Semi Annual Pillar 3 Disclosure Report - Depfa Bank · 2016-08-04 · 2 1.3 Purpose of the...

Semi Annual Pillar 3 Disclosure Report 30 June 2015

Contents

1 1. Introduction and DEPFA Group information 1 1.1 DEPFA Group Information 1 1.2 Supervision 2 1.3 Purpose of the semi-annual disclosure report 2 1.4 Key ratios 3 1.5 Distinctions between Pillar 3 and IFRS quantitative disclosures

5 2. Capital and capital management 5 2.1 Introduction 6 2.2 Composition of regulatory capital 7 2.3 Pillar 1 requirements and RWA

8 3. Credit risk 8 3.1 Credit risk from a regulatory perspective (Pillar 1) 8 3.2 Credit risk exposures

9 4. Leverage

10 Annex 1: Significant Subsidiary Disclosures 10 DEPFA ACS BANK disclosure 10 1. DEPFA ACS BANK information 10 1.1 Capital Ratios 11 2. Capital and capital management 11 2.1 Composition of regulatory capital 12 2.2 Pillar 1 requirements and RWA 12 3. Credit risk 12 3.1 Credit risk exposures 13 4. Leverage

14 DEPFA Pfandbrief Bank International S.A. disclosure 14 1. DEPFA Pfandbrief Bank International S.A. information 14 1.1 Capital Ratios 15 2. Capital and capital management 16 2.1 Composition of regulatory capital 16 2.2 Pillar 1 requirements and RWA 16 3. Credit risk 16 3.1 Credit risk exposures 17 4. Leverage

18 Annex 2: European banking authority (EBA) reference

19 Annex 3: List of Tables

1Semi Annual Pillar 3 Disclosure ReportContentsIntroduction and DEPFA Group information

1. Introduction and DEPFA Group information

1.1 DEPFA Group Information

Since 19 December 2014 the entire ordinary share capital of DEPFA BANK plc (“the Bank”) is owned by FMS Wertmanagement AöR, a German State Agency established by the Federal Republic of Germany and to which DEPFA BANK plc and its subsidiary undertakings (“the DEPFA Group”) transferred non-strategic positions in 2010. FMS Wertmanagement AöR is under the direct ownership of the German Financial Markets Stabilisation Fund/German Finanz - marktstabilisierungsfonds (“SoFFin”), which is managed by the Federal Agency for Financial Market Stabilisation (“FMSA”).

Major eventsAs described in the Events after 31 December 2014 in the Annual Report of the DEPFA Group for 2014, FMS Wertmanagement AöR, the parent company of the DEPFA Group, launched a tender offer inviting holders of Perpetual Preferred Securities issued by DEPFA Funding II LP, DEPFA Funding III LP and DEPFA Funding IV LP to tender those securities for purchase by FMS Wertmanagement AöR.

In the tender offer, which ended on 18 May 2015, 90.5% of the DEPFA Funding II LP Preferred Securities, 87.9% of DEPFA Funding III LP Preferred Securities and 99.9% of DEPFA Funding IV LP Preferred securities were tendered to and purchased by FMS Wertmanagement AöR.

At bondholder meetings on 20 May 2015 for each Preferred Securities issue, a clear majority in each case voted in favour of facilitating the purchase by DEPFA BANK plc of all three bonds at the respective purchase price. This allowed DEPFA BANK plc to buy the bonds that were not tendered for purchase at their respective purchase price on 26 May 2015.

As a result of these transactions, the DEPFA Group Common Equity Tier 1 was increased by €26 million representing the Equity gain on the purchase of Preferred Securities. The DEPFA Group Additional Tier 1 was reduced by €50 million and the DEPFA Group Tier 2 was reduced by €25 million collectively representing the volume of Preferred Securities acquired by DEPFA Group. The purchase by FMS Wertmanagement AöR of the Preferred Securities in the amounts described above had no impact on the equity of the DEPFA Group as the Preferred Securities remain in issue.

1.2 Supervision

The DEPFA Group is supervised on a consolidated basis by the Central Bank of Ireland (“CBI”).

