RISK MANAGEMENT 2008

Size: px
Start display at page:

Download "RISK MANAGEMENT 2008"

Transcription

1 RISK MANAGEMENT 2008

2 CONTENTS in brief 7 2. Organisation Capital management Credit risk Market risk Liquidity risk Operational risk Other risks Business risk Pension risk Insurance risk Consolidation Definitions 106 Appendix A Disclosures required under Pillar III of the Capital Requirements Directive THE OBJECTIVE OF RISK MANAGEMENT 2008 IS TO INFORM SHAREHOLDERS AND OTHER INTERESTED STAKEHOLDERS OF THE GROUP S RISK AND CAPITAL MANAGEMENT POLICIES, INCLUDING RISK MANAGEMENT METHODOLOGIES AND PRACTICES. DANSKE BANK RISK MANAGEMENT 2008 KREDITRISIKO 3

3 in brief Group results In 2008, the capital markets were subject to tremendous turbulence, with sharply falling equity prices, substantially wider credit spreads, frozen money markets and decelerating economic growth. The negative market trends were particularly extreme in the fourth quarter. Developments in January 2009 further illustrated the scope of the economic and financial setback in the fourth quarter of Net profit was DKr1.0bn, against DKr14.9bn in Earnings reflect individual loan impairment charges of DKr8.8bn. In addition, the negative trend, which continued into January 2009, prompted the Group to make collective impairment charges of DKr3.3bn on its loan portfolio and goodwill impairment charges of DKr3.1bn, primarily against National Irish Bank, Ireland. The unsatisfactorily high level of impairment charges was the result of the financial crisis, declining asset values and the economic slowdown in the Group s markets. Risk management The financial crisis led to bankruptcies and meltdowns in the financial sector worldwide. Several financial institutions in both the US and Europe were merged or taken over, in many cases through government intervention. The measures introduced by governments varied, with increased depositor guarantees, state guarantees to protect claims against banks, capital injections and widely expanded central bank funding facilities among the most common features. In Denmark, a state guarantee was set up to protect customer deposits and creditors claims against banks. Nevertheless, the financial sector remains under considerable pressure both in Denmark and abroad. In the autumn of 2008, the most important global players introduced a number of measures to ease the situation in the financial markets and the money markets. In spite of expansionary financial initiatives, including substantial interest rate cuts, the Group expects to see modest economic growth or even economic contraction in its principal markets. Danske Bank chose to participate in the guarantee scheme set up by the Danish state to protect customer deposits and creditors claims against banks. The scheme took effect on October 5, 2008, and expires on September 30, It includes an unconditional state guarantee for the obligations of Danish banks, except for subordinated debt and covered bonds. In February 2009, the Danish parliament passed a bill which allows Danish credit institutions that meet the regulatory solvency requirement to apply to the Danish state for subordinated loan capital in the form of hybrid core capital. Danske Bank s Board of Directors will propose to the general meeting that the Board of Directors be authorised to apply for and let the Group receive subordinated loan capital from the Danish state. The Group expects to receive subordinated loan capital of about DKr26bn. The Group believes that such subordinated loan capital will further strengthen its capital base and enable it to withstand the losses that will inevitably occur during the coming recession while maintaining reasonable lending activities. At December 31, 2008, such a capital injection would raise the Group s core capital ratio further to around 12% and its solvency ratio to around 16% IN BRIEF DANSKE BANK RISK MANAGEMENT 2008

4 At the beginning of 2008, the Group s minimum capital targets for its core capital and solvency ratios were 7.5% and 11.0%, respectively. These capital targets no longer form the basis for optimum solvency level management because the Group believes that higher minimum targets will be needed in response to the international financial turmoil. In the light of this situation, the Group will revise its capital targets when conditions in the financial markets have been clarified. The Group s liquidity strength was seriously tested at the end of September 2008, when access to long-term funding from abroad was suddenly cut off. These market conditions influenced the Group s twelve-month liquidity curve, though the curve at the end of the year shows positive liquidity positions for six months, if the Group is cut off from capital markets. Despite the difficult market conditions, the Group met its targets for short-term liquidity, mainly through stable deposits and large liquid bond holdings, which can be used as collateral for loan facilities with central banks. By the end of 2008, the international debt markets had become more accessible, partly because of the introduction of financial support packages. As a consequence of these support packages and the Group s participation in the Danish state guarantee scheme, the Group gained access to short- and medium-term funding particularly in US dollars. Total credit exposure at the end of 2008 was DKr3,523bn, with DKr2,520bn deriving from lending activities both in and outside Denmark and DKr1,003bn from the Group s trading and investment activities. Credit exposure relating to real property was DKr1,184bn at the end of 2008 corresponding to 47% of the Group s total credit exposure. After several years of increases, property prices in most of the Group s markets saw actual declines in The average loan-to-value ratio of the Group s portfolio of home loans was 54% at the end of The delinquency rate is still very low, and the downturn in the property market did not cause a significant rise in actual losses on home loans, partly because the employment rate remains high. The recessionary developments were especially unfavourable in the Group s markets where many industries and small and medium-sized businesses in particular suffered because of market-related factors. Construction and building activities slowed in most of the Group s markets, especially in Ireland. The transportation and shipping industries endured both falling global demand and a sharp decrease in freight rates over a very short period of time. Credit exposure to the two industries was DKr75bn, or 3.0% of credit exposure relating to lending activities. The amount of impaired loans rose from DKr10bn at the end of 2007 to DKr32bn at the end of Loans to financial counterparties accounted for around 34% of the rise. DANSKE BANK RISK MANAGEMENT IN BRIEF 5

