Delta Lloyd Bank NV. Pillar 3 Report Delta Lloyd Bank NV Pillar 3 Report

Transcription

1 Delta Lloyd Bank NV Pillar 3 Report 2016 Delta Lloyd Bank NV Pillar 3 Report

2 1.1 Introduction Pillar General Scope of application Classification of the assets Own funds Leverage Ratio Capital requirements Minimum capital requirements Credit, counterparty credit and dilution risks and free deliveries Use of ECAIs Breakdown of exposures Credit risk mitigation Provisions Counterparty credit risk Settlement/delivery risk Market risk Operational risk Securitisations Issued securitisations Purchased securitisation positions Capital buffers Capital conservation buffer Countercyclical capital buffer Liquidity Liquidity requirements under CRR Asset encumbrance Other risks in the banking book Delta Lloyd Bank NV Pillar 3 Report

3 1 PILLAR 3 REPORT 1.1 Introduction Pillar General This report contains the information that is disclosed on the grounds of Pillar 3 as required by Part Eight of the Regulation (EU) No 575/2013 (Capital Requirements Regulation, or CRR ), in so far as this information is not yet included in the consolidated or separate financial statements of the annual report of Delta Lloyd Bank NV. Where pillar 3 disclosure elements are included in the annual report, reference is made to the relevant sections of the financial statements. This Pillar 3 report has not been audited by an external auditor. The following table provides an overview of the required Pillar 3 disclosure elements and states where this information is disclosed in the annual report and/or the Pillar 3 report: Delta Lloyd Bank NV Pillar 3 Report

4 Index of Pillar 3 references CRR Pillar 3 disclosure requirements Primary location in Pillar 3 report Primary location in Notes to the consolidated financial statements Section 'Risk management' of the annual report adresses strategies, policies and processes to manage risk, as well as Article 435 Risk management objectives and the reporting and measurement systems. policies Information on affiliations, recruitment policy and policy on diversity is adressed in the annual report in the section 1.2 'Report of the Executive Board'. Article 436 Scope of application Scope of application Setion 3.6 'Accounting policies', consolidation principles Article 437 Own funds 1.2 Own funds Article 438 Capital requirements 1.4 Capital requirements Article 439 Exposure to counterparty credit risk Counterparty credit risk Section 'Capital management' of the annual report discusses the capital requirements and capital adequacy Section 'Risk management' of the annual report also discusses the policies for counterparty credit risk Article 440 Capital buffers Countercyclical capital buffer Article 441 Article 442 Indicators of global systemic importance Credit risk adjustments Not included. Delta Lloyd Bank NV is not considered an institution of global systemic importance Credit, counterparty credit and dilution risks and free deliveries Breakdown of exposures Provisions Section 'Loans and receivables' of the annual report also provides insight into the loans and receivables in arrears and the provisions formed Article 443 Unencumbered assets Asset encumbrance Article 444 Use of ECAIs Use of ECAIs Article 445 Exposure to market risk Market risk Article 446 Operational risk Operational risk Exposures in equities not included in Article 447 the trading book Exposure to interest rate risk on Article 448 positions not included in the trading book Not included. Delta Lloyd Bank NV holds no position in equity securities Section 'Risk management', interest rate risk Article 449 Exposure to securitisation positions 1.5 Securitisations Article 450 Remuneration policy Section 'Banking code' of the annual report discusses the remuneration policy. Refer to for the remuneration disclosures of Delta Lloyd. Section 'Related party transactions' also discusses the remuneration of directors. Article 451 Leverage 1.3 Leverage Ratio Article 452 Article 453 Article 454 Use of the IRB Approach to credit risk Use of credit risk mitigation techniques Use of the Advanced Measurement Approaches to operational risk Article 455 Use of Internal Market Risk Models Not included. Delta Lloyd Bank NV does not use the IRB Approach to calculate capital requirements Credit risk mitigation Not included. Delta Lloyd Bank NV does not use internal operational risk models to calculate capital requirements. Not included. Delta Lloyd Bank NV does not use internal market risk models to calculate capital requirements. Section 'Risk management', credit risk mitigation and counterparty credit risk Delta Lloyd Bank NV Pillar 3 Report

5 The Pillar 3 information mainly concerns credit risk. In addition, information is provided on own funds, market risk, operational risk and securitisation activities. The information to be provided under Pillar 3 therefore primarily concerns the minimum capital requirements as laid down in Pillar 1 of Basel III (CRR/CRD IV). Accordingly, this Pillar 3 report must be seen in conjunction with section Risk management and section Capital management of the consolidated financial statements Scope of application The scope of consolidation for the purpose of application of the CRR/ CRD IV rules is generally based on the consolidation scope under IFRS. It includes subsidiaries directly or indirectly controlled by Delta Lloyd Bank that are classified as institutions or financial institutions, but excludes subsidiaries that are active in other sectors. Under IFRS, Delta Lloyd Bank consolidates the subsidiary Delta Lloyd Bank Global Custody NV, over which it has control. Furthermore, Delta Lloyd Bank consolidates three special purpose vehicles over which it has control and which were set up for securitisation purposes (Arena NHG 2014I, Arena NHG 2014II and Arena NHG 2016I). For more information on the IFRS consolidation principles reference is made to the annual report section 3.6 Accounting Policies. Delta Lloyd Bank did not transfer significant credit risk associated with the securitised exposures to third parties under the Arena NHG 2014I, Arena NHG 2014II and Arena NHG 2016I. Therefore, securitised exposures continue to be included in the calculation of riskweighted exposure amounts. On the basis of CRR article 19, Delta Lloyd Bank Global Custody need not be included in the scope of prudential consolidation as the total amount of assets and offbalance sheet items is negligible. Therefore, capital requirements and related reporting requirements only apply to Delta Lloyd Bank NV at Delta Lloyd Bank NV solo. There are no current or foreseen material practical or legal impediments to the prompt transfer of own funds or repayment of liabilities among Delta Lloyd Bank and its subsidiaries Classification of the assets Under Basel III, the assets are classified according to exposure classes. The following exposure classes are distinguished in this report: Central governments and central banks; Regional governments or local authorities; Public sector entities; Multilateral development banks; International organisations; Institutions; Corporates; Retail; Exposures secured by mortgages on immovable property; Exposures in default; Exposures associated with particularly high risk; Covered bonds; Securitisation; Exposures to institutions and corporates with a shortterm credit assessment; Delta Lloyd Bank NV Pillar 3 Report

