' then no more information is needed from the institution (the resoution authority after assessment of the risk profie coud ask for additiona information). However, if the institution seects 'Yes' in 2B3, it must fi in the rest of the tab 2 and the tab 3 (Deductions, when appicabe). Tab 5 provides definitions and guidance for each data point to be reported Tab 6 automaticay consoidates a data reported by the institution with: Automatic competeness checks (reevant to the institution); Automatic consistency checks (reevant to the institution). Shows intermediary steps (automaticay generated fieds): Fied fied in by the institution Fied automaticay generated in the reporting form 3

4 Overview of the buiding bocks in the Data Reporting Form Sma (non-risky) institutions Medium and arge institution Share of interbank oans and deposits indicator introduced Tab 1 Tab 2 Tab 3 Tab 4 Base Deductions Identification Tota Liabiities Risk Adjustment CCPs & CSDs Own Funds Investment firms Covered deposits Promotiona oans Risk Exposure Derivatives IPS & Intragroup Additiona indicators Identifies the institution and its characteristics Coects data for the basic annua contribution Determines if the institution quaifies for a simpified cacuation method Coects data to adjust derivatives (except credit derivatives), when appicabe Coects data for the deduction of quaifying items from the basic annua contribution, where appicabe Coects data regarding the risk profie of the institution in order to appy the risk adjustment 4

5 Tab 1: Genera information A. Identification of an institution Expanation 1A1 Name of the institution Fu registration name of the institution 1A2 1A3 1A4 Address of the institution Posta code of the institution City of the institution 1A5 Country of registration of the institution ISO code 1A6 RIAD MFI code of the institution (for credit institutions ony) or SRB identifier (where a RIAD MFI code is not avaiabe) 1A7 LEI code of the institution Lega Entity Identifier SRB identifier (for investment firms that do not have RIAD MFI code): nationa identifier code with 2 etter country ISO code in front. 1A8 Nationa identifier code of the institution As advised by the Nationa Resoution Authority 1B1 1B2 1B3 B. Contact person for this reporting form Expanation First name of the contact person Famiy name of the contact person Emai address of the contact person 1B4 Aternative e-mai address Generic/Functiona maibox 1B5 Phone number Internationa format (+XX AAAA BBBBBB) Some vaidation Rues (tab 6) inked to these fieds: A fieds must be fied The first two etters of the RIAD MFI code / SRB identifier must match the two-etter ISO code of the country of registration Format shoud be respected LEI code shoud be fied in with 20 aphanumeric characters Data privacy statement is avaiabe on SRB website 5

6 Tab 1: Genera information C. Identification of possibe specificities for the cacuation of the individua annua contribution Expanation 1C1 If the institution is a credit institution Potentia deduction of covered deposits 1C2 If the institution is a centra body A the data to be reported on a consoidated basis 1C3/ 1C4 If the institution is a member of a quaifying Institutiona Protection Scheme (IPS) Potentia deduction of quaifying IPS iabiities 1C5 If the institution is a centra counterparty (CCP) Potentia deduction of quaifying cearing iabiities 1C6 If the institution is a centra securities depository (CSD) Potentia deduction of quaifying CSD iabiities 1C7 1C8 1C9 1C10 1D1 1D2 If the institution is an investment firm If the institution is an investment firm authorized to carry out ony imited services and activities If the institution operates promotiona oans If the institution is a mortgage credit institution financed by covered bonds D. Newy supervised institutions and mergers Expanation Start date of supervision (ony if it is in the course of 2018) If the institution merged with another institution after the reference date (see 1E1) Potentia deduction of quaifying iabiities that arise by virtue of hoding cient assets or cient money Quaification for a specific cacuation method Potentia deduction of quaifying iabiities reated to promotiona oans Quaification for a specific cacuation method Institution shoud approach the NRA. Institution wi have to pay a partia contribution for fu months supervised in 2018 Institution shoud approach the NRA Some vaidation Rues (tab 6) inked to these fieds: A fieds must be fied A credit institution ('1C1') cannot be an investment firm ('1C7') at the same time and vice versa Cross checks between characteristics in 1C3-1C4 / 1C9 and deductions in tab 3 Format shoud be respected A centra body must report at consoidate eve E. Reference date for the reporting form Expanation 1E1 Reference date for the present reporting form Baance sheet date of the atest approved annua financia statements which are avaiabe before 31 December

