Composition of capital as of 30 September 2011 (CRD3 rules)

Similar documents
Composition of capital as of 30 September 2011 (CRD3 rules)

TO CNMV (SPANISH SECURITIES EXCHANGE COMMISSION)

Composition of capital IT044 IT044 POWSZECHNAIT044 UNIONE DI BANCHE ITALIANE SCPA (UBI BANCA)

ABN AMRO meets EBA Core Tier 1 capital ratio requirements in EBA capital exercise

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

Banco Comercial Português, SA Capital Update - EU Wide Stress Test Results.

2015 EU-wide Transparency Exercise

2015 EU-wide Transparency Exercise

2015 EU-wide Transparency Exercise

2015 EU-wide Transparency Exercise

Results of the 2011 EBA EU-wide stress test: Summary (1-3)

2015 EU-wide Transparency Exercise

2015 EU-wide Transparency Exercise

Results of the 2011 EU-wide stress testing exercise. Bank of Cyprus successfully passed the stress test exercise

2015 EU-wide Transparency Exercise

2015 EU-wide Transparency Exercise

Press Release Outside trading hours - Regulated information*

EU-wide Transparency Exercise 2015

EBA TRANSPARENCY EXERCISE

Press Release PERSBERICHT

AIB - CEBS Stress Test. 23rd July 2010

Puede acceder a las noticias y sala de prensa de la EBA, y a los resultados del Ejercicio, utilice los siguientes enlaces

Overview of the deductions from original own funds across Europe

Report Penalties and measures imposed under the UCITS Directive in 2016 and 2017

EU BUDGET AND NATIONAL BUDGETS

Calculation of consolidated core original own funds Overview of the national rules. method

How to complete a payment application form (NI)

EIOPA Statistics - Accompanying note

EU-28 RECOVERED PAPER STATISTICS. Mr. Giampiero MAGNAGHI On behalf of EuRIC

EIOPA Statistics - Accompanying note

EIOPA Statistics - Accompanying note

Approach to Employment Injury (EI) compensation benefits in the EU and OECD

FSMA_2017_05-01 of 24/02/2017

International Hints and Tips

LENDING FACILITIES Hire Purchase (HP) 1% % on a case by case basis (fee set by AgriFinance Ltd)

REPORT FROM THE COMMISSION TO THE EUROPEAN PARLIAMENT, THE COUNCIL, THE EUROPEAN ECONOMIC AND SOCIAL COMMITTEE AND THE COMMITTEE OF THE REGIONS

Spain France. England Netherlands. Wales Ukraine. Republic of Ireland Czech Republic. Romania Albania. Serbia Israel. FYR Macedonia Latvia

DG TAXUD. STAT/11/100 1 July 2011

Live Long and Prosper? Demographic Change and Europe s Pensions Crisis. Dr. Jochen Pimpertz Brussels, 10 November 2015

EUROPA - Press Releases - Taxation trends in the European Union EU27 tax...of GDP in 2008 Steady decline in top corporate income tax rate since 2000

DATA SET ON INVESTMENT FUNDS (IVF) Naming Conventions

European Advertising Business Climate Index Q4 2016/Q #AdIndex2017

LENDING FACILITIES Hire Purchase (HP) 1% % on a case by case basis (fee set by AgriFinance Ltd)

Electricity & Gas Prices in Ireland. Annex Business Electricity Prices per kwh 2 nd Semester (July December) 2016

Lowest implicit tax rates on labour in Malta, on consumption in Spain and on capital in Lithuania

Purpose of this form. If you are an Appointed Representative ( AR ) then this form must be completed by the sponsoring firm on your behalf.

