Executive summary
1 Article 431 CRR - Scope of disclosure requirements 6
1.1 Purpose of Pillar 3 7
1.2 Article 433/434 CRR - Frequency and means of disclosure 8
1.3 Article 432 CRR - Non-material, proprietary or confidential information 8
1.4 Governance: approval and publication 9
1.5 Article 436 CRR - Scope of application 9
1.6 Organisational structure 10
1.7 EMEA business operating model 12
1.8 Core business lines 13
1.9 Key metrics 14
Table 1: KM1 - Key metrics 15
Capital
2 Article 437 CRR - Own funds 18
Table 2: CC2 - Reconciliation of regulatory capital 19
Table 3: EU LI1 - Differences between accounting and regulatory scopes of consolidation and the
mapping of financial statement categories with regulatory risk categories 22
Table 4: EU LI2 - Main sources of differences between regulatory exposure amounts and carrying
values in financial statements 23
Table 5: CC1 - Composition of regulatory capital 24
Table 6: TLAC1 - Transitional own funds 24
Table 7: CCA - Main features of regulatory capital instruments 25
3 Article 438 CRR - Capital requirements 27
3.1 Calculating capital requirements 28
Table 8: EU OV1 - Overview of RWAs 28
Risk
4 Article 435 CRR - Risk management objectives and policies 30
4.1 Risk objectives 32
4.2 Risk governance 33
4.3 Risk management framework 38
4.4 High-level assessment 39
4.5 Risk appetite 40
4.6 Risk assessment methodology and reporting systems 40
4.7 Escalation of risks and issues 42
4.8 Recovery and resolution planning 43
5 Article 442 CRR - Credit risk adjustments 44
5.1 Definition and identification 45
5.2 Credit risk management framework 45
5.3 Credit risk management 45
5.4 Monitoring and reporting 46
5.5 Governance 46
5.6 Analysis of credit risk 47
Table 9: EU CRB-B - Total and average net amount of exposures 47
Table 10: EU CRB-C - Geographical breakdown of exposures 48
Table 11: EU CRB-D - Concentration of exposures by counterparty types
48
5.7 | Analysis of past due and impaired exposures | 49 |
Table 12: EU CRB-E - Maturity of exposures | 49 | |
Table 13: EU CR1-A - Credit quality of exposures by exposure class and instrument | 50 | |
Table 14: EU CR1-B - Credit quality of exposures by counterparty types | 50 | |
Table 15: EU CR1-C - Credit quality of exposures by geography | 52 | |
Table 16: EU CR1-D - Aging of past-due exposures | 52 | |
6 | Article 453 CRR - Credit risk mitigation | 54 |
6.1 | Netting | 54 |
6.2 | Collateral valuation and management | 54 |
6.3 | Collateral types | 54 |
6.4 | Guarantors and credit derivative counterparty | 55 |
6.5 | Wrong-way risk | 55 |
6.6 | Credit concentration risk | 55 |
Table 17: EU CR3 - Credit risk mitigation techniques - overview | 55 | |
7 | Article 444 CRR - External credit rating assessment institutions | 57 |
Table 18: Mapping of ECAIs credit assessments to credit quality steps | 57 | |
Table 19: Credit quality steps and risk-weights | 57 | |
Table 20: EU CR4 - Credit risk exposure and credit risk mitigation ('CRM') effects | 58 | |
Table 21: EU CR5 - Credit risk exposure by risk-weight post CCF and CRM | 58 | |
8 | Article 439 CRR - Exposure to counterparty credit risk | 60 |
Table 22: EU CCR1 - Analysis of the counterparty credit risk ('CCR') exposure by approach | 60 | |
8.1 | Credit valuation adjustment | 61 |
Table 23: EU CCR2 - Credit valuation adjustment capital charge | 61 | |
Table 24: EU CCR3 - CCR exposures by regulatory portfolio and risk | 61 | |
Table 25: EU CCR5-A - Impact of netting and collateral held on exposure values | 62 | |
9 | Article 443 CRR - Asset encumbrance | 63 |
Table 26: AE-A - Encumbered assets | 63 | |
Table 27: AE-B - Collateral | 63 | |
Table 28: AE-C - Sources of encumbrance | 64 | |
10 | Article 445 CRR - Exposure to market risk | 65 |
Table 29: EU MR1 - Market risk | 66 | |
11 | Article 448 CRR - Interest rate risk in the banking book | 67 |
Table 30: Net interest income sensitivity by currency | 67 | |
12 | Article 446 CRR - Operational risk | 69 |
12.1 | Operational risk management framework | 69 |
12.2 | Capital resource requirement | 73 |
13 | Article 451 CRR - Leverage | 74 |
Table 31: LR1 - Leverage ratio summary | 75 | |
Table 32: LR2 - Leverage ratio common disclosure | 75 | |
Table 33: LR3 - Composition of on-balance sheet exposures | 76 | |
14 | Liquidity coverage ratio | 78 |
Table 34: EU LIQ1: LCR - Total unweighted value | 79 | |
Table 35: EU LIQ1: LCR - Total weighted value | 80 |
Human resources
15 Article 450 CRR - Remuneration policy 82
15.1 Governance 82
15.2 Aligning pay with performance 83
15.3 Fixed remuneration 83
15.4 Variable compensation funding and risk adjustment 83
15.5 Ratio between fixed and variable pay 84
15.6 Deferral policy and vesting criteria 84
15.7 Variable remuneration of control function staff 85
15.8 Quantitative disclosures 86
Table 36: REM1 - Aggregate remuneration expenditure by business 86
Table 37: REM2 - Aggregate remuneration expenditure by remuneration type 86
Table 38: REM3 - Deferred variable remuneration 87
Table 39: New sign-on and severance payments 87
Appendices
Appendix 1 - Other risks 88
Liquidity risk 88
Restitution risk 88
Group risk 88
Model risk 89
Strategic risk 89
Appendix 2 - Glossary of terms 91
Appendix 3 - CRD IV reference 95
Appendix 4 - Capital instruments terms and conditions 101
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The Bank of New York Mellon Corporation published this content on 30 June 2020 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 30 June 2020 16:23:01 UTC