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2016 EU-wide Transparency Exercise Summary for DEPFA BANK Plc

Core Content Overview

The document presents the results of the 2016 EU-wide Transparency Exercise for DEPFA BANK Plc, covering key aspects of capital structure, risk exposure, and profit and loss (P&L) performance. It includes data for both the transitional period and fully loaded capital calculations, along with details on credit risk, market risk, and other risk categories.

Capital Structure Overview

Own Funds (Transitional Period)

• Own Funds: Decreased from 2,031 mln EUR at 31/12/2015 to 1,889 mln EUR at 30/06/2016.
• Common Equity Tier 1 (CET1) Capital: Decreased from 801 mln EUR to 733 mln EUR.
  • CET1 Eligible Capital Instruments: Remained at 1,248 mln EUR for both periods.
  • Retained Earnings: Decreased from -1,899 mln EUR to -1,951 mln EUR.
  • Accumulated Other Comprehensive Income: Slightly decreased from -37 mln EUR to -36 mln EUR.
  • Other Reserves: Remained constant at 1,500 mln EUR.
  • Adjustments to CET1 due to prudential filters: Decreased from -31 mln EUR to -43 mln EUR.
  • Transitional adjustments: Decreased from 24 mln EUR to 17 mln EUR.

Additional Tier 1 (AT1) Capital

• AT1 Capital: Decreased from 517 mln EUR to 452 mln EUR.

Tier 1 Capital

• Tier 1 Capital: Decreased from 1,318 mln EUR to 1,185 mln EUR.

Tier 2 Capital

• Tier 2 Capital: Slightly decreased from 713 mln EUR to 705 mln EUR.

Capital Ratios (Transitional Period)

• CET1 Capital Ratio: Slightly decreased from 19.47% to 19.52%.
• Tier 1 Capital Ratio: Decreased from 33.04% to 32.30%.
• Total Capital Ratio: Increased slightly from 50.92% to 51.51%.

Risk Exposure Amounts

Total Risk Exposure Amount

• As of 31/12/2015: 3,988 mln EUR
• As of 30/06/2016: 3,667 mln EUR

Breakdown of Risk Exposure

• Credit Risk: Decreased from 2,848 mln EUR to 2,538 mln EUR
• Securitisation and Re-securitisation (Banking Book): Decreased from 666 mln EUR to 610 mln EUR
• Risk Exposure for Position, Foreign Exchange and Commodities (Market Risk): Decreased from 68 mln EUR to 47 mln EUR
  • Commodities Risk: Decreased from 36 mln EUR to 20 mln EUR

Profit and Loss (P&L) Performance

Total Operating Income, Net

• As of 31/12/2015: 22 mln EUR
• As of 30/06/2016: -12 mln EUR

Key P&L Components

• Interest Income: Decreased from 814 mln EUR to 350 mln EUR
• Interest Expenses: Decreased from 828 mln EUR to 347 mln EUR
• Gains or (-) Losses on Derecognition of Financial Assets and Liabilities: Decreased from 26 mln EUR to -4 mln EUR
• Gains or (-) Losses on Financial Assets Held for Trading: Decreased from 1 mln EUR to -6 mln EUR
• Exchange Differences: Decreased from 8 mln EUR to -2 mln EUR
• Net Other Operating Income/(Expenses): Decreased from 5 mln EUR to -4 mln EUR

Profit or (-) Loss

• Profit or (-) Loss Before Tax from Continuing Operations: -53 mln EUR in 2015 and -54 mln EUR in 2016
• Profit or (-) Loss After Tax from Continuing Operations: -49 mln EUR in 2015 and -54 mln EUR in 2016
• Profit or (-) Loss for the Year: -49 mln EUR in 2015 and -54 mln EUR in 2016

Credit Risk - Standardised Approach

Consolidated Data

• Central Governments or Central Banks: Increased from 2,714 mln EUR to 2,755 mln EUR
• Regional Governments or Local Authorities: Decreased from 3,409 mln EUR to 3,296 mln EUR
• Public Sector Entities: Increased from 4,995 mln EUR to 6,069 mln EUR
• Institutions: Decreased from 2,799 mln EUR to 2,286 mln EUR
• Corporates: Decreased from 7,197 mln EUR to 7,059 mln EUR
• Securitisation: Decreased from 3,350 mln EUR to 3,069 mln EUR
• Standardised Total: Slightly decreased from 25,031 mln EUR to 25,113 mln EUR

Country-Specific Data

• Germany:
  • Original Exposure: 175 mln EUR in 2015 and 100 mln EUR in 2016
  • Exposure Value: 76 mln EUR in 2015 and 6 mln EUR in 2016
  • Risk Exposure Amount: 76 mln EUR in 2015 and 6 mln EUR in 2016
• United States:
  • Original Exposure: 1,197 mln EUR in 2015 and 1,078 mln EUR in 2016
  • Exposure Value: 917 mln EUR in 2015 and 861 mln EUR in 2016
  • Risk Exposure Amount: 187 mln EUR in 2015 and 176 mln EUR in 2016
• Ireland:
  • Original Exposure: 2,348 mln EUR in 2015 and 2,332 mln EUR in 2016
  • Exposure Value: 0 mln EUR in 2015 and 0 mln EUR in 2016
  • Risk Exposure Amount: 0 mln EUR in 2015 and 0 mln EUR in 2016

Key Information

• Regulatory Framework: The data is based on the Capital Requirements Regulation (CRR), with specific references to relevant articles for each capital component.
• Transitional Adjustments: These are applied to CET1 and AT1 capital calculations and are outlined in detail with their respective regulatory provisions.
• Risk Exposure Calculation: The total risk exposure is derived from the sum of credit risk, securitisation risk, market risk, and other risk categories.
• P&L Reporting: The P&L includes detailed breakdowns of interest income, expenses, gains/losses, and other operating items, with notes on the inclusion of hedges and the period of reporting.

Summary of Key Trends

• A general decline in own funds and capital ratios over the transitional period.
• A significant drop in P&L for the year, indicating potential financial challenges.
• Risk exposure decreased across most categories, with the most notable reduction in credit risk and commodities risk.
• Detailed breakdowns for each category of risk and capital are provided, with specific references to regulatory articles.