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Consolidated Annual Report of Bank Millennium Group for 2016

Information on risk, capital and remuneration policy of Bank Millennium in 2016

Selected financial data for 2016 (format xls)

2016 Bank Millennium CSR Report

Brochure with information regarding Bank Millennium activities



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  1. Capital Adequacy
  2. Statement of the Management Board

Statement of the Management Board

The Management Board of Bank Millennium SA hereby represents that the findings described in the Disclosures are true to the facts and the risk management systems put in place are adequate with regard to the risk profile and strategy of the Group and Bank Millennium SA.

 

SIGNATURES

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Date Name and Surname Position/Function Signature
02.03.2017 Joao Bras Jorge Chairman of the Management Board ……………………….
02.03.2017 Fernando Bicho Deputy Chairman of the Management Board ………………………
02.03.2017 Wojciech Haase Member of the Management Board ………………………
02.03.2017 Andrzej Gliński Member of the Management Board ………………………
02.03.2017 Maria Jose Campos Member of the Management Board ………………………
02.03.2017 Wojciech Rybak Member of the Management Board ………………………

APPENDIX 1 OWN FUNDS IN ACCORDANCE WITH THE EU COMMISSION IMPLEMENTING REGULATION No 1423/2013 OF 20.12.2013 +

ustanawiającym wykonawcze standardy techniczne w zakresie wymogów dotyczących ujawniania informacji na temat funduszy własnych instytucji, zgodnie z Rozporządzeniem Parlamentu Europejskiego i Rady (UE) nr 575/2013

Main features of capital instruments

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Main features of capital instruments
1 Issuer
2 Unique identifier (eg CUSIP. ISIN or Bloomberg identifier for private placement)
3 Governing law(s) of the instrument
Regulatory treatment
4 Transitional CRR rules
5 Post-transitional CRR rules
6 Eligible at solo/(sub-)consolidated/ solo&(sub-)consolidated
7 Instrument type (types to be specified by each jurisdiction)
8 Amount recognised in regulatory capital (Currency in million. as of most recent reporting date)
9 Nominal amount of instrument
9a Issue price
9b Redemption price
10 Accounting classification
11 Original date of issuance
12 Perpetual or dated
13 Original maturity date
14 Issuer call subject to prior supervisory approval
15 Optional call date. contingent call dates and redemption amount
16 Subsequent call dates. if applicable
Coupons / dividends
17 Fixed or floating dividend/coupon
18 Coupon rate and any related index
19 Existence of a dividend stopper
20a Fully discretionary. partially discretionary or mandatory (in terms of timing)
20b Fully discretionary. partially discretionary or mandatory (in terms of amount)
21 Existence of step up or other incentive to redeem
22 Noncumulative or cumulative
23 Convertible or non-convertible
24 If convertible. conversion trigger(s)
25 If convertible. fully or partially
26 If convertible. conversion rate
27 If convertible. mandatory or optional conversion
28 If convertible. specify instrument type convertible into
29 If convertible. specify issuer of instrument it converts into
30 Write-down features
31 If write-down. write-down trigger(s)
32 If write-down. full or partial
33 If write-down. permanent or temporary
34 If temporary write-down. description of write-up mechanism
35 Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument)
36 Non-compliant transitioned features
37 If yes. specify non-compliant features

 