6 Collective investment undertakings; Equity exposures; Other items. Since Delta Lloyd Bank holds no positions in Exposures associated with particularly high risk, Exposures to institutions and corporates with a shortterm credit assessment, Collective investment undertakings, and Equity exposures, these exposure classes are not shown in the tables in this report. The amounts in this Pillar 3 report differ from the amounts in the financial statements. The most important reason is differences in accounting for offbalance sheet positions and derivatives. Delta Lloyd Bank NV Pillar 3 Report

7 1.2 Own funds The accounting definition of capital is not the same as the definition used for regulatory capital purposes. Under the CRR/CRD IV rules, regulatory own funds consists of a number of components that must satisfy specific conditions. Furthermore, prudential filters and deductions are applied in calculating levels of regulatory capital. Due to the transitional provisions, regulatory adjustments will be phased in from 1 January 2014 to 31 December Delta Lloyd Bank s regulatory own funds consist of Common Equity Tier 1 capital and Tier 2 capital. A full reconciliation of the own funds for regulatory purposes to the consolidated financial statements is disclosed in the table below. Disclosure according to Article 2 of Commission Implementing Regulation (EU) No 1423/2013: Reconciliation own funds Capital and reserve: Share capital 35,000 35,000 Share premium 281, ,167 Revaluation reserves 1,937 2,185 Other reserves 132, ,787 Equity compensation plan Retained earnings 14,474 3,093 Total capital and reserves attributable to parent 196, ,591 Noncontrolling interest Total Shareholders' funds according to balance sheet 196, ,591 Deductions from CET1 capital: Intangible assets Deferred tax assets Value adjustments due to the requirements for prudential valuation Transitional adjustments CET1 capital: Unrealised gains and losses 775 1,311 Common Equity Tier 1 capital (CET1) 197, ,667 Additional Tier 1 capital (AT1) Tier 1 capital 197, ,667 Tier 2 capital: Capital instruments and subordinated loans eligible as Tier 2 capital 30,000 Adjustments to Tier 2 capital due to grandfathered T2 capital instruments and subordinated loans 3,600 5,880 General credit risk adjustments 886 Tier 2 capital 3,600 36,766 Total capital for solvency purposes 200, ,433 The main features and conditions of the capital instruments issued by Delta Lloyd Bank are listed in the table below. Disclosure according to Article 3 of Commission Implementing Regulation (EU) No 1423/2013: Delta Lloyd Bank NV Pillar 3 Report

8 Capital instruments main features Amounts in thousands of euros Common Equity Tier 1 instruments Tier 2 instruments Share capital Subordinated loan 1 Issuer Delta Lloyd Bank NV (Netherlands) Delta Lloyd Lebensversicherungen AG 2 Unique identifiers 3 Governing law(s) of the instrument Dutch law Dutch law Regulatory Treatment 4 Transitional CRR rules Common Equity Tier 1 Tier 2 5 Posttransitional CRR rules Common Equity Tier 1 Ineligible 6 Eligible at solo/(sub) consolidated/solo &(sub) Solo and consolidated Solo and consolidated consolidated 7 Instrument type Ordinary shares issued by a public limited liability company Tier 2 Subordinated loan 8 Amount recognised in regulatory capital 35,000,000 3,600,000 9 Nominal amount of instrument 35,000,000 12,000,000 9a Issue price 100% of nominal amount 9b Redemption price Par plus accrued but unpaid interest 10 Accounting classification Shareholders' equity Liability amortised cost 11 Original date of issuance 27 September July Perpetual or dated Perpetual Dated 13 Original maturity date No maturity 13 July Issuer call subject to prior supervisory approval No Yes 15 Optional call date, contingent call dates and redemption amount 16 Subsequent call dates, if applicable Coupons/ dividends 17 Fixed or floating dividend/ coupon Floating Fixed 18 Coupon rate and any related index 6% 19 Existence of a dividend stopper No No Fully discretionary, partially 20a discretionary or mandatory (in terms Fully discretionary Mandatory of timing) Fully discretionary, partially 20b discretionary or mandatory (in terms Fully discretionary Mandatory of amount) 21 Existence of step up or other incentive to redeem No No 22 Noncumulative or cumulative Noncumulative Cumulative 23 Convertible or nonconvertible Nonconvertible Nonconvertible 24 If convertible, conversion trigger(s) 25 If convertible, fully or partially 26 If convertible, conversion rate 27 If convertible, mandatory or optional conversion On or after 13 July 2015, on any interest payment date. Redeemable fully or partially On or after 13 July 2015, on any interest payment date Delta Lloyd Bank NV Pillar 3 Report