As at 30 June 2015, four entities in the DEPFA Group held banking licences. These are DEPFA BANK plc, DEPFA ACS BANK, DEPFA Public Finance Bank (formerly Hypo Public Finance Bank) and DEPFA Pfandbrief Bank International S.A. (formerly Hypo Pfandbrief Bank Inter-national S.A.) (together the “regulated entities”). With the exception of DEPFA Pfandbrief Bank International S.A. which is regulated by the Commission de Surveillance du Secteur Financier (“CSSF”) in Luxembourg all of these entities are regulated by the CBI. In addition, DEPFA BANK plc has branches in the United States of America and Japan which are subject to local regulation in these jurisdictions.

2

1.3 Purpose of the semi-annual disclosure report

The purpose of this disclosure report is to meet the regulatory disclosure requirements for the DEPFA Group and its significant subsidiaries on capital and risk management at 30 June 2015.

The regulatory disclosure requirements are those outlined in the Capital Requirements Directive (the European parliament’s Directive 2013/36/EU) and the Capital Requirements Regulation (the European parliament’s Regulation No 575/2013) along with the EBA Guideline (EBA/GL/2014/14) – together referred to throughout this document as “CRD IV”.

The disclosure requirements are on a DEPFA Group level with certain disclosures also required at a significant subsidiary level. The DEPFA Group considers that DEPFA ACS BANK and DEPFA Pfandbrief Bank International S.A. are significant subsidiaries for the purposes of these requirements. See Annex 1 for the significant subsidiary disclosures.

The DEPFA Group has adopted a formal policy to comply with the disclosure requirements laid down in CRD IV and has policies for assessing the appropriateness of the disclosures, including their verification and the frequency with which the disclosures are made. The full Pil lar 3 disclosures will be published on an annual basis on the DEPFA Group’s website www.depfa.com in conjunction with the DEPFA Group’s annual report. Certain disclosures that are required on a more frequent basis under CRD IV will also be published on the website www.depfa.com in conjunction with the DEPFA Group’s interim report. There is no requirement for the Pillar 3 disclosures to be externally audited. However, this disclosure report has been subject to review and verification in accordance with the internal DEPFA Group’s Pillar 3 Disclosure policy.

1.4 Key ratios

Table 1.1 outlines the DEPFA Group’s key capital ratios under CRD IV. CRD IV information is provided on a transitional and fully loaded basis.

Table 1.1 Capital ratios

DEPFA Group 30 June 2015 31 December 2014

CRD IV transitional CRD IV fully loaded CRD IV transitional CRD IV fully loaded

€ m Capital Ratio (%) Capital Ratio (%) Capital Ratio (%) Capital Ratio (%)

Common Equity Tier 1 (CET1) 811 15.69% 787 15.21% 842 15.48% 812 14.92%

Tier 1 1,323 25.59% 787 15.21% 1,481 27.22% 812 14.92%

Total capital 2,074 40 .10% 1,634 31.59% 2,307 42.39% 1,758 32.31%

The DEPFA Group calculate capital and capital ratios on the basis prescribed in CRD IV.

Under CRD IV the DEPFA Group is required to meet a minimum CET1 ratio of 4.5% of Risk Weighted Assets “RWA”, a minimum tier 1 ratio of 6.0% of RWAs and a total capital ratio of 8.0% of RWAs.

3Semi Annual Pillar 3 Disclosure ReportIntroduction and DEPFA Group information

1.5 Distinctions between Pillar 3 and IFRS quantitative disclosures

The Pillar 3 disclosures are compiled based on the definitions and requirements outlined in CRD IV (regulatory exposure values) whereas the financial statements are prepared under International Financial Reporting Standards (“IFRS”). The regulatory exposure values relate to the amount expected to be outstanding if the business partner were to default – Exposure at default (“EaD”).

The following tables show in two steps how the asset values in the DEPFA Group Consolidated statement of financial position (“IFRS Asset Values”) are mapped and reconcile to Regulatory EaD values. Firstly, table 1.2 below shows a breakdown of the IFRS asset categories and asset values into the regulatory risk types that form the basis for regulatory capital requirements.

Table 1.2 IFRS asset categories allocated to regulatory risk types

DEPFA Group 30 June 2015

IFRS asset values

Carrying values of items

Subject to credit risk (excluding

counterparty credit risk)

Subject to counterparty

credit risk Subject to

securitisation Subject to market risk

Not subject to capital

requirements or subject

to deduction from capital € m

Assets

Cash reserve 662 662 – – – –

Trading assets 7,265 47 7,218 – 80 –

Loans and advances to other banks 3,995 1,014 2,871 – – 110

Loans and advances to customers 7,052 7,042 10 – – –

Allowances for losses on loans and advances –9 –3 – – – –6

Financial investments 17,219 13,674 – 3,476 – 69

Property, plant and equipment 4 4 – – – –

Intangible assets 5 – – – – 5

Other assets 4,008 5 4,003 – – –

Income tax assets 3 3 – – – –

Total assets 40,204 22,448 14,102 3,476 80 178

Off balance sheet items 15 15 – – – –

The amounts shown in IFRS asset values does not equal the sum of the amounts shown in the remaining columns in this table as certain assets are subject to regulatory capital charges under both counterparty credit risk (“CCR”) and market risk.

