Pillar 3 Disclosures for the year ending 31 December 2015
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1 29, Avenue de la Porte-Neuve Pillar 3 Disclosures for the year ending 31 December 2015 Pillar 3 Disclosures for the year ending 31 December 2015
2 Table of content 1. Overview Background Scope Verification and location 4 2. Risk Management objectives and policies Strategy and processes of Risk Management Structure and organization of Risk Management 6 3. Own fund resources 8 4. Capital adequacy Capital Requirement (Pillar 1) Internal Capital Adequacy Assessment Process - (Pillar 2) Method Assessment of the Bank s risk appetite 10 The risk appetite is defined as follows: Stress test Capital reconciliation Internal capital estimate Credit risk measurement, mitigation and reporting Credit risk overview Introduction Exposures Breakdown by economic sector/category of counterparty Breakdown by country Breakdown by maturities 14 Pillar 3 Disclosures for the year ending 31 December 2015
3 5.2. Credit risk management Credit risk mitigation techniques Market risk measurement, mitigation and reporting Operational risk measurement, mitigation and reporting Operational risk overview Introduction Exposures Operational risk management Operational risk mitigation techniques 17 Pillar 3 Disclosures for the year ending 31 December 2015
4 29, Avenue de la Porte-Neuve 1. Overview 1.1. Background The European Union Capital Requirements Directive came into effect on 1 January It introduced consistent capital adequacy standards and an associated supervisory framework in the EU based on the Basel II rules. Basel II differentiates between three so-called pillars, which are expected to be mutually reinforcing: Pillar 1 is centered on the capital requirements related to the credit, market and operational risks that banks run. Under Pillar 2, banks are expected to produce their own assessment of capital adequacy, based on the risks that they face in their activities, including additional risk types such as market risk in the banking book. Pillar 2 also lays out the interaction between the banks own assessments and the banking supervisors response. Pillar 3 leverages the ability of market discipline to motivate prudent management by enhancing the degree of transparency in banks public reporting. It sets out the public disclosures that banks must make that lend greater insight into the adequacy of their capitalization. The purpose of Pillar 3 is to complement the minimum capital requirements (Pillar 1) and the supervisory review process (Pillar 2) Scope Banco Bradesco Europa S.A. (hereafter reffered as The Bank ) was incorporated as a société anonyme on 17 December 1981 for an unlimited period. The Bank has no subsidiaries or branches. As the Bank is owned at 100% by Banco Bradesco S.A. Osasco S.P. (Brazil), it must therefore comply with the requirements established by the Circular CSSF 06/273 Part XIX The elaboration of the document has been achieved in respect of the principle of proportionality of the Bank Verification and location These disclosures have been reviewed by the Board of Directors of the Bank and will be published on the web site. The Pillar 3 Disclosures will be regularly reviewed as established by the Bank s Risk Manual Policy, which defines the maintenance procedure for all risk management policies, processes and procedures of the Bank. 2. Risk Management objectives and policies 2.1. Strategy and processes of Risk Management The Bank specializes in two main activities in Luxembourg, namely Corporate Lending and Private Banking. In this context, the Bank s risk strategy is based on the following principles: Pillar 3 Disclosures for the year ending 31 December 2015 Page 4
5 The Bank manages risk within the framework of best banking practices and the framework defined by the Bradesco Group. The Bank has comprehensive policies and procedures, many of which are business specific and/or cover risk management. It is primarily the responsibility of Luxembourg Senior Management to ensure compliance with these policies. The Bank maintains, as much as possible and where it is feasible, a policy of matching the tenor of assets with shareholders funds and liabilities in order to achieve a minimum liquidity level always above of that required by the CSSF. This liquidity is placed in the overnight market with first class banks. Furthermore, in order to monitor and comply with internal objectives, Senior Management always reviews the proposed and actual daily cash movements and commitments. The Bank follows the methodology used by the head-office for credit portfolio classification, which establishes minimum parameters for granting credit, provisioning and managing risk (credit risk scoring system established by the Brazilian Central Bank) and facilitates the definition of differentiated credit policies based on the customer s specific characteristics and size, providing thus a basis for the correct pricing of operations and for establishing the most appropriate guarantees for each situation. In accordance with internal policy, the Bank s customer risk ratings are established