5 The economic crisis and the recession are likely to affect the credit quality of customers in a number of industries. Consequently, the Group made collective impairment charges on facilities to downgraded customers and exposed industries. At the end of the year, industry-related collective impairment charges included charges against facilities to property developers, contractors, transporters, car manufacturers and international financial counterparties. These collective impairment charges totalled DKr4.7bn, or 29% of the total balance in the allowance account. While the overall performance in the market risk area was satisfactory, the Group was severely affected by the financial crisis in specific areas. Since the Danish mortgage bond market is a very important part of the financial markets in Denmark, the Group has relatively large holdings of such bonds. During the second half of the year, mortgage spreads widened considerably, leading to a substantial unrealised loss on the holdings. The Group does not believe that the unrealised loss was caused by the underlying credit quality. Another effect of the extreme volatility in the financial markets was that the Group s internal Value at Risk (VaR) model performed less well than previously. This became evident in the back testing of the model. The test showed a higher-than-expected number of exceptions, and the higher plus factor for the internal model led to a rise in the capital requirement of some 30%. As a consequence of this development, the Group decided to adjust the model to improve its ability to react to a more volatile market situation. The adjustment was made at the beginning of 2009, and in the current market situation, it is expected to raise the VaR figures by 10-20%. For 2008, additional capital was allocated under Pillar II. Insurance risk in the Danske Bank Group concerns primarily life insurance and pension products. The Danica Group s with-profits business contributes by far the most to its total risk. Risks related to unitlinked business are considered minor because most are carried by the policyholders. The collective bonus potential and the bonus potential of paid-up policies, which can be used to cover risks relating to the with-profits policies, were severely reduced because of the global financial crisis in the autumn of Danica therefore, on October 28, 2008, introduced a temporary charge on transfers and surrenders of pension savings in order to protect the remaining policyholders savings. At the end of 2008, Danica still had substantial capital strength IN BRIEF DANSKE BANK RISK MANAGEMENT 2008

6 2. ORGANISATION Risk policies and limits Risk organisation Board of Directors Executive Board Group Finance Group Credits Business units Reporting DANSKE BANK RISK MANAGEMENT 2008 KREDITRISIKO 7

7 An understanding of risk taking and transparency in risk taking are key elements of the Danske Bank Group s business strategy. The Group s ambition is to achieve high standards in risk management. Its risk organisation supports this ambition, and it has developed substantial expertise in risk management. The Board of Directors sets out the overall risk policies for all material risk types. The Executive Board is responsible for the day-to-day management of the Group. The Group uses risk appetite as a strategic concept to determine its risk-based exposure limits in accordance with its overall risk policies. The Group allocates considerable resources to managing and monitoring risk and to ensuring ongoing compliance with the approved risk limits. It has a fixed reporting cycle to ensure that the relevant management bodies, including the Board of Directors and the Executive Board, are kept informed of developments in risk measures. This section describes the Group s organisational framework for risk management. 2.1 Risk policies and limits The Board of Directors sets out the overall risk policies and limits for all material risk types. The Board also decides on general principles for managing and monitoring risk, and it reviews the risk policies and limits annually. The Group uses risk appetite as a strategic concept to determine its risk-based limits. Risk appetite represents the maximum risk that the Group is willing to assume in pursuit of its business targets. The risk appetite framework offers an overview of various risk dimensions and enables the Group to manage risk measurement across these dimensions in accordance with its overall risk policies. The framework is based on analysis of the Group s and the major business units current risk profiles. It includes setting explicit targets, limits and contingency plans in accordance with the risk policies. It also includes monitoring of risk levels. The Group implemented the risk appetite framework in its major business units in Key risk elements are identified on an ongoing basis in a dynamic process warranted by new products, procedures, risk measurement applications and influence from the economic environment. The Group conducts risk management at the customer and industry levels as well as on the basis of geographical location and collateral type. It takes a comprehensive approach to the core risk dimensions: Credit risk Market risk Liquidity risk Operational risk Other risk dimensions are incorporated at the Group and business unit levels where appropriate. They include insurance, pension and concentration risk; financial strength; and earnings robustness. On the basis of the overall risk policies and limits, specific risk instructions for the main business units are prepared. These instructions are used to prepare business procedures and reconciliation and control procedures for the relevant units and for the Group s system development. 2.2 Risk organisation Danske Bank s Rules of procedure for the Board of Directors and the Executive Board specifies the responsibilities of the two boards and the division of responsibilities between them. This two-tier management structure was developed in accordance with Danish legislation, and the Rules of procedure is a key document on the Group s management structure, including the organisation of risk management and authorisations. 8 ORGANISATION DANSKE BANK RISK MANAGEMENT 2008

8 The Board of Directors lays down overall policies, while the Executive Board is in charge of the Group s day-to-day management and reports to the Board of Directors. None of the Group s executive managers serves on the Board of Directors of the parent company. The risk and capital management functions are separate from the credit assessment and credit-granting functions (see figure 2.1). The Group s management structure also reflects the statutory requirements governing listed Danish companies in general and financial services institutions in particular. The Danske Bank Group follows the comply-or-explain principle in respect of the Danish Committee on Corporate Governance s Re commendations. These recommendations apply to companies listed on NASDAQ OMX Copenhagen. FIGURE 2.1 RISK ORGANISATION OF THE DANSKE BANK GROUP BOARD OF DIRECTORS CREDIT COMMITTEE AUDIT COMMITTEE INTERNAL AUDIT SALARY AND BONUS COMMITTEE EXECUTIVE BOARD ALL RISK COMMITTEE EXECUTIVE BOARD S CREDIT COMMITTEE OPERATIONAL RISK COMMITTEE GROUP FINANCE GROUP CREDITS BUSINESS UNITS RISK MANAGEMENT CAPITAL MANAGEMENT CENTRAL CREDIT CREDITS, INSTITUTIONAL CLIENTS LOCAL CREDIT DEPARTMENTS CREDIT RISK MANAGEMENT Board of Directors The Board of Directors must ensure that the Group is organised properly. As part of this duty, it appoints the members of the Executive Board, the group chief auditor, the deputy group chief auditor and the secretary to the Board of Directors. The largest credit facilities are submitted to the Board of Directors for approval, and the Board defines overall limits for market risk and liquidity risk. Regular reporting enables the Board of Directors to monitor whether the overall risk policies and systems are being complied with and whether they meet the Group s needs. In addition, the Board of Directors reviews reports analysing the Group s portfolio, particularly information about industry concentrations. The Board of Directors has set up a number of committees (see figure 2.1) to supervise specific areas and to prepare cases that are later considered by the full Board. Under Danish law, board committees do not have independent decision-making authorities. The committees include the Credit Committee, the Salary and Bonus Committee and the Audit Committee (see table 2.1). DANSKE BANK RISK MANAGEMENT 2008 ORGANISATION 9