9 Capital instruments main features If convertible, specify instrument 28 type convertible into If convertible, specify issuer of 29 instrument it converts into 30 Writedown features No If writedown, writedown 31 trigger(s) 32 If writedown, full or partial If writedown, permanent or 33 temporary If temporary writedown, 34 description of writeup mechanism Position in subordination hierarchy Subordinate to payments of any in liquidation (specify instrument 35 Subordinated loans amounts due and payable to senior type immediately senior to creditors instrument) 36 Noncompliant transitioned features No Yes 37 If yes, specify noncompliant features Instrument issued according to earlier rules. Features include provision that gives the holder the right to accelerate future payments of interest and principal in other cases than insolvency or liquidation of the institution Features include possibility of redemption before five years after date of issuance Under the CRR/CRD IV rules, ineligible capital instruments are grandfathered, with full derecognition from 1 January The table below discloses the nature and amount of the specific own funds items during the transitional period. Disclosure according to Article 5 of Commission Implementing Regulation (EU) No 1423/2013: Delta Lloyd Bank NV Pillar 3 Report

10 Transitional own funds Amount at disclosure date (B) Regulation (EU) No 575/2013 Article Reference (C) Amounts to be subject to preregulation (EU) No 575/2013 treatment or prescribed residual amount of Regulation (EU) No 575/2013 Common Equity Tier 1 (CET1) capital: instruments and reserves 1 Capital instruments and the related share premium accounts 26 (1), 27, 28, 316,667 29, EBA list 26 (3) of which: Ordinary shares issued by a public or private limited liability company 316,667 EBA list 26 (3) 2 Retained earnings 14, (1)(c) Accumulated other comprehensive income (and other reserves, to 3 include unrealised gains and losses under the applicable accounting standards) 134, (1) 3a Funds for general banking risk 26 (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) Public sector capital injections grandfathered until 1 January (2) 5 Minority Interests (amount allowed in consolidated CET1) 84, 479, 480 Independently reviewed interim profits net of any unforseeable 5a charge or dividend 26 (2) 6 Common Equity Tier 1 (CET1) capital before regulatory adjustments 196,724 CET1 capital: regulatory adjustments 7 Additional value adjustments (negative amount) , Intangible assets (net of related tax liability) (negative amount) 36 (1)(b), 37, 472 (4) 0 9 Empty set in the EU Deferred tax assets that rely on future profitability excluding those 36 (1)(c), 38, 10 arising from temporary differences (net of related tax liability where 472 (5) conditions in Article 38 (3) are met) (negative amount) 11 Fair value reserves related to gains and losses on cash flow hedges 33 (a) Negative amounts resulting from the calculation of expected loss 36 (1)(d), 40, 12 amounts 159, 472 (6) Any increase in equity that results from securitised assets (negative 13 amount) 32 (1) Gains or losses on liabilities valued at fair value resulting from 14 changes in own credit standing 33 (1)(b)(c) 15 Definedbenefit pension fund assets (negative amount) 36 (1)(e), 41, 472 (7) Direct and indirect holdings by an institution of own CET1 36 (1)(f), 42, 16 instruments (negative amount) 472 (8) 17 Holdings of the CET1 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) 36 (1) (g), 44, 472 (9) Delta Lloyd Bank NV Pillar 3 Report

11 Transitional own funds Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have significant investment in those entities (amount above 10% treshold and net of eligible short positions) (negative amount) Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% treshold and net of eligible short positions) (negative amount) Amount at disclosure date (B) Regulation (EU) No 575/2013 Article Reference 36 (1) (h), 43, 45, 46, 49 (2) (3), 79, 472 (10) 36 (1) (i), 43, 45, 47, 48 (1) (b), 49 (1) to (3), 79, 470, 472 (11) (C) Amounts to be subject to preregulation (EU) No 575/2013 treatment or prescribed residual amount of Regulation (EU) No 575/ Empty set in the EU Exposure amount of the following items which qualify for a RW of 20a 1250%, where the institution opts for the deduction alternative 36 (1)(k) of which: qualifying holdings outside the financial sector (negative 36 (1)(k)(i), 89 20b amount) to 91 20c of which: securitisation positions (negative amount) 36 (1)(k)(ii) 243 (1)(b) 244 (1)(b) d of which: free deliveries (negative amount) 36 (1)(k)(iii), 379 (3) Deferred tax assets arising from temporary differences (amount 21 above 10% treshold, net of related tax liability where the conditions in Article 38 (3) are met) (negative amount) 36 (1)(c), 38, 48 (1)(a), 470, 472 (5) 22 Amount exceeding the 15% treshold (negative amount) 48 (1) of which: direct and indirect holdings by the institution of the CET1 36 (1)(i), 48 (1) 23 instruments of financial sector entities where the institution has a (b), 470, 472 significant investment in those entities (11) 24 Empty set in the EU 25 of which: deferred tax assets 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 CET1 items (negative amount) 36 (1)(l) Regulatory adjustments applied to Common Equity Tier 1 in respect 26 of amounts subject to precrr treatment Regulatory adjustments relating to unrealised gains and losses 26a pursuant to Articles 467 and of which: filter for unrealised loss 775 Amount to be deducted from or added to Common Equity Tier 1 26b capital with regard to additional filters and deductions required pre CRR 481 Delta Lloyd Bank NV Pillar 3 Report