on a corporate basis and are permanently reviewed to maintain the quality of the credit portfolio. The policy of the Bank is to manage risk of Luxembourg operations at a comprehensive level. Each Business Unit remains responsible for actively identifying and assessing the risks it faces. However, the management of those identified risks lies with Senior Management. The Bank s approach to Risk Management is to ensure that all risks in each business line are effectively managed. All the business lines report directly to one dedicated Senior Manager, as defined by the Bank and submitted to the CSSF. A sound and robust risk management framework is common to Bradesco Group and its affiliates. The Bank s risk management process is focused along four core steps: Effective risk identification considers both internal factors (such as the Bank s structure, the nature of activities, quality of human resources, organizational changes and employee turnover) and external factors (such as changes in the industry and technological advances) that could adversely affect the achievement of the Bank s objectives. Although risk identification falls primarily under the responsibility of line managers, every employee of the Bank must be aware of the risk identification process and elevate any risk or potential risk to their respective superiors, who will in turn elevate it to the Senior Management. Pillar 3 Disclosures for the year ending 31 December 2015 Page 5
6 Effective risk assessment will allow the Bank to better understand its risk profile and most effectively target risk management resources. Regular risk monitoring activities will offer the Bank the advantages of quickly detecting and correcting deficiencies in the policies, processes and procedures for managing risk. The frequency of monitoring must reflect the risks involved and the frequency and nature of changes in the operating environment. Effective risk controls are designed and implemented to address and mitigate risks. The Bank s risk reports contain internal financial, operational, and compliance data, as well as external market information about events and conditions that are relevant for decision making. The Bank s reports are distributed to appropriate levels of management and to directly concerned areas of the Bank. The reports reflect any identified problem area and motivate timely corrective actions on outstanding issues. The reports are analyzed in order to improve existing risk management performance as well as to develop new risk management policies and practices. Several key reports are used for the purpose of risk monitoring and management s information such as the daily Profit & Loss or daily position report. These reports cover: Monthly credit rating check of customers, so as to monitor credit portfolio quality; Daily liquidity ratio and cash flow position for each currency; Monthly market risk gap-analysis (interest rate mismatch); At least monthly, but more often if required, concentration ratios, for both private banking and lending activities; Management accounts are produced on a monthly basis and are distributed to Senior Management for review. Besides the above providences, the Senior Managament has a weekly meeting with the all the managers of the subsidiary when each one has the opportunity to discuss and/or raise any issue/risk the bank may incur due to any business Structure and organization of Risk Management Although there was no dedicated and full-time Risk Management function at the Bank, in accordance with the CSSF Circular 12/552 as amended, the Board of Directors had appointed the Managing Director of the Bank, responsible Pillar 3 Disclosures for the year ending 31 December 2015 Page 6
7 for risk management within the Authorised Management. The management of risk has been allocated as indicated below among the existing management/governance bodies: The Board of Directors has established procedures to ensure that the Bank has an adequate system of internal control. Senior Management is directly responsible for the enforcement of the policies and reviews the effectiveness of the internal control system on a regular basis. The Board of Directors assumes full responsibility for the supervision of the system of internal control, and fulfils its supervisory duty by receiving, inter alia, a report on the status of internal control prepared by Senior Management. Management has set down in writing the system of internal control for the areas of Treasury, Back Office, Loan Administration, Private Banking and Accounting. Management reports to the Board of Directors on the quality of the system of internal control once a year. The report includes the objectives of the internal control system, a general overview of the system of internal control, an assessment of the main risk areas, compliance with regulatory requirements, developments in the internal control systems, main findings arising from the internal and external auditors' work as well as an assessment of the system of internal control. Roles and responsibilities are elaborated in depth in the following table: Function Senior Management (also known as Authorized Management) Chief Risk Officer Description Responsible for developing and implementing an ICAAP for identifying, assessing, monitoring and reporting all risks faced by the business entities; Responsible for defining, in writing, a risk management policy and an own fund and liquidity policy based on guidelines given by the Board of Directors and ensuring their respect and their appropriateness; Responsible for establishing a Risk Management function; Responsible for informing the Board of Directors, on a regular basis, on the risk situation of the Bank and the adequacy and the appropriateness of the risk management function. Responsible for taking appropriate corrective measures if the risk situation and the level of own funds of the Bank are damaged. Authorizes in writing the opening of all private banking customer accounts, security and payment transactions, ensuring that procedures regarding anti-money laundering and anti-financing of terrorism have been adhered to. Involves a series of controls and processes covering different areas. Incorporates the recommendations for the banking supervisory authorities. Incorporates the best international practices. Responsible for coordinating and supervising the identification, assessment, monitoring, mitigation and reporting all risks faced by the Bank; Responsible for ensuring that adequate procedures on risk management are in place and respected; Responsible for communicating on the risk situation of the Bank in an annual report; Responsible for ensuring that regulatory and internal limits are consistent with the strategy, the activities and the organization of the Bank; Responsible for implementing an adequate internal control system; Pillar 3 Disclosures for the year ending 31 December 2015 Page 7
8 Chief Compliance Officer IT Officer Information Security Officer Internal Audit Responsible for defining, in collaboration with Senior Management, appropriate stress scenarios on risks. Responsible for defining a Compliance Charter and a Compliance Policy; Responsible for ensuring the compliance of the Bank with laws, regulations, rules and professional standards applicable to the Bank; Responsible for identifying, assessing, monitoring and reporting the compliance risk and the legal risk. Responsible for supporting the Authorized Management and the Risk Management function in the elaboration of the ICAAP; Responsible for ensuring that policies and procedures were duly amended and/or enhanced to streamline business processes and correct deficiencies. Responsible for informing the Prosecutor. Responsible for identifying, assessing, monitoring and reporting on all factors relating to Information Technology. Ensures that IT policies and procedures are updated and/or enhanced to streamline business processes and correct deficiencies Responsible for the organisation and management of the information security, i.e. the protection of the information. Their key missions are the management of the analysis of the risks related to information, the definition of the required organisational, technical, legal and human resources, the monitoring of their implementation and effectiveness as well as the development of the action plan(s) aimed to improve the risk coverage. Responsible for regular review of the scope, effectiveness and efficiency of internal control systems, including the implementation of policies and procedures set by the Board of Directors and the Senior Management of the Bank; Responsible for reviewing the application and the effectiveness of risk management procedures; Responsible for reviewing of information systems including electronic information systems, accounting and other records; Responsible for testing of both transactions and operations of specific internal control procedures; ad-hoc evaluations and examinations on specific issues Responsible for defining an internal audit charter and a 3-year internal audit plan. 3. Own fund resources The Bank s own funds are only composed of Tier 1 capital and can be broken down as mentioned here below: Tier 1 Eligible Capital Eligible Reserves Other deductions from Original Own Funds Total Tier 1 Own Funds Total Available Own Funds USD Pillar 3 Disclosures for the year ending 31 December 2015 Page 8
9 4. Capital adequacy 4.1. Capital Requirement (Pillar 1) The measurement of the minimum capital requirement is based on the CSSF Circular 06/273 as amended. The following table details for each risk the approach used by the Bank for the assessment of the regulatory capital at 31 December Pillar 1 quantification (USD) Risk Approach Description Capital Requirements Different credit conversion factors consistently for Standardised Credit risk each type of claim are allocated for each business 219,106,065 Approach line Operational risk CVA Market risk Basic Indicator Approach A capital charge of 15% of the average of the last 3 year s gross income is allocated to operational risk 6,225,484 Credit valuation adjustment for derivative contracts 24,743 The Bank does not carry out any trading activities therefore does not allocate capital for market