Annual Regulatory Risk Report of the DZ BANK Group Partial disclosure of DVB Bank SE
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1 Annual Regulatory Risk Report of the DZ BANK Group Partial disclosure of DVB Bank SE 2014
2 Annual Regulatory Risk Report 2014 of the DZ BANK Group Partial disclosure of DVB Bank SE pursuant to article 13 of Regulation (EU) No. 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No. 646/2012 (1).
3 Contents 1 Introduction 02 Scope in accordance with article 436 of the CRR Own funds and capital requirements Own funds Structure of own funds in accordance with article 437 (1) (d) and (e) of the CRR Reconciliation of own funds to statement of financial position in accordance with article 437 (1) (a) of the CRR Own funds in accordance with article 437 (1) (b) of the CRR 16 Capital requirements in accordance with article 438 (a) of the CRR 16 Capital requirements in accordance with article 438 (c) to (f), 445 and 446 of the CRR Credit risks Market price risks Operational risks 19 Total and tier 1 capital ratios Counterparty credit risk Objectives and principles of credit risk management in accordance with article 435 of the CRR 20 Lending volume and allowance for credit losses in accordance with article 442 of the CRR 25 IRBA asset class ratings in accordance with article 435 (a) to (c) of the CRR Rating methods used, and transitional arrangements Internal rating system structure Additional uses of internal estimates Rating system controls Allocation to rating categories 27 CRSA asset class ratings in accordance with article 444 (a) to (d) of the CRR 28 Exposures in accordance with article 444 (e) and 452 of the CRR Exposures before and after CRSA credit risk mitigation IRBA exposures by asset classes and risk categories Average PD and LGD by countries under the IRB Approach in accordance with article 452 (j) of the CRR Actual credit loss experienced in the advanced IRBA portfolio in accordance with article 452 (f) to (h) of the CRR Loss estimates and actual credit loss experienced in the advanced IRBA portfolio in accordance with article 452 (i) of the CRR 34 Credit risk mitigation under the CRSA and IRBA in accordance with article 453 of the CRR Credit collateral under the CRSA Credit collateral under the advanced IRBA Trading book collateral 34 Trading book counterparty risks in accordance with article 439 of the CRR Equity investment risk in accordance with article 447 of the CRR 37 Encumbered and unencumbered assets in accordance with article 443 of the CRR 38 Market price risk in accordance with article 435 and 448 of the CRR 39 Notes Main features of instruments issued by the institution in accordance with article 437 (1) (b) of the CRR DVB worldwide Imprint 59
4 2 Introduction The DVB Group is referred to in this report either as DVB or the DVB Group, whereas the European public limitedliability company (Societas Europaea) is referred to by its registered name DVB Bank SE. Unless otherwise indicated, all amounts are stated in millions of euros ( mn or million). Figures are rounded pursuant to standard business principles. This may result in slight differences when aggregating figures and calculating percentages. The sums presented generally are rounded figures of exact amounts. In 2004, the Basel Committee on Banking Supervision issued the Basel II framework containing international standards for risk-adjusted capital adequacy. The standard was incorporated into German law (to which DVB is subject) on 1 January 2007 through the adoption of the German Solvency Regulation (SolvV) of 14 December 2006, which was, in turn, the transposition into German law of the European minimum capital standards prescribed in the Banking Directive (2006/48/EC) and the Capital Adequacy Directive (2006/49/EC), and the corresponding equivalent requirements of the new Basel Capital Accord (Basel II). In December 2010, the Basel Committee on Banking Supervision issued an extended framework, known as Basel III. This framework has taken effect from 1 January 2014 based on the requirements of Regulation (EU) No. 575/2013 (Capital Requirements Regulation CRR). DVB has received supervisory approval for the use of the advanced Internal Ratings Based Approach (IRBA), effective 1 January 2008, for the determination of credit risk-related charges against regulatory capital. With this report, DVB Bank SE, in its capacity as parent company of the DVB Group, complies with the reporting requirements of article 431 to 455 of the CRR in conjunction with section 26a of the German Banking Act (KWG). As a member of the DZ BANK Group, DVB is, in fact, exempt from full disclosure according to article 13 (1) sentence 2 of the CRR. For the reporting period 2014, DVB Bank SE provides as a minimum standard the information required under the Basel II framework applicable so far, in order to facilitate comparability with the previous year s voluntary disclosures. This exceeds the minimum disclosure requirements pursuant to article 13 (1) sentence 2 of the CRR. All details and figures cited in this report are as at, or pertain to the twelve months ended 31 December As permitted by article 434 (2) of the CRR, this report incorporates information provided by DVB s Group Annual Report 2014 to the extent that such information is in compliance with the reporting requirements of the CRR. DVB is a specialist bank focused on global transport finance, offering integrated financial and advisory services in its Shipping Finance, Aviation Finance, Offshore Finance and Land Transport Finance segments through its network of eleven office locations around the world. Recognising the requirements associated with its focused market presence, and its status having adopted the Advanced Approach, DVB provides enhanced transparency at all times, maintaining an active and open financial communications policy. DVB s strategic focus, and the resulting specific nature of its business areas and products, means that certain disclosure requirements are not applicable. In particular, this refers to some (if not all) disclosures required by article 439 (exposure to counterparty credit risk), article 452 (specialised lending and retail), and article 449 (securitisations) of the CRR, thus reducing the qualitative and quantitative scope of this report. The macroeconomic and industry-specific conditions of the business year 2014 are described in detail in the Annual Report of DVB Bank SE on pages 3 to 7, as well as in the chapters Report on the economic position and Development of the business divisions of the Group Annual Report on pages 54 to 55 and 76 to 136. Please refer to these sections for a full description. Additional disclosure requirements pursuant to the CRR Pursuant to section 16 of the Regulation, DVB is obliged to disclose information regarding its remuneration policy and practice. DVB s disclosure duties, as a bank subject to Regulation 575/2013/EU (Capital Requirements Regulation CRR), as defined in section 1 of the KWG, are based solely on article 450 of the CRR which requires that the Bank discloses certain quantitative and qualitative details for groups of employees whose activity has a material impact on the Bank s risk profile ( risk takers ). We will comply with this disclosure duty in a separate report, which will be made available on our website > Investors > Corporate Governance during the second quarter of 2015.
