2022Q3 Pillar III Disclosures
Index
Index
SOL Solvency AFB Banking Group
CAP Capital
RWA Risk Weighted Assets (RWA) and Regulatory Capital by risk type
CR_STD_1 Credit risk - Standardised Approach (SA): Exposure and Risk Weighted Assets (RWA)
CR_STD_2 Credit risk - Standardised Approach (SA): Exposures by asset classes and risk weights
CR_STD_3 Credit risk - Standardised Approach (SA): Risk Weighted Assets (RWA) by asset classes and risk weights
CR_STD_4 Credit risk - Standardised Approach (SA): Exposures by asset classes and maturity
SOL
SOL Solvency AFB Banking Group
Amounts (Thousand Euros) 31.12.21 31.03.22 30.06.22 30.09.22
CET1 388,723 385,033 394,293 426,125
Tier 1 additional - - - -
TIER 1 388,723 385,033 394,293 426,125
TIER 2 - - - -
TOTAL CAPITAL 388,723 385,033 394,293 426,125
RWA 1,796,373 1,745,955 1,824,698 1,989,663
CET1 ratio 21.64% 22.05% 21.61% 21.42%
Tier 1 ratio 21.64% 22.05% 21.61% 21.42%
Total Capital ratio 21.64% 22.05% 21.61% 21.42%
Leverage ratio 12.28% 9.74% 12.88% 12.80%
Back to Index
CAP
CAP Capital
Amounts (Thousand Euros) 31.12.21 31.03.22 30.06.22 30.09.22
CET1 Instruments 2,368,634 2,338,635 2,492,485 2,508,253
Shareholders' equity 2,543,635 2,360,282 2,534,639 2,558,112
Capital 2,411,310 2,411,310 2,552,312 2,552,312
Profit 137,443 21,644 42,149 49,852
Reserves and others (5,118) (72,672) (59,822) (44,052)
Minority interests and unrealised gains/losses - - - -
Adjustments of comput. of minority int. and unrealised g/l - - - -
Other adjustments(1) (175,001) (21,647) (42,154) (49,859)
Deductions from CET1 (1,979,911) (1,953,602) (2,098,192) (2,082,128)
Goodwill (1,008,153) (1,007,525) (1,155,987) (1,160,286)
Intangible assets (971,758) (946,077) (942,205) (921,842)
Financial investments - - - -
Deferred tax assets - - - -
Other CET1 deductions - - - -
CET 1 388,723 385,033 394,293 426,125
AT1 Instruments - - - -
TIER 1 388,723 385,033 394,293 426,125
T2 instruments - - 0 -
Financing of subordinated issues - - - -
Generic provisions and excess of provisions IRB - - - -
T2 deductions - - 0 -
TIER 2 - - 0 -
TOTAL CAPITAL 388,723 385,033 394,293 426,125
Back to Index
RWA
RWA Risk Weighted Assets (RWA) and Regulatory Capital by risk type
RWA
Amounts (Thousand Euros) 31.12.21 31.03.22 30.06.22 30.09.22
Credit risk (excluding counterparty credit risk) 1,088,122 1,085,817 1,162,255 1,327,442
Standardised Approach (SA) 1,088,122 1,085,817 1,162,255 1,327,442
Internal Rating-Based (IRB) Approach - - - -
Counterparty credit risk - - - -
Standardised Approach for counterparty credit risk (SA-CCR) - - - -
Internal Model Method (IMM) - - - -
Equity positions in banking book under market-based approach - - - -
Simple risk-weight approach - - - -
Internal Model approach - - - -
Equity investments in funds - look-through approach - - - -
Equity investments in funds - mandate-based approach - - - -
Equity investments in funds - fall-back approach - - - -
Settlement risk - - - -
Securitisation exposures in banking book - - - -
Market risk 57,238 9,125 11,430 11,208
Standardised Approach (SA) 57,238 9,125 11,430 11,208
Internal Model Approaches (IMM) - - - -
Operational risk 651,013 651,013 651,013 651,013
Basic Indicator Approach 651,013 651,013 651,013 651,013
Standardised Approach - - - -
Advanced Measurement Approach - - - -
Amounts below the thresholds for deduction (subject to 250% risk weight) - - - -
Floor adjustment - - - -
Total1 1,796,373 1,745,955 1,824,698 1,989,663
(1) Capital requirement of Pillar I: 8% RWA
Back to Index
CR_STD_1
CR_STD_1 Credit risk - Standardised Approach (SA): Exposure and Risk Weighted Assets (RWA)