risk exposure Total capital requirement for Pillar 1 225,356, Internal Capital Adequacy Assessment Process - (Pillar 2) Method In August 2008, the Bank completed its first ICAAP document. This document has since been reviewed annually and the latest edition of the Bank s ICAAP document was produced in February The Internal Capital Adequacy Assessment Process (ICAAP) aims to summarize the global exposure of Banco Bradesco Europa S.A. and to evidence that the Board of Directors of the Bank has identified and assessed the major sources of risks to which the Bank is or might be exposed and the approach to mitigate these risks. In order to maximize value, the General Management of the Bank established a strategy and objectives to strike an optimal balance between growth and return with the associated risks. In order fix objectives and strategies in the management of the risks embedded into the business operations, including financial instruments, the Bank has set out the Risk Strategy and the Risk Policy. The purpose of the Risk Strategy is to create a transparent and consensual general framework which provides to risk management an acceptable supervision of the risks once they are embedded into the business operations, thus helping to secure the organization s long term objectives. Pillar 3 Disclosures for the year ending 31 December 2015 Page 9
10 The Risk Policy details the Bank s approach for each type of risk. The Risk Policy document is updated in accordance with new business initiatives and new regulatory provisions Assessment of the Bank s risk appetite The risk appetite is defined as follows: The broad-based amount of risks that the Bank is willing to accept in the pursuit of its missions or vision; The level of aggregated risk that the Bank is willing to undertake and the management of it over an horizon of one year; The Bank s ability and/or willingness to absorb a reduction in the value of an asset, liability, trade, transaction, or portfolio; The risk appetite has been defined per Business Unit, i.e. Corporate Lending and Private Banking. In order to ensure that risks are proportionately and systematically managed, the Bank has distinguished between material risks categories. In this respect, the Bank has referred to the classification recommended by the EBA/GL/2014/13 guidelines and refers to CSSF Circular 07/301 as amended (ICAAP) in the risk identification process. The following table indicates the materials risks for each business unit as identified by the Management of the Bank. Risk as per EBA /GL/2014/13 Applicable Material Applicable to Corporate Lending Applicable to Private Banking Credit risk Yes Yes Yes Yes Credit concentration risk Yes Yes Yes No Counterparty credit and settlement risks Yes No Yes Yes Credit risk from securitisation No No No No Country risk Yes Yes Yes No FX lending Yes No Yes No Specialised lending Yes No Yes No Operational risk Yes Yes Yes Yes Conduct risk Yes Yes Yes Yes Systems IT risk Yes Yes Yes Yes Model risk No No No No Reputational risk (also consider in credit and liquidity risk) Yes Yes Yes Yes Other operational risks (Compliance, Yes Yes Yes Yes Pillar 3 Disclosures for the year ending 31 December 2015 Page 10
11 legal, etc) Market risk Yes Only FX risk Yes Yes Position risk Yes No Yes No Structural foreign exchange rate risk Yes Yes Yes Yes Commodities No No No No Credit spread risk arising from positions measured at fair value Yes No Yes No Risk arising from equity exposures No No No No Macroeconomic risk Yes No Yes No Interest rate risk from trading activities Yes No Yes No Business strategic risk Yes Yes Yes Yes Interest rate risk from non-trading activities Yes Yes Yes Yes Repricing risk Yes No Yes No Yield curve risk Yes Yes Yes Yes Basis risk Yes No Yes Yes Option risk No No No No Liquidity risk Yes Yes Yes Yes Funding risk Yes Yes Yes Yes The Bank goes through an assessment exercise by its Management, which, for the different categories of risks deemed relevant, includes the maximum financial impact, the likelihood, thereby yielding, through multiplication, the potential loss. The total amount of the potential losses is covered by the regulatory capital. For Pillar II risk amounts, residual risk was retained. The fundamental assumption behind this approach is that the Bank has implemented an effective control environment and management structure such that mitigating factors are effective. As operational risk and credit risk are sufficiently provisioned in the Pillar I regulatory capital, they are not taken into consideration for the Pillar II quantification. Pillar 3 Disclosures for the year ending 31 December 2015 Page 11