4

DEPFA Group 31 December 2014

IFRS asset values

Carrying values of items

Subject to credit risk (excluding

counterparty credit risk)

Subject to counterparty

credit risk Subject to

securitisation Subject to market risk

Not subject to capital

requirements or subject

to deduction from capital € m

Assets

Cash reserve 502 502 – – – –

Trading assets 9,577 46 9,531 – 58 –

Loans and advances to other banks 6,523 1,103 5,317 – – 103

Loans and advances to customers 9,282 9,052 230 – – –

Allowances for losses on loans and advances –10 – 4 – – – –6

Financial investments 18,055 14,562 – 3,426 – 67

Property, plant and equipment 4 4 – – – –

Intangible assets 7 – – – – 7

Other assets 4,532 7 4,525 – – –

Income tax assets 51 51 – – – –

Total assets 48,523 25,323 19,603 3,426 58 171

Off balance sheet items 22 22 – – – –

The amounts shown in IFRS asset values does not equal the sum of the amounts shown in the remaining columns in this table as certain assets are subject to regulatory capital charges under both counterparty credit risk (“CCR”) and market risk.

Secondly, table 1.3 reconciles the IFRS asset values and Regulatory EaD values by regulatory risk type. The differences are caused by different calculation methodology as outlined be-low. In the IFRS financial statements, netting is only permitted if legal right of set-off exists and cash flows are settled on a net basis. For Regulatory EaD, calculations netting can be applied if there are valid legal agreements and the positions are managed on a net collateralised basis. Therefore for Regulatory EaD, there is greater netting (reflecting the legal close-out provisions in the event of the default of a business partner) compared to IFRS netting which only permits netting of transactions that are settled net in the normal course of business.

Table 1.3 Reconciliation of IFRS values to regulatory EaD


Items subject to Items subject to

Credit riskCounterparty

credit risk Securitisation Credit riskCounterparty

credit risk Securitisation€ m

Total assets (as per table 1.2) 22,448 14,102 3,476 25,323 19,603 3,426

Off Balance Sheet items (as per table 1.2) 15 – – 22 – –

Total net assets 22,463 14,102 3,476 25,345 19,603 3,426

EaD netting impacts (derivatives, repos and collateral) – –12,465 – – –16,042 –

Exposure amounts considered for regulatory purposes 22,463 1,637 3,476 25,345 3,561 3,426

Credit risk EaD values are further analysed in section 3.2 of this report.

5Semi Annual Pillar 3 Disclosure ReportIntroduction and DEPFA Group informationCapital and capital management

2. Capital and capital management

2.1 Introduction

It is the DEPFA Group’s objective to maintain a level of regulatory capital sufficient to support its business strategy and to meet the regulatory capital requirements at all times. The main purposes of the DEPFA Group’s capital management policies and practices are to support its business strategy and to ensure that the DEPFA Group is sufficiently capitalised to withstand severe macroeconomic downturns.

With substantial capital in excess of the minimum regulatory requirements, the DEPFA Group considers itself well capitalised.

6

2.2 Composition of regulatory capital

Following the introduction of CRD IV on 1 January 2014 a number of transitional provisions apply both to the eligibility of capital instruments (“grandfathering”) and the phasing-in of deductions.

Table 2.1 provides further information on the capital structure along with the implications of the transitional provisions.