7 Tab 2: Basic annua contributions (BAC) 2A1 2A2 2A3 2B2 2B3 A. BAC before adjustment of iabiities arising from derivative contracts (excuding credit derivatives) Tota iabiities Own funds Covered deposits Expanation B. Simpified cacuation methods Expanation Does the institution quaify for the simpified ump-sum annua contribution for sma institutions? Does the institution opt for the cacuation of an aternative individua annua contribution amount and provide the necessary information? Tota baance sheet (sum of iabiities and equity items) at the reference date and as reported in the annua financia statements of the institution Sum of Tier 1 and Tier 2 capita (EU COREP, Annex I, Tempate n.1, code c 01.00, row 010) Quartery average of the reference year. The reference year has to refer to the reporting year of the institution (e.g. 30-jun-16 to 30-jun-17) (Automaticay fied) If tota assets (i.e. equas tota iabiities = 2A1) < 1bn and BAC (i.e. 2A1-2A2 2A3) 300m, then institution quaifies for simpified ump-sum methodoogy (Prefied with No ) If 2B2 is 'Yes', then an institution coud opt to provide a the information required in the tabs 2 & 3 so that an aternative contribution is cacuated in accordance with Artice 5 of DR 2015/63. This contribution amount wi be compared to the ump-sum so that the ower amount is appied. If the vaue of '2B2' is 'Yes' and the institution is quaified for ump-sum annua contribution, then it has to fi '2B3' if it opts for the aternative cacuation according Art.10.7 of DR 2015/63. Some vaidation Rues (tab 6) inked to these fieds: A fieds must be fied Tota Liabiities ('2A1') - Own Funds ('2A2') - Covered Deposits ('2A3') must be greater than 0 If in institution quaifies as for ump sum cacuation (2B2= Yes ) it must opt or not for an aternative cacuation (2B3 <> Not appicabe ) In case the institution does not opt for an aternative cacuation '2B3 is aready pre-fied with No, and no more information is needed from the institution (the resoution authority after assessment of the risk profie coud ask for additiona information). However, if the institution seects 'Yes' in '2B3', it must fi in the rest of the tab 2 (derivative adjustment) and the tab 3 (deductions). 7

8 Tab 2: Basic annua contributions (BAC) 2C1 2C2 2C3 2C4 2C5 2C6 C. Adjustment of iabiities arising from derivative contracts (excuding credit derivatives) Liabiities arising from a derivative contracts (excuding credit derivatives) vaued in accordance with the everage ratio methodoogy Accounting vaue of iabiities arising from a derivative contracts (excuding credit derivatives) booked on-baance sheet, when appicabe Accounting vaue of iabiities arising from a derivative contracts (excuding credit derivatives) hed off-baance sheet, when appicabe Tota accounting vaue of iabiities arising from a derivative contracts (excuding credit derivatives) Liabiities arising from a derivative contracts (excuding credit derivatives) vaued in accordance with the everage ratio methodoogy after foor Tota iabiities after adjustment of iabiities arising from a derivative contracts (excuding credit derivatives) Expanation (1) Identification of the recognised netting agreements (except crossproduct netting) under the CRR 575/2013 and (2) appication of the everage ratio methodoogy (netting recognised in (1) can be appied) to derivatives with negative repacement costs or market vaues*. Identification of the "iabiities arising from derivatives" (excuding credit derivatives) in the tota iabiities reported in the annua financia statements The fair vaue of derivatives hed off-baance-sheet must be cacuated by appying the IFRS 13 standard as appicabe, or an equivaent under nationa accounting standards. Positive fair vaues amounts must be disregarded. Negative fair vaues, which represent iabiities arising from derivatives hed off-baance sheet, must be summed then converted into one absoute amount. (Automaticay fied) Cacuated by summing 2C2 + 2C3 (Automaticay fied) Cacuated by taking maximum vaue: 2C1 or 75% (i.e. foor) of 2C4 (i.e. 2C2 + 2C3) (Automaticay fied) Cacuated by taking tota iabiities (2A1) - reported onbaance sheet derivatives (2C2) + derivatives under everage methodoogy after foor (2C5) Some vaidation Rues (tab 6) inked to these fieds: A fieds must be fied Derivative contracts (excuding credit derivatives) vaued in accordance with the everage ratio methodoogy ('2C1') is very ikey to be >0 if tota accounting vaue of iabiities arising from a derivative contracts (excuding credit derivatives) ('2C4') is >0 Format shoud be respected * DATA FREQUENCY: According to the DR, the everage ratio methodoogy shoud be appied on "the yeary average amount, cacuated on a quartery basis, of the iabiities arising from derivatives contracts". If this same vaue is ony avaiabe for one or some quarters of the reference year, the yeary average of these quarters must be reported. 8

