Reporting on own funds and own funds requirements


C 06.00 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)



Download 1.36 Mb.
Page8/29
Date31.05.2016
Size1.36 Mb.
1   ...   4   5   6   7   8   9   10   11   ...   29

C 06.00 - GROUP SOLVENCY: INFORMATION ON AFFILIATES (GS)

  1. General remarks


28.This template consists of four parts in order to gather different information on all individual entities (including the reporting institution) included in the scope of consolidation of the reporting entity.

  1. Entities within the scope of consolidation;

  2. Detailed group solvency information;

  3. Information on the contribution of individual entities to group solvency

  4. Information on capital buffers

29.Institutions waived according to Article 7 of CRR shall only report the columns 010 to 060 and 250 to 400.
    1. Detailed group solvency information;


30.The second part of this template (detailed group solvency information) in columns 070 to 210 is designed to gather information on credit and other regulated financial institutions which are effectively subject to particular solvency requirements on individual basis. It provides, for each of those entities within the scope of the reporting, the own funds requirements for each risk category and the own funds for solvency purposes.

31.In the case of proportional consolidation of participations, the figures related to own funds requirements and own funds shall reflect the respective proportional amounts.


    1. Information on the contributions of individual entities to group solvency


32.The objective of the third part of this template (information on the contributions of all entities within CRR scope of consolidation to group solvency), including those that are not subject to particular solvency requirements on an individual basis, in columns 250 to 400, is to identify which entities within the group generate the risks and raise own funds from the market, based on data that are readily available or can easily be reprocessed, without having to reconstruct the capital ratio on a solo or sub-consolidated basis. At the entity level, both risk and own fund figures are contributions to the group figures and not elements of a solvency ratio on a solo basis and as such must not be compared to each other.

33.The third part also includes the amounts of minority interests, qualifying AT1, and qualifying T2 eligible in the consolidated own funds.

34.As this third part of the template refers to “contributions”, the figures to be reported herein shall defer, when applicable, from the figures reported in the columns referring to detailed group solvency information.

35.The principle is to delete the crossed-exposures within the same groups in a homogeneous way both in terms of risks or own funds, in order to cover the amounts reported in the group’s consolidated CA template by adding the amounts reported for each entity in ”Group Solvency” template. In cases where the 1 % threshold, is not exceeded a direct link to the CA template is not possible.

36.The institutions shall define the most appropriate breakdown method between the entities to take into account the possible diversification effects for market risk and operational risk.

37.Institutions which calculate their own funds requirements on a consolidated basis shall report the GS template. It is possible for one consolidated group to be included within another consolidated group in which case the consolidated entity will have their details included in a higher consolidated group's GS template.

38.An institution shall report data of the contribution of an entity when its contribution to the total risk exposure amount exceeds 1 % of the total risk exposure amount of the group or when its contribution to the total own funds exceeds 1% of the total own funds of the group. This threshold does not apply in the case of subsidiaries or subgroups that provide own funds (in the form of minority interests or qualifying AT1 or T2 instruments included in own funds) to the group.

    1. Instructions concerning specific positions


Columns

Instructions

010-060

ENTITIES WITHIN SCOPE OF CONSOLIDATION

This template is designed to gather information on all entities on an entity-by-entity-basis within the scope of consolidation according to Chapter 2 of Title II of Part One of CRR.

The figures of the parent institutions shall also be included in the group solvency template.

This part is not applicable to the total row.



010

NAME

Name of the entity within the scope of consolidation.



020

CODE

Code assigned to the entity within the scope of consolidation.



The actual composition of the code depends on the national reporting system

025

LEI CODE


030

INSTITUTION OR EQUIVALENT: YES / NO

"YES" shall be reported in case the entity is subject to own funds requirements according to CRD or provisions at least equivalent to Basel provisions.

”NO” shall be reported otherwise.


  • Minority interests:

81(1) point (a) (ii) and 82(1) point (a) (ii)

To the effects of minority interests and AT1 and T2 instruments issued by subsidiaries, the subsidiaries whose instruments can be eligible shall be institutions or undertakings subject by virtue of applicable national law to the requirements of CRR.




