Kapitalbaskrav, förluster på utlåning med säkerhet i fastighet och stora exponeringar James Mc Connell, Kapitaltäckningsexpert james.mcconnell@fi.se
Kapitalbaskrav och stora exponeringar (CRR artikel 99 och 394 ITS kapitel 3.1 och 5)
Vilka tillämpar?
Institut och grupper Kapitaltäckningsrapport Kapitalbaskrav och stora exp. ------------------------------------------------I------------------------------------------------ 2013-12 2014-01-01 2014-12
Förluster på utlåning med säkerhet i fastighet (CRR artikel 101 ITS kapitel 4)
Vilka tillämpar?
Institut, grupper och filialer Förluster med säkerhet i fastighet ----------------------------------------------------------------------------------------------- -I- -I- 2014-01-01 2014-06-30 2014-12
Innehåll
KVARTALSVIS 29 tabeller 73
KVARTALSVIS 29 tabeller KVARTALSVIS TRÖSKELVÄRDE 3 tabeller (+1) 74
KVARTALSVIS 29 tabeller KVARTALSVIS TRÖSKELVÄRDE 3 tabeller (+1) DELÅRSVIS 4 tabeller 75
Rows ID Item Amount C 01.00 - OWN FUNDS (CA1) 010 1 OWN FUNDS 015 1.1 TIER 1 CAPITAL 020 1.1.1 COMMON EQUITY TIER 1 CAPITAL 030 1.1.1.1 Capital instruments eligible as CET1 Capital 040 1.1.1.1.1 Paid up capital instruments 050 1.1.1.1.2* Memorandum item: Capital instruments not eligible 060 1.1.1.1.3 Share premium 070 1.1.1.1.4 (-) Own CET1 instruments 080 1.1.1.1.4.1 (-) Direct holdings of CET1 instruments 090 1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments 091 1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments 092 1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments 130 1.1.1.2 Retained earnings 140 1.1.1.2.1 Previous years retained earnings 150 1.1.1.2.2 Profit or loss eligible 160 1.1.1.2.2.1 Profit or loss attributable to owners of the parent 170 1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible 180 1.1.1.3 Accumulated other comprehensive income 200 1.1.1.4 Other reserves 210 1.1.1.5 Funds for general banking risk 220 1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments 230 1.1.1.7 Minority interest given recognition in CET1 capital 240 1.1.1.8 Transitional adjustments due to additional minority interests 250 1.1.1.9 Adjustments to CET1 due to prudential filters 260 1.1.1.9.1 (-) Increases in equity resulting from securitised assets 270 1.1.1.9.2 Cash flow hedge reserve
Rows ID Item Amount 010 020 030 040 050 060 070=040+050+0 60 080 090=020+070+08 0 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 255 260 270 280 290 300 010 TOTAL EXPOSURES Cell linked to CA 070 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL SUBJECT TO CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DOUBLE EFFECTS ON THE EXPOSURE DEFAULT TREATMENT DEFAULT TREATMENT INTERNAL RATING ORIGINAL EXPOSURE PRE SYSTEM CONVERSION FACTORS OWN ESTIMATES OF LGD'S ARE UNFUNDED CREDIT SUBSTITUTION OF THE EXPOSURE USED: FUNDED CREDIT PROTECTION PROTECTION EXPOSURE DUE TO CRM AFTER CRM UNFUNDED CREDIT SUBSTITUTION EXPOSURE PROTECTION EFFECTS PRE VALUE OTHER ELIGIBLE COLLATERAL (-) OTHER