9 Tab 2: Basic annua contributions (BAC) C. Adjustment of iabiities arising from derivative contracts (excuding credit derivatives) Additiona iustrations Derivative adjustments intend to ensure a harmonised treatment of derivatives in the determination of the basic annua contribution aowing for the comparabiity of their vauation between institutions and for a eve paying fied across the Union. Credit derivative contracts are not adjusted. In order to adjust derivative iabiities in tota iabiities, the foowing 5 steps shoud be performed Financia Statements (BS) A L 1 Identification of the "iabiities arising from derivatives" -excuding credit derivatives- in the tota iabiities reported in the annua financia statements 2C2 2 Identification of the recognised netting agreements (except cross-product netting) under the CRR 575/ Appication of the everage ratio methodoogy (netting recognised in step 2 can be appied) to derivatives with negative market vaue*, repacing this negative vaue with the equivaent absoute amount. 2C1 75% FLOOR Accounting vaue 4 Appication of the foor; cacuation of the foor amount (75% of accounting measure -fair vaue- for derivative iabiities hed on- and off-baance sheet; accounting netting can be appied); the foor amount repaces the amount cacuated in step 3 if it is higher. 2C3 2C4 2C5 5 Adjustment of tota iabiities: Tota Liabiities - Reported on-baance sheet derivatives (step 1) + Derivatives under everage methodoogy after foor (steps 2 to 4) 2C6 * DATA FREQUENCY: According to the DR, the everage ratio methodoogy shoud be appied on "the yeary average amount, cacuated on a quartery basis, of the iabiities arising from derivatives contracts". If this same vaue is ony avaiabe for one or some quarters of the reference year, the yeary average of these quarters must be reported. 9

10 Tab 2: Basic annua contributions (BAC) C. Adjustment of iabiities arising from derivative contracts (excuding credit derivatives) Additiona iustrations Data needed from the institution: Lega ref. Fied ID Exampe A: A derivatives are booked on-baance sheet Exampe B: Some derivatives are booked on-baance sheet, others are hed off-baance sheet DR 2015/63 - Art. 3(22) 2A DR 2015/63 - Art. 3(22), 5(3) 2C2 Assets 100 Liabiities Derivatives fair vaue = Assets 89 Liabiities Derivatives fair vaues = DR 2015/63 - Art. 3(22), 5(3) 2C3 0 (zero) Negative fair vaues of derivatives hed offbaance sheet = -11 Absoute amount = 11 DR 2015/63 - Art. 3(22), 5(3); CRR 575/2013 Art. 274, 275, 295; DR 2015/62 Art. 429a 2C (Sum of Notiona*% for a derivatives with negative current repacement cost) = 80 (CRR Art. 274) OR Sum of Notiona*% for a derivatives with negative current repacement cost = 80 (CRR Art. 275) Automatic cacuations in the reporting form: DR 2015/63 - Art. 3(22), 5(3), 5(4) 2C4 2C5 2C6 75% * 22 = 16.5 Max ( 80 ; 16.5) = = =

11 Tab 3: Deductions The Deegated Reguation 2015/63 aows deductions under strict conditions. A singe transaction can ony be deducted ONCE from tota iabiities after derivative adjustments, even if it matches severa of the deduction categories beow. The deduction of quaifying derivative iabiities in Tab 3 shoud take into account the adjustment made to a derivative iabiities in Section C of tab 2. Section Category Conditions A Quaifying iabiities reated to cearing activities Ony for CCPs and if conditions in Art. 5(1)(c) are met B C D Quaifying iabiities reated to CSD activities Quaifying iabiities that arise by virtue of hoding cient assets or cient money Quaifying iabiities that arise from promotiona oans Ony for CSDs and if conditions in Art. 5(1)(d) are met Ony for investment firms and if conditions in Art. 5(1)(e) are met Ony for institutions operating promotiona oans and if conditions in Art. 5(1)(f) are met E Quaifying IPS iabiities (and assets) Ony for quaifying IPS members and if conditions in Art. 5(1)(b) & 5(2) are met F G Quaifying intragroup iabiities (and assets) Simpified cacuation method (automaticay fied) Ony for quaifying group entities and if conditions in Art. 5(1)(a) & 5(2) are met Signas that you need to STOP, if you are a mortgage institutions as in Art.11 or specia investment firm as in point (2) of Artice 4(1) of the CRR 11