040

SCOPE OF DATA: solo fully consolidated (SF), solo partially consolidated (SP) or subconsolidated (SC)

“SF” shall be reported for individual subsidiaries fully consolidated

“SP” shall be reported for individual subsidiaries partially consolidated

“SC” shall be reported for subgroups.



050

COUNTRY CODE

Institutions shall report the two-letter country code according to ISO 3166-2.



060

SHARE OF HOLDING (%)

Total percentages of holding held by the reporting institution. This percentage is referred to the actual share of capital relevant for consolidation.



070-240

INFORMATION ON ENTITIES SUBJECT TO OWN FUNDS REQUIREMENT

The section of detailed information (i.e. columns 070 to 240) shall gather information only on those entities and subgroups which, being within the scope of consolidation (Chapter 2 of Title II of Part One of CRR), are effectively subject to solvency requirements according to CRR or provisions at least equivalent to Basel provisions (i.e, reported yes in column 030).

Information shall be included about all individual institutions of a consolidated group that are subject to own funds requirements, regardless where they are located.

The information reported in this part shall be according to the local solvency rules where the institution is operating (therefore for this template it is not necessary to do a double calculation on an individual basis according to the parent institution’s rules). When local solvency rules differ from CRR and a comparable breakdown is not given, the information shall be completed where data is available in the respective granularity. Therefore, this part is a factual template that summarises the calculations that the individual institutions of a group shall carry out, bearing in mind that some of those institutions may be subject to different solvency rules.



Reporting of fixed overheads of investment firms:

Investment firms shall include own funds requirements related to fixed overheads in their calculation of capital ratio according to Articles 95, 96, 97 and 98 of CRR.

The part of the total risk exposure amount related to fixed overheads shall be reported in column 100 of part 2 of this template.


070

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 080 to 110 shall be reported.




080

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

The amount to be reported in this column corresponds to the sum of risk weighted exposure amounts that are equal or equivalent to the ones that must be reported in row 040 “RISK WEIGHTED EXPOSURE AMOUNTS FOR CREDIT, COUNTERPARTY CREDIT AND DILUTION RISKS AND FREE DELIVERIES” and the amounts of own funds requirements that are equal or equivalent to the ones that must be reported in row 490 “TOTAL RISK EXPOSURE AMOUNT FOR SETTLEMENT/DELIVERY RISKS ” of the template CA2.



090

POSITION, FX AND COMMODITY RISKS

The amount to be reported in this column corresponds to the amount of own funds requirements that are equal or equivalent to the ones that must be reported in row 520 “TOTAL RISK EXPOSURE AMOUNT FOR POSITION, FOREIGN EXCHANGE AND COMMODITIES RISKS” of the template CA2.



100

OPERATIONAL RISK

The amount to be reported in this column corresponds to the risk exposure amount that is equal or equivalent to the one that shall be reported in row 590 “TOTAL OWN FUNDS REQUIREMENTS FOR OPERATIONAL RISKS (OpR)” of the template CA2.

Fixed overheads shall be included in this column including the row 630 “ADDITIONAL RISK EXPOSURE AMOUNT DUE TO FIXED OVERHEADS” of the template CA2.


110

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above. It is the sum of the amounts of rows 640, 680 and 690 of the template CA2.



120-240

DETAILED INFORMATION ON GROUP SOLVENCY OWN FUNDS

The information reported in the following columns shall be according to the local solvency rules where the entity or subgroup is operating.



120

OWN FUNDS

The amount to be reported in this column corresponds to the amount of own funds that are equal or equivalent to the ones that must be reported in row 010 “OWN FUNDS” of the template CA1.



130

OF WHICH: QUALIFYING OWN FUNDS

Article 82 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings, share premium accounts and other reserves) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.


140

OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Article 87 (1) (b) of CRR

150

TOTAL TIER 1 CAPITAL

Article 25 of CRR




160

OF WHICH: QUALIFYING TIER 1 CAPITAL

Article 82 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions.

Qualifying holdings are, for the subsidiaries specified above, the instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.