Table 2.1 Capital structure


Transitional basis

Amounts subject

to pre-CRR treatment

or prescribed residual amount of CRR

Transitional basis

Amounts subject


or prescribed residual amount of CRR€ m CRR article reference1)

Common Equity Tier 1 (CET1) capital before regulatory adjustments

26 (1), 27, 28, 29, EBA list 26 (3), 486 (2), 483 (2), 84, 479, 480

871

– 993 –

Total regulatory adjustments to Common Equity Tier 1 (CET1)

32 to 34, 36 to 38, 40 to 49, 79, 89 to 91, 105, 159, 243, 244, 258, 379, 467, 468, 470, 472, 481

–60 –24 –151 –30

Common Equity Tier 1 (CET1) capital 811 –24 842 –30

Additional Tier 1 (AT1) capital before regulatory adjustments

51, 52, 85, 86, 480, 483 (3), 486 (3) 566 –566 707 –707

Total regulatory adjustments to Additional Tier 1 (AT1) capital

52 (1) (b), 56, 57, 58, 59, 60, 79, 467, 468, 472, 473, 475, 477, 481

–54

54 –68 68

Additional Tier 1 (AT1) capital 512 –512 639 –639

Tier 1 capital (T1 = CET1 + AT1) 1,323 –536 1,481 –669

Tier 2 (T2) capital before regulatory adjustment

62, 63, 87, 88, 480, 483 (4), 486 (4) 876 153 928 191

Total regulatory adjustments to Tier 2 (T2) capital

63 (b) (i), 66, 67, 68, 69, 70, 79, 472, 475, 467, 468, 477, 481

–125 –57 –102 –71

Tier 2 (T2) capital 751 96 826 120

Total capital (TC = T1 + T2) 2,074 –440 2,307 –549

Total risk-weighted assets 472, 475, 477 5,171 – 5,441 –

Capital ratios and buffers

Common Equity Tier 1 (as a percentage of total risk exposure amount)

92 (2) (a), 465 15.69% –

15.48% –

Tier 1 (as a percentage of total risk exposure amount)

92 (2) (b), 465 25.59% – 27.22% –

Total capital (as a percentage of total risk exposure amount)

92 (2) (c) 40.10% – 42.39% –

1) CRR refers to Regulation (EU) No 575/2013

7Semi Annual Pillar 3 Disclosure ReportCapital and capital management

2.3 Pillar 1 requirements and RWA

Table 2.2 outlines the components of the DEPFA Group’s RWA and the amount of capital the DEPFA Group is required to set aside to meet the minimum total capital ratio of 8.0% of RWA set by CRD IV.

Table 2.2 RWA and capital requirements


€ m RWA

Minimum capital

requirements RWA

Minimum capital

requirements

Credit risk (excluding counterparty credit risk) (CCR) – Standardised approach 2,471 198 2,455 196

On Balance Sheet 2,463 197 2,444 195

Off Balance Sheet 8 1 11 1

Counterparty credit risk (including CVA standardised approach) 1,868 150 2,022 162


Credit Valuation Adjustment (“CVA”) 1,287 103 1,390 111

Securitisation position in banking book 688 55 676 54

Market risk 55 4 98 8

Intererst rate risk (general and specific) 25 2 37 3

Foreign exchange risk 30 2 61 5

Operational risk – Standardised approach 89 7 190 15

Total 5,171 414 5,441 435

8 3. Credit risk

3.1 Credit risk from a regulatory perspective (Pillar 1)

This section describes the DEPFA Group Pillar 1 – credit risk capital requirements with supporting analysis of exposures, risk weights and capital requirements.

Credit risk covers three distinct regulatory risk categories: - Credit risk exposures, - Counterparty credit risk exposures (“CCR”), - Securitisation exposures

The DEPFA Group calculates all credit risk regulatory capital requirements under the Stand-ardised Approach outlined in CRD IV. The calculation of the capital requirements is based on risk weights assigned by reference to the external rating of the business partner.

3.2 Credit risk exposures

The following table provides an overview of RWA and capital requirements by asset class.

Asset class

Table 3.1 RWA and capital requirements by asset class


€ m RWACapital

requirements RWACapital

requirements

Central Governments or Central banks 216 17 275 22

Regional Governments or local authorities 819 66 858 69

Public Sector Entities 397 32 558 45

Multilateral Development Banks – – – –

Institutions 418 33 334 26

Corporates 507 41 262 21

Covered Bonds 2 – 2 –

Equity – – – –

Other assets 12 1 56 4

Short-term claims on institutions and corporates 100 8 110 9

Total 2,471 198 2,455 196

9Semi Annual Pillar 3 Disclosure ReportCredit riskLeverage

4. Leverage

Since January 2014, CRD IV has required institutions to calculate, monitor and report their leverage ratios, defined as Tier 1 capital as a percentage of total leverage exposures. The leverage ratio is scheduled for inclusion as a Pillar 1 requirement beginning in 2018. However this is subject to ratification by the European Commission.