12 Tab 3: Deductions (exampe for sections A D) 2C1 3A1 3A2 3A3 3A4 3A5 A. Deductibe amount of quaifying iabiities reated to cearing activities Liabiities arising from a derivative contracts (excuding credit derivatives) vaued in accordance with the everage ratio methodoogy Of which: quaifying iabiities arising from derivatives reated to cearing activities Of which: iabiities arising from derivatives not reated to cearing activities Derivative foor factor Adjusted vaue of quaifying iabiities reated to cearing activities arising from derivatives Tota accounting vaue of quaifying iabiities reated to cearing activities Expanation (Automaticay fied) Repeated from tab 2 Quaifying iabiities reated to cearing activities means iabiities reated to cearing activities as defined in Artice 2(3) of the Reguation (EU) No 648/2012, incuding those arising from any measures the centra counterparty takes to meet margin requirements, to set up a defaut fund and to maintain sufficient prefunded financia resources to cover potentia osses as part of the defaut waterfa in accordance with the Reguation (EU) No 648/2012, as we as to invest its financia resources in accordance with Artice 47 of the Reguation (EU) No 648/2012. (Automaticay fied) 2C1 3A1 3A6 Of which: arising from derivatives Of which arising from derivatives 3A7 3A8 Of which: not arising from derivatives Tota deductibe amount of quaifying iabiities reated to cearing activities (Automaticay fied) 2C5 (i.e. iabiities arising from a derivative contracts (excuding credit derivatives) vaued in accordance with the everage ratio methodoogy after foor) / 2C1 (Automaticay fied) 3A1 * 3A3 (=2C5/2C1) It aows to appy the foor taken into account on the tota iabiities arising from derivatives (in the Section C of the tab '2. Basic annua contribution') on the quaifying iabiities arising from derivatives reated to cearing activities, so that the deducted derivative amount is consistent with the tota derivative amount in tota iabiities. On-baance sheet accounting vaue of quaifying iabiities reated to cearing activities reported in the annua financia statements (Automaticay fied) 3A5 3A6 (Automaticay fied) 3A7 + 3A4 It aows to take into account the adjustments made on the quaifying iabiities arising from derivatives in the tota quaifying iabiities reated to cearing activities. Some vaidation Rues (tab 6) inked to these fieds: A fieds must be fied Cross checks between characteristics in tab 1 and deductions, e.g. a credit institution that is not a CCP ('1C5') cannot deduct iabiities reated to cearing activities ('3A8') The vaue of derivatives reated to a specific deduction e.g. a CCP ( 3A1 ) shoud not be greater than the tota vaue of derivatives ( 2C1 ) The accounting vaue of quaifying iabiities arising from derivatives( 3A6 ) shoud not be greater than the tota amount of iabiities ( 3A5 ) * DATA FREQUENCY: According to the DR, the everage ratio methodoogy shoud be appied on "the yeary average amount, cacuated on a quartery basis, of the iabiities arising from derivatives contracts". If this same vaue is ony avaiabe for one or some quarters of the reference year, the yeary average of these quarters must be reported. 12

13 Tab 3: Deductions (exampe for sections A D) Deduction of non-derivative CSD iabiities Iustration The CSD iabiities beow meet a the conditions in Artice 5(1)(d) of the DR 2015/63 Assets Entity Liabiities (Accounting vaues) Quaifying iabiities reated to custody (non-derivatives)= 25 Tota Assets = 100 Data needed from the entity for CSD deductions: Quaifying iabiities reated to CSD activities that meet a the conditions in Artice 5(1)(d) of the DR: Vaues in this exampe Lega ref. Fied ID Tota accounting vaue 25 3B5 Ofwhich: arising from derivatives: accounting vaue Arising from derivatives reated to CSD activities: everage vaue DR 2015/63 - Art. 3(23), 5(1)(d) 3B6 3B1 Automatic cacuations in the reporting form:. Deductibe amount of quaifying iabiities reated to CSD activities 25 3B8 13