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A B1 B2 C D1 D2 D3
1 Bank Millennium S.A. Bank Millennium S.A. Bank Millennium S.A. Bank Millennium S.A. Bank Millennium S.A. Bank Millennium S.A. Bank Millennium S.A.
2 N/A N/A N/A PLBIG0000016 PLBIG0000016 PLBIG0000016 PLBIG0000016
3 Polish Polish Polish Polish Polish Polish Polish
4 N/A N/A N/A N/A N/A N/A N/A
5 Common Tier I Capital Common Tier I Capital Common Tier I Capital Common Tier I Capital Common Tier I Capital Common Tier I Capital Common Tier I Capital
6 Stand-alone level/consolidated level Stand-alone level/consolidated level Stand-alone level/consolidated level Stand-alone level/consolidated level Stand-alone level/consolidated level Stand-alone level/consolidated level Stand-alone level/consolidated level
7 registered founder registered ordinary registered ordinary registered ordinary registered ordinary registered ordinary registered ordinary
8 427 400 600 000 600 000 18 772 600 6 800 008 10 445 464 4 006 000
9 1.00 1.00 1.00 1.00 1.00 1.00 1.00
9a 1.00 1.00 1.00 1.00 1.00 1.00 1.00
9b N/A N/A N/A N/A N/A N/A N/A
10 equity equity equity equity equity equity equity
11 30.06.1989 13.06.1990 13.12.1990 17.05.1991 31.12.1991 31.01.1992 10.03.1992
12 perpetual perpetual perpetual perpetual perpetual perpetual perpetual
13 N/A N/A N/A N/A N/A N/A N/A
14 N/A N/A N/A N/A N/A N/A N/A
15 N/A N/A N/A N/A N/A N/A N/A
16 N/A N/A N/A N/A N/A N/A N/A
17 Floating rate Floating rate Floating rate Floating rate Floating rate Floating rate Floating rate
18 N/A N/A N/A N/A N/A N/A N/A
19 Yes Yes Yes Yes Yes Yes Yes
20a fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary
20b fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary
21 N/A N/A N/A N/A N/A N/A N/A
22 N/A N/A N/A N/A N/A N/A N/A
23 N/A N/A N/A N/A N/A N/A N/A
24 N/A N/A N/A N/A N/A N/A N/A
25 N/A N/A N/A N/A N/A N/A N/A
26 N/A N/A N/A N/A N/A N/A N/A
27 N/A N/A N/A N/A N/A N/A N/A
28 N/A N/A N/A N/A N/A N/A N/A
29 N/A N/A N/A N/A N/A N/A N/A
30 N/A N/A N/A N/A N/A N/A N/A
31 GSM. statutory approach GSM. statutory approach GSM. statutory approach GSM. statutory approach GSM. statutory approach GSM. statutory approach GSM. statutory approach
32 full or partial full or partial full or partial full or partial full or partial full or partial full or partial
33 N/A N/A N/A N/A N/A N/A N/A
34 GSM’s resolution GSM’s resolution GSM’s resolution GSM’s resolution GSM’s resolution GSM’s resolution GSM’s resolution
35 N/A N/A N/A N/A N/A N/A N/A
36 N/A N/A N/A N/A N/A N/A N/A
37 N/A N/A N/A N/A N/A N/A N/A
E F G H I J K L
1 Bank Millennium S.A. Bank Millennium S.A. Bank Millennium S.A. Bank Millennium S.A. Bank Millennium S.A. Bank Millennium S.A. Bank Millennium S.A. Bank Millennium S.A.
2 PLBIG0000016 PLBIG0000016 PLBIG0000016 PLBIG0000016 PLBIG0000016 PLBIG0000016 PLBIG0000016 PLBIG0000016
3 Polish Polish Polish Polish Polish Polish Polish Polish
4 N/A N/A N/A N/A N/A N/A N/A N/A
5 Common Tier I Capital Common Tier I Capital Common Tier I Capital Common Tier I Capital Common Tier I Capital Common Tier I Capital Common Tier I Capital Common Tier I Capital
6 Stand-alone level/consolidated level Stand-alone level/consolidated level Stand-alone level/consolidated level Stand-alone level/consolidated level Stand-alone level/consolidated level Stand-alone level/consolidated level Stand-alone level/consolidated level Stand-alone level/consolidated level
7 bearer ordinary bearer ordinary bearer ordinary bearer ordinary bearer ordinary bearer ordinary bearer ordinary bearer ordinary
8 24 000 000 37 490 884 32 000 000 28 328 516 65 000 000 196 120 000 424 590 872 363 935 033
9 1 1 1 1 1 1 1 1
9a 1,0 1,43 2,38 2,75 3,4 1,0 1,8 2,9
9b N/A N/A N/A N/A N/A N/A N/A N/A
10 equity equity equity equity equity equity equity equity
11 28.05.1993 10.12.1993 30.05.1994 24.10.1994 12.08.1997 12.09.1997 31.12.2001 26.02.2010
12 perpetual perpetual perpetual perpetual perpetual perpetual perpetual perpetual
13 N/A N/A N/A N/A N/A N/A N/A N/A
14 No No No No No No No No
15 N/A N/A N/A N/A N/A N/A N/A N/A
16 N/A N/A N/A N/A N/A N/A N/A N/A
17 Floating rate Floating rate Floating rate Floating rate Floating rate Floating rate Floating rate Floating rate
18 N/A N/A N/A N/A N/A N/A N/A N/A
19 Yes Yes Yes Yes Yes Yes Yes Yes
20a fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary
20b fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary fully discretionary
21 N/A N/A N/A N/A N/A N/A N/A N/A
22 N/A N/A N/A N/A N/A N/A N/A N/A
23 N/A N/A N/A N/A N/A N/A N/A N/A
24 N/A N/A N/A N/A N/A N/A N/A N/A
25 N/A N/A N/A N/A N/A N/A N/A N/A
26 N/A N/A N/A N/A N/A N/A N/A N/A
27 N/A N/A N/A N/A N/A N/A N/A N/A
28 N/A N/A N/A N/A N/A N/A N/A N/A
29 N/A N/A N/A N/A N/A N/A N/A N/A
30 No No No No No No No No
31 GSM, statutory approach GSM, statutory approach GSM, statutory approach GSM, statutory approach GSM, statutory approach GSM, statutory approach GSM, statutory approach GSM, statutory approach
32 full or partial full or partial full or partial full or partial full or partial full or partial full or partial full or partial
33 N/A N/A N/A N/A N/A N/A N/A N/A
34 GSM’s resolution GSM’s resolution GSM’s resolution GSM’s resolution GSM’s resolution GSM’s resolution GSM’s resolution GSM’s resolution
35 N/A N/A N/A N/A N/A N/A N/A N/A
36 N/A N/A N/A N/A N/A N/A N/A N/A
37 N/A N/A N/A N/A N/A N/A N/A N/A

