ANNEX I
PROCEDURE FOR THE CALCULATION OF THE ANNUAL CONTRIBUTIONS OF INSTITUTIONS
STEP 1
Calculation of the Raw Indicators
The resolution authority shall calculate the following indicators by applying the following measures:
|
Pillar |
Indicator |
Measures |
|
Risk exposure |
Own funds and eligible liabilities held by the institution in excess of MREL |
Where, for the purpose of this indicator: Own funds shall mean the sum of Tier 1 and Tier 2 Capital in accordance with the definition in Article 4(1), point (118), of Regulation (EU) No 575/2013. Eligible liabilities are the sum of the liabilities referred to in Article 2(1), point (71a), of Directive 2014/59/EU. Total liabilities mean total liabilities as defined in Article 3(11) of this Regulation. Derivative liabilities shall be included in the total liabilities on the basis that full recognition is given to counterparty netting rights. MREL shall mean the minimum requirement for own funds and eligible liabilities as defined in Article 45(1) of Directive 2014/59/EU. This indicator shall be calculated using the higher value of MREL choosing between the MREL value calculated on the basis of a percentage of the total risk exposure amount of the entity concerned pursuant to Article 45(2), point (a), of Directive 2014/59/EU, and the MREL value calculated on the basis of a percentage of the total exposure measure of the entity concerned pursuant to Article 45(2), point (b), of Directive 2014/59/EU. |
|
Risk exposure |
Leverage Ratio as defined in Article 429 of Regulation (EU) No 575/2013 and reported in accordance with Annex X to Implementing Regulation (EU) No 680/2014. |
|
|
Risk exposure |
Common Equity Tier 1 Capital Ratio as defined in Article 92 of Regulation (EU) No 575/2013 and reported in accordance with Annex I to Implementing Regulation (EU) No 680/2014. |
|
|
Risk exposure |
where: TRE means the total risk exposure amount as defined in Article 92(3) of Regulation (EU) No 575/2013. Total assets are defined in Article 3(12) of this Regulation. |
|
|
Stability and Variety of Funding |
Net Stable Funding Ratio as reported in accordance with Article 415 of Regulation (EU) No 575/2013. |
|
|
Stability and Variety of Funding |
Liquidity Coverage Ratio as reported in accordance with Article 415 of Regulation (EU) No 575/2013 and with the Delegated Regulation (EU) 2015/61. |
|
|
Importance of an institution to the stability of the financial system or economy |
Share of interbank loans and deposits in the EU |
where: Interbank loans are defined as the sum of the carrying amounts of loans and advances to credit institutions and other financial corporations as determined for the purpose of template number 4.1, 4.2, 4.3 and 4.4 of Annex III to Implementing Regulation (EU) No 680/2014. Interbank deposits are defined as the carrying amount of the deposits of credit institutions and other financial corporations as determined for the purpose of template number 8.1 of Annex III to Implementing Regulation (EU) No 680/2014. Total interbank loans and deposits in the EU are the sum of the aggregate interbank loans and deposits held by institutions in each Member State as calculated in accordance with Article 15. |