170

OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Article 87 (1) (b) of CRR


180

COMMON EQUITY TIER 1 CAPITAL

Article 50 of CRR




190

OF WHICH: MINORITY INTERESTS

Article 81 of CRR

This column shall only be reported for subsidiaries fully consolidated which are institutions, except subsidiaries referred to in article 84(3a) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 84 of CRR, if relevant, in accordance with article 84(2), otherwise on a solo basis.

To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the CET1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.


200

OF WHICH: OWN FUNDS INSTRUMENTS, RELATED RETAINED EARNINGS, SHARE PREMIUM ACCOUNTS AND OTHER RESERVES

Article 87 (1) (b) of CRR

210

ADDITIONAL TIER 1 CAPITAL

Article 61 of CRR




220

OF WHICH: QUALIFYING ADDITIONAL TIER 1 CAPITAL

Articles 82 and 83 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated which are institutions, except subsidiaries referred to in article 85 (2) of CRR . Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 85 of CRR, if relevant, in accordance with article 85(2), otherwise on a solo basis.

To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the AT1 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision. It shall be the eligible amount on the date of reporting.


230

TIER 2 CAPITAL

Article 71 of CRR




240

OF WHICH: QUALIFYING TIER 2 CAPITAL

Articles 82 and 83 of CRR

This column shall only be provided for the subsidiaries reported on an individual basis that are fully consolidated, which are institutions, except subsidiaries referred to in article 87 (2) of CRR. Each subsidiary shall be considered on a sub-consolidated basis for the purpose of all the calculations required in article 87 of CRR, if relevant, in accordance with article 87(2) of CRR, otherwise on a solo basis.

To the effects of CRR and this template, minority interests are, for the subsidiaries specified above, the T2 instruments (plus related retained earnings and share premium accounts) owned by persons other than the undertakings included in the CRR consolidation.

The amount to be reported shall include the effects of any transitional provision, i.e. it has to be the eligible amount in the date of reporting.


250-400

INFORMATION ON THE CONTRIBUTION OF ENTITIES TO SOLVENCY OF THE GROUP


250-290

CONTRIBUTION TO RISKS

The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.



250

TOTAL RISK EXPOSURE AMOUNT

The sum of the columns 260 to 290 shall be reported.



260

CREDIT; COUNTERPARTY CREDIT; DILUTION RISKS, FREE DELIVERIES AND SETTLEMENT/DELIVERY RISK

The amount to be reported shall be the risk weighted exposure amounts for credit risk and own funds requirements of settlement/delivery risk as per CRR, excluding any amount related to transactions with other entities included in the Group consolidated solvency ratio computation.



270

POSITION, FX AND COMMODITY RISKS

Risk exposure amounts for market risks are to be computed at each entity level following CRR. Entities shall report the contribution to the total risk exposure amounts for position, FX and commodity risk of the group. The sum of amounts reported here corresponds to the amount reported in row 520 “TOTAL RISK EXPOSURE AMOUNTS FOR POSITION, FOREIGN EXCHANGE AND COMMODITY RISKS” of the consolidated report.



280

OPERATIONAL RISK

In case of AMA, the reported risk exposure amounts for operational risk include the effect of diversification.



Fixed overheads shall be included in this column.

290

OTHER RISK EXPOSURE AMOUNTS

The amount to be reported in this column corresponds to the risk exposure amount not especially listed above.



300-400

CONTRIBUTION TO OWN FUNDS

This part of the template does not intend to impose that institutions perform a full computation of the total capital ratio at the level of each entity.

Columns 300 to 350 shall be reported for those consolidated entities which contribute to own funds by minority interest, whereas columns 360 to 400 shall be reported by all other consolidated entities which contribute to the consolidated own funds.

Own funds brought to an entity by the rest of entities included within the scope of the reporting entity shall not to be taken into account, only the net contribution to the group own funds shall be reported in this column, that is mainly the own funds raised from third parties and accumulated reserves.

The information reported in the following columns shall be according to the solvency rules applicable to the reporting institution.


300-350

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

The amount to be reported as “QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS” shall be the amount as derived from Title II of Part Two of CRR, excluding any fund brought in by other group entities.