5 Scope in accordance with article 436 of the CRR 3 DVB Bank SE is subordinated to another credit institution based in Germany, i.e. Deutsche Zentral-Genossenschaftsbank, Frankfurt/Main (in the following DZ BANK AG ). Pursuant to section 10a (10) of the KWG in conjunction with article 22 of the CRR, DVB Bank SE is subject to a so-called subconsolidation, since another institution based in a third country is subordinated to DVB Bank SE. Consolidation for regulatory purposes pursuant to section 10a (1) of the KWG in conjunction with article 11 et seq. of the CRR differs from the methods and basis of consolidation for accounting purposes as required by International Financial Reporting Standards (IFRS), and supplemented by the statutory requirements of section 315a (1) of the German Commercial Code (HGB). There are, furthermore, certain differences in accounting methods required by the SolvV in addition to other special CRR requirements. DVB s risk management is comprehensive in nature in that it includes all DVB Group entities. The information contained in this risk report relates to all companies in the DVB group of institutions as defined for regulatory purposes. All material companies of DVB are fully consolidated under both regulatory law and commercial law. The companies have been classified by the nature of their operations under headings that correspond to those defined in section 1 of the KWG. (see table on page 4) Consolidation matrix Differences in scope of consolidation of material companies for regulatory law and commercial law purposes Classification Name Regulatory treatment Consolidation Full Pro rata Deduction Risktreatment weighted investment Consolidation under IFRS Full Pro rata Banks (credit institutions) DVB Bank SE, Frankfurt/Main, Germany DVB Bank America N.V., Willemstad, Curaçao DVB Group Merchant Bank (Asia) Ltd, Singapore ITF International Transport Finance Suisse AG, Zurich, Switzerland Financial enterprises LogPay Financial Services GmbH, Eschborn, Germany DVB Transport Finance Ltd, London, United Kingdom DVB Holding GmbH, Frankfurt/Main, Germany DVB Holding (US) Inc., New York City, N.Y., USA
6 4 Scope in accordance with article 436 of the CRR Consolidation matrix Differences in scope of consolidation of non-material companies for regulatory law and commercial law purposes Classification Number of companies Regulatory treatment Consolidation Full Pro rata Deduction Risktreatment weighted investment Consolidation under IFRS Full Pro rata Banks (credit institutions) Financial enterprises Financial services providers Other enterprises Special purpose entities DVB did not make use of the exemption provided by section 2a of the KWG in conjunction with article 7 and 9 of the CRR pursuant to which, if certain conditions are met, the supervision of individual institutions domiciled in Germany within a group of institutions may be performed by the group supervisor. Hence, DVB does not disclose information pursuant to article 436 (e) of the CRR. DVB Bank Group subsidiaries that have been excluded from the basis of consolidation for regulatory purposes pursuant to section 10a of the KWG all meet capital adequacy requirements. Therefore, disclosure pursuant to article 436 (d) of the CRR is not necessary. DVB is not subject to any restrictions imposed by third parties, private or public law companies, supranational organisations or governments as to the transferability of equity or loan capital within the meaning of article 436 (c) of the CRR.