12 Transitional own funds Qualifying AT1 deductions that exceed the AT1 capital for the 27 institution (negative amount) 36 (1)(j) 28 Total regulatory adjustments to Common Equity Tier 1 (CET1) Common Equity Tier 1 (CET1) capital 197,245 Additional Tier 1 (AT1) capital: instruments 30 Capital instruments and the related share premium accounts 51, 52 of which: classified as equity under applicable accounting 31 standards of which: classified as liabilities under applicable accounting 32 standards Amounts of qualifying items referred to in Article 484 (4) and the 33 related share premium accounts subject to phase out from AT1 486 (3) Public sector capital injections grandfathered until 1 January (3) Qualifying Tier 1 capital included in consolidated AT1 capital 34 (including minority interests not included in CET1 capital) issued by subsidiaries and held by third parties 85, 86, of which: instruments issued by subsidiaries subject to phase out 486 (3) 36 Additional Tier 1 (AT1) capital before regulatory adjustments a Additional Tier 1 (AT1) capital: regulatory adjustments Direct and indirect holdings by an institution of own AT1 Instruments (negative amount) Direct, indirect and synthetic holdings of the AT1 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) Direct and indirect holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10% treshold and net of eligible short positions) (negative amount) Direct and indirect holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% treshold and net of eligible short positions) (negative amount) Regulatory adjustments applied to additional tier 1 in respect of amounts subject to precrr treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts) Residual amounts deducted from Additional Tier 1 capital with regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No 575/2013 Residual amounts deducted from Additional Tier 1 capital with 41b regard to deduction from Tier 2 capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/2013 Amounts to be deducted from or added to Additional Tier 1 capital 41c with regard to additional filters and deductions required precrr Qualifying T2 deductions that exceed the T2 capital of the 42 institution (negative amount) 43 Total regulatory adjustments to Additional Tier 1 (AT1) capital 44 Additional Tier 1 (AT1) capital 45 Tier 1 capital (T1 = CET1 + AT1) 197,245 Tier 2 (T2) capital: instruments and provisions 52 (1) (b), 56 (a), 57, 475 (2) 56 (b), 58, 475 (3) 56 (c), 59, 60, 79, 475 (4) 56 (d), 59, 79, 475 (4) 472, 472 (3)(a), 472 (4), 472 (6), 472 (8) (a), 472 (9), 472 (10) (a), 472 (11) (a) 477, 477 (3), 477 (4) (a) 467, 468, (e) Delta Lloyd Bank NV Pillar 3 Report

13 Transitional own funds 46 Capital instruments and the related share premium accounts 62, 63 Amount of qualifying items referred to in Article 484 (5) and the 47 related share premium accounts subject to phase out from T2 486 (4) Public sector capital injections grandfathered until 1 January (4) Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not 48 included in CET1 or T1 capital) issued by subsidiaries and held by third parties 87, 88, of which: instruments issued by subsidiaries subject to phase out 486 (4) 50 Credit risk adjustments 62 (c) & (d) 51 Tier 2 (T2) capital before regulatory adjustments Tier 2 (T2) capital: regulatory adjustments Direct and indirect holdings by an institution of own T2 instruments 63 (b)(i), 66 (a), 52 and subordinated loans (negative amount) 67, 477 (2) Holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings 66 (b), 68, with the institution designed to inflate artificially the own funds of (3) the institution (negative amount) Direct and indirect holdings of the T2 instruments and subordinated 66 (c), 69, 70, 54 loans of financial sector entities where the institution does not have 79, 477 (4) a significant investment in those entities (negative amount) 54a Of which new holdings not subject to transitional arrangements Of which holdings existing before 1 January 2013 and subject to 54b capital arrangements Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the 66 (d), 69, 79, 55 institution has a significant investment in those entities (net of 477 (4) eligible short positions) (negative amount) Regulatory adjustments applied to tier 2 in respect of amounts subject to precrr treatment and transitional treatments subject to 56 phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts) 3,600 56a 56b 56c Residual amounts deducted from Tier 2 capital with regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No 575/2013 Residual amounts deducted from Tier 2 capital with regard to deduction from Additional Tier 1 capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/2013 Amount to be deducted from or added to Tier 2 capital with regard to additional filters and deductions required pre CRR 57 Total regulatory adjustments to Tier 2 (T2) capital 3, Tier 2 (T2) capital 3, , 472(3)(a), 472 (4), 472 (6), 472 (8), 472 (9), 472 (10)(a), 472 (11)(a) 475, 475 (2)(a), 475 (3), 475 (4) (a) 467, 468, Total capital (TC = T1 + T2) 200,845 Risk weighted assets in respect of amounts subject to precrr treatment and transitional treatments subject to phase out as 59a prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts) of which: items not deducted from CET1 of which: items not deducted from AT1 items of which: items not deducted from T2 items Delta Lloyd Bank NV Pillar 3 Report

