ANNEX VI
Transitional own funds disclosure template
Common Equity Tier 1 capital: instruments and reserves
(A)
AMOUNT AT DISCLOSURE DATE
(B)
REGULATION (EU) No 575/2013 ARTICLE REFERENCE
(C)
AMOUNTS SUBJECT TO PRE- REGULATION (EU) No 575/2013 TREATMENT OR PRESCRIBED RESIDUAL AMOUNT OF REGULATION (EU) No 575/2013
1
Capital instruments and the related share premium accounts
26 (1), 27, 28, 29, EBA list 26 (3)
of which: Instrument type 1
EBA list 26 (3)
of which: Instrument type 2
EBA list 26 (3)
of which: Instrument type 3
EBA list 26 (3)
2
Retained earnings
26 (1) (c)
3
Accumulated other comprehensive income (and other reserves, to include unrealised gains and losses under the applicable accounting standards)
26 (1)
3a
Funds for general banking risk
26 (1) (f)
4
Amount of qualifying items referred to in Article 484 (3) and the related share premium accounts subject to phase out from CET1
486 (2)
Public sector capital injections grandfathered until 1 January 2018
483 (2)
5
Minority Interests (amount allowed in consolidated CET1)
84, 479, 480
5a
Independently reviewed interim profits net of any foreseeable charge or dividend
26 (2)
6
Common Equity Tier 1 (CET1) capital before regulatory adjustments
Common Equity Tier 1 (CET1) capital: regulatory adjustments
7
Additional value adjustments (negative amount)
34, 105
8
Intangible assets (net of related tax liability) (negative amount)
36 (1) (b), 37, 472 (4)
9
Empty Set in the EU
10
Deferred tax assets that rely on future profitability excluding those arising from temporary differences (net of related tax liability where the conditions in Article 38 (3) are met) (negative amount)
36 (1) (c), 38, 472 (5)
11
Fair value reserves related to gains or losses on cash flow hedges
33 (a)
12
Negative amounts resulting from the calculation of expected loss amounts
36 (1) (d), 40, 159, 472 (6)
13
Any increase in equity that results from securitised assets (negative amount)
32 (1)
14
Gains or losses on liabilities valued at fair value resulting from changes in own credit standing
33 (b)
15
Defined-benefit pension fund assets (negative amount)
36 (1) (e), 41, 472 (7)
16
Direct and indirect holdings by an institution of own CET1 instruments (negative amount)
36 (1) (f), 42, 472 (8)
17
Holdings of the CET1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)
36 (1) (g), 44, 472 (9)
18
Direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10% threshold and net of eligible short positions) (negative amount)
36 (1) (h), 43, 45, 46, 49 (2) (3), 79, 472 (10)
19
Direct, indirect and synthetic holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)
36 (1) (i), 43, 45, 47, 48 (1) (b), 49 (1) to (3), 79, 470, 472 (11)
20
Empty Set in the EU
20a
Exposure amount of the following items which qualify for a RW of 1250%, where the institution opts for the deduction alternative
36 (1) (k)
20b
of which: qualifying holdings outside the financial sector (negative amount)
36 (1) (k) (i), 89 to 91
20c
of which: securitisation positions (negative amount)
36 (1) (k) (ii) 243 (1) (b) 244 (1) (b) 258
20d
of which: free deliveries (negative amount)
36 (1) (k) (iii), 379 (3)
21
Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability where the conditions in 38 (3) are met) (negative amount)
36 (1) (c), 38, 48 (1) (a), 470, 472 (5)
22
Amount exceeding the 15% threshold (negative amount)
48 (1)
23
of which: direct and indirect holdings by the institution of the CET1 instruments of financial sector entities where the institution has a significant investment in those entities
36 (1) (i), 48 (1) (b), 470, 472 (11)
24
Empty Set in the EU
25
of which: deferred tax assets arising from temporary differences
36 (1) (c), 38, 48 (1) (a), 470, 472 (5)
25a
Losses for the current financial year (negative amount)
36 (1) (a), 472 (3)
25b
Foreseeable tax charges relating to CET1 items (negative amount)
36 (1) (l)
26
Regulatory adjustments applied to Common Equity Tier 1 in respect of amounts subject to pre-CRR treatment
26a
Regulatory adjustments relating to unrealised gains and losses pursuant to Articles 467 and 468
Of which: … filter for unrealised loss 1
467
Of which: … filter for unrealised loss 2
467
Of which: … filter for unrealised gain 1
468
Of which: … filter for unrealised gain 2
468
26b
Amount to be deducted from or added to Common Equity Tier 1 capital with regard to additional filters and deductions required pre CRR
481
Of which: …
481
27
Qualifying AT1 deductions that exceed the AT1 capital of the institution (negative amount)
36 (1) (j)
28
Total regulatory adjustments to Common equity Tier 1 (CET1)
29
Common Equity Tier 1 (CET1) capital
Additional Tier 1 (AT1) capital: instruments
30
Capital instruments and the related share premium accounts
51, 52
31
of which: classified as equity under applicable accounting standards
32
of which: classified as liabilities under applicable accounting standards
33
Amount of qualifying items referred to in Article 484 (4) and the related share premium accounts subject to phase out from AT1
486 (3)
Public sector capital injections grandfathered until 1 January 2018