7 Own funds and capital requirements 5 Own funds Structure of own funds in accordance with article 437 (1) (d) and (e) of the CRR The structure of DVB s regulatory capital at 31 December 2014, calculated in compliance with section 10 of the KWG in conjunction with article 437 of the CRR and prior to appropriation of profits, is shown below, in accordance with the transitional provisions of article 492 of the CRR. Common equity tier 1 capital Instruments and reserves ( mn) (A) Amount on day of disclosure (B) Reference to applicable article of Regulation (EU) No. 575/2013 (C) Amounts to be recognised before the application of Regulation (EU) No. 575/2013 or residual amounts according to Regulation (EU) No. 575/ Capital instruments 26 (1), 27, 28, 29, and the related share premium accounts EBA list pursuant to article 26 (3) thereof: equities EBA list pursuant to article 26 (3) 2 Retained profits (1) (c) 3 Accumulated other comprehensive income (and other reserves designated to account for unrealised gains and losses according to applicable accounting standards) (1) 3a Fund for general banking risks (1) (f) 4 Amount of qualifying items referred to in article 484 (3) and the related share premium accounts subject to phase out from CET1 486 (2) Governmental capital contributions with grandfathering rights until 1 January (2) 5 Minority interests (amount allowed in consolidated CET1) 84, 479, 480 5a Independently reviewed interim profits net of any foreseeable charge or dividend 26 (2) 6 Common equity tier 1 (CET1) capital before regulatory adjustments 1,369.5
8 6 Own funds and capital requirements Common equity tier 1 (CET1) capital Regulatory adjustments ( mn) (A) Amount on day of disclosure (B) Reference to applicable article of Regulation (EU) No. 575/2013 (C) Amounts to be recognised before the application of Regulation (EU) No. 575/2013 or residual amounts according to Regulation (EU) No. 575/ Additional value adjustments (negative amount) , Intangible assets (net of related tax liability) (negative amount) (1) (b), 37, 472 (4) In the EU: empty set 10 Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions of article 38 (3) are met) (negative amount) (1) (c), 38, 472 (5) Fair value reserves related to gains or losses on cash flow hedges of financial instruments (a) 12 Negative amounts resulting from the calculation of expected loss amounts (1) (d), 40, 159, 472 (6) Increase in equity resulting from securitised assets (negative amount) 32 (1) 14 Gains or losses on liabilities valued at fair value resulting from changes in own credit standing 33 (b) 15 Defined-benefit pension fund assets (negative amount) (1) (e), 41, 472 (7) Direct and indirect holdings of own common equity tier 1 instruments (negative amount) (1) (f), 42, 472 (8) Holdings of common equity tier 1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to artificially inflate the own funds of the institution (negative amount) 36 (1) (g), 44, 472 (9) 18 Direct and indirect holdings of common equity tier 1 instruments of financial sector entities in which the institution does not hold a material interest (amount above 10% threshold and net of eligible short positions) (negative amount) 36 (1) (h), 43, 45, 46, 49 (2) and (3), 79, 472 (10) 19 Direct, indirect and synthetic holdings by the institution of common equity tier 1 instruments of financial sector entities in which the institution holds a material interest (amount above 10% threshold and net of eligible short positions) (negative amount) 36 (1) (i), 43, 45, 47, 48 (1) (b), 49 (1) to (3), 79, 470, 472 (11) (Continued on the next page)
9 Own funds and capital requirements 7 Common equity tier 1 (CET1) capital Regulatory adjustments ( mn) (Continuation) (A) Amount on day of disclosure (B) Reference to applicable article of Regulation (EU) No. 575/2013 (C) Amounts to be recognised before the application of Regulation (EU) No. 575/2013 or residual amounts according to Regulation (EU) No. 575/ In the EU: empty set 20a Exposure amount of the following items which qualify for a risk weight of 1,250%, where the institution opts for the deduction alternative 36 (1) (k) 20b thereof: qualifying holdings outside the financial sector (negative amount) 36 (1) (k) (i), 89 to 91 20c thereof: securitisation positions (negative amount) 36 (1) (k) (ii), 243 (1) (b), 244 (1) (b), d thereof: free deliveries (negative amount) 36 (1) (k) (iii), 379 (3) 21 Deferred tax assets dependant on future profitability arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions of article 38 (3) are met) (negative amount) 36 (1) (c), 38, 48 (1) (a), 470, 472 (5) 22 Amount exceeding the 15% threshold (negative amount) 48 (1) 23 thereof: direct and indirect holdings of common equity tier 1 instruments of financial sector entities in which the institution holds a material interest 36 (1) (i), 48 (1) (b), 470, 472 (11) 24 In the EU: empty set 25 thereof: deferred tax assets dependant on future profitability arising from temporary differences 36 (1) (c), 38, 48 (1) (a), 470, 472 (5) 25a Losses for the current financial year (negative amount) 36 (1) (a), 472 (3) 25b Foreseeable tax charges relating to common equity tier 1 items (negative amount) 36 (1) (l) 26 Regulatory adjustments to common equity tier 1 in respect of amounts subject to regulatory provisions before application of the CRR 26a Regulatory adjustments in connection with unrealised gains and losses pursuant to article 467 and b Amount to be added or deducted from common equity tier 1 capital in respect of additional filters and deductions, as well as deductions required for items subject to regulatory provisions before application of the CRR Amount of items required to be deducted from additional tier 1 items exceeding the additional tier 1 capital of the institution (negative amount) (1) (j) 28 Total regulatory adjustments to common equity tier 1 (CET1) capital Common equity tier 1 (CET1) capital 1,168.0