Exposures before CCF and CRM RWA RWA density
Amounts (Thousand Euros) On-balance sheet amount Adjustments Total
Sovereigns and their central banks 1,152,673 - 1,152,673 0 0.00%
Non-central government public sector entities 125,592 - 125,592 0 0.00%
Multilateral development banks - - - - -
Institutions/Banks 904,269 - 904,269 180,854 20.00%
Corporates 460,667 (12,704) 447,963 447,963 100.00%
Regulatory retail portfolios 629 (183) 446 335 75.11%
Secured by commercial real state - - - - -
Collective Investment Undertakings (CIU's) - - - - -
Equity 2,824 - 2,824 2,824 100.00%
Past-due loans - - - - -
Higher-risk categories - - - - -
Other assets 695,482 - 695,482 695,466 100.00%
Total Credit Risk - SA portfolio 3,342,136 (12,887) 3,329,249 1,327,442 39.87%
Back to Index
CR_STD_2
CR_STD_2 Credit risk - Standardised Approach (SA): Exposures by asset classes and risk weights
Amounts (Thousand Euros) 0% 10% 20% 35% 50% 75% 100% Other Total
Sovereigns and their central banks 1,152,673 - - - - - - - 1,152,673
Non-central government public sector entities 125,592 - - - - - - - 125,592
Multilateral development banks - - - - - - - - -
Institutions/Banks - - 904,269 - - - - - 904,269
Corporates - - - - - - 447,963 - 447,963
Regulatory retail portfolios - - - - - 446 - - 446
Secured by commercial real state - - - - - - - - -
Collective Investment Undertakings (CIU's) - - - - - - - - -
Equity - - - - - - 2,824 - 2,824
Past-due loans - - - - - - - - -
Higher-risk categories - - - - - - - - -
Other assets 16 - - - - - 695,466 - 695,482
Total Credit Risk - SA portfolio 1,278,281 - 904,269 - - 446 1,146,253 - 3,329,249
% 38.4% - 27.2% - - 0.0% 34.4% - 100.0%
Back to Index
CR_STD_3
CR_STD_3 Credit risk - Standardised Approach (SA): Risk Weighted Assets (RWA) by asset classes and risk weights
Amounts (Thousand Euros) 0% 10% 20% 35% 50% 75% 100% Other RWA
Sovereigns and their central banks 0 - - - - - - - 0
Non-central government public sector entities 0 - - - - - - - 0
Multilateral development banks - - - - - - - - -
Institutions/Banks - - 180,854 - - - - - 180,854
Corporates - - - - - - 447,963 - 447,963
Regulatory retail portfolios - - - - - 335 - - 335
Secured by commercial real state - - - - - - - - -
Collective Investment Undertakings (CIU's) - - - - - - - - -
Equity - - - - - - 2,824 - 2,824
Past-due loans - - - - - - - - -
Higher-risk categories - - - - - - - - -
Other assets 0 - - - - - 695,466 - 695,466
Total Credit Risk - SA portfolio 0 - 180,854 - - 335 1,146,253 - 1,327,442
Capital Requirements for Credit Risk(1) 0 - 14,468 - - 27 91,700 - 106,195
(1) Capital requirement of Pillar I: 8% RWA
Back to Index
CR_STD_4
CR_STD_4 Credit risk - Standardised Approach (SA): Exposures by asset classes and maturity
Amounts (Thousand Euros) <1Y 1-5Y >5Y Total Total %
Sovereigns and their central banks 1,152,673 - - 1,152,673 34.6%
Non-central government public sector entities 125,592 - - 125,592 3.8%
Multilateral development banks - - - - -
Institutions/Banks 904,269 - - 904,269 27.2%
Corporates 447,963 - - 447,963 13.4%
Regulatory retail portfolios 147 289 10 446 0.0%
Secured by commercial real state - - - - -
Collective Investment Undertakings (CIU's) - - - - -
Equity - - 2,824 2,824 0.1%
Past-due loans - - - - -
Higher-risk categories - - - - -
Other assets 668,229 - 27,253 695,482 20.9%
Total Credit Risk - SA portfolio 3,298,873 289 30,087 3,329,249 100.0%
% 99.1% 0.0% 0.9% 100.0%
Back to Index

Attachments

Disclaimer

Allfunds Group plc published this content on 21 November 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 24 November 2022 13:33:04 UTC.