2016 EU-wide Transparency Exercise Summary for VTB Bank AG
Core Content Overview
This document outlines the results of the 2016 EU-wide Transparency Exercise for VTB Bank AG, covering key aspects of own funds, risk exposure, P&L (Profit and Loss), and market risk. It provides detailed data for the transitional period, including capital ratios, capital components, and risk exposure amounts for different categories, as well as the Standardised Approach for credit risk assessment.
Key Information
1. Own Funds (Transitional Period)
| Item |
As of 31/12/2015 |
As of 30/06/2016 |
| A (Own Funds) |
1,520 |
1,321 |
| A.1 (CET1 Capital) |
938 |
910 |
| A.1.1 (CET1 Capital Instruments) |
413 |
413 |
| A.1.2 (Retained Earnings) |
198 |
166 |
| A.1.3 (Accumulated Other Comprehensive Income) |
0 |
0 |
| A.1.4 (Other Reserves) |
296 |
296 |
| A.1.5 (Funds for General Banking Risk) |
41 |
41 |
| A.1.6 (Minority Interest in CET1 Capital) |
18 |
17 |
| A.1.7 (Adjustments due to Prudential Filters) |
0 |
0 |
| A.1.8 (Intangible Assets) |
-33 |
-28 |
| A.1.9 (DTAs based on Future Profitability) |
0 |
0 |
| A.1.10 (IRB Shortfall of Credit Risk Adjustments) |
0 |
0 |
| A.1.11 (Defined Benefit Pension Fund Assets) |
0 |
0 |
| A.1.12 (Reciprocal Cross Holdings) |
0 |
0 |
| A.1.13 (Excess Deduction from ATI Items) |
0 |
0 |
| A.1.14 (Deductions related to 1.250% Risk Weight Assets) |
0 |
0 |
| A.1.14.1 (Securitisation Positions) |
0 |
0 |
| A.1.15 (Holdings of CET1 Capital Instruments) |
0 |
0 |
| A.1.16 (Deductible DTAs based on Future Profitability) |
0 |
0 |
| A.1.17 (Holdings of CET1 Capital Instruments with Significant Investment) |
0 |
0 |
| A.1.18 (Amount Exceeding 17.65% Threshold) |
0 |
0 |
| A.1.19 (Additional Deductions due to Article 3 CRR) |
0 |
0 |
| A.1.20 (Other CET1 Capital Elements) |
0 |
0 |
| A.1.21 (Transitional Adjustments) |
5 |
4 |
| A.1.21.1 (Grandfathered CET1 Capital Instruments) |
0 |
0 |
| A.1.21.2 (Additional Minority Interests) |
5 |
4 |
| A.1.21.3 (Other Transitional Adjustments) |
0 |
0 |
| A.2 (Additional Tier 1 Capital) |
0 |
0 |
| A.3 (Tier 1 Capital) |
938 |
910 |
| A.4 (Tier 2 Capital) |
582 |
411 |
Capital Ratios (Transitional Period):
- Common Equity Tier 1 Capital Ratio: 14.30% (31/12/2015) → 13.58% (30/06/2016)
- Tier 1 Capital Ratio: 14.30% (31/12/2015) → 13.58% (30/06/2016)
- Total Capital Ratio: 23.17% (31/12/2015) → 19.72% (30/06/2016)
Fully Loaded CET1 Capital:
- CET1 Capital (Fully Loaded): 933 (31/12/2015) → 906 (30/06/2016)
- CET1 Capital Ratio (Fully Loaded): 14.22% (31/12/2015) → 13.52% (30/06/2016)
2. Risk Exposure Amounts
| Risk Exposure Category |
As of 31/12/2015 |
As of 30/06/2016 |
| Credit Risk (Total) |
6,560 |
6,698 |
| Market Risk (Foreign Exchange and Commodities) |
0 |
36 |
| Total Risk Exposure Amount |
6,560 |
6,698 |
3. P&L (Profit and Loss) Overview
| Item |
As of 31/12/2015 |
As of 30/06/2016 |
| Interest Income |
406 |
158 |
| Interest Expenses |
176 |
59 |
| Net Fee and Commission Income |
-20 |
0 |
| Gains or (-) Losses on Derecognition |
13 |
14 |
| Gains or (-) Losses on Trading Financial Assets |
52 |
8 |
| Gains or (-) Losses on Fair Value Through Profit or Loss |
0 |
0 |
| Gains or (-) Losses from Hedge Accounting |
0 |
1 |
| Exchange Differences |
-9 |
9 |
| Net Other Operating Income/(Expenses) |
-5 |
0 |
| Total Operating Income, Net |
262 |
131 |
| Administrative Expenses |
82 |
42 |
| Depreciation |
17 |
8 |
| Provisions or (-) Reversal of Provisions |
16 |
1 |
| Commitments and Guarantees Given |
0 |
1 |
| Other Provisions |
10 |
0 |
| Profit or (-) Loss Before Tax from Continuing Operations |
59 |
78 |
| Profit or (-) Loss After Tax from Continuing Operations |
42 |
65 |
| Profit or (-) Loss for the Year |
42 |
65 |
4. Credit Risk - Standardised Approach
Consolidated Data (As of 31/12/2015 and 30/06/2016)
| Counterparty Type |
Original Exposure |
Exposure Value |