Dividends from the EU to the US: The S-Corp and its Q-Sub. Peter Kirpensteijn 23 September 2016

NOTE. for the Interparliamentary Meeting of the Committee on Budgets

11 th Economic Trends Survey of the Impact of Economic Downturn

Fiscal rules in Lithuania

2017 EU-wide Transparency Exercise

Definition of Public Interest Entities (PIEs) in Europe

2017 Figures summary 1

5. Risk assessment Qualitative risk assessment

Chart pack to council for cooperation on macroprudential policy

Borderline cases for salary, social contribution and tax

Taxation trends in the European Union Further increase in VAT rates in 2012 Corporate and top personal income tax rates inch up after long decline

2017 EU-wide Transparency Exercise

2017 EU-wide Transparency Exercise

Tax Survey Effective tax ratesof employees with different income levels in 25countries. Ivan Fučík. Fučík & partners, Prague, Czech Republic

A. INTRODUCTION AND FINANCING OF THE GENERAL BUDGET. EXPENDITURE Description Budget Budget Change (%)

2017 EU-wide Transparency Exercise

International Statistical Release

EMPLOYMENT RATE IN EU-COUNTRIES 2000 Employed/Working age population (15-64 years)

Quarterly Gross Domestic Product of Montenegro 2st quarter 2016

2017 EU-wide Transparency Exercise

2017 EU-wide Transparency Exercise

2017 EU-wide Transparency Exercise

2017 EU-wide Transparency Exercise

2017 EU-wide Transparency Exercise

FCCC/SBI/2010/10/Add.1

The Swedish approach to capital requirements in CRD IV

Eligibility? Activities covered? Clients covered? Application or notification required? N/A N/A N/A N/A N/A N/A N/A

EMPLOYMENT RATE Employed/Working age population (15-64 years)

International Statistical Release

Fee Information Document

COMMUNICATION FROM THE COMMISSION

STAT/12/ October Household saving rate fell in the euro area and remained stable in the EU27. Household saving rate (seasonally adjusted)

Quarterly Gross Domestic Product of Montenegro 3 rd quarter 2017

The Architectural Profession in Europe 2012

2017 EU-wide Transparency Exercise

2017 EU-wide Transparency Exercise

International Statistical Release

Quarterly Gross Domestic Product of Montenegro for period 1 st quarter rd quarter 2016

CANADA EUROPEAN UNION

RULES FOR THE REIMBURSEMENT OF TRAVEL AND SUBSISTENCE EXPENSES FOR EXCHANGE OF OFFICIALS

Relevant reporting requirements in each EEA States will also have to be checked.

EMPLOYMENT RATE Employed/Working age population (15 64 years)

Transcription:

Composition of capital as of 30 September 2011 (CRD3 rules) Capital position CRD3 rules September 2011 Million EUR % RWA References to COREP reporting A) Common equity before deductions (Original own funds without hybrid instruments and COREP CA 1.1 - hybrid instruments and government support measures other than 7,349 government support measures other than ordinary shares) ordinary shares Of which: eligible capital and reserves 8,025 COREP CA 1.1.1 + COREP line 1.1.2.1 Of which: (-) intangibles (including goodwill) -944 Net amount included in T1 own funds (COREP line 1.1.5.1) Of which: (-/+) adjustment to valuation differences in other AFS (1) 839 s for regulatory capital (COREP line 1.1.2.6.06) B) Deductions from common equity (Elements deducted from original own funds) (-) -932 COREP CA 1.3.T1* (negative amount) Of which: (-) deductions of participations and subordinated claims -70 Total of items as defined by Article 57 (l), (m), (n) (o) and (p) of Directive 2006/48/EC and deducted from original own funds (COREP lines from 1.3.1 to 1.3.5 included in line 1.3.T1*) Of which: (-) securitisation exposures not included in RWA according with CRD3 (2) -29 COREP line 1.3.7 included in line 1.3.T1* (50% securitisation exposures in the banking and trading book subject to 1250% risk weight; Art. 57 (r) of Directive 2006/48/EC) Of which: (-) IRB provision shortfall and IRB equity expected loss amounts (before tax) -730 As defined by Article 57 (q) of Directive 2006/48/EC (COREP line 1.3.8 included in 1.3.T1*) C) Common equity (A+B) 6,417 7.13% Of which: ordinary shares subscribed by government 0 Paid up ordinary shares subscribed by government D) Other Existing government support measures 0 E) Core Tier 1 including existing government support measures (C+D) 6,417 7.13% Common equity + Existing government support measures included in T1 other than ordinary shares Shortfall to 9% before application sovereign capital buffer 1,681 1.87% 9%RWA-Core Tier 1 including existing government support measures; if >0. F) Hybrid instruments not subscribed by government 2,331 Net amount included in T1 own funds (COREP line 1.1.4.1a + COREP lines from 1.1.2.2***01 to 1.1.2.2***05 + COREP line 1.1.5.2a (negative amount)) not subscribed by government Tier 1 Capital (E+F) (Total original own funds for general solvency purposes) 8,748 9.72% COREP CA 1.4 = COREP CA 1.1 + COREP CA 1.3.T1* (negative amount) RWA as of end September 2011 including add-on for CRD3 (2) 89,979 Of which: RWA add-on for CRD III as of end September 2011 (2) 47 Sovereign Capital buffer G) ( in EEA as of 30th September 2011) (-/+) 672 H) Difference between the book value and the fair value of sovereign (Bonds and Loans and advances) in the HTM and Loans & Receivables (3). 228 Please report the prudential filter as a positive number if the AFS revaluation reserve for sovereign is negative. Please report the prudetnial filter as a negative number if the AFS revaluation reserve is positive. If the bank does not apply a prudential filter on, please fill in zero. Difference between the book value and the fair value at the reference date. Please provide a positive number if the book value is larger than the fair value of sovereign. Please provide a negative number if the book value is smaller than the fair value of the sovereign. Sovereign capital buffer for exposures in EEA (G+H) 900 1.00% Sum of and valuation. If negative it is set to 0 Overall Shortfall after including sovereign capital buffer 2,581 2.87% 9%RWA-(Core Tier 1 including existing government support measures-sovereign capital buffer for exposures in EEA); if >0. Notes and definitions (1) The amount is already included in the computation of the eligible capital and reserves and it is provided separately for information purposes. (2) According with CRD3 it can include also 50% securitisation exposures in the trading book subject to 1250% risk weight and not included in RWA. (3) It includes also possible differences between the book value and the fair value of: i) direct sovereign exposures in derivatives; ii) indirect sovereign exposures in the banking and trading book

Exposures to sovereigns (central, regional and local governments) in EEA, as of 30 September 2011, mln EUR G H I J K L M N O P Q R S IN Sovereign Austria 1 Belgium 1 Bulgaria 1 Cyprus 1 Czech Republic 1 Denmark 1 Estonia 1 Finland 1 France 1

IN Sovereign Germany 1 Greece (5) 1 Hungary 1 Iceland 1 Ireland 1 Italy 10Y 207 0 207 0 0 0 0 0 200 0 0 0 1 Tot 207 0 207 0 0 0 0 0 200 0 0 0 0 Latvia 1 Liechtenstein 1 Lithuania 1 Luxembourg 1

IN Sovereign Malta 1 Netherlands 1 Norway 1 Poland 1 3Y 6 0 6 0 6 0 0 0 0 0 0 0 Portugal 5Y 40 0 40 0 0 0 0 0 40 0 0 0 10Y 83 0 83 0 0 0 0 0 80 0 0 0 15Y 312 0 312 312 0 0 0 0 0 167-135 -32 Tot 441 0 441 312 6 0 0 0 120 0 167-135 -32 Romania 1 Slovakia 1 Slovenia 1 3M 536 48 536 134 0 0 4 0 355 66 0-66 1Y 2,110 373 2,110 366 0 0 0 0 1,343 1-1 0 2Y 832 209 832 452 0 0 0 0 228 0 0 0 3Y 896 606 896 269 0 21 0 0 0 0 0 0 Spain 5Y 522 70 522 331 0 0 1 0 120 0 0 0 10Y 695 47 695 179 0 0 0 0 461 5-1 -4 15Y 4,713 3 4,713 3,711 0 0 10 0 897 433-176 -257 Tot 10,304 1,356 10,304 5,442 0 21 15 0 3,404 0 505-178 -327 Sweden 1