14 Tab 3: Deductions (exampe for sections A D) Deduction of CSD iabiities with derivatives Iustration The CSD iabiities beow meet a the conditions in Artice 5(1)(d) of the DR 2015/63 Entity Assets Liabiities (Accounting vaues) Tota accounting vaue of derivatives = 55 = 50 Quaifying iabiities reated to custody = 25 Of which derivatives = 10 = 5 Tota Assets = 100 Tota Liabiities = 100 Data needed from the entity for CSD deductions: Quaifying iabiities reated to CSD activities that meet a the conditions in Artice 5(1)(d) of the DR: Tota accounting vaue Of which: arising from derivatives: accounting vaue Tota derivatives: everage vaue Derivatives reated to CSD activities: everage vaue Vaues in this exampe Lega ref. DR 2015/63 - Art. 3(23), 5(1)(d) Fied ID 3B5 3B6 2C1 5 3B1 Derivative foor factor (2C5/2C1) 55/50 = 1,1 3B3 Automatic cacuations in the reporting form: Adjusted vaue of quaifying iabiities reated to CSD activities arising from derivatives Deductibe amount of quaifying iabiities reated to CSD activities 5 x 1,1=5, ,5 = 20,5 3B4 3B8 14

15 Tab 3: Deductions (exampe for sections E F) 2C1 3E1 3E2 E. Deductibe amount of quaifying iabiities reated to IPS Liabiities arising from a derivative contracts (excuding credit derivatives) vaued in accordance with the everage ratio methodoogy Of which: quaifying IPS iabiities arising from derivatives that arise from a quaifying IPS member Of which: non quaifying IPS iabiities arising from derivatives Expanation (Automaticay fied) Repeated from tab 2 'quaifying IPS iabiities' means iabiities created by a 'quaifying IPS member' through an agreement entered into with another institution which is member of the same IPS (Automaticay fied): 2C1 3E1 3E3 Derivative foor factor (Automaticay fied): 2C5 (i.e. iabiities arising from a derivative contracts (excuding credit derivatives) vaued inaccordance with the everage ratio methodoogy after foor) / 2C1 3E4 (Automaticay fied): 3E1 * 3E3 (=2C5/2C1) It aows to appy the foor taken into account on Adjusted vaue of quaifying IPS iabiities the tota iabiities arising from derivatives (in the Section C of the tab '2. Basic annua arising from derivatives that arise from a contribution') on the quaifying IPS iabiities, so that the deducted derivative amount is quaifying IPS member consistent with the tota derivative amount in tota iabiities 3E5 Tota accounting vaue of quaifying IPS On-baance sheet accounting vaue of quaifying IPS iabiities reported in the annua financia iabiities statements 3E6 Of which: arising from derivatives Of which arising from derivatives 3E7 Of which: not arising from derivatives (Automaticay fied): 3E5 3E6 3E8 Adjusted vaue of tota quaifying IPS iabiities (Automaticay fied): 3E7 + 3E4 It aows to take into account the adjustments made on the quaifying iabiities arising from derivatives in the tota quaifying IPS iabiities 3E9 Tota accounting vaue of quaifying IPS assets 'quaifying IPS assets' means assets created by a 'quaifying IPS member' through an agreement hed by the quaifying IPS member entered into with another institution which is member of the same IPS. 3E10 Adjusted vaue of tota quaifying IPS assets An institution can ony deduct a quaifying IPS asset amount as it is vaued by the IPS member counterpart (as a iabiity) taking into account the derivative adjustment and the 'derivative foor factor' of the same IPS member counterpart 3E11 Tota deductibe amount of assets and (Automaticay fied): (3E8 + 3E10) / 2 It aows quaifying IPS iabiities to be eveny deducted iabiities arising from quaifying IPS iabiities from the amount of tota iabiities of the IPS members. Some vaidation Rues (tab 6) inked to these fieds: A fieds must be fied Format shoud be respected 15

16 2018 Data Reporting Form Tab 3: Deductions (exampe for sections E F) Deduction of non-derivative intragroup iabiities Iustration The intragroup transactions beow between group entities A and B meet a the conditions in Artice 5(1)(a) of the DR 2015/63. In the exampe beow, there is a perfect match between the accounting vaue of intragroup transactions booked by A and B in their respective financia statements. In case of mismatch, the iabiity vaue prevais over the asset vaue. Group entity B Assets Liabiities Assets Liabiities Intragroup non-derivative assets with A (accounting vaue) = 30 Intragroup non-derivative iabiities with A (accounting vaue) = 25 Intragroup non-derivative assets with B (accounting vaue) = 25 Group entity A Intragroup non-derivative iabiities with B (accounting vaue) = 30 Tota Intragroup iabiities = 25 Tota deductibe intragroup iabiities for group entity A = 25/2 = 12.5 Tota deductibe intragroup assets for group entity B = 25/2 = 12.5 Deductibe amounts for A & B come from their respective quaifying iabiities. An even deduction is appied (50% of quaifying iabiities for A, same for B) Tota Intragroup iabiities = 30 Tota deductibe intragroup iabiities for group entity A = 30/2 = 15 Tota deductibe intragroup assets for group entity B = 30/2 = 15 Data needed from the group entity A for its intragroup non-derivative deductions: Vaues in this exampe Lega ref. Fied ID Intragroup iabiities that meet a the conditions in Artice 5(1)(a) of the DR: o Tota accounting vaue Intragroup assets that meet a the conditions in Artice 5(1)(a) of the DR: o Tota accounting vaue booked by group entity A o Adjusted vaue taking into account the vaues and derivative adjustment made by group entity B Automatic cacuation in the reporting form: Deductibe amount of assets and iabiities arising from quaifying intragroup iabiities for A /2 + 25/2 = 27.5 DR 2015/63-5(1)(a), 5(2) 3F5 3F9 3F10 3F ex-ante contributions to the SRF