CONVERSION OF WHICH: UNFUNDED FACTORS OF WHICH: FUNDED LARGE LARGE OWN ESTIMATES CREDIT CREDIT OF WHICH: PD ASSIGNED TO FINANCIAL OF WHICH: FINANCIAL OF LGD'S ARE PROTECTION PROTECTION TOTAL OFF OF WHICH: ELIGIBLE THE OBLIGOR SECTOR (-) (-) CREDIT (-) TOTAL ARISING FROM SECTOR CREDIT USED: OTHER INFLOWS BALANCE OFF BALANCE GUARANTEES FINANCIAL REAL GRADE OR POOL ENTITIES AND GUARANTEES DERIVATIVES OUTFLOWS COUNTERPARTY ENTITIES AND DERIVATIVES OTHER FUNDED PHYSICAL RECEIVABLES (+) SHEET SHEET ITEMS COLLATERAL ESTATE (%) UNREGULATED CREDIT RISK UNREGULATED CREDIT COLLATERAL ITEMS FINANCIAL FINANCIAL PROTECTION ENTITIES ENTITIES EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES RISK EXPOSURE- WEIGHTED WEIGHTED EXPOSURE AVERAGE AMOUNT PRE MATURITY SME- VALUE (DAYS) SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPECTED LOSS AMOUNT MEMORANDUM ITEMS: (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS C 01.00 - OWN FUNDS (CA1) 010 1 OWN FUNDS 015 1.1 TIER 1 CAPITAL 020 1.1.1 COMMON EQUITY TIER 1 CAPITAL 030 1.1.1.1 Capital instruments eligible as CET1 Capital 040 1.1.1.1.1 Paid up capital instruments 050 1.1.1.1.2* Memorandum item: Capital instruments not eligible 060 1.1.1.1.3 Share premium 070 1.1.1.1.4 (-) Own CET1 instruments 080 1.1.1.1.4.1 (-) Direct holdings of CET1 instruments 090 1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments 091 1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments 092 1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments 130 1.1.1.2 Retained earnings 140 1.1.1.2.1 Previous years retained earnings 150 1.1.1.2.2 Profit or loss eligible 160 1.1.1.2.2.1 Profit or loss attributable to owners of the parent 170 1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible 180 1.1.1.3 Accumulated other comprehensive income 200 1.1.1.4 Other reserves 210 1.1.1.5 Funds for general banking risk 220 1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments 230 1.1.1.7 Minority interest given recognition in CET1 capital 240 1.1.1.8 Transitional adjustments due to additional minority interests 250 1.1.1.9 Adjustments to CET1 due to prudential filters 260 1.1.1.9.1 (-) Increases in equity resulting from securitised assets 270 1.1.1.9.2 Cash flow hedge reserve C 08.01 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) IRB Exposure class: Own estimates of LGD and/or conversion factors: BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 020 On balance sheet items subject to credit risk 030 Off balance sheet items subject to credit risk Exposures / Transactions subject to counterparty credit risk 040 Securities Financing Transactions 050 Derivatives & Long Settlement Transactions 060 From Contractual Cross Product Netting
