CRD IV Data Point Model Table Statistics. 24 May 2012 Page 1 of 9

Transcription

1 CRD IV Point Model Table Statistics 24 May 2012 Page 1 of 9

2 COREP CA 1 Capital Adequacy - Own funds definition CA CA 2 Capital Adequacy - Risk Exposure Amounts CA 2 74 CA 3 Capital Adequacy - Ratios CA CA 4 Capital Adequacy - Memorandum Items CA CA 5.01 Capital Adequacy - Transitional provions: Summary CA CA 5.02 Capital Adequacy - Transitional provions: Grandfathered instruments constituting State aid CA CA 5.03 Capital Adequacy - Transitional provions: Grandfathered instruments not constituting State aid CA CA 5.04 CA 5.05 Capital Adequacy - Transitional provions: Recognition in consolidated Common Equity Tier 1 capital of instruments and items that do not qualify as minority interests Capital Adequacy - Transitional provions: Recognition in consolidated own funds of minority interests and qualifying Additional Tier 1 and Tier 2 capital Capital Adequacy - Transitional provions: Recognition in consolidated own funds of minority interests and qualifying Additional Tier 1 and Tier 2 capital-adjustments CA CA 5.05a 9 4 CA 5.05b 3 5 CA 5.06 Capital Adequacy - Transitional provions: Adjustments to unrealised losses and gains measured at fair value CA CA 5.07 CA 5.08 Capital Adequacy - Transitional provions: Adjustments to deductions due to losses for the current financial year Capital Adequacy - Transitional provions: Adjustments to deductions from CET1 items (excluding losses for the current year and 10% and 15% thresholds) Capital Adequacy - Transitional provions: Adjustments to deductions from CET1 items included in 10% and 15% thresholds. Totals Capital Adequacy - Transitional provions: Adjustments to deductions from CET1 items included in 10% and 15% thresholds. Deferred tax assets Capital Adequacy - Transitional provions: Adjustments to deductions from CET1 items included in 10% and 15% thresholds. CET1 instruments of relevant entities where the institution has a significant investment CA 5.07a 15 4 CA 5.07b CA 5.08a 20 4 CA 5.08b 10 4 CA 5.08c 36 6 CA 5.09 Capital Adequacy - Transitional provions: Adjustments to deductions from AT1 items CA May 2012 Page 2 of 9

3 COREP CA 5.10 Capital Adequacy - Transitional provions: Adjustments to deductions from T2 items CA CA 5.11 Capital Adequacy - Transitional provions: Additional filters and deductions CA CR EQU IRB 1 Credit risk: Equity - IRB approaches to capital requirements - TOTAL CR EQU IRB CR EQU IRB 2 Credit risk: Equity - IRB approaches to capital requirements - Breakdown of total exposures under the PD/LGD Approach by obligor grades CR EQU IRB 2 X 6 8 CR IP Losses Exposures and losses from lending collateralised immovable property CR IP Losses 22 8 CR IRB 1 Credit and counterparty credit risks and free deliveries: IRB Approachto capital requirements - TOTAL CR IRB 1a X CR IRB 2 CR IRB 3 Credit and counterparty credit risks and free deliveries: IRB Approachto capital requirements - TOTAL - Of which arising from counterparty credit risk and off balance sheet Credit and counterparty credit risks and free deliveries: IRB Approachto capital requirements - Breakdown of exposures assigned to obligor grades or pools by country Credit and counterparty credit risks and free deliveries: IRB Approachto capital requirements - Breakdown of exposures assigned to obligor grades or pools by obligor grades CR IRB 1b X CR IRB 2 X X CR IRB 3 X X CR IRB GB Geographical breakdown of exposures subject to credit risk (IRB approach) CR IRB GB X CR SA Details Credit and counterparty credit risks and free deliveries: Standardised Approachto capital requirements - DETAILS Credit and counterparty credit risks and free deliveries: Standardised Approachto capital requirements - DETAILS - Of which: Arising from Counterparty Credit Risk CR SA Total Credit and counterparty credit risks and free deliveries: Standardised Approachto capital requirements - TOTAL Credit and counterparty credit risks and free deliveries: Standardised Approachto capital requirements - Of which: Arising from Counterparty Credit Risk CR SA Details a X CR SA Details b X CR SA Total a CR SA Total b CR SEC Details Detailed information on securitisations CR SEC Details CR SEC IRB Credit risk: Securitisations - IRB Approach to own funds requirements CR SEC IRB CR SEC SA Credit risk: Securitisations - Standardised Approachto own funds requirements CR SEC SA May 2012 Page 3 of 9

4 COREP CR SETT Settlement/Delivery risk CR SETT GS Group Solvency GS X LE Large exposures in the non-trading and trading book LE 1 X LE 2 LE LE limits LE limits LE limits 3 3 MKR IM 1 Market risk: Internal models - Total MKR IM MKR IM 2 Market risk: Internal models - Currency details MKR IM 2 X MKR SA COM Market risk: Standardised Approachfor position risk in commodities MKR SA COM MKR SA CTP Market risk: Standardised Approachfor specific risk in the correlation trading portfolio MKR SA CTP MKR SA EQU Market risk: Standardised Approachfor position risk in equities MKR SA EQU X MKR SA FX 1 Market risk: Standardised approaches for foreign exchange risk - Total MKR SA FX MKR SA FX 2 Market risk: Standardised approaches for foreign exchange risk - Currency details MKR SA FX 2 X MKR SA SEC Market risk: Standardised Approachfor specific risk in securitisations MKR SA SEC MKR SA TDI Market risk: Standardised Approachfor traded debt instruments MKR SA TDI X OPR Operational risk - Excluding AMA OPR Operational risk - AMA OPR OPR Details Operational risks: Gross losses by business lines and event types in the last year OPR Details May 2012 Page 4 of 9