9 TABLE 2.1 COMMITTEES ESTABLISHED BY THE BOARD OF DIRECTORS Credit Committee Salary and Bonus Committee Audit Committee The Credit Committee functions as a hearing panel for major credit exposures, monitors trends in the credit quality of the Group s loan portfolio and evaluates special renewal applications and facilities. The Salary and Bonus Committee monitors trends in the Danske Bank Group s salary and bonus schemes and monitors incentive programmes to ensure that they promote ongoing, long-term shareholder value creation. The Audit Committee examines accounting, auditing and security issues. These are issues that the Board of Directors, the Audit Committee itself, the group chief auditor or the external auditors believe deserve attention before they are brought before the full Board. The committee also reviews the internal control and risk management systems. The Group has an independent internal audit department, Internal Audit, whose head, the group chief auditor, reports directly to the Board of Directors. Internal Audit is responsible for ensuring that the administrative and accounting policies of the Danske Bank Group are satisfactory, that there are written business procedures for all material areas of activity, that adequate internal control procedures are in place, and that IT use is controlled and secure in accordance with the control policies adopted. The Group has developed the Danske Banking Concept to optimise the division of duties between business units and support functions. This concept is based on the principle of uniform customer segmentation and service strategy across business units. The overall governance of the Danske Banking Concept is anchored in the Board of Directors, and the Group s business development departments have day-to-day responsibility for activities related to the concept. The Danske Banking Concept includes a uniform organisation and uniform processes in the business units. The processes are based on the Group s shared IT platform. The concept serves to optimise the control measures carried out at group level by Group Credits and Group Finance, among others Executive Board The Executive Board is responsible for the day-to-day management of the Group as stated in the Rules of procedure for the Board of Directors and the Executive Board. The Executive Committee, headed by the chairman of the Executive Board, is a larger body that constitutes the Group s day-to-day executive management and functions as a co-ordinating forum. Its objective is to take an overall view of activities across the Group, focusing on the collaboration between support functions and product suppliers on the one hand, and individual units and country organisations on the other. The Executive Board sets forth specific risk instructions and supervises the Group s risk management practices. It reports to the Board of Directors on the Group s risk exposures and approves material business transactions, including credit applications up to a defined limit. The Executive Board has established three committees that are in charge of ongoing risk management: the All Risk Committee, the Executive Board s Credit Committee and the Operational Risk Committee (see table 2.2). The Group has also set up various subcommittees for specific risk management areas such as asset and liability management and the management of risk parameters and models affecting the Group s economic capital and risk-weighted assets. The subcommittees consist mostly of senior management. 10 ORGANISATION DANSKE BANK RISK MANAGEMENT 2008

10 TABLE 2.2 COMMITTEES ESTABLISHED BY THE EXECUTIVE BOARD All Risk Committee The All Risk Committee is in charge of implementing the Group s In addition, the committee evaluates risk reports to be submitted to the Board of Directors or one of its committees. The All Risk Committee consists of members of the Executive Board and the heads of Danske Markets and Risk Management. Executive Board s Credit Committee Credit applications that exceed the lending authorities of the business units must be submitted to the Executive Board s Credit Committee for approval. The local credit departments of the business units review these applications before the heads of the departments submit them to the Executive Board s Credit Committee for approval. The committee consists of members of the Executive Board and the management team of Group Credits. It is also in charge of preparing operational credit policies and approving or rejecting credit applications involving issues of principle. The Board of Directors determines the lending authorities. In addition, the Executive Board s Credit Committee participates in decisions regarding the valuation of the Group s loan portfolio in connection with the determination of impairment charges. Operational Risk Committee This committee assists the Executive Board in its functions and processes related to operational risk management. The committee s responsibilities include the following: Group s current and potential operational risk security, business continuity and compliance The Operational Risk Committee is headed by a member of the Executive Board and includes managers of all major support functions and resource areas, including IT, and the Group s Business Development department Group Finance Group Finance oversees the Group s financial reporting, budgeting, risk management and strategic business analysis, including the performance and analytical tools used by the business units. The department is also in charge of the Group s investor relations, corporate governance, capital structure, M&A activities and relations with rating agencies. The Group has established a functional separation between units that enter into business transactions with customers or otherwise expose the Group to risk on the one hand, and units in charge of overall risk management on the other. DANSKE BANK RISK MANAGEMENT 2008 ORGANISATION 11

11 The Group s independent risk management unit, Risk Management, is part of Group Finance. Risk Management has overall responsibility for monitoring the Group s risk portfolio and reporting on overall risk measures. It also has overall responsibility for the Group s compliance with the rules of the Capital Requirements Directive (CRD) and for the internal capital adequacy assessment process (ICAAP) (see section 3.3). In addition, Risk Management is responsible for the implementation of risk models and risk analysis, and it conducts back testing of risk parameters and validation of risk models Group Credits Group Credits has overall responsibility for the credit process in all of the Group s business units. This includes responsibility for developing credit classification and valuation models and for seeing that they are used in day-to-day credit processing in the local units. Group Credits is in charge of determining the utilisation of portfolio limits for industries and countries and of the quarterly process of calculating the impairment of exposures. It also keeps track of the credit quality of the Group s loan portfolio by monitoring trends in unauthorised excesses and overdue payments, new approvals to weak customers and other factors. In addition, Group Credits reports to the Group management and to business units on developments in the Group s credit risk. Finally, the department is in charge of providing management information about credits, of monitoring credit approvals in the business units, and of determining the Group s requirements relating to its credit systems and processes Business units Core risk dimensions such as market risk and liquidity risk are managed centrally in the organisation. For credit risk, however, lending authority for specific customer segments and products has been granted to the individual business units. The business units carry out the fundamental tasks required for optimal risk management. This includes updating the necessary registrations about customers that are used in risk management tools and models, as well as maintaining and following up on customer relationships. Each business unit is responsible for preparing carefully drafted documentation before business transactions are undertaken and for properly recording the transactions. Each business unit is also required to update information on customer relations and other issues as may be necessary. The business units must ensure that all risk exposures comply with specific risk instructions as well as the Group s other guidelines. Approvals of loans and credits to retail customers and small business customers are given according to the delegation of lending authority to the individual branches and finance centres. A number of auxiliary tools are available in the approval process, including credit scoring and credit rating. Customer advisers are responsible for the basic credit assessment of customers. Their lending authority depends on customer ratings, and they can approve credits up to certain amounts. Advisers must forward applications for credit facilities beyond their lending authority to the unit s credit department, which may decide to submit applications to the Executive Board s Credit Committee or the Board of Directors. 2.3 Reporting The Group allocates considerable resources to ensuring ongoing compliance with the approved risk limits and to risk monitoring. It has a fixed reporting cycle to ensure that the relevant management bodies, including the Board of Directors and the Executive Board, are kept informed of developments in risk measures, the credit portfolio, non-performing loans and the like. 12 ORGANISATION DANSKE BANK RISK MANAGEMENT 2008