The leverage ratio aims to constrain the build-up of excess leverage in the banking sector, introducing additional safeguards against model risk and measurement errors.

The leverage ratio, on both a transitional and fully-loaded basis is stated in the following table.

Table 4.1 Leverage

DEPFA Group

30.06.2015 31.12.20141)€ m

Capital and total exposures

Total leverage ratio exposures (transitional rules) 27,721 32,652

Total leverage ratio exposures (fully loaded) 27,750 32,689

Tier 1 capital (transitional rules) 1,323 1,481

Tier 1 capital (fully loaded) 787 812

Leverage ratio (transitional rules) 4.77% 4.54%

Leverage ratio (fully loaded) 2.83% 2.48%

1) The leverage ratio reflects the delegated Act implemented on 18 January 2015. Comparative figures have been restated to reflect the final leverage ratio legislation.

10 Annex 1: Significant subsidiary disclosures

The DEPFA Group considers that DEPFA ACS BANK and DEPFA Pfandbrief Bank International S.A. are significant subsidiaries of the group. DEPFA ACS BANK and DEPFA Pfandbrief Bank International S.A. are wholly owned subsidiaries of the DEPFA Group.

The DEPFA Group’s policies and practices are applied across all subsidiaries within the Group.

DEPFA ACS BANK disclosure

1. DEPFA ACS BANK information

1.1 Capital ratiosTable A1.1 outlines DEPFA ACS BANK’s key capital ratios under CRD IV. CRD IV information is provided on a transitional and fully loaded basis.

Table A1.1 Capital ratios

DEPFA ACS BANK 30 June 2015 31 December 2014




Tier 1 605 25.34% 608 25.44% 612 26.45% 615 26.56%

Total capital 1,104 46.20% 1,013 42.39% 1,128 48.73% 1,022 44.15%

11Semi Annual Pillar 3 Disclosure ReportAnnex 1: Significant subsidiary disclosuresDEPFA ACS BANK disclosure


2.1 Composition of regulatory capitalFollowing the introduction of CRD IV on 1 January 2014 a number of transitional provisions apply both to the eligibility of capital instruments (“grandfathering”) and the phasing-in of deductions. Table A1.2 provides further information on the capital structure along with the implications of the transitional provisions.

Table A1.2 Capital structure

DEPFA ACS BANK30 June 2015 31 December 2014

Transitional basis

Amounts subject



Transitional basis

Amounts subject




26 (1), 27, 28, 29, EBA list 26 (3), 486 (2), 483 (2), 84, 479, 480

621 – 637 –


32 to 34, 36 to 38, 40 to 49, 79, 89 to 91, 105, 159, 243, 244, 258, 379, 467, 468, 470, 472, 481

–16 3 –25 3

Common Equity Tier 1 (CET1) capital 605 3 612 3


51, 52, 85, 86, 480, 483 (3), 486 (3) – – – –


52 (1) (b), 56, 57, 58, 59, 60, 79, 467, 468, 472, 473, 475, 477, 481

– – – –

Additional Tier 1 (AT1) capital – – – –

Tier 1 capital (T1 = CET1 + AT1) 605 3 612 3


62, 63, 87, 88, 480, 483 (4), 486 (4) 526 –81 538 –93


63 (b) (i), 66, 67, 68, 69, 70, 79, 472, 475, 467, 468, 477, 481

–27 –13 –22 –16

Tier 2 (T2) capital 499 –94 516 –109

Total capital (TC = T1 + T2) 1,104 –91 1,128 –106

Total risk-weighted assets 472, 475,477 2,389 – 2,315 –



92 (2) (a), 465 25.34% – 26.45% –


92 (2) (b), 465 25.34% – 26.45% –


92 (2) (c) 46.20% – 48.73% –


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2.2 Pillar 1 requirements and RWATable A1.3 outlines the components of DEPFA ACS BANK’s RWA and the amount of capital DEPFA ACS BANK is required to set aside to meet the minimum capital ratio of 8.0% of RWA set by the CRD IV.