10 8 Own funds and capital requirements Additional tier 1 (AT1) capital Instruments ( mn) (A) Amount on day of disclosure (B) Reference to applicable article of Regulation (EU) No. 575/2013 (C) Amounts to be recognised before the application of Regulation (EU) No. 575/2013 or residual amounts according to Regulation (EU) No. 575/ Capital instruments and the related share premium accounts 51, thereof: classified as equity according to applicable accounting standards 32 thereof: classified as liabilities according to applicable accounting standards 33 Amount of qualifying items referred to in article 484 (4) and the related share premium accounts subject to phase out from AT1 486 (3) Governmental capital contributions with grandfathering rights until 1 January (3) 34 Qualifying tier 1 instruments included in consolidated additional tier 1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties 85, 86, thereof: instruments issued by subsidiaries, subject to phase out 486 (3) 36 Additional tier 1 (AT1) capital before regulatory adjustments
11 Own funds and capital requirements 9 Additional tier 1 (AT1) capital Regulatory adjustments ( mn) (A) Amount on day of disclosure (B) Reference to applicable article of Regulation (EU) No. 575/2013 (C) Amounts to be recognised before the application of Regulation (EU) No. 575/2013 or residual amounts according to Regulation (EU) No. 575/ Direct and indirect holdings of own additional tier 1 instruments (negative amount) 52 (1) (b), 56 (a), 57, 475 (2) 38 Holdings of additional tier 1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount) 56 (b), 58, 475 (3) 39 Direct and indirect holdings of additional tier 1 instruments of financial sector entities in which the institution does not hold a material interest (amount above 10% threshold and net of eligible short positions) (negative amount) 56 (c), 59, 60, 79, 475 (4) 40 Direct and indirect holdings of additional tier 1 instruments of financial sector entities in which the institution holds a material interest (amount above 10% threshold and net of eligible short positions) (negative amount) 56 (d), 59, 79, 475 (4) 41 Regulatory AT1 adjustments in respect of amounts subject to regulatory provisions before application of the CRR as well as transitional period arrangements, to which phasing out regulations pursuant to Regulation (EU) No. 575/2013 apply (i.e. CRR residual amounts) a Residual amounts to be deducted from additional tier 1 capital in relation to items not deducted from common equity tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No. 575/ , 472 (3) (a), 472 (4), 472 (6), 472 (8) (a), 472 (9), 472 (10) (a), 472 (11) (a) 41a1 thereof: intangible assets a2 thereof: shortfall of provisions to expected losses a3 thereof: direct holdings of own common equity tier 1 instruments b Residual amounts to be deducted from additional tier 1 capital in relation to items not deducted from tier 2 capital during the transitional period pursuant to article 475 of Regulation (EU) No. 575/ , 477 (3), 477 (4) (a) 41c Amount to be added or deducted from additional tier 1 capital in respect of additional filters and deductions, as well as deductions required for items subject to regulatory provisions before application of the CRR 467, 468, Amount of items required to be deducted from tier 2 items exceeding the tier 2 capital of the institution (negative amount) 56 (e) 43 Total regulatory adjustments to additional tier 1 (AT1) capital Additional tier 1 (AT1) capital 45 Tier 1 capital (T1 = CET1 + AT1) 1,168.0
12 10 Own funds and capital requirements Tier 2 (T2) capital Instruments and reserves ( mn) (A) Amount on day of disclosure (B) Reference to applicable article of Regulation (EU) No. 575/2013 (C) Amounts to be recognised before the application of Regulation (EU) No. 575/2013 or residual amounts according to Regulation (EU) No. 575/ Capital instruments and the related share premium accounts , Amount of qualifying items referred to in article 484 (5) and the related share premium accounts subject to phase out from T2 486 (4) Governmental capital contributions with grandfathering rights until 1 January (4) 48 Qualifying own funds instruments included in consolidated tier 2 capital (including minority interests and AT1 instruments not included in row 5 or 34) issued by subsidiaries and held by third parties 87, 88, thereof: instruments issued by subsidiaries, subject to phase out 486 (4) 50 Credit risk adjustments 62 (c) and (d) 51 Tier 2 (T2) capital before regulatory adjustments Tier 2 (T2) capital Regulatory adjustments ( mn) (A) Amount on day of disclosure (B) Reference to applicable article of Regulation (EU) No. 575/2013 (C) Amounts to be recognised before the application of Regulation (EU) No. 575/2013 or residual amounts according to Regulation (EU) No. 575/ Direct and indirect holdings by an institution of own tier 2 instruments and subordinated loans (negative amount) 63 (b) (i), 66 (a), 67, 477 (2) 53 Holdings of tier 2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to artificially inflate the own funds of the institution (negative amount) 66 (b), 68, 477 (3) 54 Direct and indirect holdings of tier 2 instruments and subordinated loans of financial sector entities in which the institution does not hold a material interest (amount above 10% threshold and net of eligible short positions) (negative amount) 66 (c), 69, 70, 79, 477 (4) 54a thereof: new positions not subject to transitional provisions 54b thereof: positions that existed before 1 January 2013 and subject to transitional provisions (Continued on the next page)