12 The Board of Directors receives the principal risk reports quarterly and others annually (see table 2.3). The ICAAP report is updated quarterly in a condensed format, and once a year the full ICAAP report is submitted to the Board of Directors for approval. TABLE 2.3 REPORTING TO THE BOARD OF DIRECTORS ANNUAL REPORTING Risk appetite A strategic concept used to determine risk-based limits. It represents the maximum risk that the Group is willing to assume in pursuit of its business targets and in accordance with its overall risk policies. Risk policy Review of the Group s overall risk policy to determine whether revisions are required. The Group s risk management models and parameters Update on the use of risk models, including risk parameters. The quality of the Group s credit portfolio Analysis of impairment charges and losses by business unit and portfolio breakdowns by rating category, size, business unit, etc. QUARTERLY REPORTING ICAAP Evaluation of the preferred risk and the level of capital in relation to the internal capital adequacy assessment process (ICAAP). The report contains the conclusions drawn from stress testing and the effect of scenarios on expected losses and capital requirements. Key figures for the credit portfolio An overview of credit-quality indicators focusing on unauthorised excesses and arrears, the number of upgrades and downgrades in the classification system, and trends in lending volumes. The Group s market risk Analysis of the Group s current equity, fixed income and currency positions and reports on the utilisation of Board-approved limits since the preceding report. Large exposures An overview of exposures equal to or exceeding 10% of the Group s capital base and the sum of these exposures, including the percentage of the Group s capital base it represents. Industry analyses Industry research covering some 30 industries used for credit renewals. In addition to reviewing general developments in an industry, these reports evaluate the Group s aggregate exposure to the industry. The heads of Group Finance and Group Credits are members of the Executive Board and receive a large number of risk reports through their positions on the risk committees established by the Executive Board. The All Risk Committee evaluates risk reports to be submitted to the Board of Directors or one of its committees. It also reviews annual reports identifying all the Group s risks and providing information on risk trends. A report on the Group s risk appetite is presented quarterly to the All Risk Committee for approval. In addition, the All Risk Committee regularly receives reports on the Group s solvency and reviews trends in the business units. The Operational Risk Committee regularly reviews trends in the Group s key operational risks and the progress on concrete action plans regarding these risks. The committee receives reports and acts on key risk indicators. DANSKE BANK RISK MANAGEMENT 2008 ORGANISATION 13

13 2. 3. KREDITRISIKO CAPITAL MANAGEMENT The framework of the Danske Bank Group s capital management Pillar I Approaches used to calculate risk-weighted assets Risk-weighted assets and the capital requirement Pillar II The Danske Bank Group s ICAAP methodology Economic capital Stress testing Methodology Stress test scenarios used Results of the stress tests Capital management The Danske Bank Group s leverage ratio Capital base 14 KREDITRISIKO DANSKE BANK RISK MANAGEMENT 2008

14 2. KREDITRISIKO The financial crisis led to bankruptcies and meltdowns in the financial sector worldwide. Several financial institutions in both the US and Europe were merged or taken over, in many cases through government intervention. The measures introduced by governments varied, with increased depositor guarantees, state guarantees to protect claims against banks, capital injections and widely expanded central bank funding facilities among the most common features. In Denmark, a state guarantee was set up to protect customer deposits and creditors claims against banks. Nevertheless, the financial sector remains under considerable pressure both in Denmark and abroad. In the autumn of 2008, the most important global players introduced a number of measures to ease the situation in the financial markets and the money markets. In spite of expansionary financial initiatives, including substantial interest rate cuts, the Group expects to see modest economic growth or even economic contraction in its principal markets. Danske Bank chose to participate in the guarantee scheme set up by the Danish state to protect customer deposits and creditors claims against banks. The scheme took effect on October 5, 2008, and expires on September 30, It includes an unconditional state guarantee for the obligations of Danish banks, except for subordinated debt and covered bonds. In February 2009, the Danish parliament passed a bill which allows Danish credit institutions that meet the regulatory solvency requirement to apply to the Danish state for subordinated loan capital in the form of hybrid core capital. Danske Bank s Board of Directors will propose to the general meeting that the Board of Directors be authorised to apply for and let the Group receive subordinated loan capital from the Danish state. The Group expects to receive subordinated loan capital from the Danish state of about DKr26bn. The Group believes that such subordinated loan capital will further strengthen its capital base and enable it to withstand the losses that will inevitably occur during the coming recession while maintaining reasonable lending activities. At December 31, 2008, such a capital injection would raise the Group s core capital ratio further to around 12% and its solvency ratio to around 16%. At the beginning of 2008, the Group s minimum capital targets for its core capital and solvency ratios were 7.5% and 11.0%, respectively. These capital targets no longer form the basis for optimum solvency level management because the Group believes that higher minimum targets will be needed in response to the international financial turmoil. In the light of this situation, the Group will revise its capital targets when conditions in the financial markets have been clarified. This section describes the Group s capital management practices, in particular its approach to Pillar I and the Pillar II assessment under the Capital Requirements Directive (CRD). DANSKE BANK RISK MANAGEMENT 2008 CAPITAL MANAGEMENT 15

79 8.1. Capital requirement under Pillar I 81 8.2. ICAAP 81 8.2.1. Capital requirement under Pillar II 82 8.2.2. Internal assessment of capital

79 8.1. Capital requirement under Pillar I 81 8.2. ICAAP 81 8.2.1. Capital requirement under Pillar II 82 8.2.2. Internal assessment of capital 8. Capital management 79 8.1. Capital requirement under Pillar I 81 8.2. ICAAP 81 8.2.1. Capital requirement under Pillar II 82 8.2.2. Internal assessment of capital needed on the basis of economic capital

More information

INTERNAL CAPITAL ADEQUACY ASSESSMENT

INTERNAL CAPITAL ADEQUACY ASSESSMENT INTERNAL CAPITAL ADEQUACY ASSESSMENT 30 june 2011 Contents Page 1. Introduction... 3 2. Process for determining the solvency need... 4 2.1. The basis for capital management... 4 2.2. Risk identification...