5 COREP OPR Details Operational risks: Thresholds applied in data collections OPR Details FINREP FT Balance Statement / Assets FT FT Balance Statement / Liabilities FT FT Balance Statement / Equity FT FT Income Statement FT FT Demand deposits and cash equivalents FT FT Financial assets held for trading FT FT Trading financial assets FT FT Financial assets designated at fair value through profit or loss FT FT Available-for-sale financial assets FT FT Non-trading non-derivative financial assets measured at fair value through profit or loss FT FT Non-trading non-derivative financial assets measured at fair value to equity FT FT Loans and receivables and held-to-maturity investments FT FT Non-trading debt instruments measured at a cost-based method FT FT Other non-trading non-derivative financial assets FT FT Financial assets subject to impairment that are past due or impaired FT FT Financial assets non-subject to impairment that are past due FT May 2012 Page 5 of 9

6 FINREP FT Financial liabilities by product and by counterparty FT a FT b FT Off-balance sheet items subject to credit risk: Loan commitments, financial guarantees and other commitments given FT FT Loan commitments, financial guarantees and other commitments received FT FT Derivatives held for trading FT FT Derivatives - Hedge accounting FT FT Breakdown of Loans and advances by product FT FT Geographical breakdown of financial exposures subject to credit risk by residence of the counterparty FT X FT Breakdown of loans and advances to non-financial corporations by NACE codes FT X FT Geographical breakdown of debt securities held from general governments by residence of the counterparty FT X 54 7 FT Impairment on financial and non-financial assets (a) FT a Impairment on financial and non-financial assets (b) FT b 11 5 FT Movements in allowances for credit losses and impairment of equity instruments FT FT Financial assets pledged as collateral: derecognition and financial liabilities associated with transferred financial assets (a) Financial assets pledged as collateral: derecognition and financial liabilities associated with transferred financial assets (b) FT a FT b FT Fair value hierachy: financial instruments at fair value FT FT Geographical breakdown of assets by residence of the counterparty FT May 2012 Page 6 of 9

7 FINREP FT Geographical breakdown of liabilities by residence of the counterparty FT FT Geographical breakdown of main income statement items by residence of the counterparty FT X 6 5 FT Geographical breakdown of assets by location of the activities FT FT Geographical breakdown of liabilities by location of the activities FT FT Geographical breakdown of main income statement items by location of the activities FT FT Off-balance sheet activities: Interests in unconsolidated structured entities (a) FT a 7 4 Off-balance sheet activities: Interests in unconsolidated structured entities (b) FT b 33 6 FT Related parties: amounts payable to and amounts receivable from FT FT Interest income and expenses by instrument and counterparty FT a FT b 2 4 FT Realised gains and losses on financial assets and liabilities not measured at fair value through profit or loss by instrument FT FT Gains and losses on financial assets and liabilities held for trading by instrument FT FT Gains and losses on financial assets and liabilities held for trading by risk FT FT Gains and losses on financial assets and liabilities designated at fair value through profit or loss by instrument (a) Gains and losses on financial assets and liabilities designated at fair value through profit or loss by instrument (b) FT a 21 5 FT b 7 4 FT Gains and losses from hedge accounting FT FT Fee and commission income and expenses by activity FT May 2012 Page 7 of 9

8 FINREP FT Statement of comprehensive income FT FT Statement of changes in equity FT FT Capital by counterparty FT FT Breakdown of loans and advances by collateral and guarantees FT FT Financial Assets designated at fair value through profit or loss: mitigation of credit risk with credit derivatives FT FT Collateral held when the reporting institution is permitted to sell or repledge in the absence of default by the owner of collateral FT FT Collateral obtained by taking possession during the period FT FT Foreclosure [tangible assets] accumulated FT FT Financial assets pledged as collateral for liabilities and contigent liabilities FT FT Financial assets pledged as non-cash collateral for which the transferre has the right to sell or repledge in the absence of default by the reporting institution FT FT Fair value hierarchy: financial instruments at amortised cost FT FT Use of the Fair Value Option FT Hybrid financial instruments not designated at fair value through profit or loss FT FT Off-balance sheet activities: asset management, custody and other service functions (a) FT FT Tangible and intangible assets: carrying amount FT FT Tangible and intangible assets: assets subject to operating lease FT FT Provisions FT May 2012 Page 8 of 9

9 FINREP FT Components of defined benefit plan assets and liabilities FT FT Defined benefit plans and employee benefits FT FT Memo items [related to staff expenses] FT FT Components of own funds FT FT Minority interests [Non-controlling interests]: Accumulated Other Comprehensive Income FT FT Information on unrealised gains and losses (a) FT a 4 6 Information on unrealised gains and losses (b) FT b 35 4 FT Realised gains and losses on financial assets and liabilities not measured at fair value through profit or loss FT FT Gains and losses on financial assets and liabilities designated at fair value through profit or loss (a) FT a 6 5 Gains and losses on financial assets and liabilities designated at fair value through profit or loss (b) FT b 3 4 FT Gains and losses on derecognition of of investments in entities and non-financial assets other than held for sale FT FT Other operating income and expenses FT FT Expenses and income generated by transactions with related parties FT FT Key management personnel compensation FT FT a Scope of the group (a) FT a X 17 7 FT b Scope of the group (b) FT b X 7 7 FT c Scope of the group (c) FT c X May 2012 Page 9 of 9