14 Transitional own funds 60 Total risk weighted assets 1,153,087 Capital ratios and buffers Common Equity Tier 1 (as a percentage of total risk exposure 61 amount) 17.11% 92 (2)(a), Tier 1 (as a percentage of total risk exposure amount) 17.11% 92 (2)(b), Total capital (as a percentage of total risk exposure amount) 17.42% 92 (2)(c) Institution specific buffer requirement (CET1 requirement in accordance with article 92 (1)(a) plus capital conservation and CRD 128, 129, 64 countercyclical buffer requirements, plus systematic risk buffer, 140 plus systematically important institution buffer expressed as a percentage of risk exposure amount) 65 of which: capital conservation buffer requirement 66 of which: countercyclical buffer requirement 67 of which: systematic risk buffer requirement of which: Global Systematically Important Institution (GSII) or 67a Other Systematically Important Institution (OSII) buffer CRD 131 Common Equity Tier 1 available to meet buffers (as a percentage of 68 risk exposure amount) 17.11% CRD [non relevant in EU regulation] 70 [non relevant in EU regulation] 71 [non relevant in EU regulation] Amounts below the tresholds for deduction (before risk weighting) Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% treshold and net of eligible short positions) Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 10% treshold and net of eligible short positions) 36 (1) (h), 45, 46, 472 (10) 56 (c), 59, 60, 475 (4), 66 (c), 69, 70, 477 (4) 36 (1) (i), 45, 48, 470, 472 (11) 74 Empty set in the EU Deferred tax assets arising from temporary differences (amount 36 (1)(c), 38, 75 below 10% treshold, net of related tax liability where the conditions 48, 470, 472 (5) in Article 38 (3) are met) Applicable caps on the inclusion of provisions in Tier 2 Credit risk adjustment included in T2 in respect of exposures subject to standardised approach (prior to the application of the cap) Cap on inclusion of credit risk adjustments in T2 under standardised approach Credit risk adjustment included in T2 in respect of exposures subject to internal ratingsbased approach (prior to the application of the cap) Cap for inclusion of credit risk adjustments in T2 under internal ratingsbased approach 62 13, Delta Lloyd Bank NV Pillar 3 Report

15 Transitional own funds Capital instruments subject to phaseout arrangements (only applicable between 1 Jan 2014 and 1 Jan 2022) Current cap on CET1 instruments subject to phase out arrangements Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities) 82 Current cap on AT1 instruments subject to phase out arrangements 83 Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities) 84 Current cap on T2 instruments subject to phase out arrangements 3, Amount excluded from T2 due to cap (excess over cap after redemptions and maturities) 2, (3), 486 (2) &(5) 484 (3), 486 (2) &(5) 484 (4), 486 (3) &(5) 484 (4), 486 (3) &(5) 484 (5), 486 (4) &(5) 484 (5), 486 (4) &(5) Delta Lloyd Bank NV Pillar 3 Report

16 1.3 Leverage Ratio The Basel III reforms introduced a simple, nonriskbased leverage ratio as a supplementary measure to the riskbased capital requirements. The leverage ratio is defined as the Tier 1 capital divided by the exposure measure, defined as the sum of assets and offbalance sheet exposures after restatements of certain items. The CRR requires banks to calculate the leverage ratio and report it to supervisors. The Commission Delegated Regulation revised the definition of the leverage ratio to lead to a more accurate measure. As a consequence, the leverage ratio is reported based on the endofquarter rather than on the basis of a threemonth average. A binding requirement of 3% for the leverage ratio at EU level was proposed by the European Commission in a set of legislative proposals to amend the Capital Requirement Regulation on 23 November The proposed changes are expected to enter into force in 2019 at the earliest. The risk exposure that is used in calculating the leverage ratio differs from the total assets as included in the financial statements. The table below discloses the reconciliation of accounting assets and the leverage ratio exposure measure. Disclosure according to Article 4 of Commission Implementing Regulation (EU) No 2016/200: Reconciliation of accounting assets and leverage ratio exposures Total assets as per published financial statements 5,490,752 5,611,627 2 Adjustments for entities which are consolidated for accounting purposes but are outside the scope of regulatory consolidation 3 Adjustments for fiduciary assets recognised on the balance sheet pursuant to the applicable accounting framework but excluded from the leverage ratio exposure measure according to Article 429(11) of Regulation (EU) No 575/ Adjustments for derivative financial instruments 10,760 18,094 5 Adjustments for securities financing transactions (SFTs) 6 Adjustments for offbalance sheet items (ie conversion to credit equivalent amounts of offbalance sheet exposures) 46,579 67,307 EU6a Adjustments for intragroup exposures excluded from the leverage ratio exposure measure in accordance with Article 429 (7) of Regulation (EU) No 575/2013 EU6b Adjustments for exposures excluded from the leverage ratio exposure measure in accordance with Article 429 (14) of Regulation (EU) No 575/ Other adjustments 254 1,077 8 Leverage ratio exposure 5,547,837 5,698,104 Disclosure according to Article 1, 3 (1)(a), and 5 of Commission Implementing Regulation (EU) No 2016/200: Delta Lloyd Bank NV Pillar 3 Report