Table A1.3 RWA and capital requirements

DEPFA ACS BANK30 June 2015 31 December 2014

€ m RWA

Minimum capital

requirements RWA

Minimum capital

requirements

Credit risk (excluding counterparty credit risk) (CCR) – Standardised approach 1,631 130 1,577 126

On Balance Sheet 1,548 123 1,464 117


Counterparty credit risk (including CVA standardised approach) 124 10 107 9


Credit Valuation Adjustment (“CVA”) 80 6 71 6



Intererst rate risk (general and specific) – – – –



Total 2,389 191 2,315 185

3. Credit risk

3.1 Credit risk exposuresAsset class

Table A1.4 RWA and capital requirements by asset class

DEPFA ACS BANK 30 June 2015 31 December 2014

€ m RWACapital


requirements



Public Sector Entities 326 26 482 39



Corporates 319 25 91 7

Covered Bonds – – – –


Other assets 2 – 1 –

Short-term claims on institutions and corporates 20 2 – –

Total 1,631 130 1,577 126

13Semi Annual Pillar 3 Disclosure ReportAnnex 1: Significant subsidiary disclosuresDEPFA ACS BANK disclosure

4. Leverage

Table A1.5 Leverage

DEPFA ACS BANK

30.06.2015 31.12.20141)€ m




Tier 1 capital (transitional rules) 605 612





14

DEPFA Pfandbrief Bank International S.A. disclosure

1. DEPFA Pfandbrief Bank International S.A. information

1.1 Capital ratiosTable B1.1 outlines DEPFA Pfandbrief Bank International S.A. key capital ratios under CRD IV. CRD IV information is provided on a transitional and fully loaded basis.

Table B1.1 Capital ratios

DEPFA Pfandbrief Bank International S.A. 30 June 2015 31 December 2014




Tier 1 131 23.57% 122 23.00% 128 22.94% 107 19.19%

Total capital 158 28.61% 144 27.94% 151 26.97% 130 23.22%

15Semi Annual Pillar 3 Disclosure ReportAnnex 1: Significant subsidiary disclosuresDEPFA Pfandbrief Bank International S.A. disclosure


2.1 Composition of regulatory capitalFollowing the introduction of CRD IV on 1 January 2014 a number of transitional provisions apply both to the eligibility of capital instruments (“grandfathering”) and the phasing-in of deductions. Table B1.2 provides further information on the capital structure along with the implications of the transitional provisions.

Table B1.2 Capital structure

DEPFA Pfandbrief Bank International S.A.30 June 2015 31 December 2014

Transitional basis

Amounts subject



Transitional basis

Amounts subject




26 (1), 27, 28, 29, EBA list 26 (3), 486 (2), 483 (2), 84, 479, 480

144 –

112

–


32 to 34, 36 to 38, 40 to 49, 79, 89 to 91, 105, 159, 243, 244, 258, 379, 467, 468, 470, 472, 481

–13 –9 7

–21

Common Equity Tier 1 (CET1) capital 131 –9 119 –21


51, 52, 85, 86, 480, 483 (3), 486 (3) – – 9 –


52 (1) (b), 56, 57, 58, 59, 60, 79, 467, 468, 472, 473, 475, 477, 481

– – – –

Additional Tier 1 (AT1) capital – – 9 –

Tier 1 capital (T1 = CET1 + AT1) 131 –9 128 –21


62, 63, 87, 88, 480, 483 (4), 486 (4) 27 –5 23 –


63 (b) (i), 66, 67, 68, 69, 70, 79, 472, 475, 467, 468, 477, 481

– – – –

Tier 2 (T2) capital 27 –5 23 –

Total capital (TC = T1 + T2) 158 –14 151 –21

Total risk-weighted assets 472, 475, 477 554 – 559 –



92 (2) (a), 465 23.57%

–

21.33% –


92 (2) (b), 465 23.57% – 22.94% –


92 (2) (c) 28.61% – 26.97% –


16

2.2 Pillar 1 requirements and RWATable B1.3 outlines the components of DEPFA Pfandbrief Bank International S.A.’s RWA and the amount of capital DEPFA Pfandbrief Bank International S.A. is required to set aside to meet the minimum capital ratio of 8.0% of RWA set by the CRD IV.