13 Own funds and capital requirements 11 Tier 2 (T2) capital Regulatory adjustments ( mn) (Continuation) (A) Amount on day of disclosure (B) Reference to applicable article of Regulation (EU) No. 575/2013 (C) Amounts to be recognised before the application of Regulation (EU) No. 575/2013 or residual amounts according to Regulation (EU) No. 575/ Direct and indirect holdings by the institution of tier 2 instruments and subordinated loans of financial sector entities in which the institution holds a material interest (net of eligible short positions) (negative amount) 66 (d), 69, 79, 477 (4) 56 Regulatory T2 adjustments in respect of amounts subject to regulatory provisions before application of the CRR as well as transitional period arrangements, to which phasing out regulations pursuant to Regulation (EU) No. 575/2013 apply (i.e. CRR residual amounts) a Residual amounts to be deducted from tier 2 capital in relation to items not deducted from common equity tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No. 575/ , 472 (3) (a), 472 (4), 472 (6), 472 (8) (a), 472 (9), 472 (10) (a), 472 (11) (a) 56a1 thereof: shortfall of provisions to expected losses b Residual amounts to be deducted from tier 2 capital in relation to items not deducted from additional tier 1 capital during the transitional period pursuant to article 475 of Regulation (EU) No. 575/ , 475 (2) (a), 475 (3), 475 (4) (a) 56c Amount to be added or deducted from tier 2 capital in connection with additional filters and deductions, as well as deductions required in respect of amounts subject to regulatory provisions before application of the CRR 467, 468, Total regulatory adjustments to tier 2 (T2) capital Tier 2 (T2) capital Total capital (TC = T1 + T2) 1, a Risk-weighted assets in respect of amounts subject to regulatory provisions before application of the CRR as well as transitional period regulations, to which phasing out regulations pursuant to Regulation (EU) No. 575/2013 apply (i.e. CRR residual amounts) 60 Total risk-weighted assets 6,287.1
14 12 Own funds and capital requirements Capital ratios ( mn) (A) Amount on day of disclosure (B) Reference to applicable article of Regulation (EU) No. 575/2013 (C) Amounts to be recognised before the application of Regulation (EU) No. 575/2013 or residual amounts according to Regulation (EU) No. 575/ Common equity tier 1 capital (as a percentage of total risk exposure amount) 18.58% 92 (2) (a), Tier 1 capital (as a percentage of total risk exposure amount) 18.58% 92 (2) (b), Total capital (as a percentage of total risk exposure amount) 21.51% 92 (2) (c) 64 Institution-specific buffer requirement (minimum CET1 ratio in accordance with article 92 (1) (a) plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer and buffer for systemically important institutions (G-SII or O-SII), expressed as a percentage of total risk exposure amount) 4.5% CRD 128, 129, thereof: capital conservation buffer requirement 66 thereof: countercyclical buffer requirement 67 thereof: systemic risk buffer requirement 67a thereof: buffer for Global Systemically Important Institution (G-SII) or Other Systemically Important Institutions (O-SII) CRD Common equity tier 1 capital available to meet buffers (as a percentage of total risk exposure amount) 14.08% CRD [not relevant in EU Regulation] 70 [not relevant in EU Regulation] 71 [not relevant in EU Regulation] 72 Direct and indirect holdings of the capital of financial sector entities in which the institution does not hold a material interest (amount below 10% threshold and net of eligible short positions) (1) (h), 45, 46, 472 (10), 56 (c), 59, 60, 475 (4), 66 (c), 69, 70, 477 (4), 73 Direct and indirect holdings of common equity tier 1 instruments of financial sector entities in which the institution holds a material interest (amount below 10% threshold and net of eligible short positions) 36 (1) (i), 45, 48, 470, 472 (11) 74 In the EU: empty set 75 Deferred tax assets dependent upon future profitability arising from temporary differences (amount below 10% threshold and net of related tax liability where the conditions of article 38 (3) are met) 36 (1) (c), 38, 48, 470, 472 (5)