17 Leverage ratio Onbalance sheet exposures: 1 Onbalance sheet items (excluding derivatives, SFTs and fiduciary assets, but including collateral) 5,483,525 5,538,518 2 Asset amounts deducted in determining Tier 1 capital 254 1,077 3 Total onbalance sheet exposures (excluding derivatives and SFTs) 5,483,271 5,539,595 Derivative exposures: 4 Replacement cost associated with all derivatives transactions (ie net of eligible cash variation margin) 4,365 66,757 5 Addon amounts for potential future exposures associated with all derivatives transactions (marktomarket method) 13,623 24,446 EU5a Exposure determined under Original Exposure Method 6 Grossup for derivatives collateral provided where deducted from the balance sheet pursuant to the applicable accounting framework 7 Deductions of receivable assets for cash variation margin provided in derivative transactions 8 Exempted CCP leg of clientcleared trade exposures 9 Adjusted effective notional amount of written credit derivatives 10 Adjusted effective notional offsets and addon deductions for written credit derivatives 11 Total derivative exposures 17,988 91,203 Securities financing transaction exposures (SFTs): 12 Gross SFT assets (with no recognition of netting), after adjusting for sales accounting transactions 13 Netted amounts of cash payables and cash receivables of gross SFT assets 14 Counterparty credit risk exposure for SFT assets Derogation for SFTs: Counterparty credit risk exposure in accordance with EU14a Article 429b (4) and 222 of Regulation (EU) No 575/ Agent transaction exposures EU15a Exempted CCP leg of clientcleared SFT exposures 16 Total securities financing transaction exposures Other offbalance sheet exposures: 17 Offbalance sheet exposure at gross notional amount 147, , Adjustments for conversion to credit equivalent amounts 100, , Other offbalance sheet exposures 46,579 67,307 Exempted exposures in accordance with CRR Article 429 (7) and (14) (on and off balance sheet): Exemption of intragroup exposures (solo basis) in accordance with Article EU19a 429(7) of Regulation (EU) No 575/2013 (on and off balance sheet) Exposures exempted in accordance with Article 429 (14) of Regulation (EU) EU19B No 575/2013 (on and off balance sheet) Capital and Total exposures: 20 Tier 1 capital 197, , Total leverage ratio exposures 5,547,837 5,698,104 Leverage ratio: 22 End of quarter leverage ratio 3.56% 2.56% Choice on transitional arrangements and amount of derecognised fiduciary items EU23 Choice on transitional arrangements for the definition of the capital measure Transitional Transitional EU24 Amount of derecognized fiduciary items in accordance with Article 429(11) of Regulation (EU) NO. 575/2013 Delta Lloyd Bank NV Pillar 3 Report

18 Disclosure according to Article 3 (1)(b) of Commission Implementing Regulation (EU) No 2016/200: Splitup of on balance sheet exposures (excluding derivatives and SFTs) EU2 Trading book exposures EU3 Banking book exposures, of which: 5,483,525 5,538,518 EU4 Covered bonds 32,529 59,893 EU5 Exposures treated as sovereigns 547, ,030 EU6 Exposures to regional governments, MDB, international organisations and PSE NOT treated as sovereigns 43,210 34,562 EU7 Institutions 192, ,763 EU8 Secured by mortgages on immovable properties 3,290,949 3,072,190 EU9 Retail exposures 1,254,749 1,050,127 EU10 Corporate 57,092 63,320 EU11 Exposure in default 11,946 16,927 EU12 Other exposures (eg equity, securitisations, and other assets) 53, ,706 Total onbalance sheet exposures (excluding derivatives, SFTs and exempted EU1 5,483,525 5,538,518 exposures) Current capital plans focus on a leverage ratio development in line with other banks. The leverage ratio improved in 2016, mainly due to an increase of the Common Equity Tier 1 capital as well as by a decrease of the total leverage ratio exposure value. The increase in the Common Equity Tier 1 capital position is mainly attributed to the replacement of Tier 2 loans with Common Equity Tier 1 capital, and a net profit ( 14.5 million), driven by a mortgage transaction aiming to yield a onetime profit increase. Furthermore, Delta Lloyd enhanced the bank s capital position with 7.5 million Common Equity Tier 1 capital. The decrease in the total leverage ratio exposure value is mainly attributed to a decrease in derivative exposures. Delta Lloyd Bank NV Pillar 3 Report

19 1.4 Capital requirements Minimum capital requirements Delta Lloyd Bank applies the Standardised Approach for credit risk, market risk, operational risk and settlement risk. Minimum Pillar 1 capital requirements are calculated based on the riskweighted exposure amounts. The next table shows the riskweighted exposure amounts and related minimum Pillar 1 capital requirement per type of risk, exposure class and method used: Riskweighted assets (RWA) and capital requirements at year end Credit, counterparty credit, dilution risk and free deliveries: Riskweighted exposure amount 8% pillar 1 capital requirement Central governments and central banks Regional governments or local authorities Public sector entities 99 8 Multilateral development banks International organisations Institutions 30,033 2,403 Corporates 40,553 3,244 Retail 527,629 42,210 Exposures secured by mortgages on immovable property 440,991 35,279 Exposures in default 6, Exposures associated with particularly high risk Covered bonds 3, Securitisation 5, Exposures to institutions and corporates with a shortterm credit assessment Collective investment undertakings Equity exposures Other items 2, Settlement/ delivery risk: Position, foreign exchange and commodities risk: Foreign exchange risk Operational risk: Standardised approach 86,648 6,932 Credit valuation adjustment: Standardised method 9, Total 1,153,087 92,247 Delta Lloyd Bank NV Pillar 3 Report

20 Riskweighted assets (RWA) and capital requirements at prior year end Credit, counterparty credit, dilution risk and free deliveries: Riskweighted exposure amount 8% pillar 1 capital requirement Central governments and central banks Regional governments or local authorities Public sector entities 92 7 Multilateral development banks International organisations Institutions 33,070 2,646 Corporates 47,914 3,833 Retail 274,639 21,971 Exposures secured by mortgages on immovable property 483,203 38,656 Exposures in default 9, Exposures associated with particularly high risk Covered bonds 5, Securitisation 9, Exposures to institutions and corporates with a shortterm credit assessment Collective investment undertakings Equity exposures Other items 160,277 12,822 Settlement/ delivery risk: Position, foreign exchange and commodities risk: Foreign exchange risk Operational risk: Standardised approach 124,377 9,950 Credit valuation adjustment: Standardised method 28,429 2,274 Total 1,176,978 94,158 In 2016, the total risk exposure amount for credit risk increased mainly due to an increase in the riskweight applied to the uncovered part of governmentguaranteed NHG mortgages with partial protection coverage. The exposure of the above par premium value for the purchased loan portfolios has been reclassified from Other items to Retail exposures. Capital management is disclosed in the section Capital management of the annual report. The next paragraphs further explain the exposures for credit risk and counterparty credit risk, the use of ECAIs to determine risk weights, and credit risk mitigation techniques used. Furthermore, risk exposure amounts for market risk, operational risk and settlement risk are disclosed. Delta Lloyd Bank NV Pillar 3 Report