 

Transitional Own Funds (PLN thousand)

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Fundusze własne w okresie przejściowym (tys. zł)
(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
Common Equity Tier 1 capital: instruments and reserves
Capital instruments and the related share premium accounts 2 360 619 26 (1), 27, 28, 29, EBA list 26 (3) –
Capital instruments and the related share premium accounts 3 835 395 26 (1) (c) –
Accumulated other comprehensive income (and other reserves. to include unrealised gains and losses under the applicable accounting standards) -184 962 26 (1) –
Funds for general banking risk 228 902 26 (1) (f) –
Independently reviewed interim profits net of any foreseeable charge or dividend 430 949 26 (2) –
Common Equity Tier 1 (CET1) capital before regulatory adjustments 6 670 903 –
Common Equity Tier 1 (CET1) capital: regulatory adjustments
Additional value adjustments (negative amount) -15 951 34, 105 –
Intangible assets (net of related tax liability) (negative amount) -62 314 36 (1) (b), 37, 472 (4) –
Fair value reserves related to gains or losses on cash flow hedges 146 305 33 (a) –
Negative amounts resulting from the calculation of expected loss amounts -379 424 36 (1) (d), 40, 159, 472 (6) –
Regulatory adjustments relating to unrealised gains and losses pursuant to Articles 467 and 468 -2 719 –
Of which: …filter for unrealised loss 1 – 467 –
Of which: …filter for unrealised loss 2 – 467 –
Of which: …filter for unrealised gain 1 -2 200 468 –
Of which: …filter for unrealised gain 2 -519 468 –
Total regulatory adjustments to Common equity Tier 1 (CET1) -314 103 –
Common Equity Tier 1 (CET1) capital 6 356 800 –
Additional Tier 1 (AT1) capital: instruments
Additional Tier 1 (AT1) capital before regulatory adjustments – –
Additional Tier 1 (AT1) capital: regulatory adjustments
Additional Tier 1 (AT1) capital – –
Tier 1 capital (T1 = CET1 + AT1) 6 356 800 –
Tier 2 (T2) capital: instruments and provisions
Amount of qualifying items referred to in Article 484 (5) and the related share premium accounts subject to phase out from T2 128 720 486 (4) –
Tier 2 (T2) capital before regulatory adjustments 128 720 –
Tier 2 (T2) capital: regulatory adjustments
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 -94 856 472, 472(3)(a), 472 (4), 472 (6), 472 (8) (a), 472 (9), 472 (10) (a), 472 (11) (a) –
Total regulatory adjustments to Tier 2 (T2) capital -94 856 –
Tier 2 (T2) capital 33 864 –
Total capital (TC = T1 + T2) 6 390 662 –
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 liablity. 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) –
Total risk weighted assets 36 730 604 –
Capital ratios and buffers – –
Common Equity Tier 1 (as a percentage of risk exposure amount) 17,31% 92 (2) (a), 465 –
Tier 1 (as a percentage of risk exposure amount) 17,31% 92 (2) (b), 465 –
Total capital (as a percentage of risk exposure amount) 17,40% 92 (2) (c) –
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, 13- –
of which: capital conservation buffer requirement – –
of which: countercyclical buffer requirement – –
of which: systemic risk buffer requirement – –
of which: Global Systemically Important Institution (G-SII) or Other Systemically Important Institution (O-SII) buffer – CRD 131 –
Common Equity Tier 1 available to meet buffers (as a percentage of risk exposure amount) – CRD 128 –

 

Description of key components of own funds

Details of items from Table no. 5 (in PLN thous.)


