Reporting on own funds and own funds requirements


PART I: GENERAL INSTRUCTIONS Structure and conventions



Download 1.36 Mb.
Page2/29
Date31.05.2016
Size1.36 Mb.
1   2   3   4   5   6   7   8   9   ...   29

PART I: GENERAL INSTRUCTIONS



  1. Structure and conventions

    1. Structure


1.Overall, the framework consists of five blocks of templates:

  1. Capital adequacy, an overview of regulatory capital; total risk exposure amount;

  2. Group solvency, an overview of the fulfilment of the solvency requirements by all individual entities included in the scope of consolidation of the reporting entity

  3. Credit risk (including counterparty, dilution and settlement risks);

  4. Market risk (including position risk in trading book, foreign exchange risk, commodities risk and CVA risk);

  5. Operational risk.

2.For each template legal references are provided. Further detailed information regarding more general aspects of the reporting of each block of templates, instructions concerning specific positions as well as examples and validation rules are included in these Guidelines for implementation of the Common Reporting framework.

3.Institutions report only those templates that are relevant depending on the approach used for determining own funds requirements.


    1. Numbering convention


4.The document follows the labelling convention set in the following table, when referring to the columns, rows and cells of the templates. These numerical codes are extensively used in the validation rules.

5.The following general notation is followed in the instructions: {Template;Row;Column}.

6.In the case of validations inside a template, in which only data points of that template is used, notations do not refer to a template: {Row;Column}.

7.In the case of templates with only one column, only rows are referred to. {Template;Row}

8.An asterisk sign is used to express that the validation is done for the rows or columns specified before.

    1. Sign convention


9.Any amount that increases the own funds or the capital requirements shall be reported as a positive figure. On the contrary, any amount that reduces the total own funds or the capital requirements shall be reported as a negative figure. Where there is a negative sign (-) preceding the label of an item no positive figure is expected to be reported for that item.

10.

PART II: TEMPLATE RELATED INSTRUCTIONS



  1. Solvency Overview (CA)

    1. General remarks


11.CA templates contain information about Pillar 1 numerators (own funds, Tier 1, Common Equity Tier 1), denominator (own funds requirements), and transitional provisions and is structures in five templates:

  1. CA1 template contains the amount of own funds of the institutions, disaggregated in the items needed to get to that amount. The amount of own funds obtained includes the aggregate effect of transitional provisions per type of capital

  2. CA2 template summarizes the total risk exposures amounts (as defined in Article 92(3) of CRR)

  3. CA3 template contains the ratios for which CRR state a minimum level, and some other related data

  4. CA4 template contains memorandums items needed for calculating items in CA1 as well as information with regard to the CRD capital buffers.

  5. CA5 template contains the data needed for calculating the effect of transitional provisions in own funds. CA5 will seize to exist once the transitional provisions will expire.

12.The templates shall apply to all reporting entities, irrespective of the accounting standards followed, although some items in the numerator are specific for entities applying IAS/IFRS-type valuation rules. Generally, the information in the denominator is linked to the final results reported in the correspondent templates for the calculation of the total risk exposure amount.

13.The total own funds consist of different types of capital: Tier 1 capital (T1), which is the sum of Common Equity Tier 1 capital (CET1), Additional Tier 1 capital (AT1) as well as Tier 2 capital (T2).

14.Transitional provisions are treated as follows in CA templates:


  1. The items in CA1 are generally gross of transitional adjustments. This means that figures in CA1 items are calculated according to the final provisions (i.e. as if there were no transitional provisions), with the exception of items summarizing the effect of the transitional provisions. For each type of capital (i.e. CET1; AT1 and T2) there are three different items in which all the adjustments due to transitional provisions are included:

  2. Transitional provisions may also affect the AT1 and the T2 shortfall (i.e. AT1 or T2 the excess of deduction, regulated in articles 36(1) point (j) and 56 point (e) of CRR respectively), and thus the items containing these shortfalls may indirectly reflect the effect of transitional provisions.

  3. Template CA5 is exclusively used for reporting the transitional provisions.

15.The treatment of Pillar II requirements can be different within the EU (Article 104 (2) CRD IV has to be transposed into national regulation). Only the impact of Pillar II requirements on the solvency ratio or the target ratio shall be included in the solvency reporting of CRR. A detailed reporting of Pillar II requirements is not within the mandate of Article 99 CRR.



  1. The templates CA1, CA2 or CA5 only contain data on Pillar I issues.

  2. The template CA3 contains the impact of additional Pillar II-requirements on the solvency ratio on an aggregated basis. One block focuses on the impact of amounts on the ratios, whereas the other block focuses on the ratio itself. Both blocks of ratios do not have any further link to the templates CA1, CA2 or CA5.

  3. The template CA4 contains one cell regarding additional own funds requirements relating to Pillar II. This cell has no link via validation rules to the capital ratios of the CA3 template and reflects Article 104 (2) CRD which explicitly mentions additional own funds requirements as one possibility for Pillar II decisions.



    1. Share with your friends:
1   2   3   4   5   6   7   8   9   ...   29




The database is protected by copyright ©essaydocs.org 2020
send message

    Main page