21 1.4.2 Credit, counterparty credit and dilution risks and free deliveries The table below provides the on and offbalance sheet credit risk exposures before credit risk mitigation: Exposures for credit, counterparty credit and dilution risks and free deliveries At yearend 2016 Average 2016 Before value adjustments Value adjustments After value adjustments After value adjustments and provisions and provisions and provisions and provisions Central governments and central banks 533, , ,436 Regional governments or local authorities 13,368 13,368 14,216 Public sector entities 10,599 10,599 8,080 Multilateral development banks 26,336 26,336 24,533 International organisations 6,275 6,275 6,273 Institutions 174, , ,599 Corporates 61,894 61,894 65,661 Retail 1,318,989 5,517 1,313,472 1,236,168 Exposures secured by mortgages on immovable property 3,380,260 1,010 3,379,250 3,268,249 Exposures in default 16,757 4,814 11,943 14,435 Covered bonds 32,529 32,529 46,211 Securitisation 28, ,587 31,818 Other items 2,322 2,322 81,300 Total 5,605,618 11,850 5,593,768 5,665,977 Exposures for credit, counterparty credit and dilution risks and free deliveries At yearend 2015 Average 2015 Before value adjustments Value adjustments After value adjustments After value adjustments and provisions and provisions and provisions and provisions Central governments and central banks 818, , ,543 Regional governments or local authorities 15,064 15,064 14,402 Public sector entities 5,562 5,562 5,631 Multilateral development banks 22,729 22,729 29,701 International organisations 6,271 6,271 6,313 Institutions 210, , ,602 Corporates 69,428 69,428 92,308 Retail 1,165,131 6,268 1,158,863 1,241,464 Exposures secured by mortgages on immovable property 3,158,372 1,124 3,157,248 3,145,725 Exposures in default 22,261 5,334 16,927 15,093 Covered bonds 59,893 59,893 61,643 Securitisation 46,215 10,167 36,049 45,917 Other items 160, ,277 83,103 Total 5,761,078 22,893 5,738,185 5,641,446 Delta Lloyd Bank NV Pillar 3 Report

22 For an explanation of the objectives, guidelines and methods for controlling credit risk and the principal types of accepted collateral, see section Risk management of the consolidated financial statements. See section Provisions hereinafter for a further classification of the provisions Use of ECAIs Delta Lloyd Bank uses the credit assessment of External Credit Assessment Institutions (ECAIs) to determine the applicable risk weights for calculating the riskweighted exposure amounts. ECAIs ratings were used when assessing the credit risk associated with the following exposure classes: Central governments and central banks; Regional governments or local authorities; Public sector entities; Institutions; Corporates; Covered bonds; Securitisation. For each exposure class, credit ratings from Moodys were used to determine the credit quality steps (from high to low: 1 through 6). The credit quality steps are linked to the applicable risk weights per exposure class, as indicated by the CRR. The table below provides total on and offbalance sheet exposures before value adjustments and provisions and before credit risk mitigation by credit quality step (CQS) using the ECAIs external ratings: Delta Lloyd Bank NV Pillar 3 Report

23 Exposure values per credit quality step at yearend Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality Unrated step 6 exposures* Total Central governments and central banks 89,788 49,718 8, , ,905 Regional governments or local authorities 13,368 13,368 Public sector entities 10,599 10,599 Multilateral development banks 26,336 26,336 International organisations 6,275 6,275 Institutions 142,482 18,656 1, , ,289 Corporates 24, ,483 61,894 Retail 1,318,989 1,318,989 Exposures secured by mortgages on immovable property 3,380,260 3,380,260 Exposures in default 16,757 16,757 Covered bonds 32,529 32,529 Securitisation 27, ,095 Other items 2,322 2,322 Total exposure values 373,370 68,374 9, ,154,215 5,605,618 Intangible assets Deductions from own funds *Unrated exposures central governments and central banks consists entirely of exposure to central bank Exposure values per credit quality step at prior yearend Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6 Unrated exposures Total Central governments and central banks 133,359 10,389 18, , ,966 Regional governments or local authorities 15,064 15,064 Public sector entities 5,562 5,562 Multilateral development banks 22,729 22,729 International organisations 6,271 6,271 Institutions 186,762 19,095 1,527 3, ,909 Corporates 29,004 2, ,154 69,428 Retail 1,165,131 1,165,131 Exposures secured by mortgages on immovable property 3,158,372 3,158,372 Exposures in default 22,261 22,261 Covered bonds 59,893 59,893 Securitisation 36,338 9,877 46,215 Other items 160, ,277 Total exposure values 494,982 31,564 20,511 3,525 9,877 5,200,619 5,761,078 Intangible assets Deductions from own funds Delta Lloyd Bank NV Pillar 3 Report