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1.1.1.1.1 Paid-for capital instruments 1 213 117 
This item is equal to the company’s share capital, which comprises the following components (nominal value of one share = PLN 1):
Series / issue Share type Privilege type Number of shares Series / issue value Payment of capital Registration date Right to dividend
 A bearer ordinary x2 voting rights 106 850  106 850 cash 30.06.1989 30.06.1989
 B1 bearer ordinary 150 000  150 000 cash 13.06.1990 01.01.1990
 B2 bearer ordinary 150 000  150 000 cash 13.12.1990 01.01.1990
 C bearer ordinary 4 693 150  4 693 150 cash 17.05.1991 01.01.1991
 D1 bearer ordinary 1 700 002  1 700 002 cash 31.12.1991 01.01.1992
 D2 bearer ordinary 2 611 366  2 611 366 cash 31.01.1992 01.01.1992
 D3 bearer ordinary 1 001 500  1 001 500 cash 10.03.1992 01.01.1992
 E bearer ordinary 6 000 000  6 000 000 cash 28.05.1993 01.01.1992
 F bearer ordinary 9 372 721  9 372 721 cash 10.12.1993 01.01.1993
 G bearer ordinary 8 000 000  8 000 000 cash 30.05.1994 01.10.1993
 H bearer ordinary 7 082 129  7 082 129 cash 24.10.1994 01.10.1994
Increase of nominal share value from PLN 1 to 4  122 603 154 Reserve capital 24.11.1994
1:4 share split  122 603 154 05.12.1994
 I bearer ordinary  65 000 000 65 000 000 cash 12.08.1997 01.10.1996
 J bearer ordinary  196 120 000 196 120 000 Capitals of Bank Gdański S.A. 12.09.1997 01.10.1996
 K bearer ordinary  424 590 872 424 590 872 cash 31.12.2001 01.01.2001
 L bearer ordinary  363 935 033 363 935 033 cash 26.02.2010 01.01.2009
Total number of shares  1 213 116 777
Total stock capital  1 213 116 777
1.1.1.1.3   Agio 1 147 502
Agio is the capital from sale of shares above their nominal value. It is created with the issue premium generated from an issue of shares less direct related costs incurred.
1.1.1.2.2.1 Profit or loss attributable to owners of the parent entity 701 252
This item is equal to 2016 consolidated net result.
1.1.1.2.2.2 (–) Part of not recognised current profit or not recognised annual profit -270 303
This is the amount of net result. which cannot be included in own funds for purposes of calculation of prudential standards as of reporting date. As for the remaining amount (PLN 430 94 t) the Bank obtained consent of the Polish Financial Supervision Authority for its inclusion in Tier I. This amount constitutes net profit of the Group for 6 months of 2016.
1.1.1.3 Accumulated other total income -184 962

This item comprises revaluation capital. which arose in result of recognition of:

–      Effect of measurement (at fair value) of financial assets available for sale in the net amount i.e. after deduction of deferred tax. These amounts are removed from revaluation capital is done when all or part of the valuated assets are taken out of the books or when impairment is recognised (the valuation effect is then taken to the P&L Account). Amount of PLN (-) 38 312 thous.

–      Effect of measurement (at fair value) of derivative instruments hedging cash flows in the net amount i.e. after deduction of deferred tax. Revaluation capital carries part of profit or loss involved with the instrument hedging cash flows, which constitutes an effective hedge, while the ineffective part of profit or loss involved with this hedging instrument is carried in P&L. Amount of PLN (-) 146 305 thous.

–       Actuarial profit / (loss) in the net amount i.e. after deferred tax. Revaluation capital carries profit or loss resulting from discounting of future liabilities arisen on account of a provision created for retirement severance pay. These values are not eligible for moving to P&L. the amount is PLN (-) 345 thous.
1.1.1.4 Additional reserve capital 3 835 395
This capital arose in result of annual resolutions of the Shareholders’ Meeting on distribution of profit. These resolutions decided to retain part of profit generated in the Bank and in Companies of the Group. According to the Articles of Association the GSM decides about use of additional reserve capital and it may be used in particular to cover any future losses or for payment of dividend.
1.1.1.5 General banking risk fund 228 902
The General Banking Risk Fund in the Bank was created with profit after tax in keeping with provisions of Banking Law of 29 August 1997 as amended.
1.1.1.9.2 Provision for instruments hedging cash flows 146 305
This amount with a negative mark is a component of item 1.1.1.3 and in accordance with article 33 of Regulation No. 575/2013 the Bank does not include it in own funds.
1.1.1.9.5 Value adjustments coming from requirements on prudent valuation -15 951

That adjustment concerns:

– debt securities (trading portfolio): PLN (-) 314 thous.

– debt securities (available for sale): PLN (-) 13 792 thous.

– shares (available for sale): PLN (-) 15 thous.

– balance sheet value of derivatives (trading portfolio): PLN (-) 482 thous.

– balance sheet value of derivatives (hedging): PLN (-) 1 168 thous.
1.1.1.11.1 (–) Gross amount of other intangible assets -62 314
This amount comprises mainly the value of software purchased by the Bank and companies of the Group.
1.1.1.13 (–) Shortage of credit risk corrections in view of expected losses according to IRB approach -474 280
Deductions under art. 36 CRR concern portfolios of retail residential real estate (RRE) mortgages and renewable retail exposures (QRRE). with respect to which the Group has permission to apply the IRB approach. The method of carrying the amounts of expected losses is consistent with CRR art. 128 and 159.
1.1.1.26 Other interim corrections in Tier I 92 137

These corrections comprise following amounts:

–  Transfer of 20% of item 1.1.1.13 to item 1.2.10 in keeping with article 472 and 478 of Regulation No. 575/2013. Correction amount PLN +94 856 thous.