Risk Exposure Amount |
Value Adjustments & Provisions |
| Central Governments or Central Banks |
1,889 |
1,671 |
1,58 |
0 |
| Regional Governments or Local Authorities |
617 |
620 |
0 |
0 |
| Public Sector Entities |
89 |
89 |
0 |
0 |
| Multilateral Development Banks |
50 |
50 |
0 |
0 |
| International Organisations |
0 |
0 |
0 |
0 |
| Institutions |
657 |
699 |
176 |
0 |
| Corporates |
5,264 |
5,160 |
5,201 |
0 |
| Exposures in Default |
541 |
158 |
212 |
383 |
| Covered Bonds |
124 |
124 |
12 |
0 |
| Equity |
60 |
60 |
60 |
0 |
| Other Exposures |
60 |
60 |
78 |
0 |
| Standardised Total |
9,352 |
8,690 |
5,897 |
383 |
Germany
| Counterparty Type |
Original Exposure |
Exposure Value |
Risk Exposure Amount |
Value Adjustments & Provisions |
| Central Governments or Central Banks |
1,066 |
1,066 |
0 |
0 |
| Regional Governments or Local Authorities |
617 |
620 |
0 |
0 |
| Public Sector Entities |
89 |
89 |
0 |
0 |
| Institutions |
175 |
173 |
42 |
0 |
| Corporates |
291 |
267 |
255 |
0 |
| Exposures in Default |
20 |
12 |
12 |
8 |
| Covered Bonds |
124 |
124 |
12 |
0 |
| Equity |
3 |
3 |
3 |
0 |
| Other Exposures |
14 |
14 |
31 |
0 |
| Standardised Total |
85 |
85 |
85 |
8 |
Russian Federation
| Counterparty Type |
Original Exposure |
Exposure Value |
Risk Exposure Amount |
Value Adjustments & Provisions |
| Central Governments or Central Banks |
0 |
0 |
0 |
0 |
| Regional Governments or Local Authorities |
0 |
0 |
0 |
0 |
| Public Sector Entities |
0 |
0 |
0 |
0 |
| Institutions |
0 |
46 |
23 |
0 |
| Corporates |
1,932 |
1,852 |
1,879 |
0 |
| Exposures in Default |
101 |
33 |
40 |
68 |
| Covered Bonds |
0 |
0 |
0 |
0 |
| Equity |
57 |
57 |
57 |
0 |
| Other Exposures |
26 |
26 |
26 |
0 |
| Standardised Total |
85 |
85 |
85 |
0 |
Cyprus
| Counterparty Type |
Original Exposure |
Exposure Value |
Risk Exposure Amount |
Value Adjustments & Provisions |
| Central Governments or Central Banks |
0 |
0 |
0 |
0 |
| Regional Governments or Local Authorities |
0 |
0 |
0 |
0 |
| Public Sector Entities |
0 |
0 |
0 |
0 |
| Institutions |
0 |
0 |
0 |
0 |
| Corporates |
1,040 |
1,005 |
1,019 |
0 |
| Exposures in Default |
16 |
1 |
1 |
15 |
| Covered Bonds |
0 |
0 |
0 |
0 |
| Equity |
0 |
0 |
0 |
0 |
| Other Exposures |
0 |
0 |
0 |
0 |
| Standardised Total |
15 |
15 |
15 |
15 |
Main Points
- Own Funds decreased from 1,520 to 1,321 during the transitional period.
- CET1 Capital decreased from 938 to 910, with minor adjustments from retained earnings and minority interest.
- Tier 2 Capital decreased from 582 to 411.
- Total Risk Exposure Amount increased from 6,560 to 6,698, mainly due to an increase in foreign exchange and commodities risk.
- P&L showed a decline in net operating income from 262 to 131, but an increase in profit after tax from 42 to 65.
- The Standardised Approach for credit risk showed a decrease in risk exposure for all categories, with significant reductions in exposures in default and other provisions.
Key Regulations
- CET1 Capital is governed by Articles 26(1) points (a) to (d), Article 36(1) point (f), and Article 42 of the CRR.
- Tier 2 Capital is governed by Article 71 of the CRR.
- Risk Exposure Amounts are calculated under Articles 338.3, 48, 36(1) point (c), and 48(1) point (a) of the CRR.
Summary
VTB Bank AG's own funds and capital ratios show a decline during the transitional period, with CET1 Capital and Tier 2 Capital both decreasing. The risk exposure increased slightly, mainly in foreign exchange and commodities risk. P&L saw a reduction in net operating income but an increase in profit after tax. Under the Standardised Approach for credit risk, the bank reported a decrease in risk exposure across all categories, including a notable reduction in exposures in default. The document also outlines the regulatory basis for these figures, primarily referencing the Capital Requirements Regulation (CRR).