More information

1. Introduction... 3. 2. Process for determining the solvency need... 4. 3. Definitions of main risk types... 9

1. Introduction... 3. 2. Process for determining the solvency need... 4. 3. Definitions of main risk types... 9 Contents Page 1. Introduction... 3 2. Process for determining the solvency need... 4 2.1 The basis for capital management...4 2.2 Risk identification...5 2.3 Danske Bank s internal assessment of its solvency

More information

DANSKE BANK GROUP RISK MANAGEMENT 2012

DANSKE BANK GROUP RISK MANAGEMENT 2012 DANSKE BANK GROUP RISK MANAGEMENT 2012 The Danske Bank Group s business model The Danske Bank Group, headquartered in Copenhagen, is the largest bank in Denmark and one of the leading financial enterprises

More information

DANSKE BANK GROUP RISK MANAGEMENT 2012

DANSKE BANK GROUP RISK MANAGEMENT 2012 DANSKE BANK GROUP RISK MANAGEMENT 2012 The Danske Bank Group s business model The Danske Bank Group, headquartered in Copenhagen, is the largest bank in Denmark and one of the leading financial enterprises

More information

Risk Management 2013. Danske Bank Group

Risk Management 2013. Danske Bank Group Risk Management 2013 Danske Bank Group The Danske Bank Group s business model Danske Bank Group, headquartered in Copenhagen, is the largest bank in Denmark and one of the leading financial enterprises

More information

Risk Management Report 2014

Risk Management Report 2014 Risk Management Report 2014 Board of Directors and Executive Board Group objectives of Risk Management Report To keep our shareholders and other stakeholders informed of the group s risk and capital management

More information

Bank Capital Adequacy under Basel III

Bank Capital Adequacy under Basel III Bank Capital Adequacy under Basel III Objectives The overall goal of this two-day workshop is to provide participants with an understanding of how capital is regulated under Basel II and III and appreciate

More information

Morgan Stanley European Financials Conference

Morgan Stanley European Financials Conference Morgan Stanley European Financials Conference Navigation through the crisis: Credit quality, earnings and capital April 1, 2009 Investor Relations CORPORATE PARTICIPANTS Peter Straarup Danske Bank CEO

More information

Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc.

Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc. Basel II, Pillar 3 Disclosure for Sun Life Financial Trust Inc. Introduction Basel II is an international framework on capital that applies to deposit taking institutions in many countries, including Canada.

More information

DANSKE BANK GROUP REPRESENTED IN 14 COUNTRIES / 804 BRANCHES / 5 MILLION CUSTOMERS / 23,624 EMPLOYEES FOKUS BANK SAMPO PANKKI

DANSKE BANK GROUP REPRESENTED IN 14 COUNTRIES / 804 BRANCHES / 5 MILLION CUSTOMERS / 23,624 EMPLOYEES FOKUS BANK SAMPO PANKKI ANNUAL REPORT 2008 DANSKE BANK GROUP FOKUS BANK SAMPO PANKKI DANSKE BANK DANSKE BANK SWEDEN ZAO DANSKE BANK, SKT. RUSSIA PETERSBORG SAMPO PANK NORTHERN BANK DANICA PENSION REALKREDIT DANMARK NORDANIA LEASING

More information

Standard Chartered Bank (Thai) PCL & its Financial Business Group Pillar 3 Disclosures 30 June 2015

Standard Chartered Bank (Thai) PCL & its Financial Business Group Pillar 3 Disclosures 30 June 2015 Standard Chartered Bank (Thai) PCL & its Financial Business Group Registered Office: 90 North Sathorn Road, Silom Bangkok, 10500, Thailand Overview During 2013, the Bank of Thailand ( BOT ) published the

More information

S t a n d a r d 4. 4 a. M a n a g e m e n t o f c r e d i t r i s k. Regulations and guidelines

S t a n d a r d 4. 4 a. M a n a g e m e n t o f c r e d i t r i s k. Regulations and guidelines S t a n d a r d 4. 4 a M a n a g e m e n t o f c r e d i t r i s k Regulations and guidelines THE FINANCIAL SUPERVISION AUTHORITY 4 Capital adequacy and risk management until further notice J. No. 1/120/2004

More information

Risk Management 2014. Danske Bank Group

Risk Management 2014. Danske Bank Group Risk Management 2014 Danske Bank Group DANSKE BANK / RISK MANAGEMENT 2014 / CONTENTS 3 Contents 4 1. 2014 IN BRIEF 7 2. RISK ORGANISATION 15 3. CAPITAL MANAGEMENT 29 4. CREDIT RISK 49 5. COUNTERPARTY

More information

Charles Schwab Bank. 2015 Annual Dodd-Frank Act Stress Test Disclosure

Charles Schwab Bank. 2015 Annual Dodd-Frank Act Stress Test Disclosure Charles Schwab Bank 2015 Annual Dodd-Frank Act Stress Test Disclosure June 2015 I. Dodd-Frank Act Stress Test Results A. About Charles Schwab Bank Charles Schwab Bank (the Bank) is a wholly-owned subsidiary

More information

CAPITAL MANAGEMENT - FIRST QUARTER 2010

CAPITAL MANAGEMENT - FIRST QUARTER 2010 CAPITAL MANAGEMENT - FIRST QUARTER 2010 CAPITAL MANAGEMENT The purpose of the Bank s capital management practice is to ensure that the Bank has sufficient capital at all times to cover the risks associated