–  Correction of measurement (at fair value) of financial assets available for sale. reported in item 1.1.1.3 by 40% of unrealised gains in keeping with article 468 of Regulation No. 575/2013. Correction amount PLN (-) 2 719 thous.
1.2.1.1 Paid-for equity instruments and subordinated loans 128 720
The Bank (and Group) includes in supplementary funds the liabilities from issue of securities with maturities in December 2017. The nominal amount of the liability is EUR 150 000 000. After using daily depreciation the amount included in Tier II is EUR 29 096 thous. i.e. PLN 128 720 thous.
1.2.10 Other interim corrections in Tier II -94 856
Correction for transfer of 20% of the item 1.1.1.13 in keeping with article 472 and 478 of Regulation No. 575/2013.

 

APPENDIX 2 REPORT AND CRR (Capital Requirements Regulation) +


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CRR article (Part VIII)  CRR provision Point in the Report / in another document
435.1.a 1. Institutions shall disclose their risk management objectives and policies for each separate category of risk, including the risks referred to under this Title. These disclosures shall include:
(a) the strategies and processes to manage those risks;		 3
8 Yearly Report
VII Management Board Report
435.1.b (b) the structure and organisation of the relevant risk management function including information on its authority and statute, or other appropriate arrangements; 8 Yearly Report
VII Management Board Report
435.1.c (c) the scope and nature of risk reporting and measurement systems; 8 Yearly Report
VII Management Board Report
435.1.d (d) the policies for hedging and mitigating risk, and the strategies and processes for monitoring the continuing effectiveness of hedges and mitigants; 8 Yearly Report
VII Management Board Report
435.1.e (e) a declaration approved by the management body on the adequacy of risk management arrangements of the institution providing assurance that the risk management systems put in place are adequate with regard to the institution’s profile and strategy; 13
435.1.f (f) a concise risk statement approved by the management body succinctly describing the institution’s overall risk profile associated with the business strategy. This statement shall include key ratios and figures providing external stakeholders with a comprehensive view of the institution’s management of risk, including how the risk profile of the institution interacts with the risk tolerance set by the management body. 8 Yearly Report
VII Management Board Report
435.2.a 2. Institutions shall disclose the following information, including regular, at least annual updates, regarding governance arrangements:
(a) the number of directorships held by members of the management body;		 3
435.2.b (b) the recruitment policy for the selection of members of the management body and their actual knowledge, skills and expertise; 12
435.2.c (c) the policy on diversity with regard to selection of members of the management body, its objectives and any relevant targets set out in that policy, and the extent to which these objectives and targets have been achieved; 12
435.2.d (d) whether or not the institution has set up a separate risk committee and the number of times the risk committee has met; 3
435.2.e (e) the description of the information flow on risk to the management body. 3
436.a-b Institutions shall disclose the following information regarding the scope of application of the requirements of this Regulation in accordance with Directive 2013/36/EU:
(a) the name of the institution to which the requirements of this Regulation apply;
(b) an outline of the differences in the basis of consolidation for accounting and prudential purposes, with a brief description of the entities therein, explaining whether they are:
(i) fully consolidated;
(ii) proportionally consolidated;
(iii) deducted from own funds;
(iv) neither consolidated nor deducted;		 5
436.c (c) any current or foreseen material practical or legal impediment to the prompt transfer of own funds or repayment of liabilities among the parent undertaking and its subsidiaries; 5
436.d (d) the aggregate amount by which the actual own funds are less than required in all subsidiaries not included in the consolidation, and the name or names of such subsidiaries; 5
436.e (e) if applicable, the circumstance of making use of the provisions laid down in Articles 7 and 9. 5
437.1.a 1. Institutions shall disclose the following information regarding their own funds:
(a) a full reconciliation of Common Equity Tier 1 items, Additional Tier 1 items, Tier 2 items and filters and deductions applied pursuant to Articles 32 to 35, 36, 56, 66 and 79 to own funds of the institution and the balance sheet in the audited financial statements of the institution;		 5

Attachment 1
437.1.b (b) a description of the main features of the Common Equity Tier 1 and Additional Tier 1 instruments and Tier 2 instruments issued by the institution; 5

Attachment 1
437.1.c (c) the full terms and conditions of all Common Equity Tier 1, Additional Tier 1 and Tier 2 instruments; 5

Attachment 1
437.1.d (d) separate disclosure of the nature and amounts of the following:
(i) each prudential filter applied pursuant to Articles 32 to 35;
(ii) each deduction made pursuant to Articles 36, 56 and 66;
(iii) items not deducted in accordance with Articles 47, 48, 56, 66 and 79;		 5