12 Stress test Stress tests are used to analyze the impact of catastrophic events on the capital of the Bank over a time horizon of one year. The objective of this assessment is to ensure that the Bank s risk mitigation controls, capital and the capital contingency plan can withstand the consequences of a high-impact low-likelihood event. In February 2008, the CSSF issued the Circular 08/338 requiring that banks stress their non-trading book activities to interest-rate risk. This test shows the extent to which interest rate risk is likely to result in a decline in the economic value of the institution by more than 20% of its own funds. The Bank, applying a prudent approach, has decided that all stress scenarios could happen during the same time horizon. Consequently, all scenarios have been taken into account and, all stress tests amounts have been added to the Pillar II Capital reconciliation Internal capital estimate The internal capital represents the amount of capital that the Bank considers sufficient to operate with in relation to the risks it faces. Internal capital has been estimated as the sum of the regulatory capital requirement (Pillar I) and the capital requirement for the risks partially or not comprised in the regulatory capital, including the results of the stress tests. 5. Credit risk measurement, mitigation and reporting 5.1. Credit risk overview Introduction The Bank defines the credit risk as the risk that a financial obligation to the Bank will not be paid and a loss will occur. Credit risk arises when funds are extended or advanced, committed, invested or otherwise exposed through actual or implied contractual agreements, whether reflected on or off the balance sheet. Credit risk capital requirement has been considered in the sense of CSSF 06/273 Parts VII, VIII, IX and X, as amended. The Bank uses the Standardized Approach for credit risk. Each exposure is assigned to one of the exposure classes detailed in the CSSF Circular 06/273 as amended. The application of risk weights is based on the exposure class to which the exposure is assigned and its credit quality (if rated) Exposures The credit exposure as of 31 December 2015 per type of counterparty is summarized as follows: Pillar 3 Disclosures for the year ending 31 December 2015 Page 12
13 Breakdown by economic sector/category of counterparty Exposure value before % of total capital Counterparty breakdown Capital requirements conversion factors requirements Central Banks Credit Institutions ,80 Corporate ,25 Customers ,15 Others ,02 Total , Breakdown by country Geographical area Austria Brazil Belize Cayman Czech Republic Ecuador Finland France Germany Great Britain Italy Luxembourg Mexico Netherlands Paraquay Portugal Singapore Spain Sweden Switerland Turkey United States Virgin Islands Total Pillar 3 Disclosures for the year ending 31 December 2015 Page 13
14 Regarding the geographic distribution of the exposure, the Bank has identified the Concentration Risk. It is the risk resulting of significant exposure to an individual counterparty or groups of related counterparties. The concentration risk is relevant for the Corporate Lending activities of the Bank because of the vast majority of customers based or related to Brazil and for the Private Banking activities because 65% of activities are with only 10% of unrelated customers Breakdown by maturities Maturities <= 1 year >1 year and <=5 years >5 years and <=10 years Total The credit risk is only relevant for the Corporate Lending activities because some exposure may not be collateralized. The type of transaction affected by counterparty risk are the following: Interbank placements Corporate loans Loans to private banking customers Off balance sheet activity As at December 31, 2015, no impairment in the sense of IAS 39 was recognized by the Bank. There existed no objective indicator of impairment on any of the Bank s exposures Credit risk management The lending activities are carried out according to the credit policies of the Bradesco Group. The credit evaluation process and risk scoring system are centralized in the shareholder s office in Brazil observing the guidelines of the Banking supervisory authorities and market practices The credit scoring system supports the establishment of parameters for granting credit, managing risk and defining credit policies adequate to the customer s specific characteristics and size. Also, it provides a basis for the adequate pricing of operations and for establishing the appropriate level of guarantees for each situation. Customer risk Pillar 3 Disclosures for the year ending 31 December 2015 Page 14
15 ratings are established on a corporate basis and are permanently reviewed to monitor the quality of the credit portfolio. All credit transactions are subject to the prior approval of the shareholder s Credit Committee and ratification by local Management. The regulatory maximum exposure limit to any individual borrower or economic group is monitored on a permanent basis. The credit analyses are done by the credit department of Banco Bradesco S.A. in Brazil. Senior Management in Luxembourg has a veto right on decisions proposed by that body. Credit monitoring is also done in Brazil, but the Senior Management in Luxembourg has a direct access to the credit evaluation system on the mainframe computer in Brazil and can therefore consult and critically evaluate the analyses performed by the Credit Committee. The Credit Committee and Senior Management have a conservative and prudent standpoint.the Credit Committee and Senior Management acknowledge and administer the existence