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