More information

Commerzbank: Operating profit improved after nine months of 2015 to EUR 1.5 bn CET 1 ratio increased to 10.8%

Commerzbank: Operating profit improved after nine months of 2015 to EUR 1.5 bn CET 1 ratio increased to 10.8% IR release 2 November 2015 Commerzbank: Operating profit improved after nine months of 2015 to EUR 1.5 bn CET 1 ratio increased to 10.8% Operating profit in Group in third quarter at EUR 429 m (Q3 2014:

More information

ZAG BANK BASEL II & III PILLAR 3 DISCLOSURES. December 31, 2014

ZAG BANK BASEL II & III PILLAR 3 DISCLOSURES. December 31, 2014 ZAG BANK BASEL II & III PILLAR 3 DISCLOSURES December 31, 2014 Zag Bank (the Bank ) is required to make certain disclosures to meet the requirements of the Office of the Superintendent of Financial Institutions

More information

2016 Comprehensive Capital Analysis and Review

2016 Comprehensive Capital Analysis and Review BMO Financial Corp. and BMO Harris Bank N.A. 206 Comprehensive Capital Analysis and Review Dodd-Frank Act Company-Run Stress Test Supervisory Severely Adverse Scenario Results Disclosure June 23, 206 Overview

More information

Revenues before loan loss provisions almost stable at EUR 2.3 bn despite seasonal effects

Revenues before loan loss provisions almost stable at EUR 2.3 bn despite seasonal effects Press release For business desks 7 November 2013 Commerzbank: operating profit of EUR 103 m in third quarter Revenues before loan loss provisions almost stable at EUR 2.3 bn despite seasonal effects Annual

More information

BASEL III PILLAR 3 CAPITAL ADEQUACY AND RISKS DISCLOSURES AS AT 30 SEPTEMBER 2015

BASEL III PILLAR 3 CAPITAL ADEQUACY AND RISKS DISCLOSURES AS AT 30 SEPTEMBER 2015 BASEL III PILLAR 3 CAPITAL ADEQUACY AND RISKS DISCLOSURES AS AT 30 SEPTEMBER 2015 COMMONWEALTH BANK OF AUSTRALIA ACN 123 123 124 5 NOVEMBER 2015 This page has been intentionally left blank Introduction

More information

ICAAP Report Q2 2015

ICAAP Report Q2 2015 ICAAP Report Q2 2015 Contents 1. INTRODUCTION... 3 1.1 THE THREE PILLARS FROM THE BASEL COMMITTEE... 3 1.2 BOARD OF MANAGEMENT APPROVAL OF THE ICAAP Q2 2015... 3 1.3 CAPITAL CALCULATION... 3 1.1.1 Use

More information

Market Risk Capital Disclosures Report. For the Quarter Ended March 31, 2013

Market Risk Capital Disclosures Report. For the Quarter Ended March 31, 2013 MARKET RISK CAPITAL DISCLOSURES REPORT For the quarter ended March 31, 2013 Table of Contents Section Page 1 Morgan Stanley... 1 2 Risk-based Capital Guidelines: Market Risk... 1 3 Market Risk... 1 3.1

More information

GUIDELINES ON CORPORATE GOVERNANCE FOR LABUAN BANKS

GUIDELINES ON CORPORATE GOVERNANCE FOR LABUAN BANKS GUIDELINES ON CORPORATE GOVERNANCE FOR LABUAN BANKS 1.0 Introduction 1.1 Good corporate governance practice improves safety and soundness through effective risk management and creates the ability to execute

More information

Commerzbank: Strategy successful net profit of over 1 billion euros and dividend

Commerzbank: Strategy successful net profit of over 1 billion euros and dividend IR release 12 February 2016 Commerzbank: Strategy successful net profit of over 1 billion euros and dividend Operating profit in 2015 more than doubled to EUR 1,909 m (2014: EUR 689 m) Operating profit

More information

2014 DFAST Mid-Cycle Stress Test Disclosure. September 2014

2014 DFAST Mid-Cycle Stress Test Disclosure. September 2014 2014 DFAST Mid-Cycle Stress Test Disclosure September 2014 Overview In accordance with the Dodd-Frank Wall Street Reform and Consumer Protection Act and implementing regulations issued by the Board of

More information

Risk and Capital Adequacy Report 30 September 2013. GER-nr, 80050410

Risk and Capital Adequacy Report 30 September 2013. GER-nr, 80050410 Risk and Capital Adequacy Report 30 September 2013 GER-nr, 80050410 TABLE OF CONTENTS 1. Objectives and Risk Policies Risk Management in General 3 Credit Risk 4 Market Risk 7 Liquidity Risk 7 Operational

More information

Risk and Capital Management

Risk and Capital Management Risk and Capital Management Contents Contents CONTENTS... 1 INTRODUCTION... 2 RISK ORGANISATION... 3 CAPITAL MANAGEMENT... 5 ECONOMIC CAPITAL... 10 CREDIT RISK... 13 MARKET RISK... 24 LIQUIDITY RISK...

More information

CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013

CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013 CITIGROUP INC. BASEL II.5 MARKET RISK DISCLOSURES AS OF AND FOR THE PERIOD ENDED MARCH 31, 2013 DATED AS OF MAY 15, 2013 Table of Contents Qualitative Disclosures Basis of Preparation and Review... 3 Risk

More information

Close Brothers Group plc

Close Brothers Group plc Close Brothers Group plc Pillar 3 disclosures for the year ended 31 July 2008 Close Brothers Group plc Pillar 3 disclosures for the year ended 31 July 2008 Contents 1. Overview 2. Risk management objectives

More information

Report on Internal Control

Report on Internal Control Annex to letter from the General Secretary of the Autorité de contrôle prudentiel to the Director General of the French Association of Credit Institutions and Investment Firms Report on Internal Control

More information

Rating Methodology for Domestic Life Insurance Companies

Rating Methodology for Domestic Life Insurance Companies Rating Methodology for Domestic Life Insurance Companies Introduction ICRA Lanka s Claim Paying Ability Ratings (CPRs) are opinions on the ability of life insurance companies to pay claims and policyholder