15 Own funds and capital requirements 13 Applicable caps on the inclusion of provisions in tier 2 ( mn) (A) Amount on day of disclosure (B) Reference to applicable article of Regulation (EU) No. 575/2013 (C) Amounts to be recognised before the application of Regulation (EU) No. 575/2013 or residual amounts according to Regulation (EU) No. 575/ Credit risk adjustments included in tier 2 in respect of exposures subject to standardised approach (prior to the application of the cap) Cap on inclusion of credit risk adjustments in tier 2 under standardised approach Credit risk adjustments included in tier 2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap) Cap on inclusion of credit risk adjustments in tier 2 under internal ratings-based approach Capital instruments subject to phase-out arrangements (only applicable between 1 January 2013 and 1 January 2022 mn) (A) Amount on day of disclosure (B) Reference to applicable article of Regulation (EU) No. 575/2013 (C) Amounts to be recognised before the application of Regulation (EU) No. 575/2013 or residual amounts according to Regulation (EU) No. 575/ Current cap on CET1 instruments subject to phase out arrangements 484 (3), 486 (2) and (5) 81 Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) 484 (3), 486 (2) and (5) 82 Current cap on AT1 instruments subject to phase out arrangements 484 (4), 486 (3) and (5) 83 Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) 484 (4), 486 (3) and (5) 84 Current cap on T2 instruments subject to phase out arrangements 484 (5), 486 (4) and (5) 85 Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) 484 (5), 486 (4) and (5)
16 14 Own funds and capital requirements For the first time, DVB disclosure follows article 437 of the CRR. No reference values from the previous year are available. Please refer to page 64 of the Group Annual Report 2014 for details regarding the structure of DVB s regulatory capital after appropriation of profits. Deductions from common equity tier 1 items pursuant to article 36 of the CRR mainly include negative amounts resulting from the calculation of expected loss amounts as well as the amount of items required to be deducted from additional tier 1 items exceeding the additional tier 1 capital of the institution. DVB s tier 2 capital in accordance with article 62 of the CRR consists of subordinated liabilities of 270 million, which includes 29 subordinated promissory notes and two bearer bonds with original maturities ranging between five and 15 years, denominated in either euros or US dollars. Please refer to annex A for a detailed description of such instruments. Deductions included in tier 2 capital pursuant to article 471 of the CRR consist of CRR residual amounts. DVB had no tier 3 capital at the reporting date. Items deducted from tier 1 and tier 2 capital pursuant to sections 10 (6) and (6a) of the KWG consist of shortfalls of allowances and expected losses under the IRB Approach for exposures to equity investments pursuant to section 10a (6a) nos. 1 and 2 of the KWG. Upon approval of net income for the year and the specific and portfoliobased allowance for credit losses included in such net income, the shortfall related to allowance for credit losses will be reduced by approximately 6 million. Reconciliation of own funds to statement of financial position in accordance with article 437 (1) (a) of the CRR The following table features the reconciliation of items in DVB s statement of financial position as disclosed in the published financial statements to DVB s own funds. As a first step, items in the statement of financial position based on the commercial law scope of consolidation are assigned to the corresponding items in the scope of consolidation under regulatory law. These items are then classified into various categories in order to allow the calculation of items to be included in own funds. Reference is made to the corresponding item in DVB s own funds in the Reference column according to article 437 (1) (d) and (e) of the CRR in chapter Material differences are due to the implementation of different scopes of consolidation and, in particular, to the different treatment of special purpose entities. This mainly affects the structure of assets. The inclusion of special purpose entities in DVB s consolidated financial statements translates into an increase in tangible fixed assets, while corresponding receivables from such entities have to be included under the regulatory scope of consolidation.
17 Own funds and capital requirements 15 Reconciliation of statement of financial position to own funds ( mn) Assets Under commercial scope of consolidation Reconciliation Under regulatory scope of consolidation Reference Cash and balances at central banks Items in the course of collection from other banks Trading portfolio assets Financial assets designated at fair value Derivative financial instruments Items 7 and 11 Loans and advances to banks 1, ,211.5 Loans and advances to customers Items 12, 41a2 20, ,184.1 and 56a1 Reverse repurchase agreements and other similar secured lending Available for sale financial investments Current and deferred tax assets thereof: current tax assets thereof: deferred tax assets thereof: deferred tax assets on loss carry forwards Item 10 Prepayments, accrued income and other assets Investments in associates and joint ventures Goodwill and intangible assets Items 8 and 41a1 Property, technical equipment and office equipment 1, , Total assets 24, ,907.1 Liabilities Deposits from banks 3, ,751.9 Items in the course of collection due to other banks Customer accounts 7, ,041.0 Repurchase agreements and other similar secured borrowing Trading portfolio liabilities Financial liabilities designated at fair value Derivative financial instruments Items 7 and 11 Debt securities in issue 11, ,305.8 Accruals, deferred income and other liabilities Current and deferred tax liabilities liabilities Item 46 Provisions Retirement benefit liabilities Total liabilities 23, ,509.0 Shareholders equity Paid-in share capital Item 1 minus the items 16 and 41a3 Retained earnings 1, Items 2, 3 and 3a Accumulated other comprehensive income Total shareholders equity 1, ,398.1