Rows ID Item Amount 010 020 030 040 050 060 070=040+050+0 60 080 090=020+070+08 0 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 255 260 270 280 290 300 010 TOTAL EXPOSURES Cell linked to CA 070 EXPOSURES ASSIGNED TO OBLIGOR GRADES OR POOLS: TOTAL SUBJECT TO CREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION CREDIT RISK MITIGATION TECHNIQUES TAKEN INTO ACCOUNT IN LGD ESTIMATES EXCLUDING DOUBLE DOUBLE EFFECTS ON THE EXPOSURE DEFAULT TREATMENT DEFAULT TREATMENT INTERNAL RATING ORIGINAL EXPOSURE PRE SYSTEM CONVERSION FACTORS OWN ESTIMATES OF LGD'S ARE UNFUNDED CREDIT SUBSTITUTION OF THE EXPOSURE USED: FUNDED CREDIT PROTECTION PROTECTION EXPOSURE DUE TO CRM AFTER CRM UNFUNDED CREDIT SUBSTITUTION EXPOSURE PROTECTION EFFECTS PRE VALUE OTHER ELIGIBLE COLLATERAL (-) OTHER CONVERSION OF WHICH: UNFUNDED FACTORS OF WHICH: FUNDED LARGE LARGE OWN ESTIMATES CREDIT CREDIT OF WHICH: PD ASSIGNED TO FINANCIAL OF WHICH: FINANCIAL OF LGD'S ARE PROTECTION PROTECTION TOTAL OFF OF WHICH: ELIGIBLE THE OBLIGOR SECTOR (-) (-) CREDIT (-) TOTAL ARISING FROM SECTOR CREDIT USED: OTHER INFLOWS BALANCE OFF BALANCE GUARANTEES FINANCIAL REAL GRADE OR POOL ENTITIES AND GUARANTEES DERIVATIVES OUTFLOWS COUNTERPARTY ENTITIES AND DERIVATIVES OTHER FUNDED PHYSICAL RECEIVABLES (+) SHEET SHEET ITEMS COLLATERAL ESTATE (%) UNREGULATED CREDIT RISK UNREGULATED CREDIT COLLATERAL ITEMS FINANCIAL FINANCIAL PROTECTION ENTITIES ENTITIES EXPOSURE WEIGHTED AVERAGE LGD (%) EXPOSURE WEIGHTED AVERAGE LGD (%) FOR LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES RISK EXPOSURE- WEIGHTED WEIGHTED EXPOSURE AVERAGE AMOUNT PRE MATURITY SME- VALUE (DAYS) SUPPORTING FACTOR RISK WEIGHTED EXPOSURE AMOUNT AFTER SME-SUPPORTING FACTOR RETENTION NON ABCP PROGRAMMES SECURITISED EXPOSURES SECURITISATION STRUCTURE SECURITISATION POSITIONS SECURITISATION POSITIONS - TRADING BOOK ACCOUNTING EARLY TOTAL RISK SOLVENCY ROLE OF THE OFF-BALANCE SHEET ITEMS MEMORANDUM ITEMS: OFF-BALANCE SHEET ITEMS AND TREATMENT: ON-BALANCE SHEET ITEMS MATURITY ORIGINAL EXPOSURE PRE-CONVERSION FACTORS AMORTISATION (-) EXPOSURE EXPOSURE AMOUNT SECURITISATION TREATMENT: SECURITISATION INSTITUTION: AND DERIVATIVES DERIVATIVES IDENTIFIER OF IDENTIFIER OF Securitised VALUE TOTAL OWN INTERNAL TYPE: Securitisation OR RE- (ORIGINATOR / THE THE exposures are % OF COMPLIANCE TOTAL AMOUNT OF TOTAL OWN FUNDS OFF-BALANCE SHEET ITEMS DEDUCTED NET FUNDS CODE (TRADITIONAL / positions subject to SECURITISATION TYPE OF SPONSOR / APPROACH (-) VALUE ON-BALANCE SHEET ITEMS SECURITISATION ORIGINATOR kept or removed ORIGINATION RETENTION AT WITH THE SECURITISED AMOUNT INSTITUTION'S REQUIREMENTS AND DERIVATIVES FROM OWN REQUIREMENTS FIRST OTHER CTP OR NON- POSITIONS SYNTHETIC) own funds? RETENTION ORIGINAL LENDER / APPLIED NUMBER OF ADJUSTMENTS DATE SHARE COUNTRY ELGD (%) BEFORE LEGAL from the balance TYPE REPORTING RETENTION EXPOSURES AT AND ELIGIBLE CONVERSION FUNDS (SA) requirements? FIRST FIRST FORESEEABLE FINAL DIRECT CREDIT (including CTP? APPLIED INVESTOR) (SA/IRB/MI EXPOSURES sheet? (mm/yyyy) (%) SECURITISATION DATE REQUIREMENT? ORIGINATION DATE X) PROVISIONS SENIOR MEZZANINE SENIOR MEZZANINE IRS / CRS LIQUIDITY FACTOR (%) LOSS LOSS TERMINATION MATURITY SUBSTITUTES non-eligible