More information

Policy on the Management of Country Risk by Credit Institutions

Policy on the Management of Country Risk by Credit Institutions 2013 Policy on the Management of Country Risk by Credit Institutions 1 Policy on the Management of Country Risk by Credit Institutions Contents 1. Introduction and Application 2 1.1 Application of this

More information

Pillar 3 Disclosures. (OCBC Group As at 31 December 2014)

Pillar 3 Disclosures. (OCBC Group As at 31 December 2014) 1. INTRODUCTION The purpose of this document is to provide the information in accordance with Pillar 3 directives under Monetary Authority of Singapore ( MAS ) Notice 637 on Risk Based Capital Adequacy

More information

COMPUTERSHARE TRUST COMPANY OF CANADA BASEL III PILLAR 3 DISCLOSURES

COMPUTERSHARE TRUST COMPANY OF CANADA BASEL III PILLAR 3 DISCLOSURES COMPUTERSHARE TRUST COMPANY OF CANADA BASEL III PILLAR 3 DISCLOSURES December 31, 2013 Table of Contents Scope of Application... 3 Capital Structure... 3 Capital Adequacy... 3 Credit Risk... 4 Market Risk...

More information

The Goldman Sachs Group, Inc. and Goldman Sachs Bank USA. 2015 Annual Dodd-Frank Act Stress Test Disclosure

The Goldman Sachs Group, Inc. and Goldman Sachs Bank USA. 2015 Annual Dodd-Frank Act Stress Test Disclosure The Goldman Sachs Group, Inc. and Goldman Sachs Bank USA 2015 Annual Dodd-Frank Act Stress Test Disclosure March 2015 2015 Annual Dodd-Frank Act Stress Test Disclosure for The Goldman Sachs Group, Inc.

More information

Capital Market Services UK Limited Pillar 3 Disclosure

Capital Market Services UK Limited Pillar 3 Disclosure February 2013 Capital Market Services UK Limited Pillar 3 Disclosure Contents 1.0 Overview 2.0 Frequency and location of disclosure 3.0 Verification 4.0 Scope of application 5.1 Risk Management objectives

More information

Contents. Management s report. Financial statements. Statement and reports. Directorships. Supplementary information 61

Contents. Management s report. Financial statements. Statement and reports. Directorships. Supplementary information 61 Annual Report 2012 Contents Management s report Financial highlights 2 Financial review 3 Results 3 Balance sheet 3 Capital and solvency 3 Fourth quarter 2012 4 Outlook for 2013 4 Property market 5 Lending

More information

Capital adequacy analysis and liquidity risk

Capital adequacy analysis and liquidity risk Capital adequacy analysis and liquidity risk Q1 2016 This report includes information about capital adequacy and liquidity risk. The information is published on a quarterly basis at the BlueStep website.

More information

Morgan Stanley Reports Third Quarter 2015:

Morgan Stanley Reports Third Quarter 2015: Media Relations: Michele Davis 212-761-9621 Investor Relations: Kathleen McCabe 212-761-4469 Morgan Stanley Reports Third Quarter 2015: Net Revenues of $7.8 Billion and Earnings per Diluted Share of $0.48

More information

Year end results. Basel II Pillar 3 Disclosures 2010

Year end results. Basel II Pillar 3 Disclosures 2010 Year end results Basel II Pillar 3 Disclosures 2010 Notes about this report Overview of Basel II and Pillar 3 Barclays has applied the Basel II framework since 2008. The Basel accord is made up of three

More information

Stress testing and capital planning - the key to making the ICAAP forward looking PRMIA Greece Chapter Meeting Athens, 25 October 2007

Stress testing and capital planning - the key to making the ICAAP forward looking PRMIA Greece Chapter Meeting Athens, 25 October 2007 Stress testing and capital planning - the key to making the ICAAP forward looking Athens, *connectedthinking Agenda Introduction on ICAAP requirements What is stress testing? Regulatory guidance on stress

More information

Announcement of Financial Results 1999. for. Den Danske Bank Group

Announcement of Financial Results 1999. for. Den Danske Bank Group Announcement of Financial Results 1999 for Den Danske Bank Group 2 Den Danske Bank Group Highlights Core earnings and net profit for the year (DKr million) 1999 1998 1997 1996 1995 Net interest income,

More information

Jupiter Asset Management Ltd Pillar 3 Disclosures as at 31 December 2014

Jupiter Asset Management Ltd Pillar 3 Disclosures as at 31 December 2014 Jupiter Asset Management Ltd Pillar 3 Disclosures CONTENTS Overview 2 Risk management framework 3 Own funds 7 Capital requirements 8 Credit risk 9 Interest rate risk in non-trading book 11 Non-trading

More information

@ HONG KONG MONETARY AUTHORITY

@ HONG KONG MONETARY AUTHORITY ., wm~i!l1f~nu CR G 3 Credit Administration, Measurement V. 1-19.01.01 This module should be read in conjunction with the Introduction and with the Glossary, which contains an explanation of abbreviations

More information

CANADIAN TIRE BANK. BASEL PILLAR 3 DISCLOSURES December 31, 2014 (unaudited)

CANADIAN TIRE BANK. BASEL PILLAR 3 DISCLOSURES December 31, 2014 (unaudited) (unaudited) 1. SCOPE OF APPLICATION Basis of preparation This document represents the Basel Pillar 3 disclosures for Canadian Tire Bank ( the Bank ) and is unaudited. The Basel Pillar 3 disclosures included

More information

HSBC North America Holdings Inc. 2015 Comprehensive Capital Analysis and Review and Annual Company-Run Dodd-Frank Act Stress Test Results

HSBC North America Holdings Inc. 2015 Comprehensive Capital Analysis and Review and Annual Company-Run Dodd-Frank Act Stress Test Results 2015 Comprehensive Capital Analysis and Review and Annual Company-Run Dodd-Frank Act Stress Test Results Date: March 5, 2015 TABLE OF CONTENTS PAGE 1. Overview of the Comprehensive Capital Analysis and

More information

State Farm Bank, F.S.B.