18 16 Own funds and capital requirements The same applies to investments in affiliated companies and joint ventures, which are disclosed as receivables from the corresponding entities for regulatory purposes. The regulatory adjustments to common equity tier 1 capital (items 7 and 11) (table under Structure of own funds in accordance with article 437 (1) (d) and (e) of the CRR ) in the amount of 1.9 million and 25.5 million, respectively, are part of the derivative financial instruments on the assets side and the liabilities side. No further categorisation of the statement of financial position items will be provided. The shortfall related to allowance for credit risks in the amount of 214 million (items 12, 41a2 and 56a1) (table under Structure of own funds in accordance with article 437 (1) (d) and (e) of the CRR ) relates to the calculation of the expected loss based on the statement of financial position item loans and advances to customers. Referring to the line items deferred tax assets and retained earnings, the differences between the values as disclosed in the statement of financial position and the values as disclosed under DVB s own funds relate to certain items which had not been audited or had not received regulatory approval as at the reporting date. Qualifying regulatory capital on subordinated liabilities within tier 2 capital is reduced compared to the statement of financial position. This is due to the amortisation of tier 2 instruments according to article 64 of the CRR. Please refer to annex A for an overview of the eligible amounts. Own funds in accordance with article 437 (1) (b) of the CRR Please refer to annex A for a description of the main features of the common equity tier 1 and additional tier 1 instruments and tier 2 instruments issued by DVB. Capital requirements in accordance with article 438 (a) of the CRR Detailed information regarding the method used to manage economic capital is provided in the section Capacity to carry and sustain risk/risk capital on pages 144 to 146 of the report on opportunities and risks in DVB s Group Annual Report As at 31 December 2014, DVB s regulatory capital amounted to a total of 1,352 million (previous year: 1,318 million). DVB s aggregate risk cover used for economic capital management, also disclosed in the section Capacity to carry and sustain risk/ risk capital of the report on opportunities and risks of the Group Management Report 2014, amounted to 1,473 million (previous year: 1,546 million). The 73 million decline in the aggregate risk cover reported for 2014 and compared to the end of the previous year, was largely due to higher deferred tax assets, a higher capital buffer, and a gap between expected losses and existing write-downs. Profit retention and higher subordinated liabilities only offset these reducing factors in part. Capital requirements in accordance with article 438 (c) to (f), 445 and 446 of the CRR Credit risks DVB has applied the advanced Internal Ratings Based Approach (IRB Approach or IRBA) to determine capital requirements for its business with vessels, aircraft, rail and road assets since 1 January The Group s internal rating systems have been approved in that respect by the German Federal Financial Supervisory Authority (BaFin). All such exposures are classified as Corporate assets. DVB applied for approval to implement or expand rating systems for the remaining smaller loan portfolios related to aircraft engines and container boxes as well as Group Treasury in the autumn of Approval was granted as of 1 October The associated exposures are allocated to the asset classes Corporates, Institutions or Sovereign governments. DVB currently has no exposures to securitisations.
19 Own funds and capital requirements 17 The transitional arrangements under article 495 (1) of the CRR in conjunction with section 17 of the SolvV have exempted application of the IRBA to equity exposures that arose prior to 31 December The simple risk weight method is used for all other exposures to equity investments. An analysis is provided below of capital requirements for each asset class under the advanced IRBA and the Credit Risk Standard Approach (CRSA) in addition to equity exposures at 31 December Risk-weighted assets and capital requirements by asset classes ( mn) Capital requirement Riskweighted assets % Capital requirement Riskweighted assets Capital requirement Riskweighted assets IRBA , , Sovereign governments Institutions Corporates , , thereof: SME Retail business thereof: collateralised by real property liens thereof: qualified revolving thereof: other retail business Other non-credit related assets CRSA Sovereign governments Regional governments and local authorities Other public-sector entities Multilateral development banks International organisations Institutions Asset-backed securities issued by credit institutions Corporates Retail business Institutions and Corporates with short-term rating 1) Exposures collateralised by property Investment fund units Exposures associated with particularly high risk 1) Other exposures Past due exposures Equity exposures Equity exposures risk-weighted by the IRBA simple risk method thereof: not listed on an exchange, but are components of a diversified portfolio of equity investments thereof: listed thereof: other Equity exposures exempted from the IRBA Total credit risk capital requirement , , ) Asset classes reported for the first time as at reporting date. In the previous year, no risk-weighted assets would have existed in the asset classes.