483 (3)
34
Qualifying Tier 1 capital included in consolidated AT1 capital (including minority interests not included in row 5) issued by subsidiaries and held by third parties
85, 86, 480
35
of which: instruments issued by subsidiaries subject to phase out
486 (3)
36
Additional Tier 1 (AT1) capital before regulatory adjustments
Additional Tier 1 (AT1) capital: regulatory adjustments
37
Direct and indirect holdings by an institution of own AT1 Instruments (negative amount)
52 (1) (b), 56 (a), 57, 475 (2)
38
Holdings of the AT1 instruments of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)
56 (b), 58, 475 (3)
39
Direct and indirect holdings of the AT1 instruments of financial sector entities where the institution does not have a significant investment in those entities (amount above the 10% threshold and net of eligible short positions) (negative amount)
56 (c), 59, 60, 79, 475 (4)
40
Direct and indirect holdings by the institution of the AT1 instruments of financial sector entities where the institution has a significant investment in those entities (amount above the 10% threshold net of eligible short positions) (negative amount)
56 (d), 59, 79, 475 (4)
41
Regulatory adjustments applied to additional tier 1 in respect of amounts subject to pre-CRR treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts)
41a
Residual amounts deducted from Additional Tier 1 capital with regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No 575/2013
472, 472(3)(a), 472 (4), 472 (6), 472 (8) (a), 472 (9), 472 (10) (a), 472 (11) (a)
Of which items to be detailed line by line, e.g. Material net interim losses, intangibles, shortfall of provisions to expected losses etc
41b
Residual amounts deducted from Additional Tier 1 capital with regard to deduction from Tier 2 capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/2013
477, 477 (3), 477 (4) (a)
Of which items to be detailed line by line, e.g. Reciprocal cross holdings in Tier 2 instruments, direct holdings of non-significant investments in the capital of other financial sector entities, etc
41c
Amount to be deducted from or added to Additional Tier 1 capital with regard to additional filters and deductions required pre- CRR
467, 468, 481
Of which: … possible filter for unrealised losses
467
Of which: … possible filter for unrealised gains
468
Of which: …
481
42
Qualifying T2 deductions that exceed the T2 capital of the institution (negative amount)
56 (e)
43
Total regulatory adjustments to Additional Tier 1 (AT1) capital
44
Additional Tier 1 (AT1) capital
45
Tier 1 capital (T1 = CET1 + AT1)
Tier 2 (T2) capital: instruments and provisions
46
Capital instruments and the related share premium accounts
62, 63
47
Amount of qualifying items referred to in Article 484 (5) and the related share premium accounts subject to phase out from T2
486 (4)
Public sector capital injections grandfathered until 1 January 2018
483 (4)
48
Qualifying own funds instruments included in consolidated T2 capital (including minority interests and AT1 instruments not included in rows 5 or 34) issued by subsidiaries and held by third parties
87, 88, 480
49
of which: instruments issued by subsidiaries subject to phase out
486 (4)
50
Credit risk adjustments
62 (c) & (d)
51
Tier 2 (T2) capital before regulatory adjustments
Tier 2 (T2) capital: regulatory adjustments
52
Direct and indirect holdings by an institution of own T2 instruments and subordinated loans (negative amount)
63 (b) (i), 66 (a), 67, 477 (2)
53
Holdings of the T2 instruments and subordinated loans of financial sector entities where those entities have reciprocal cross holdings with the institution designed to inflate artificially the own funds of the institution (negative amount)
66 (b), 68, 477 (3)
54
Direct and indirect holdings of the T2 instruments and subordinated loans of financial sector entities where the institution does not have a significant investment in those entities (amount above 10% threshold and net of eligible short positions) (negative amount)
66 (c), 69, 70, 79, 477 (4)
54a
Of which new holdings not subject to transitional arrangements
54b
Of which holdings existing before 1 January 2013 and subject to transitional arrangements
55
Direct and indirect holdings by the institution of the T2 instruments and subordinated loans of financial sector entities where the institution has a significant investment in those entities (net of eligible short positions) (negative amount)
66 (d), 69, 79, 477 (4)
56
Regulatory adjustments applied to tier 2 in respect of amounts subject to pre-CRR treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013 (i.e. CRR residual amounts)
56a
Residual amounts deducted from Tier 2capital with regard to deduction from Common Equity Tier 1 capital during the transitional period pursuant to article 472 of Regulation (EU) No 575/2013
472, 472(3)(a), 472 (4), 472 (6), 472 (8) (a), 472 (9), 472 (10) (a), 472 (11) (a)
Of which items to be detailed line by line, e.g. Material net interim losses, intangibles, shortfall of provisions to expected losses etc