24 The table below provides total on and offbalance sheet exposures after value adjustments and provisions and after credit risk mitigation by credit quality step (CQS) using the ECAIs external ratings: Exposure values after credit risk mitigation per credit quality step at yearend Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6 Unrated exposures Total Central governments and central banks 89,788 49,718 8,102 2,805,704 2,953,312 Regional governments or local authorities 13,368 13,368 Public sector entities Multilateral development banks 26,336 26,336 International organisations 6,275 6,275 Institutions 113,391 18,656 1, , ,259 Corporates 15, ,480 53,213 Retail 728, ,690 Exposures secured by mortgages on immovable property 1,278,366 1,278,366 Exposures in default 6,134 6,134 Covered bonds 32,529 32,529 Securitisation 27, ,587 Other items 2,322 2,322 Total exposure values 325,495 68,374 9, ,869,865 5,272,885 Intangible assets Deductions from own funds Delta Lloyd Bank NV Pillar 3 Report

25 Exposure values after credit risk mitigation per credit quality step at prior yearend Credit quality step 1 Credit quality step 2 Credit quality step 3 Credit quality step 4 Credit quality step 5 Credit quality step 6 Unrated exposures Total Central governments and central banks 159,541 10,389 18,794 2,891,407 3,080,131 Regional governments or local authorities 15,064 15,064 Public sector entities Multilateral development banks 22,729 22,729 International organisations 6,271 6,271 Institutions 111,403 19,095 1,527 3, ,550 Corporates 28,976 2, ,823 65,070 Retail 408, ,222 Exposures secured by mortgages on immovable property 1,391,949 1,391,949 Exposures in default 8,316 8,316 Covered bonds 59,893 59,893 Securitisation 35, ,049 Other items 160, ,277 Total exposure values 440,166 31,564 20,511 3, ,893,995 5,389,979 Intangible assets Deductions from own funds Breakdown of exposures In this section the exposures before value adjustments and provisions and before credit risk mitigation are classified according to geographical area, economic sector and the remaining term to maturity. The geographical and sector classification also indicates the size of past due loans and receivables, the impaired exposures, and the size of SME loans and receivables. The loans and receivables in arrears in this Pillar 3 report are lower than in the consolidated financial statements (section Loans and receivables ). The difference mainly concerns the definition used for accounting and prudential purposes for past due. In this Pillar 3 report, loans and receivables are considered in arrears when the obligor is more than 90 days past due. Furthermore, the impaired loans and receivables in this Pillar 3 report are higher than in the consolidated financial statements, due to a difference in the definition used for impaired exposures. In this Pillar 3 report, loans and receivables are considered impaired when a provision is formed, without any threshold on the level of the provision. Delta Lloyd Bank NV Pillar 3 Report

26 Geographical concentration at yearend Netherlands Belgium Other EU countries Other European countries Other countries Total 2016 Central governments and central banks 446,123 15,666 72, ,905 Regional governments or local authorities 13,368 13,368 Public sector entities 10,599 10,599 Multilateral development banks 26,336 26,336 International organisations 6,275 6,275 Institutions 101,849 7,490 64, ,289 Corporates 37,483 24, ,894 Retail 1,318, ,318,989 Exposures secured by mortgages on immovable property 3,379, ,380,260 Exposures in default 16, ,757 Covered bonds 32,529 32,529 Securitisation 6,270 21,825 28,095 Other items 2,322 2,322 Total 5,308,959 23, , ,605,618 Of which: SME 5,119 5,119 Of which: past due* exposures 16, ,268 Of which: impaired exposures 74, ,308 * Payment arrears > 90 days Delta Lloyd Bank NV Pillar 3 Report

27 Geographical concentration at prior yearend Netherlands Belgium Other EU countries Other European countries Other countries Total 2015 Central governments and central banks 730,979 10,779 77, ,966 Regional governments or local authorities 3,126 11,938 15,064 Public sector entities 5,562 5,562 Multilateral development banks 22,729 22,729 International organisations 6,271 6,271 Institutions 88,061 68,735 53, ,909 Corporates 47,045 20, ,081 69,428 Retail 1,164, ,165,131 Exposures secured by mortgages on immovable property 3,157, ,158,372 Exposures in default 22,261 22,261 Covered bonds 59,893 59,893 Securitisation 7,914 24,760 10,385 3,155 46,215 Other items 160, ,277 Total 5,378,780 80, ,619 10,909 17,737 5,761,078 Of which: SME 6, ,806 Of which: past due* exposures 22,551 10,385 32,936 Of which: impaired exposures 50, , ,966 * Payment arrears > 90 days Delta Lloyd Bank NV Pillar 3 Report

28 Sector concentration at yearend Banks, insurers and financial intermediaries Government Individuals Property Tourism & Leisure Other sectors Total 2016 Central governments and central banks 386, , ,905 Regional governments or local authorities 13,368 13,368 Public sector entities 10,599 10,599 Multilateral development banks 26,336 26,336 International organisations 6,275 6,275 Institutions 174, ,289 Corporates 28,086 13, ,196 8,166 61,894 Retail 33 1,315,794 3,162 1,318,989 Exposures secured by mortgages on immovable property 3,378,481 1,780 3,380,260 Exposures in default 16,757 16,757 Covered bonds 32,529 32,529 Securitisation 28,095 28,095 Other items 2,322 2,322 Total 675, ,250 4,724,455 3,185 13,976 21,088 5,605,618 Of which: SME 157 4, ,119 Of which: past due* exposures 1,463 15,805 17,268 Of which: impaired exposures 1,463 73,845 75,308 * Payment arrears > 90 days Delta Lloyd Bank NV Pillar 3 Report