17 Tab 3: Deductions (exampe for sections E F) Deduction of derivative intragroup iabiities Iustration The intragroup transactions beow between group entities A and B meet a the conditions in Artice 5(1)(a) of the DR 2015/63. In the exampe beow, a the intragroup transactions between A and B are derivatives. Group entity B Group entity A Assets Liabiities Assets Liabiities Intragroup derivative assets with A (accounting vaue) = 10 Intragroup derivative iabiities with A (accounting vaue) = 22 Intragroup derivative iabiities with A (everage vaue) = 80 Intragroup derivative assets with B (accounting vaue) = 22 Intragroup derivative iabiities with B (accounting vaue) = 10 Intragroup derivative iabiities with B (everage vaue) = 30 Tota Intragroup iabiities = 80 Tota deductibe intragroup iabiities for group entity B = 80/2 = 40 Tota deductibe intragroup assets for group entity A = 80/2 = 40 Deductibe amounts for A & B come from their respective quaifying iabiities taking into account the derivative adjustment. An even deduction is appied (50% of quaifying iabiities for A, same for B) Tota Intragroup iabiities = 30 Tota deductibe intragroup iabiities for group entity A = 30/2 = 15 Tota deductibe intragroup assets for group entity B = 30/2 = 15 Data needed from the group entity A for its intragroup derivative deductions: Intragroup iabiities that meet a the conditions in Artice 5(1)(a) of the DR: Vaues in this exampe Lega ref. Fied ID o Tota accounting vaue 10 3F5 Of which: arising from derivatives: accounting vaue o Arising from derivatives: everage vaue Intragroup assets that meet a the conditions in Artice 5(1)(a) of the DR: DR 2015/63 - Art. 3(22), 5(1)(a), 5(2) 3F6 3F1 o Tota accounting vaue booked by group entity A o Adjusted vaue taking into account the vaues and derivative adjustment made by group entity B Automatic cacuations in the reporting form: Deductibe amount of assets and iabiities arising from quaifying intragroup iabiities for A /2 + 30/2 = 55 CRR 575/2013 Art. 274, 275, 295 DR 2015/62 Art. 429a 3F9 3F10 3F11 17

18 Tab 4: Risk adjustment The Deegated Reguation 2015/63 sets out the risk indicators and how they shoud be treated in the cacuation of ex-ante contributions. Tab 4 Coects data regarding the risk profie in order to appy the risk adjustment: Risk Piars and Indicators for 2019 ex-ante contributions: Risk Piar Risk Indicators MREL I Risk Exposure Leverage Ratio Common Equity Tier 1 Capita Ratio Tota Risk Exposure divided by Tota Assets II Stabiity and variety of sources of funding Net Stabe Funding Ratio; LCR III Importance of an institution to the stabiity of the financia system or economy; Share of interbank oans and deposits in the European Union New risk indicator for 2019 data coection IV Additiona risk indicators determined by the SRB Trading activities, off-baance sheet exposures, derivatives, compexity and resovabiity; Membership in an Institutiona Protection Scheme Extent of previous extraordinary pubic financia support 18