FIRST FIRST FACILITIES APPLIED BEFORE AFTER DATE DATE SENIOR MEZZANINE SENIOR MEZZANINE LF) LOSS LOSS CAP CAP LONG SHORT SPECIFIC RISK 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450 460 470 480 OF WHICH: LARGE FINANCIAL SECTOR ENTITIES AND UNREGULATED FINANCIAL ENTITIES EXPECTED LOSS AMOUNT MEMORANDUM ITEMS: (-) VALUE ADJUSTMENTS AND PROVISIONS NUMBER OF OBLIGORS C 01.00 - OWN FUNDS (CA1) 010 1 OWN FUNDS 015 1.1 TIER 1 CAPITAL 020 1.1.1 COMMON EQUITY TIER 1 CAPITAL 030 1.1.1.1 Capital instruments eligible as CET1 Capital 040 1.1.1.1.1 Paid up capital instruments 050 1.1.1.1.2* Memorandum item: Capital instruments not eligible 060 1.1.1.1.3 Share premium 070 1.1.1.1.4 (-) Own CET1 instruments 080 1.1.1.1.4.1 (-) Direct holdings of CET1 instruments 090 1.1.1.1.4.2 (-) Indirect holdings of CET1 instruments 091 1.1.1.1.4.3 (-) Synthetic holdings of CET1 instruments 092 1.1.1.1.5 (-) Actual or contingent obligations to purchase own CET1 instruments 130 1.1.1.2 Retained earnings 140 1.1.1.2.1 Previous years retained earnings 150 1.1.1.2.2 Profit or loss eligible 160 1.1.1.2.2.1 Profit or loss attributable to owners of the parent 170 1.1.1.2.2.2 (-) Part of interim or year-end profit not eligible 180 1.1.1.3 Accumulated other comprehensive income 200 1.1.1.4 Other reserves 210 1.1.1.5 Funds for general banking risk 220 1.1.1.6 Transitional adjustments due to grandfathered CET1 Capital instruments 230 1.1.1.7 Minority interest given recognition in CET1 capital 240 1.1.1.8 Transitional adjustments due to additional minority interests 250 1.1.1.9 Adjustments to CET1 due to prudential filters 260 1.1.1.9.1 (-) Increases in equity resulting from securitised assets 270 1.1.1.9.2 Cash flow hedge reserve C 08.01 - CREDIT AND COUNTERPARTY CREDIT RISKS AND FREE DELIVERIES: IRB APPROACH TO CAPITAL REQUIREMENTS (CR IRB 1) IRB Exposure class: Own estimates of LGD and/or conversion factors: BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES: 020 On balance sheet items subject to credit risk 030 Off balance sheet items subject to credit risk Exposures / Transactions subject to counterparty credit risk 040 Securities Financing Transactions 050 Derivatives & Long Settlement Transactions 060 From Contractual Cross Product Netting C 14.00 - DETAILED INFORMATION ON SECURITISATIONS (SEC Details)
Mera detaljer Inom gruppen Geografi CVA-risk Förluster Löptid
Kommande krav Intecknade tillgångar Finansiella företag och institutsexponeringar
Tänkvärt Studera mallar och instruktioner Nytt regelverk, inte bara rapportering Institutet ansvarar för att rapporten är rätt
Bruttosoliditet/Pelare 2 Emil Hagström, Analytiker emil.hagstrom@fi.se
Vem, vad, när?
Rapportering Bruttosoliditet (LRCalc) Övriga mallar, kvartalsslut (LR1 LR6)
Gränsvärden, derivat
Vad är övriga bolag?
Tänkvärt Bruttosoliditet ersätter ingen nuvarande rapportering. 3 % i Basel, men nivåerna kommer att kalibreras. Planerat att införas 2018.
Pelare 2
Rapporteringen idag
Varför?