20 18 Own funds and capital requirements Market price risks The standardised approach is used throughout DVB to calculate regulatory requirements for relevant market price risks. The following table shows capital requirements for market price risks, as determined by the standardised approach: Operational risks DVB uses the basic indicator approach to calculate regulatory capital requirements for operational risk. Interest rate risks reported consist exclusively of capital requirements for general and specific price risks. Capital requirements for market price risks ( mn) Regulatory capital requirement Riskweighted assets % Regulatory capital requirement Riskweighted assets Regulatory capital requirement Riskweighted assets Interest rate risks Equity risks Currency risks Commodity risks Other risks Total 1) ) Totals were calculated based on exact figures. Capital requirements for operational risks ( mn) Regulatory capital requirement Riskweighted assets % Regulatory capital requirement Riskweighted assets Regulatory capital requirement Riskweighted assets Basic indicator approach
21 Own funds and capital requirements 19 Total and tier 1 capital ratios The total capital and tier 1 capital as well as common equity tier 1 capital ratios (after and before appropriation of profits) are shown below for the DVB Bank Group as well as for the parent bank, DVB Bank SE: The separation of tier 1 ratio and common equity tier 1 ratio was only introduced with the new CRR regulations, i.e. with the 2014 reporting period. Hence, the common equity tier 1 ratio is not disclosed for Due to the transition of the regulatory calculation methodology, from the German Solvency Regulation to the CRR, a comparison of the total capital ratio and tier 1 ratio with the corresponding previous year s figures is not possible. The regulatory capital requirements under article 465 (1) of the CRR were fulfilled at all times in the year under review. During 2014, no subordinated funds reached their maturity. To ensure compliance with the Basel I floor rule pursuant to article 500 (1) of the CRR, which was once again extended, DVB raised subordinated funds in the amount of million in September The subordinated funds consist of ten exposures denominated in euros. DVB Bank America N.V., Willemstad, Curaçao, and DVB Group Merchant Bank (Asia) Ltd, Singapore, determine regulatory tier 1 and total capital ratios in accordance with the specific requirements of their countries of incorporation. DVB has been consistently in compliance with the relevant requirements regarding tier 1 and total capital ratios. Total and tier 1 capital ratios (before appropriation of profits) % Total capital ratio 2014 (according to CRR) 2013 (according to KWG) Tier 1 ratio Common equity tier 1 ratio Total capital ratio Tier 1 ratio Common equity tier 1 ratio DVB Bank Group DVB Bank SE Total and tier 1 capital ratios (after appropriation of profits) % Total capital ratio 2014 (according to CRR) 2013 (according to KWG) Tier 1 ratio Common equity tier 1 ratio Total capital ratio Tier 1 ratio Common equity tier 1 ratio DVB Bank Group DVB Bank SE
22 20 Counterparty credit risk Objectives and principles of credit risk management in accordance with article 435 of the CRR The objectives and principles on which risk management is based are described in the section Credit risk of the report on opportunities and risks on pages 147 to 160 of the Group Annual Report Lending volume and allowance for credit losses in accordance with article 442 of the CRR Please refer to the section Early warning system, problem loans allowance for credit losses on pages 154 to 160 of the Group Annual Report 2014 for qualitative aspects on the definition of the terms past due and impaired as well as a description of the approaches and methods adopted for determining credit risk adjustments pursuant to article 442 (a) and (b) of the CRR. The following tables illustrate the quantitative requirements according to article 442 (c) to (f) of the CRR. The reported figures are net lending volumes, calculated as carrying amount pursuant to the reporting standards. The following table reflects the average lending volume in the lending business by asset class. Average lending volume in the lending business ( mn) Lending volume Recognition Asset class 31 Mar Jun Sep Dec 2014 Average 2014 CRSA Sovereign governments 2, Regional governments and local authorities Other public-sector entities Multilateral development banks International organisations Institutions Asset-backed securities issued by Institutions Corporates Retail business Institutions and Corporates with short-term rating Exposures collateralised by property Investment fund units Exposures associated with particularly high risk Other exposures Past due exposures Total 3, ,365.9 IRBA Sovereign governments Institutions 1, , , , ,511.6 Retail business: category IRBA items collateralised by real property liens Retail business: category other IRBA items of the retail business Retail business: category qualified revolving IRBA items Corporates 20, , , , ,502.2 Other non-credit related assets Total 22, , , , ,872.8
23 Counterparty credit risk 21 The following table shows the lending volume by regions (based on risk country by economic borrower), and asset class. Lending volume by regions ( mn) Lending volume Recognition Asset class Europe North America Asia Middle East/ Africa South America Offshore Australia/ New Zealand Other Total CRSA Sovereign governments Regional governments and local authorities Other public-sector entities Multilateral development banks International organisations Institutions Asset-backed securities issued by Institutions Corporates Retail business Institutions and Corporates with short-term rating Exposures collateralised by property Investment fund units Exposures associated with particularly high risk Other exposures Past due exposures Total IRBA Sovereign governments Institutions 2, ,534.7 Retail business: category IRBA items collateralised by real property liens Retail business: category other IRBA items of the retail business Retail business: category qualified revolving IRBA items Corporates 10, , , ,315.8 Other non-credit related assets Total 13, , , , ,762.1
24 22 Counterparty credit risk The following table shows the lending volume by business divisions and asset class. Lending volume by business divisions ( mn) Lending volume Asset class Shipping Finance Aviation Finance Offshore Finance Land Transport Finance Recognition Investment Management ITF Suisse Non-Core Other Total CRSA Sovereign governments Regional governments and local authorities Other public-sector entities Multilateral development banks International organisations Institutions Asset-backed securities issued by Institutions Corporates thereof: SME Retail business thereof: SME Institutions and Corporates with short-term rating Exposures collateralised by property thereof: SME Investment fund units Exposures associated with particularly high risk Other exposures Past due exposures Total IRBA Sovereign governments Institutions , ,534.7 Retail business: category IRBA items collateralised by real property liens thereof: SME Retail business: category other IRBA items of the retail business thereof: SME Retail business: category qualified revolving IRBA items Corporates 10, , , , , ,315.8 thereof: SME Other non-credit related assets Total 10, , , , , , ,762.1
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