56b
Residual amounts deducted from Tier 2 capital with regard to deduction from Additional Tier 1 capital during the transitional period pursuant to article 475 of Regulation (EU) No 575/2013
475, 475 (2) (a), 475 (3), 475 (4) (a)
Of which items to be detailed line by line, e.g. reciprocal cross holdings in at1 instruments, direct holdings of non significant investments in the capital of other financial sector entities, etc
56c
Amount to be deducted from or added to Tier 2 capital with regard to additional filters and deductions required pre CRR
467, 468, 481
Of which: … possible filter for unrealised losses
467
Of which: … possible filter for unrealised gains
468
Of which: …
481
57
Total regulatory adjustments to Tier 2 (T2) capital
58
Tier 2 (T2) capital
59
Total capital (TC = T1 + T2)
59a
Risk weighted assets in respect of amounts subject to pre-CRR treatment and transitional treatments subject to phase out as prescribed in Regulation (EU) No 575/2013(i.e. CRR residual amounts)
Of which: … items not deducted from CET1 (Regulation (EU) No 575/2013residual amounts) (items to be detailed line by line, e.g. Deferred tax assets that rely on future profitability net of related tax liability, indirect holdings of own CET1, etc)
472, 472 (5), 472 (8) (b), 472 (10) (b), 472 (11) (b)
Of which: … items not deducted from AT1 items (Regulation (EU) No 575/2013residual amounts) (items to be detailed line by line, e.g. Reciprocal cross holdings in T2 instruments, direct holdings of non-significant investments in the capital of other financial sector entities, etc.)
475, 475 (2) (b), 475 (2) (c), 475 (4) (b)
Items not deducted from T2 items (Regulation (EU) No 575/2013residual amounts) (items to be detailed line by line, e.g. Indirect holdings of own t2 instruments, indirect holdings of non-significant investments in the capital of other financial sector entities, indirect holdings of significant investments in the capital of other financial sector entities etc)
477, 477 (2) (b), 477 (2) (c), 477 (4) (b)
60
Total risk weighted assets
Capital ratios and buffers
61
Common Equity Tier 1 (as a percentage of risk exposure amount)
92 (2) (a), 465
62
Tier 1 (as a percentage of risk exposure amount)
92 (2) (b), 465
63
Total capital (as a percentage of risk exposure amount)
92 (2) (c)
64
Institution specific buffer requirement (CET1 requirement in accordance with article 92 (1) (a) plus capital conservation and countercyclical buffer requirements, plus systemic risk buffer, plus the systemically important institution buffer (G-SII or O-SII buffer), expressed as a percentage of risk exposure amount)
CRD 128, 129, 130
65
of which: capital conservation buffer requirement
66
of which: countercyclical buffer requirement
67
of which: systemic risk buffer requirement
67a
of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer
CRD 131
68
Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount)
CRD 128
69
[non relevant in EU regulation]
70
[non relevant in EU regulation]
71
[non relevant in EU regulation]
Capital ratios and buffers
72
Direct and indirect holdings of the capital of financial sector entities where the institution does not have a significant investment in those entities (amount below 10% threshold and net of eligible short positions)
36 (1) (h), 45, 46, 472 (10) 56 (c), 59, 60, 475 (4) 66 (c), 69, 70, 477 (4)
73
Direct and indirect holdings by the institution of the CET 1 instruments of financial sector entities where the institution has a significant investment in those entities (amount below 10% threshold and net of eligible short positions)
36 (1) (i), 45, 48, 470, 472 (11)
74
Empty Set in the EU
75
Deferred tax assets arising from temporary differences (amount below 10% threshold, net of related tax liability where the conditions in Article 38 (3) are met)
36 (1) (c), 38, 48, 470, 472 (5)
Applicable caps on the inclusion of provisions in Tier 2
76
Credit risk adjustments included in T2 in respect of exposures subject to standardized approach (prior to the application of the cap)
62
77
Cap on inclusion of credit risk adjustments in T2 under standardised approach
62
78
Credit risk adjustments included in T2 in respect of exposures subject to internal ratings-based approach (prior to the application of the cap)
62
79
Cap for inclusion of credit risk adjustments in T2 under internal ratings-based approach
62
Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2013 and 1 Jan 2022)
80
Current cap on CET1 instruments subject to phase out arrangements
484 (3), 486 (2) & (5)
81
Amount excluded from CET1 due to cap (excess over cap after redemptions and maturities)
484 (3), 486 (2) & (5)
82
Current cap on AT1 instruments subject to phase out arrangements
484 (4), 486 (3) & (5)
83
Amount excluded from AT1 due to cap (excess over cap after redemptions and maturities)
484 (4), 486 (3) & (5)
84
Current cap on T2 instruments subject to phase out arrangements
484 (5), 486 (4) & (5)
85
Amount excluded from T2 due to cap (excess over cap after redemptions and maturities)
484 (5), 486 (4) & (5)