300

QUALIFYING OWN FUNDS INCLUDED IN CONSOLIDATED OWN FUNDS

Article 87 of CRR




310

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 1 CAPITAL

Article 85 of CRR




320

MINORITY INTERESTS INCLUDED IN CONSOLIDATED COMMON EQUITY TIER 1 CAPITAL

Article 84 of CRR

The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated CET1 according to the CRR.


330

QUALIFYING TIER 1 INSTRUMENTS INCLUDED IN CONSOLIDATED ADDITIONAL TIER 1 CAPITAL

Article 86 of CRR

The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated AT1 according to the CRR.


340

QUALIFYING OWN FUNDS INSTRUMENTS INCLUDED IN CONSOLIDATED TIER 2 CAPITAL

Article 89 of CRR

The amount to be reported is the amount of minority interests of a subsidiary that is included in consolidated T2 according to the CRR.


350

MEMORANDUM ITEM: GOODWILL (-) / (+) NEGATIVE GOODWILL


360-400

CONSOLIDATED OWN FUNDS

Article 18 (2) CRR

The amount to be reported as “CONSOLIDATED OWN FUNDS” is the amount as derived from the balance sheet, excluding any fund brought in by other group entities.


360

CONSOLIDATED OWN FUNDS

370

OF WHICH: COMMON EQUITY TIER 1

380

OF WHICH: ADDITIONAL TIER 1

390

OF WHICH: CONRIBUTIONS TO CONSOLIDATED RESULT

The contribution of each entity to the consolidated result (profit or loss (-)) is reported. This includes the results attributable to minority interests.



400

OF WHICH: (-) GOODWILL / (+) NEGATIVE GOODWILL

Goodwill or negative goodwill of the reporting entity on the subsidiary is reported here.



410-430

CAPITAL BUFFERS

The structure of the reporting of capital buffers for the GS template follows the general structure of the template CA4, using the same reporting concepts. When reporting the capital buffers for the GS template, the relevant amounts shall be reported following the calculating of the buffer requirements, that means depending whether the requirements shall be calculated on consolidated, subconsolidated or individual level.

410

COMBINED BUFFER REQUIREMENTS

Article 128 point (2) of CRD




420

CAPITAL CONSERVATION BUFFER

Article 128 point (1) and 129 of CRD

According to Article 123 (1) the capital conservation buffer is an additional amount of Common Equity Tier 1 capital. Due to the fact that the capital conservation buffer rate of 2.5% is stabile, an amount shall be reported in this cell.


430

INSTITUTION SPECIFIC COUNTERCYCLICAL CAPITAL BUFFER

Article 128 point (7), Article 130 and 135-140 of CRD

In this cell the concrete amount of the countercyclical buffer shall be reported.


440

CONSERVATION BUFFER DUE TO MACRO-PRUDENTIAL OR SYSTEMIC RISK IDENTIFIED AT THE LEVEL OF A MEMBER STATE

Article 458 (2) point d (iv) of CRR

In this cell the amount of the conservation buffer due to macro-prudential or systemic risk identified at the level of a Member State, which can be requested according to Article 458 of CRR in addition to the capital conservation buffer shall be reported.




450

SYSTEMIC RISK BUFFER

Article 133 and 134 of CRD


In this cell the amount of the systemic risk buffer shall be reported.

460

SYSTEMICAL IMPORTANT INSTITUTION BUFFER

Article 128 (4) of CRD
In this cell the amount of the Systemically important institution buffer shall be reported.


470

GLOBAL SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Article 131 of CRD
In this cell the amount of the Global Systemically Important Institution buffer shall be reported.


480

OTHER SYSTEMICALLY IMPORTANT INSTITUTION BUFFER

Article 131 of CRD


In this cell the amount of the Other Systemically Important Institution buffer shall be reported.




Rows

Instructions

010

The template has a fixed row, which is the total of all the individual entities (not including subgroups). This row does not require information in the first part of the template.

999

Below the fixed row, there shall be a row for each entity.





  1. Share with your friends:
1   ...   4   5   6   7   8   9   10   11   ...   29




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

    Main page