19 Tab 4: Risk adjustment Artice of the DR 2015/63 foresees the situation where a waiver was granted to the institution under the CRR rues. This waiver sha be granted by the competent authority in circumstances defined in Reguation (EU) No 575/2013 (CRR). Has the competent authority granted a waiver to the institution from the appication of CRR requirements on an individua basis? Consequences No Yes, for the everage ratio Yes, for own funds requirements Yes, for LCR Yes, for interbank oans and deposits Information in tab 4 to be reported at individua ega entity eve Leverage ratio risk indicator (4A7 fied in section A.ii) may be reported at the owest sub-consoidated eve. If the atter does not appy, at consoidated eve. Risk indicators in sections A.iii, A.iv and D.i may be reported at the owest sub-consoidated eve. If the atter does not appy, at consoidated eve Aways the same reporting eve (sub-consoidated or consoidated) must be appied in sections A.iii, A.iv and D.i Liquidity indicators (LCR in 4B6 in section B.ii) sha be reported at the owest sub-consoidated eve. If the atter does not appy, at consoidated eve. The score obtained shoud be attributed to each entity which is part of the (sub)group. Interbank oans and deposits (4C6 and 4C7 in section C) may be reported at the owest sub-consoidated eve. If the atter does not appy, at consoidated eve. 19

20 Tab 4: Risk adjustment (Section A. 'Risk exposure' piar) 4A1 4A2 4A3 4A4 4A6 4A7 4A8 4A9 4A10 4A11 4A13 4A14 4A15 4A16 A.ii) Leverage ratio Has the competent authority granted a waiver from the appication of the Leverage ratio risk indicator to the institution at individua eve? Reporting eve of the Leverage ratio risk indicator Name of the parent LEI code of the parent LEI code of the institutions which are part of the (sub-)consoidation Leverage ratio, at the reporting eve seected in Fied ID 4A2 A.iii) Common Equity Tier 1 Capita Ratio (CET1 ratio) Has the competent authority granted a waiver from the appication of the CET1 ratio risk indicator to the institution at individua eve? Reporting eve of the CET1 ratio risk indicator Name of the parent LEI code of the parent LEI code of the institutions which are part of the (sub-)consoidation CET1 capita, at the reporting eve seected in Fied ID 4A9 Tota Risk Exposure, at the reporting eve seected in Fied ID 4A9 CET1 ratio, at the reporting eve seected in Fied ID 4A9 A.iv) Tota Risk Exposure divided by Tota Assets (TRE/TA) Expanation If No, the reporting eve of the Leverage ratio risk indicator shoud be individua ('4A2') EU COREP, Annex X, Tempate n.47, code c 47.00, coumn 010, row 340 (transitiona definition) Expanation If No, the reporting eve of the CET1 ratio risk indicator shoud be individua ('4A9') EU COREP, Annex I, Tempate n. 1, code c 01.00, ID 1.1.1, row 020 EU COREP, Annex I, Tempate n. 2, code c 02.00, ID 1, row 010 (Automaticay fied) 4A14 / 4A15 It shoud be equa to EU COREP, Annex I, Tempate n. 3, code c 03.00, ID 1, row 010 Expanation 4A17 Tota assets, at the reporting eve seected in Fied ID 4A9 If the reporting eve in 4A9 is 'Individua', the vaue for 4A17 must equa the vaue for 2A1 (tota iabiities equas tota assets equas tota baance sheet) 4A18 TRE/TA, at the reporting eve seected in Fied ID 4A9 (Automaticay fied) 4A15 / 4A17 Some vaidation Rues (tab 6) inked to these fieds: A fieds must be fied Format shoud be respected, e.g. everage ratio ('4A7') shoud be reported as a number with four decimas Leve of reporting ( 4A2 ) and ( 4A9 ) shoud be consistent with the grant of a waiver ( 4A1 ) If fied '4A9' is 'individua', then tota assets in fied '4A17' must be equa to tota iabiities in fied '2A1' 20