Table B1.3 RWA and capital requirements

DEPFA Pfandbrief Bank International S.A.30 June 2015 31 December 2014

€ m RWA

Minimum capital

requirements RWA

Minimum capital

requirements

Credit risk (excluding counterparty credit risk) (CCR) – Standardised approach 289 23 278 22

On Balance Sheet 289 23 278 22

Off Balance Sheet – – – –

Counterparty credit risk (including CVA standardised approach) 99 8 108 9


Credit Valuation Adjustment (“CVA”) 35 3 44 4



Intererst rate risk (general and specific) – – – –



Total 554 44 558 45

3. Credit risk

3.1 Credit risk exposuresAsset class

Table B1.4 RWA and capital requirements by asset class

DEPFA Pfandbrief Bank International S.A. 30 June 2015 31 December 2014

€ m RWACapital


requirements



Public Sector Entities 6 – 5 –



Corporates 6 – 6 –

Covered Bonds 2 – 2 –


Other assets – – 7 1

Short-term claims on institutions and corporates – – – –

Total 289 23 278 22

17Semi Annual Pillar 3 Disclosure ReportAnnex 1: Significant subsidiary disclosuresDEPFA Pfandbrief Bank International S.A. disclosure

4. Leverage

Table B1.5 Leverage

DEPFA Pfandbrief Bank International S.A.

30.06.2015 31.12.20141)€ m




Tier 1 capital (transitional rules) 131 128





18 Annex 2: European banking authority (EBA) reference

Regulatory ReferenceEBA/GL/2014/14 of 23 December 2014 on materiality, proprietary and confidentiality and on disclosure frequency under Articles 432 (1), 432 (2) and 433 of Regulation (EU) No 575/2013.

Table A2.1 EBA guideline (EBA/GL/2014/14) reference

EBA guideline (EBA/GL/2014/14) reference

High-level summary Compliance reference

Own funds

Title VII 23 a) Information on own-funds and relevant ratios as required by Article 437 and Article 492, as applicable, of Regulation (EU) No 575/2013, especially the following information, as defined in the appropriate rows of Annexes IV and V of Commission Implementing Regulation (EU) No 1423/2013 of 20 December 2013: i. Total amount of Common Equity Tier 1 capital, as in rows 6 and 29; ii. Total amount of Additional Tier 1, as in rows 36 and 44; iii. Total amount of Tier 1 capital, as in row 45; iv. Total amount of Tier 2 capital, as in rows 51 and 58; v. Total amount of capital, as in row 59; vi. Total regulatory adjustments to each capital aggregate, as in rows 28, 43 and 57; vii. Common Equity Tier 1 ratio, as in row 61; viii. Tier 1 ratio, as in row 62; ix. Total capital ratio, as in row 63.

Own funds requirement

Table 2.1 Composition of regulatory capital

Capital requirements

Title VII 23 b) Information required by points (c) to (f) in Article 438 of Regulation (EU) No 575/2013: ii. The amounts of risk-weighted assets and capital requirements by type of risks specified in Article 92 (3) of Regulation (EU) No 575/2013 and by the exposure classes referred in Article 438 of the same Regulation.

RWA and capital requirement by type of risk per Article 92 (3) Credit Risk further analysed by exposure classes per Article 112

Table 2.2 Pillar 1 requirements and RWA Table 3.1 Credit risk exposures

Leverage

Title VII 23 c) Information on the leverage ratio as required by Article 451 of Regulation (EU) No 575/2013, especially the following information, as defined in the appropriate rows of Annex I and II of the Draft ITS on Disclosure for Leverage Ratio under Article 451(2) of Regulation (EU) No 575/2013:

Leverage ratio and how the institution applies Article 499 (2) and 3

Section 14 Leverage

19Semi Annual Pillar 3 Disclosure ReportAnnex 2: European banking authority (EBA) referenceAnnex 3: List of tables

Annex 3: List of tables

Introduction 1.1 Capital Ratios 1.2 IFRS asset categories allocated to regulatory risk types 1.3 Reconciliation of IFRS values to regulatory EaD

Capital and Capital Management 2.1 Capital structure 2.2 RWA and capital requirements

Credit Risk 3.1 RWA and capital requirements by asset class

Leverage 4.1 Leverage

Annex 1: Significant subsidiary disclosures DEPFA ACS BANK A1.1 Capital ratios A1.2 Capital structure A1.3 RWA and capital requirements A1.4 RWA and capital requirements by asset class A1.5 Leverage

DEPFA Pfandbrief Bank International S.A. B1.1 Capital ratios B1.2 Capital structure B1.3 RWA and capital requirements B1.4 RWA and capital requirements by asset class B1.5 Leverage

Annex 2: European banking authority (EBA) reference A2.1 EBA guideline (EBA/Gl/2014/14) reference

DEPFA plc1 Commons StreetDublin 1, IrelandPhone: +353 1 792 2222Fax: +353 1 792 2211www.depfa.com

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