IN Sovereign United Kingdom 1 TOTAL EEA 30 10,952 1,356 10,952 5,754 6 21 15 0 3,724 0 672-313 -359 Notes and definitions (1) The exposures reported cover only exposures to central, regional and local governments on immediate borrower basis, and do not include exposures to other counterparts with full or partial government guarantees (2) The banks disclose the exposures in the "Financial held for trading" portfolio after offsetting the cash short positions having the same maturities. (3) The exposures reported include the positions towards counterparts (other than sovereign) on sovereign credit risk (i.e. CDS, financial guarantees) booked in all the accounting portfolio (on-off balance sheet). Irrespective of the denomination and or accounting classification of the positions the economic substance over the form must be used as a criteria for the identification of the exposures to be included in this column. This item does not include exposures to counterparts (other than sovereign) with full or partial government guarantees by central, regional and local governments (4) According with CEBS Guidelines on prudential filters it is required a consistent treatment of gains and losses resulting from a transaction whereby a cash flow hedge is created for an available for sale instrument: i.e. if the gains on the hedged item are recognised in additional own funds, so should the results of the corresponding cash flow hedging derivative. Moreover if fair- contracts on sovereign are taken in consideration for the computation of the prudential filters (before their removal), the FV of such contracts must be reported in the column AB. (5) Please report gross and net direct positions before eventual write-off (PSI); in the column provisions must be included eventual write-off (PSI).

Composition of RWA as of 30 September 2011 (in million Euro) Rules at the end of September CRD 3 rules Total RWA (1) 89,932 89,979 RWA for credit risk 83,173 83,173 RWA Securitisation and re-securitisations 122 122 RWA Other credit risk 83,051 83,051 RWA for market risk 465 512 RWA operational risk 6,294 6,294 Transitional floors (2) - - RWA Other - - Notes and definitions (1) The RWA calculated according to CRD III can be based on models that have not yet been approved by the National Supervisory Authority. (2) All IRB/AMA banks in the exercise have applied transitional floor which assess the impact 80% of the Basel 1 requirements. However, wide divergences in national approaches to the floors means that two main approaches have been identified as set out in the methodological note. The transitional floor has been applied according to the following approach: option 1

CDS and other contract Sovereign exposures (central, regional and local governments) in EEA towards other counterparties, as of 30 September 2011, mln EUR Credit default swaps (CDS) and other contracts (1) Bank is protection seller Bank is protection buyer (2) Notional amount outstanding (3) Notional amounts outstanding (3) Austria - - Belgium - - Bulgaria - - Cyprus - - Czech Republic - - Denmark - - Estonia - - Finland - - France - - Germany - - Greece - - Hungary - - Iceland - - Ireland - - Italy - - Latvia - - Liechtenstein - - Lithuania - - Luxembourg - - Malta - - Netherlands - - Norway - - Poland - - Portugal - - Romania - - Slovakia - - Slovenia - - Spain - - Sweden - - United Kingdom - - (1) It includes credit derivatives and other credit risk transfer contracts/instruments that irrespective of the denomination respresent indirect exposures (as protection seller/buyer) on sovereign risk (reference entity) (2) The country identifies the reference entity single name of the CDS and other contracts. (3) Notional amounts outstanding: Nominal or notional amounts outstanding are defined as the gross nominal or notional value of all contracts concluded and not yet settled on the reporting date. For contracts with variable nominal or notional principal amounts, the basis for reporting is the nominal or notional principal amounts at the time of reporting.