EBA欧洲银行-OT_xxxxxxxxxxxxxxxxxxxx_TR_2017_16页_1mb

2017 EU-wide Transparency Exercise Summary

Core Content

The document provides a detailed summary of the capital structure and risk exposure of "All other banks" as part of the 2017 EU-wide Transparency Exercise conducted by the European Banking Authority (EBA). It includes data on own funds, capital ratios, leverage ratios, and risk exposure amounts for various categories of risk, such as credit, market, and operational risk.

Key Financial Metrics

Own Funds (Transitional Period)

• Total Own Funds:
  • As of 31/12/2016: 291,729 mln EUR
  • As of 30/06/2017: 217,910 mln EUR
• Common Equity Tier 1 (CET1) Capital:
  • As of 31/12/2016: 242,491 mln EUR
  • As of 30/06/2017: 177,168 mln EUR
• Tier 1 Capital:
  • As of 31/12/2016: 246,057 mln EUR
  • As of 30/06/2017: 187,069 mln EUR
• Tier 2 Capital:
  • As of 31/12/2016: 45,672 mln EUR
  • As of 30/06/2017: 30,842 mln EUR

Capital Ratios (Transitional Period)

• Common Equity Tier 1 Ratio:
  • 15.57% (31/12/2016)
  • 14.95% (30/06/2017)
• Tier 1 Ratio:
  • 15.79% (31/12/2016)
  • 15.79% (30/06/2017)
• Total Capital Ratio:
  • 18.73% (31/12/2016)
  • 18.39% (30/06/2017)

CET1 Capital (Fully Loaded)

• CET1 Capital:
  • As of 31/12/2016: 238,214 mln EUR
  • As of 30/06/2017: 177,090 mln EUR
• CET1 Capital Ratio (Fully Loaded):
  • 15.32% (31/12/2016)
  • 14.95% (30/06/2017)

Leverage Ratios

• Leverage Ratio (Transitional Definition):
  • 6.2% (31/12/2016)
  • 5.6% (30/06/2017)
• Leverage Ratio (Fully Phased-in Definition):
  • 6.1% (31/12/2016)
  • 5.6% (30/06/2017)

Risk Exposure Amounts

• Total Risk Exposure Amount:
  • As of 31/12/2016: 1,557,821 mln EUR
  • As of 30/06/2017: 1,184,966 mln EUR

Breakdown of Risk Exposure Amounts

• Credit Risk:

  • As of 31/12/2016: 1,908,682 mln EUR
  • As of 30/06/2017: 1,388,453 mln EUR

• Market Risk:

  • As of 31/12/2016: 149,333 mln EUR
  • As of 30/06/2017: 143,487 mln EUR

• Securitisation and Re-securitisation in the Banking Book: 8,390 mln EUR (31/12/2016) / 6,711 mln EUR (30/06/2017)

• Securitisation and Re-securitisation in the Trading Book: 28,798 mln EUR (31/12/2016) / 22,439 mln EUR (30/06/2017)

• Credit Valuation Adjustment (CVA) Risk: 142,074 mln EUR (31/12/2016) / 125,367 mln EUR (30/06/2017)

• Operational Risk: 127,464 mln EUR (31/12/2016) / 85,725 mln EUR (30/06/2017)

• Other Risk Exposure Amounts: 41,690 mln EUR (31/12/2016) / 28,106 mln EUR (30/06/2017)

Key Risk Components

Credit Risk - Standardised Approach

• Original Exposure:
  • As of 31/12/2016: 1,908,682 mln EUR
  • As of 30/06/2017: 1,388,453 mln EUR
• Exposure Value:
  • As of 31/12/2016: 1,908,682 mln EUR
  • As of 30/06/2017: 1,388,453 mln EUR
• Risk Exposure Amount:
  • As of 31/12/2016: 668,741 mln EUR
  • As of 30/06/2017: 441,842 mln EUR

Market Risk

• VaR (Average of previous 60 working days):
  • As of 31/12/2016: 2,420 mln EUR
  • As of 30/06/2017: 2,387 mln EUR
• Stressed VaR:
  • As of 31/12/2016: 6,920 mln EUR
  • As of 30/06/2017: 7,539 mln EUR
• Incremental Default and Migration Risk Capital Charge:
  • As of 31/12/2016: 3,870 mln EUR
  • As of 30/06/2017: 4,071 mln EUR
• All Price Risks Capital Charge for CTP:
  • As of 31/12/2016: 2,736 mln EUR
  • As of 30/06/2017: 2,525 mln EUR

Regulatory References

• Capital Requirements Regulation (CRR):
  • Articles 4(118), 72, 32–35, 40, 42, 48, 153, 155, 159, 36(1), 89–91, 379(3), 469–472, 478, 481, 483–487
• Delegated Regulation (EU) 2015/62:
  • Amending CRR

Key Observations

• The bank's CET1 capital decreased from 242,491 mln EUR (31/12/2016) to 177,168 mln EUR (30/06/2017), indicating a reduction in common equity capital.
• Tier 1 and Total Capital Ratios also declined during the same period, reflecting a reduction in capital relative to risk exposure.
• The leverage ratio dropped from 6.2% to 5.6%, showing a significant decrease in risk-adjusted leverage.
• The total risk exposure amount decreased from 1,557,821 mln EUR (31/12/2016) to 1,184,966 mln EUR (30/06/2017), suggesting a reduction in overall risk exposure.
• The breakdown of risk components indicates that credit risk remains the largest contributor, followed by market and operational risk.
• The UK is highlighted as the country with the highest risk exposure under the Standardised Approach.

Summary of Changes

• CET1 Capital: Decreased due to deductions and transitional adjustments.
• Capital Ratios: Declined, reflecting a lower capital position relative to risk exposure.
• Leverage Ratio: Reduced, indicating lower leverage in the second half of 2017.
• Risk Exposure: Overall decreased, with significant reductions in credit and market risk.
• Transitional Adjustments: Played a role in adjusting capital components and risk exposure.

This summary highlights the bank's capital and risk position during the 2017 EU-wide Transparency Exercise, showing a trend of decreasing capital and risk exposure, with significant regulatory implications.