EBA欧洲银行-LU_7W1GMC6J4KGLBBUSYP52_TR_2018_16页_2mb

2018 EU-wide Transparency Exercise Summary

Core Information

• Bank Name: J.P. Morgan Bank Luxembourg S.A.
• LEI Code: 7W1GMC6J4KGLBBUSYP52
• Country Code: LU
• Reporting Period: As of 31/12/2017 and 30/06/2018
• Reporting Scope: The bank does not report FINREP data on a consolidated level, and only COREP templates are published.

Own Funds and Capital Ratios (Transitional Period)

Own Funds

• Own Funds (Transitional period):
  • As of 31/12/2017: 1,062 (min EUR)
  • As of 30/06/2018: 1,203 (min EUR)
• CET1 Capital:
  • As of 31/12/2017: 1,062 (min EUR)
  • As of 30/06/2018: 1,203 (min EUR)

Capital Ratios

• Common Equity Tier 1 (CET1) Ratio:
  • As of 31/12/2017: 37.66%
  • As of 30/06/2018: 41.64%
• Tier 1 Capital Ratio:
  • As of 31/12/2017: 37.66%
  • As of 30/06/2018: 41.64%
• Total Capital Ratio:
  • As of 31/12/2017: 37.66%
  • As of 30/06/2018: 41.64%

Key Deductions and Adjustments

• Transitional adjustments:
  • A.1.1: CET1 capital eligible instruments: 9 (min EUR)
  • A.1.2: Retained earnings: 1,037 (min EUR)
  • A.1.3: Accumulated other comprehensive income: 0 (min EUR)
  • A.1.4: Other reserves: 16 (min EUR)
  • A.1.5: Funds for general banking risk: 0 (min EUR)
  • A.1.6: Minority interest: 0 (min EUR)
  • A.1.7: Adjustments to CET1 due to prudential fibers: 0 (min EUR)
  • A.1.8: Intangible assets: 0 (min EUR)
  • A.1.9: TFA that rely on future profitability: 0 (min EUR)
  • A.1.10: IRB shortfall: 0 (min EUR)
  • A.1.11: Defined benefit pension fund assets: 0 (min EUR)
  • A.1.12: Reciprocal cross holdings: 0 (min EUR)
  • A.1.13: Excess deduction from AT1 items: 0 (min EUR)
  • A.1.14: Deductions related to assets with 1.250% risk weight: 0 (min EUR)
  • A.1.15: Holdings of CET1 instruments: 0 (min EUR)
  • A.1.16: Deductible DTAs: 0 (min EUR)
  • A.1.17: Holdings of CET1 instruments with significant investment: 0 (min EUR)
  • A.1.18: Amount exceeding 17.65% threshold: 0 (min EUR)
  • A.1.19: Additional deductions due to Article 3 CRR: 0 (min EUR)
  • A.1.20: Other CET1 deductions: 0 (min EUR)
  • A.1.21: Transitional adjustments:
    • A.1.21.1: Grandfathered CET1 instruments: 0 (min EUR)
    • A.1.21.2: Additional minority interests: 0 (min EUR)
    • A.1.21.3: Other transitional adjustments: 0 (min EUR)

Capital Ratios (Fully Loaded)

• CET1 Capital Fully loaded:
  • As of 31/12/2017: 1,062 (min EUR)
  • As of 30/06/2018: 1,203 (min EUR)
• CET1 Capital Ratio Fully loaded:
  • As of 31/12/2017: 37.66%
  • As of 30/06/2018: 41.64%

Leverage Ratio

• Tier 1 Capital - Transitional definition:
  • As of 31/12/2017: 1,062 (mln EUR)
  • As of 30/06/2018: 1,203 (mln EUR)
• Total Leverage Ratio Exposures:
  • Transitional definition: 13,441 (mln EUR) as of 31/12/2017 and 13,515 (mln EUR) as of 30/06/2018
• Leverage Ratio:
  • Transitional definition: 7.9% as of 31/12/2017 and 8.9% as of 30/06/2018
  • Fully phased-in definition: 7.9% and 8.9% respectively

Risk Exposure Amounts

• Total Risk Exposure Amount:
  • As of 31/12/2017: 2,821 (min EUR)
  • As of 30/06/2018: 2,889 (min EUR)
• Credit Risk Exposure:
  • As of 31/12/2017: 2,241 (min EUR)
  • As of 30/06/2018: 2,293 (min EUR)
• Operational Risk Exposure:
  • As of 31/12/2017: 579 (min EUR)
  • As of 30/06/2018: 596 (min EUR)

Market Risk

• Market Risk Exposure:
  • As of 31/12/2017: 0 (min EUR)
  • As of 30/06/2018: 0 (min EUR)
• VaR and Stressed VaR:
  • All values are 0 for both periods.
• Incremental Default and Migration Risk Capital Charge:
  • As of 31/12/2017: 0 (min EUR)
  • As of 30/06/2018: 0 (min EUR)

Credit Risk - Standardised Approach

Consolidated Data

• Original Exposure:
  • As of 31/12/2017: 14,120 (mln EUR)
  • As of 30/06/2018: 14,214 (mln EUR)
• Exposure Value:
  • As of 31/12/2017: 13,365 (mln EUR)
  • As of 30/06/2018: 13,437 (mln EUR)
• Risk Exposure Amount:
  • As of 31/12/2017: 2,241 (mln EUR)
  • As of 30/06/2018: 2,293 (mln EUR)
• Value Adjustments and Provisions:
  • As of 31/12/2017: 0 (mln EUR)
  • As of 30/06/2018: 0 (mln EUR)

Key Exposure Categories

• Central governments or central banks: 3,172 (mln EUR) as of 31/12/2017 and 3,166 (mln EUR) as of 30/06/2018
• Institutions: 9,940 (mln EUR) as of 31/12/2017 and 9,827 (mln EUR) as of 30/06/2018
• Corporates: 860 (mln EUR) as of 31/12/2017 and 935 (mln EUR) as of 30/06/2018
• Retail: 0 (mln EUR) for both periods
• Other exposures: 148 (mln EUR) as of 31/12/2017 and 136 (mln EUR) as of 30/06/2018

Additional Notes

• The fully loaded CET1 capital ratio is calculated using the formula stated in the COREP CODE, which may differ from the ratios published by other banks in Pillar 3 disclosures.
• The original exposure is reported before applying credit conversion factors or credit risk mitigation techniques.
• The value adjustments and provisions include general credit risk adjustments but exclude those related to securitisation, AVAs, and other fund reductions.
• The Standardised Total for credit risk is not explicitly provided in the table but is implied to be the sum of all categories.