21 Tab 4: Risk adjustment (Section B. Stabiity and variety of sources of funding' piar) 4B1 4B2 4B3 4B4 4B5 4B6 4C1 4C2 4C3 4C4 4C5 4C6 4C7 4C8 B.ii) Liquidity Coverage Ratio (LCR) Has the competent authority granted a waiver from the appication of the LCR risk indicator to the institution at individua eve? Reporting eve of the LCR risk indicator Name of the parent LEI code of the parent LEI code of the institutions which are part of the (sub-)consoidation LCR, at the reporting eve seected in Fied ID 4B2 New section C. Importance of an institution to the stabiity of the financia system or economy piar Has the competent authority granted a waiver from the reporting requirement to the institution at individua eve? Reporting eve of the risk indicator Name ofthe parent LEI code of the parent LEI code of the institutions which are part of the (sub-)consoidation Tota amount of interbank oans at the reporting eve seected in Fied ID 4C2 Tota amount of interbank deposits at the reporting eve seected in Fied ID 4C2 Tota of reported interbank oans and deposits at the reporting eve seected in Fied ID 4C2 (automatic - not to fi in) Expanation If No, the reporting eve of the LCR indicator shoud be individua ('4B2') EU COREP, Annex XXII, Tempate n.76, code c 76.00, ID 3 coumn 010, row 30 Expanation If No, the reporting eve of the risk indicator shoud be individua ('4C2') EU COREP, Annex III/IV, Tempate n.4.1, code F04.01, coumn 010, row ; Annex III/IV, Tempate n.4.2, code F04.02, coumn 010, row ; Annex III/IV, Tempate n.4.3, code F04.03, coumn 030, row ; Annex III/IV, Tempate n.4.4, code F04.04, coumn 060, row ; Annex III/IV, Tempate n.4.5, code F04.05, coumn 010, row ; Annex III/IV, Tempate n.4.6, code F04.06, coumn 010, row ; EU COREP; Annex III/IV, Tempate n.4.7 code F04.07, coumn 010, row ; Annex III/IV, Tempate n.4.8, code F04.08, coumn 010, row ; Annex III/IV, Tempate n.4.9, code F04.09, coumn 050, row ; Annex III/IV, Tempate n.4.10, code F04.01, coumn 010, row EU COREP, Annex III/IV, Tempate n.8.1, code F08.01, coumn , row (Automaticay fied) 4C6+4C7 Some vaidation Rues (tab 6) inked to these fieds: A fieds must be fied Leve of reporting ( 4B2 ) shoud be consistent with the grant of a waiver ( 4B1 ) When the reporting eve of interbank oans and deposits is not individua ('4C2'), then the LEI code of the parent ('4C4') shoud be fied in with 20 aphanumeric characters If fied '4C2' is 'Individua', then tota amount of interbank deposits ('4C6') must be ess than tota iabiities of institution ('2A1') 21

22 Tab 4: Risk adjustment D. Additiona risk indicators to be determined by the resoution authority piar Expanation 4D1 Risk exposure amount for market risk on traded debt instruments and EU COREP, Annex I, Tempate n. 2, code c 02.00, ID a) SA: equity, at the reporting eve seected in Fied ID 4A OR b) IM: (excusion of Foreign Exchange & Commodities to perform), Row a) SA OR b)im 580 (excusion of Foreign Exchange & Commodities to perform) 4D2 a) Divided by Tota Risk Exposure 4D1 / 4A15 4D3 b) Divided by CET1 Capita 4D1 / 4A14 4D4 c) Divided by Tota Assets 4D1 / 4A17 4D5 Tota off-baance sheet nomina amount, at the reporting eve seected in Fied ID 4A9 EU COREP, Annex X, Tempate n. 40, code c 40.00, coumn 070, rows D6 a) Divided by Tota Risk Exposure 4D5 / 4A15 4D7 b) Divided by CET1 Capita 4D5 / 4A14 4D8 c) Divided by Tota Assets 4D5 / 4A17 4D9 Tota derivative exposure, at the reporting eve seected in Fied ID 4A9 EU COREP, Annex X, Tempate n. 47, code c 47.00, coumn 010, row D10 Of which: derivatives ceared through a centra counterparty (CCP), at the reporting eve seected in Fied ID 4A9 Of which derivatives ceared through a CCP 4D11 a) Divided by Tota Risk Exposure (4D9-4D10*50%) / 4A15 4D12 b) Divided by CET1 Capita (4D9-4D10*50%) / 4A14 4D13 c) Divided by Tota Assets (4D9-4D10*50%) / 4A17 1C3 Is the institution member of an Institutiona Protection Scheme (IPS)? (Automaticay fied) Repeated from tab 1 1C4 Has the competent authority granted the permission referred to in Artice 113(7) of the CRR? (Automaticay fied) Repeated from tab 1 4D14 Name of the IPS 4D17 4D18 4D19 Does the institution meet the three conditions specified for this fied (see definitions & guidance) at the reference date? Name of the EU parent LEI code of the EU parent Conditions for Yes in this fied: 1. The institution is part of a group that has been put under restructuring after receiving any State or equivaent funds such as from a resoution financing arrangement; 2. The institution is part of a group that is sti within the restructuring or winding down or iquidation period; 3. The institution is part of a group that is not in the ast 2 years of impementation of the restructuring pan. Some vaidation Rues (tab 6) inked to these fieds: A fieds must be fied Tota derivatives exposure ('4D9') must be equa to or greater than derivatives ceared through a CCP ('4D10') 22

23 THANK YOU