Vem, vad, när?
Tidplan
Felrapportering James Mc Connell, Kapitaltäckningsexpert james.mcconnell@fi.se
Intern kontroll
Systemlösning Niclas Wensberg, Programledare implementation rapportering@fi.se
Förutsättningar Lokal rapportering, ingen taxonomi Taxonomidriven rapportering Lokala valideringar Centralt lagrad data för analys Analys av inrapporterat data logga Avancerad automatiserad dataanalys
DPM & Taxonomi
Arbetssätt
Arbetssätt Agera Mät Planera Arbetsprocesser
Arbetssätt Agera Mät Planera Arbetsprocesser KPI:er, Mätvärden, Distributioner, Inrapportering.
Arbetssätt Agera Mät Planera Arbetsprocesser KPI:er, Mätvärden, Distributioner, Inrapportering. Metoder
Arbetssätt Agera Mät Planera Arbetsprocesser KPI:er, Mätvärden, Distributioner, Inrapportering. Metoder IT system
Infrastruktur
Inrapportering Skapa blanketter för taxonomibaserad rapportering Inrapportering DPM Meta Rep XML Web app Versionshanterad Metadata Återanvända designprinciper Affärslogik In Rep
Taxonomibaserad inrapportering Manuell inrapportering i webb-applikation Uppladdning av datafil i webb-applikation Formatet är XBRL Filen ska packas enligt formatet zip
Validering
Värdehantering Långtidslagring 2013 2014 2020
Analys
Utrapportering
Tänkvärt Förbered ert data Vid XBRL, använd ett verktyg EBA:s webbsidor
Nytt inrapporteringssystem Thomas Gustavsson, Systemförvaltare rapportering@fi.se
Rapporteringssätt XML (FI blanketter) XBRL (EU blanketter) Manuell inmatning PI Periodisk inrapportering
Rapporteringssätt Institut som använda XBRL för rapportering antas kunna hantera detta själva FI ansvarar inte för Data point model (DPM) FI ansvarar inte för taxonomier
Periodisk inrapportering
Nya funktioner
Rapportflöde Uppladdning/ Manuellt Validering Skicka in
E-post
Tänkvärt För de flesta kommer XBRL vara det sätt man kommer rapportera via.
www.eba.eiopa.eu www.esrb.europa.eu Länkar
Länkar FINREP-paketet Final draft ITS on supervisory reporting Annex III - FINREP templates IFRS Annex V - Instructions on FINREP Non-performing exposures & Forbearance Consultation Paper Annex I Templates Annex II Instructions Annex III Data Point Model Annex IV Validation rules https://www.eba.europa.eu/regulation-and-policy/supervisory-reporting/draft- implementing-technical-standard-on-supervisory-reporting-leverage-ratio- https://www.eba.europa.eu/-/eba-consultation-paper-on-supervisory-reporting-onforbearance-and-non-performing-exposures
Länkar Kapitalbaskrav, förluster på utlåning med säkerhet i fastighet och stora exponeringar Final draft ITS on supervisory reporting Annex I Own funds templates Annex II Instructions on own funds Annex VI IP losses templates Annex VII Instructions on IP losses Annex VIII Large exposures templates Annex IX Instructions on large exposures http://www.eba.europa.eu/-/eba-publishes-final-draft-technical-standardson-supervisory-reporting-requiremen-4 Asset encumberance Consultation Paper http://www.eba.europa.eu/-/eba-consultation-paper-on-assetencumbrance-reporting
Länkar http://www.eba.europa.eu/regulation-and-policy/supervisoryreporting/draft-implementing-technical-standard-onsupervisory-reporting-leverage-ratio-
Länkar Format för att packa fil: http://www.pkware.com/documents/casestudies/appnote.txt Best practise XBRL: http://cen.eurofiling.info/wp-content/uploads/data/cwa_xbrl_wi001-4-e.pdf. 5