Risk weights applied
| Pillar | Indicator | |||
|---|---|---|---|---|
| Pillar weight | Pillar name | Indicator weight | Indicator name | Indicator description |
| 50% | Risk exposure | 0%* | Own funds and eligible liabilities held by the institution in excess of the MREL |
Own funds shall mean the sum of Tier 1 capital and Tier 2 capital as defined in Article 4(1)(118) of the CRR. Eligible liabilities are the sum of liabilities under Article 122 of the Recovery and Resolution Act. Total liabilities as defined in Section 3 of Council Directive 86/635/EC or in accordance with the IFRS standards specified in Regulation 1606/2002. Liabilities from derivatives are included in total liabilities after netting. MREL shall mean the requirement laid down in accordance with Articles 131–134 of the Recovery and Resolution Act. |
| 33,3% | Leverage ratio |
Leverage ratio as defined in Article 429 of the CRR and reported in accordance with Annex X to Commission Implementing Regulation (EU) 680/2014. |
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| 33,3% | Common equity Tier 1 ratio |
Common equity Tier 1 ratio as defined in Article 92 of the CRR and reported in accordance with Annex I to Commission Implementing Regulation (EU) 680/2014. |
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| 33,3% | Total risk exposure (TRE)/total assets |
Total risk exposure means the total risk exposure amount as defined in Article 92 of the CRR. Total assets as defined in Section 3 of Council Directive 86/635/EC or in accordance with the IFRS standards specified in Regulation 1606/2002. |
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| 20% | Stability and variety of sources of funding | 50% | Net stable funding ratio | Net stable funding ratio as reported in accordance with Article 415 of Regulation (EU) No 575/2013 (CRR) and with Annex XIII to Commission Implementing Regulation (EU) 680/2014. |
| 50% | LCR | Liquidity Coverage Ratio as reported in accordance with Article 415 of Regulation (EU) No 575/2013 (CRR), the Commission Delegated Regulation (EU) 2015/61 and the ITS amending the ITS on LCR reporting (EBA-ITS-2015-04)** | ||
| 10% | Importance of an institution to the stability of the financial system or economy | 100% | Share of interbank loans and deposits in the EU |
Interbank loans are defined as the sum of the carrying amounts of loans and advances to credit institutions and other financial corporations as determined for the purpose of template number 4.1, 4.2, 4.3 and 4.4 of Annex III of Commission Implementing Regulation (EU) No 680/2014. Interbank deposits are defined as the carrying amount of the deposits of credit institutions and other financial corporations as determined for the purpose of template number 8.1 of Annex III of Commission Implementing Regulation (EU) No 680/2014. Total interbank loans and deposits in the EU are the sum of the aggregate interbank loans and deposits held by institutions in each Member State as calculated in accordance with Article 15 of the Regulation |
| 20% | Additional risk indicators to be determined by the resolution authority | 20% | Guarantees and irrevocable loan commitments given/total assets |
Guarantees and irrevocable loan commitments given are defined as the face value of commitments and guarantees which the institution promised to provide to counterparty and which cannot be revoked in the future. |
| 20% | Non-performing loans / total receivables |
Non-performing loans (gross) are defined as the total gross value of non-performing receivables from financial activities of the investment portfolio vis-à-vis credit institutions (excluding central banks) and persons other than credit institutions (including general government). Total loans are defined as the total gross value of receivables from financial activities of the investment portfolio vis-à-vis credit institutions (excluding central banks) and persons other than credit institutions (including general government). |
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| 20% | Non-performing receivables / Tier 1 capital |
Non-performing loans (net) are defined as the total net value of non-performing receivables from financial activities of the investment portfolio vis-à-vis credit institutions (excluding central banks) and persons other than credit institutions (including general government). Tier 1 capital is defined in Article 25 of the CRR. |
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| 20% | Return on average assets |
After-tax profit is defined as profit or loss for the current year after tax in accordance with IAS 1.81A (a). Total average assets are defined as the arithmetic mean of the value of total assets at the end of the year relevant to the calculation of the contribution (T) and the value of total assets at the end of the previous year (T-1). |
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| 20% | Profit from operations in financial instruments / gross income |
The indicator is defined in the IMF document*** on Financial Soundness Indicators. |
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* The indicator is not applied to specify an institution’s risk profile, as institutions were given a transitional period in administrative proceedings to comply with the MREL requirements until 31 December 2023. Its weight in the pillar, which is 25% pursuant to Regulation 2015/63, is distributed evenly among the other indicators in the risk exposure pillar. After the lapse of the time limit for compliance with the MREL requirements, the indicator will be taken into account for the setting of an institution’s risk profile and its weight will be in accordance with Regulation 2015/63.
** https://www.eba.europa.eu/regulation-and-policy/supervisory-reporting/implementing-technical-standards-amending-commission-implementing-regulation-eu-no-680/2014-with-regard-to-the-liquidity-coverage-ratio
*** http://fsi.imf.org/misc/FSI%20Concepts%20and%20Definitions.pdf