of counterparty risk for interbank placements through the initial choice of counterparties and the periodic establishment of counterparty limits to reflect periodic changes in counterparty risk. If an event is recognised by the Credit Committee or Senior Management that would place the repayment of a loan in doubt, a provision instruction would be given to the Accounting Manager indicating the amount of the provision following the credit appraisal. The Credit Committee and the Senior Management can change the doubtful debt provision upon changes in the contingent event. The Bank has not transferred any credit/counterparty risks by means of securitisation vehicles or derivative instruments. The historical data supports the Bank s assessment of the risk of default 5.3. Credit risk mitigation techniques This risk is mitigated by: The credit risk scoring system established by the Brazilian Central Bank that supports the establishment of parameters for granting credit, managing risk and defining credit policies adequate to the customer s specific characteristics and size; The continuously reviewing process for the customer risk ratings and for the individual borrower or economic group regulatory maximum exposure limit; The prior approval of the shareholder s credit committee and the ratification by local management for credit transactions. Pillar 3 Disclosures for the year ending 31 December 2015 Page 15
16 Occasionally, the Bank requires collateral in the form of debt securities or fixed term deposits, which are blocked in the accounting system. As a general rule, Private Banking loans are fully collateralized, whereas corporate loans to large Brazilian companies are mostly unsecured. The collateral consists in securities, equities or term deposits that the client holds with the Bank. Securities given as collateral are valued on a regular basis in order to take into account price risk. 6. Market risk measurement, mitigation and reporting This risk is relevant for the Corporate Lending activities because the vast majority of loans are created on a variable rate basis. The fixed rate ones are normally hedged. The Bank s control over its market risk is achieved by: Observing conservative criteria for asset allocation and diversification; Senior management involvement in every area of the Bank s activities (daily P&L sent to senior management); Treasury dealing room policies (including FX open position limits); Reconciliation of nostri accounts on a daily basis; The Bank does not carry out any significant trading activities therefore does not allocate capital for market risk exposure. 7. Operational risk measurement, mitigation and reporting 7.1. Operational risk overview Introduction The Bank has defined the operational risk as the risk of loss resulting from inadequate or failed internal processes, operations, people, and systems or from external events. It is the potential for loss that arises from problems with operating processes, human error or omission, breaches in internal controls, fraud or unforeseen catastrophes. The operational risk capital requirement has been considered by CSSF Circular 06/273 Part XV, as amended. The Banks have elected the Basic Indicator Approach (BIA) for operational risk. The gross income indicator has been calculated based on accounting values for the last three years. The Bank has decided to adopt a prudent approach by using a 15% indicator for all of its exposure. The Bank has identified two material sub-risks: Pillar 3 Disclosures for the year ending 31 December 2015 Page 16
17 Reputational risk, i.e. risk arising from negative public opinion that may cause a decline in the customer base, costly litigation or shareholder value. Although it has been identified as material for the Private Banking activities (clients are very sensitive to reputation and fraud or money laundering issues), it has not been quantified. This risk is mitigated by a robust application of Anti-Money-Laundering and KYC principles. Compliance risk, i.e. risk generated by the macroeconomic and regulatory environment in which the institution operates. It has been identified as material but it has not been quantified. This risk is mitigated by the Compliance function within the Bank that allows it to identify and evaluate the compliance risk Exposures The capital requirement for operational risk is amounted at the end of December 2015 to USD 6,225, Operational risk management The Management monitors the operational risk, based on common set of established rules and procedures which are followed closely when dealing which each type of operational activity Operational risk mitigation techniques These risks are mitigated by: The close involvement of the local Management in the Bank s daily activities; The segregation of duties and the application of the four-eyes principle; The existence of internal controls established by Senior Management; The establishment of clear-cut strategies; The establishment of a robust Businesss Contigency Plan (BCP). Pillar 3 Disclosures for the year ending 31 December 2015 Page 17
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