Attachment 1
437.1.e (e) a description of all restrictions applied to the calculation of own funds in accordance with this Regulation and the instruments, prudential filters and deductions to which those restrictions apply; 5
437.1.f (f) where institutions disclose capital ratios calculated using elements of own funds determined on a basis other than that laid down in this Regulation, a comprehensive explanation of the basis on which those capital ratios are calculated. n.d.
438.a Institutions shall disclose the following information regarding the compliance by the institution with the requirements laid down in Article 92 of this Regulation and in Article 73 of Directive 2013/36/EU:
(a) a summary of the institution’s approach to assessing the adequacy of its internal capital to support current and future activities;		 6.2
438.b (b) upon demand from the relevant competent authority, the result of the institution’s internal capital adequacy assessment process including the composition of the additional own funds requirements based on the supervisory review process as referred to in point (a) of Article 104(1) of Directive 2013/36/EU; 4
438.c (c) for institutions calculating the risk-weighted exposure amounts in accordance with Chapter 2 of Part Three, Title II, 8 % of the risk-weighted exposure amounts for each of the exposure classes specified in Article 112; 6.1
438.d (d) for institutions calculating risk-weighted exposure amounts in accordance with Chapter 3 of Part Three, Title II, 8 % of the risk-weighted exposure amounts for each of the exposure classes specified in Article 147. For the retail exposure class, this requirement applies to each of the categories of exposures to which the different correlations in Article 154(1) to (4) correspond. For the equity exposure class, this requirement applies to:
(i) each of the approaches provided in Article 155;
(ii) exchange traded exposures, private equity exposures in sufficiently diversified portfolios, and other exposures;
(iii) exposures subject to supervisory transition regarding own funds requirements;
(iv) exposures subject to grandfathering provisions regarding own funds requirements;		 6.1
438.e (e) own funds requirements calculated in accordance with points (b) and (c) of Article 92(3); 6.1
438.f (f) own funds requirements calculated in accordance with Part Three, Title III, Chapters 2, 3 and 4 and disclosed separately. 6.1
439.a Institutions shall disclose the following information regarding the institution’s exposure to counterparty credit risk as referred to in Part Three, Title II, Chapter 6:
(a) a discussion of the methodology used to assign internal capital and credit limits for counterparty credit exposures;		 7.2
439.b (b) a discussion of policies for securing collateral and establishing credit reserves; 7.2
439.c (c) a discussion of policies with respect to wrong-way risk exposures; 7.2
439.d (d) a discussion of the impact of the amount of collateral the institution would have to provide given a downgrade in its credit rating; 7.2
439.e (e) gross positive fair value of contracts, netting benefits, netted current credit exposure, collateral held and net derivatives credit exposure. Net derivatives credit exposure is the credit exposure on derivatives transactions after considering both the benefits from legally enforceable netting agreements and collateral arrangements; 7.2
439.f (f) measures for exposure value under the methods set out in Part Three, Title II, Chapter 6, Sections 3 to 6 whichever method is applicable; 7.2
439.g (g) the notional value of credit derivative hedges, and the distribution of current credit exposure by types of credit exposure; 7.2
439.h (h) the notional amounts of credit derivative transactions, segregated between use for the institution’s own credit portfolio, as well as in its intermediation activities, including the distribution of the credit derivatives products used, broken down further by protection bought and sold within each product group; 7.2
439.i (i) the estimate of α if the institution has received the permission of the competent authorities to estimate α. 7.2
440 An institution shall disclose the following information in relation to its compliance with the requirement for a countercyclical capital buffer referred to in Title VII, Chapter 4 of Directive 2013/36/EU: 4
441 1. Institutions identified as G-SIIs in accordance with Article 131 of Directive 2013/36/EU shall disclose, on an annual basis, the values of the indicators used for determining the score of the institutions in accordance with the identification methodology referred to in that Article. n.a.
442.a Institutions shall disclose the following information regarding the institution’s exposure to credit risk and dilution risk:
(a) the definitions for accounting purposes of ‚past due’ and ‚impaired’;		 7.3
8 Yearly Report
442.b (b) a description of the approaches and methods adopted for determining specific and general credit risk adjustments; 7.3
8 Yearly Report
442.c (c) the total amount of exposures after accounting offsets and without taking into account the effects of credit risk mitigation, and the average amount of the exposures over the period broken down by different types of exposure classes; 7.3
442.d (d) the geographic distribution of the exposures, broken down in significant areas by material exposure classes, and further 7.3
442.e (e) the distribution of the exposures by industry or counterparty type, broken down by exposure classes, including specifying exposure to SMEs, and further detailed if appropriate; 7.3
442.f (f) the residual maturity breakdown of all the exposures, broken down by exposure classes, and further detailed if appropriate; 15.b Yearly Report
18.e Yearly Report
442.g (g) by significant industry or counterparty type, the amount of:
(i) impaired exposures and past due exposures, provided separately;
(ii) specific and general credit risk adjustments;
(iii) charges for specific and general credit risk adjustments during the reporting period;		 7.3
VII.3 Yearly Report
442.h (h) the amount of the impaired exposures and past due exposures, provided separately, broken down by significant geographical areas including, if practical, the amounts of specific and general credit risk adjustments related to each geographical area; 7.3
442.i (i) the reconciliation of changes in the specific and general credit risk adjustments for impaired exposures, shown separately. The information shall comprise:
(i) a description of the type of specific and general credit risk adjustments;
(ii) the opening balances;
(iii) the amounts taken against the credit risk adjustments during the reporting period;
(iv) the amounts set aside or reversed for estimated probable losses on exposures during the reporting period, any other adjustments including those determined by exchange rate differences, business combinations, acquisitions and disposals of subsidiaries, and transfers between credit risk adjustments;
(v) the closing balances.		 7.3
443 Unencumbered assets 7.5
444.a For institutions calculating the risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 2, the following information shall be disclosed for each of the exposure classes specified in Article 112:
(a) the names of the nominated ECAIs and ECAs and the reasons for any changes;		 7.4
444.b (b) the exposure classes for which each ECAI or ECA is used; 7.4
444.c (c) a description of the process used to transfer the issuer and issue credit assessments onto items not included in the trading book; 7.4
444.d (d) the association of the external rating of each nominated ECAI or ECA with the credit quality steps prescribed in Part Three, Title II, Chapter 2, taking into account that this information needs not be disclosed if the institution complies with the standard association published by EBA; 7.4
444.e (e) the exposure values and the exposure values after credit risk mitigation associated with each credit quality step prescribed in Part Three, Title II, Chapter 2 as well as those deducted from own funds. 7.4
445 Exposure to market risk 9
8.4 Yearly Report
446 Operational risk 8
447.a Institutions shall disclose the following information regarding the exposures in equities not included in the trading book:
(a) the differentiation between exposures based on their objectives, including for capital gains relationship and strategic reasons, and an overview of the accounting techniques and valuation methodologies used, including key assumptions and practices affecting valuation and any significant changes in these practices;		 9
447.b (b) the balance sheet value, the fair value and, for those exchange-traded, a comparison to the market price where it is materially different from the fair value; 9
447.c (c) the types, nature and amounts of exchange-traded exposures, private equity exposures in sufficiently diversified portfolios, and other exposures; 9
447.d (d) the cumulative realised gains or losses arising from sales and liquidations in the period; and 9
447.e (e) the total unrealised gains or losses, the total latent revaluation gains or losses, and any of these amounts included in the original or additional own funds. 9
448.a Institutions shall disclose the following information on their exposure to interest rate risk on positions not included in the trading book:
(a) the nature of the interest rate risk and the key assumptions (including assumptions regarding loan prepayments and behaviour of non-maturity deposits), and frequency of measurement of the interest rate risk;		 9
8.4 Yearly Report
448.b (b) the variation in earnings, economic value or other relevant measure used by the management for upward and downward rate shocks according to management’s method for measuring the interest rate risk, broken down by currency. 9
8.4 Yearly Report
449 Exposure to securitisation positions 7.1
450.a 1. Institutions shall disclose at least the following information, regarding the remuneration policy and practices of the institution for those categories of staff whose professional activities have a material impact on its risk profile:
(a) information concerning the decision-making process used for determining the remuneration policy, as well as the number of meetings held by the main body overseeing remuneration during the financial year, including, if applicable, information about the composition and the mandate of a remuneration committee, the external consultant whose services have been used for the determination of the remuneration policy and the role of the relevant stakeholders;		 12
450.b (b) information on link between pay and performance; 12
450.c (c) the most important design characteristics of the remuneration system, including information on the criteria used for performance measurement and risk adjustment, deferral policy and vesting criteria; 12
450.d (d) the ratios between fixed and variable remuneration set in accordance with Article 94(1)(g) of Directive 2013/36/EU; 12
450.e (e) information on the performance criteria on which the entitlement to shares, options or variable components of remuneration is based; 12
450.f (f) the main parameters and rationale for any variable component scheme and any other non-cash benefits; 12
450.g (g) aggregate quantitative information on remuneration, broken down by business area; 12
450.h (h) aggregate quantitative information on remuneration, broken down by senior management and members of staff whose actions have a material impact on the risk profile of the institution, indicating the following:
(i) the amounts of remuneration for the financial year, split into fixed and variable remuneration, and the number of beneficiaries;
(ii) the amounts and forms of variable remuneration, split into cash, shares, share-linked instruments and other types;
(iii) the amounts of outstanding deferred remuneration, split into vested and unvested portions;
(iv) the amounts of deferred remuneration awarded during the financial year, paid out and reduced through performance adjustments;
(v) new sign-on and severance payments made during the financial year, and the number of beneficiaries of such payments;
(vi) the amounts of severance payments awarded during the financial year, number of beneficiaries and highest such award to a single person;		 12
450.i (i) the number of individuals being remunerated EUR 1 million or more per financial year, for remuneration between EUR 1 million and EUR 5 million broken down into pay bands of EUR 500 000 and for remuneration of EUR 5 million and above broken down into pay bands of EUR 1 million; 12
451.a 1. Institutions shall disclose the following information regarding their leverage ratio calculated in accordance with Article 429 and their management of the risk of excessive leverage:
(a) the leverage ratio and how the institution applies Article 499(2) and (3);		 10
451.b (b) a breakdown of the total exposure measure as well as a reconciliation of the total exposure measure with the relevant information disclosed in published financial statements; 10
