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2018 Financial and Social Report

Disclosures index

The below table presents the disclosure index with references to chapters in the Disclosures or another documents of the Group, wherein information defined in Part Eight of CRR. The table presents the references to the tables and templates set in the Guidelines on disclosure requirements under Part Eight of Regulation (EU) No 575/2013 (EBA/GL/2016/11).

Disclosures index
CRR article (Part VIII) CRR provision Table / template in EBA/GL/2016/11 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;

EU OVA
EU CCRA
EU MRA
EU LIA
3,6,7,8

8 Yearly Report
VIII 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; EU OVA
EU CRA
EU MRA
3

8 Yearly Report
VIII Management Board Report

435.1.c c) the scope and nature of risk reporting and measurement systems; EU OVA 3

8 Yearly Report
VIII 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; EU OVA
EU CRA
EU MRA
10.4

8 Yearly Report
VIII 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; EU OVA 12
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. EU OVA
EU CRA
Wzór ujawniania informacji ilościowych o LCR w EBA/GL/2017/01
3
Attachment 38 Yearly Report
VIII 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; 11
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; 11
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;

EU LI1
EU LI2
EU LI3
EU LIA
4
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; 4
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; 4
436.e e) if applicable. the circumstance of making use of the provisions laid down in Articles 7 and 9. 4
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;

4

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; 4

Attachment 1

437.1.c c) the full terms and conditions of all Common Equity Tier 1. Additional Tier 1 and Tier 2 instruments; 4

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;

4

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; 4
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;

5.2
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; 2
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; EU OV1
EU INS1
5.1
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;

EU OV1
EU INS1
EU CR8
EU CCR7
5.1
438.e e) own funds requirements calculated in accordance with points (b) and (c) of Article 92(3); EU OV1 5.1
438.f f) own funds requirements calculated in accordance with Part Three. Title III. Chapters 2. 3 and 4 and disclosed separately. EU OV1
EU CR10
5.1
10.2
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;

EU CCRA 6.2
439.b b) a discussion of policies for securing collateral and establishing credit reserves; EU CCRA 6.2
439.c c) a discussion of policies with respect to wrong-way risk exposures; EU CCRA 6.2
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; EU CCRA 6.2
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; EU CCR1
EU CCR2
EU CCR8
EU CCR5-A
EU CCR5-B
6.2

13 Yearly Report,
nota 23

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; EU CCR1
EU CCR2
EU CCR8
6.2
439.g g) the notional value of credit derivative hedges. and the distribution of current credit exposure by types of credit exposure; EU CCR6 6.2
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; EU CCR6 6.2
439.i i) the estimate of α if the institution has received the permission of the competent authorities to estimate α. EU CCR1 6.2
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: 2
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.d.
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’;

EU CRB-A 6.3

8 Yearly Report

442.b b) a description of the approaches and methods adopted for determining specific and general credit risk adjustments; 6.3

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; EU CRB-B 6
442.d d) the geographic distribution of the exposures. broken down in significant areas by material exposure classes. and further detailed if appropriate; EU CRB-C 6
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; EU CRB-D
EU CR1-B
EU CR1-C
6
6.3
442.f f) the residual maturity breakdown of all the exposures. broken down by exposure classes. and further detailed if appropriate; EU CRB-E 6

13 Yearly Report,
Note 21

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;

EU CR1-A
EU CR1-D
EU CR1-E
6.3

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; EU CR1-C 6.3
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.

EU CR1-E
EU CR2-A
EU CR2-B
6.3
443 Unencumbered assets 6.3
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;

EU CRD 6.3
444.b b) the exposure classes for which each ECAI or ECA is used; EU CRD 6.4
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; EU CRD 6.4
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; EU CRD 6.4
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. EU CR5
EU CCR3
6.1
6.4
445 Exposure to market risk EU MR1 8

8.4 Yearly Report

446 Operational risk 7
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;

8
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; 8
447.c c) the types. nature and amounts of exchange-traded exposures. private equity exposures in sufficiently diversified portfolios. and other exposures; 8
447.d d) the cumulative realised gains or losses arising from sales and liquidations in the period; and 8
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. 8
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;

8

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. 8

8.4 Yearly Report

449 Exposure to securitisation positions EU OV1 5.1
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;

11
450.b b) information on link between pay and performance; 11
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; 11
450.d d) the ratios between fixed and variable remuneration set in accordance with Article 94(1)(g) of Directive 2013/36/EU; 11
450.e e) information on the performance criteria on which the entitlement to shares. options or variable components of remuneration is based; 11
450.f f) the main parameters and rationale for any variable component scheme and any other non-cash benefits; 11
450.g g) aggregate quantitative information on remuneration. broken down by business area; 11
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;

11
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; 11
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);

9
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; 9
451.c c) where applicable. the amount of derecognised fiduciary items in accordance with Article 429(11); 9
451.d d) a description of the processes used to manage the risk of excessive leverage; 9
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. 9
452.a under the IRB Approach shall disclose the following information:

a) the competent authority’s permission of the approach or approved transition;

EU CRE 10.1
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;

EU CRE 10.2
10.3
10.4
452.c 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;

EU CRE 10.4
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; 10.2
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;

EU CR6
EU CCR4
10.2
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); 10.2
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; EU CR6 10.2
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); 10.2
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; EU CR9 10.2
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;

EU CRC 10.4
453.b b) the policies and processes for collateral valuation and management; EU CRC 10.4
453.c c) a description of the main types of collateral taken by the institution; EU CRC 10.4
453.d d) the main types of guarantor and credit derivative counterparty and their creditworthiness; EU CRC 10.4
453.e e) information about market or credit risk concentrations within the credit mitigation taken; EU CRC 10.4
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; EU CR3
EU CR4
10.4
6.1
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. EU CR3
EU CR4
EU CR7
10.2
10.3
6.1
454 Use of the Advanced Measurement Approaches to operational risk n.d.
455 Use of Internal Market Risk Models EU MRA
EU LIA
EU MRB
EU MR2-A
EU MR2-B
EU MR3
EU MR4
8