451.c (c) where applicable, the amount of derecognised fiduciary items in accordance with Article 429(11); 10
451.d (d) a description of the processes used to manage the risk of excessive leverage; 10
451.e (e) a description of the factors that had an impact on the leverage ratio during the period to which the disclosed leverage ratio refers. 10
452.a under the IRB Approach shall disclose the following information:
(a) the competent authority’s permission of the approach or approved transition;		 11.1
452.b (b) an explanation and review of:
(i) the structure of internal rating systems and relation between internal and external ratings;
(ii) the use of internal estimates other than for calculating risk-weighted exposure amounts in accordance with Part Three, Title II, Chapter 3;
(iii) the process for managing and recognising credit risk mitigation;
(iv) the control mechanisms for rating systems including a description of independence, accountability, and rating systems review;		 11.2
11.3
11.4
452.c a description of the internal ratings process, provided separately for the following exposure classes:
(i) central governments and central banks;
(ii) institutions;
(iii) corporate, including SMEs, specialised lending and purchased corporate receivables;
(iv) retail, for each of the categories of exposures to which the different correlations in Article 154(1) to (4) correspond;
(v) equities;		 11.2
452.d (d) the exposure values for each of the exposure classes specified in Article 147. Exposures to central governments and central banks, institutions and corporates where institutions use own estimates of LGDs or conversion factors for the calculation of risk-weighted exposure amounts shall be disclosed separately from exposures for which the institutions do not use such estimates; 11.2
452.e (e) for each of the exposure classes central governments and central banks, institutions, corporate and equity, and across a sufficient number of obligor grades (including default) to allow for a meaningful differentiation of credit risk, institutions shall disclose:
(i) the total exposures, including for the exposure classes central governments and central banks, institutions and corporate, the sum of outstanding loans and exposure values for undrawn commitments; and for equities the outstanding amount;
(ii) the exposure-weighted average risk weight;
(iii) for the institutions using own estimates of conversion factors for the calculation of risk-weighted exposure amounts, the amount of undrawn commitments and exposure-weighted average exposure values for each exposure class;		 11.2
452.f (f) For the retail exposure class and for each of the categories set out in point (c)(iv), either the disclosures outlined in point (e) (if applicable, on a pooled basis), or an analysis of exposures (outstanding loans and exposure values for undrawn commitments) against a sufficient number of EL grades to allow for a meaningful differentiation of credit risk (if applicable, on a pooled basis); 11.2
452.g (g) the actual specific credit risk adjustments in the preceding period for each exposure class (for retail, for each of the categories as set out in point (c)(iv)) and how they differ from past experience; 11.2
452.h (h) a description of the factors that impacted on the loss experience in the preceding period (for example, has the institution experienced higher than average default rates, or higher than average LGDs and conversion factors); 11.2
452.i (i) the institution’s estimates against actual outcomes over a longer period. At a minimum, this shall include information on estimates of losses against actual losses in each exposure class (for retail, for each of the categories as set out in point (c)(iv) over a period sufficient to allow for a meaningful assessment of the performance of the internal rating processes for each exposure class (for retail for each of the categories as set out in point (c)(iv). Where appropriate, the institutions shall further decompose this to provide analysis of PD and, for the institutions using own estimates of LGDs and/or conversion factors, LGD and conversion factor outcomes against estimates provided in the quantitative risk assessment disclosures set out in this Article; 11.2
452.j (j) for all exposure classes specified in Article 147 and for each category of exposure to which the different correlations in Article 154 (1) to (4) correspond:
(i) for the institutions using own LGD estimates for the calculation of risk-weighted exposure amounts, the exposure-weighted average LGD and PD in percentage for each relevant geographical location of credit exposures;
(ii) for the institutions that do not use own LGD estimates, the exposure-weighted average PD in percentage for each relevant geographical location of credit exposures.		 n.d.
453.a The institutions applying credit risk mitigation techniques shall disclose the following information:
(a) the policies and processes for, and an indication of the extent to which the entity makes use of, on- and off- balance sheet netting;		 11.4
453.b (b) the policies and processes for collateral valuation and management; 11.4
453.c (c) a description of the main types of collateral taken by the institution; 11.4
453.d (d) the main types of guarantor and credit derivative counterparty and their creditworthiness; 11.4
453.e (e) information about market or credit risk concentrations within the credit mitigation taken; 11.4
453.f (f) for institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, but not providing own estimates of LGDs or conversion factors in respect of the exposure class, separately for each exposure class, the total exposure value (after, where applicable, on- or off-balance sheet netting) that is covered — after the application of volatility adjustments — by eligible financial collateral, and other eligible collateral; 11.4
453.g (g) for institutions calculating risk-weighted exposure amounts under the Standardised Approach or the IRB Approach, separately for each exposure class, the total exposure (after, where applicable, on- or off-balance sheet netting) that is covered by guarantees or credit derivatives. For the equity exposure class, this requirement applies to each of the approaches provided in Article 155. 11.4
454 Use of the Advanced Measurement Approaches to operational risk 11.4
455 Use of Internal Market Risk Models 11.4
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