State Farm Bank, F.S.B. State Farm Bank, F.S.B. 2015 Annual Stress Test Disclosure Dodd-Frank Act Company Run Stress Test Results Supervisory Severely Adverse Scenario June 25, 2015 1 Regulatory Requirement The 2015 Annual Stress

More information

Proposed Insurance Act Amendments Life Insurance

Proposed Insurance Act Amendments Life Insurance Risk Based Capital for Risk Based Capital for Minimum paid-up share capital increased Class of Business Long-term business Long-term and general insurance business Industrial life business Current Requirement

More information

Swedbank s risk profile

Swedbank s risk profile 34 Swedbank s risk profile Swedbank defines risk as a potentially negative impact on the Group s value which can arise due to ongoing internal processes or future internal or external events. The concept

More information

Sydbank s preliminary announcement of 2006 annual results

Sydbank s preliminary announcement of 2006 annual results Copenhagen Stock Exchange London Stock Exchange Bourse de Luxembourg Other stakeholders Stock Exchange Announcement No 01/07 Group Executive Management Peberlyk 4 PO Box 1038 DK-6200 Aabenraa Tel +45 74

More information

Risk & Capital Management under Basel III

Risk & Capital Management under Basel III www.pwc.com Risk & Capital Management under Basel III London, 15 Draft Agenda Basel III changes to capital rules - Definition of capital - Minimum capital ratios - Leverage ratio - Buffer requirements

More information

Morgan Stanley Reports Fourth Quarter and Full Year 2015:

Morgan Stanley Reports Fourth Quarter and Full Year 2015: Media Relations: Michele Davis 212-761-9621 Investor Relations: Kathleen McCabe 212-761-4469 Morgan Stanley Reports Fourth Quarter and Full Year 2015: Fourth Quarter Net Revenues of $7.7 Billion and Earnings

More information

China International Capital Corporation (UK) Limited Pillar 3 Disclosure

China International Capital Corporation (UK) Limited Pillar 3 Disclosure 1. Overview Pillar 3 Disclosure March 2014 China International Capital Corporation (UK) Limited Pillar 3 Disclosure The European Union s Capital Requirements Directive ( CRD ) came into effect on 1 January

More information

shareplc: Pillar 3 Disclosures CONTENTS Oxford House Oxford Road Aylesbury Buckinghamshire HP21 8SZ phone 01296 41 41 41 visit www.shareplc.

shareplc: Pillar 3 Disclosures CONTENTS Oxford House Oxford Road Aylesbury Buckinghamshire HP21 8SZ phone 01296 41 41 41 visit www.shareplc. Pillar 3 Disclosures 3 March 2015 Based on Financial Data as at 31 December 2014 CONTENTS 1.0 Introduction 3 2.0 Risk Appetite 5 3.0 Risk management objectives and processes 6 4.0 Risk categories and exposures

More information

Decision on recovery plans of credit institutions. Subject matter Article 1

Decision on recovery plans of credit institutions. Subject matter Article 1 Pursuant to Article 101, paragraph (2), item (8) and Article 154, paragraph (2) of the Credit Institutions Act (Official Gazette 159/2013) and Article 43, paragraph (2), item (9) of the Act on the Croatian

More information

Basel III Pillar 3 and Leverage Ratio disclosures of ALTERNA BANK

Basel III Pillar 3 and Leverage Ratio disclosures of ALTERNA BANK of ALTERNA BANK 1. Scope of Application CS Alterna Bank, a member of the Canada Deposit Insurance Corporation ( CDIC ), operates under the name Alterna Bank. It is a Schedule 1 Bank and received letters

More information

Roche Capital Market Ltd Financial Statements 2012

Roche Capital Market Ltd Financial Statements 2012 R Roche Capital Market Ltd Financial Statements 2012 1 Roche Capital Market Ltd - Financial Statements 2012 Roche Capital Market Ltd, Financial Statements Reference numbers indicate corresponding Notes

More information

Sydbank s Interim Report First Half 2015

Sydbank s Interim Report First Half 2015 SYDBANK INTERIM REPORT FIRST HALF 2015 Sydbank s Interim Report First Half 2015 Sydbank reports historically high core income and growth in lending for sixth consecutive quarter CEO Karen Frøsig comments

More information

NASDAQ OMX Copenhagen A/S. Preliminary announcement of financial statements 2014 24 February 2015

NASDAQ OMX Copenhagen A/S. Preliminary announcement of financial statements 2014 24 February 2015 NASDAQ OMX Copenhagen A/S EXECUTIVE BOARD Vestergade 8-16 DK-8600 Silkeborg Tel.: +45 89 89 89 89 Fax: +45 89 89 19 99 www. jyskebank.dk E-mail: jyskebank@jyskebank.dk Business reg. no. DK17616617 - Preliminary

More information

Principles for An. Effective Risk Appetite Framework

Principles for An. Effective Risk Appetite Framework Principles for An Effective Risk Appetite Framework 18 November 2013 Table of Contents Page I. Introduction... 1 II. Key definitions... 2 III. Principles... 3 1. Risk appetite framework... 3 1.1 An effective

More information

Risk Based Financial Planning Beyond Basel 2

Risk Based Financial Planning Beyond Basel 2 Risk Based Financial Planning Beyond Basel 2 By Roy Choudhury January 2007 Roy Choudhury is Senior Manager at Ernst & Young - Financial Services Risk in London and specialises in Enterprise Risk Management,

More information

FOREX Bank AB. Annual information about capital adequacy and risk management 1

FOREX Bank AB. Annual information about capital adequacy and risk management 1 2011 Annual information about capital adequacy and risk management Annual information about capital adequacy and risk management 1 Introduction FOREX BANK AB, 516406-0104, is the parent company of the

More information

Guidance for the Development of a Models-Based Solvency Framework for Canadian Life Insurance Companies

Guidance for the Development of a Models-Based Solvency Framework for Canadian Life Insurance Companies Guidance for the Development of a Models-Based Solvency Framework for Canadian Life Insurance Companies January 2010 Background The MCCSR Advisory Committee was established to develop proposals for a new

More information

Stress-Testing a UK Retail Bank

Stress-Testing a UK Retail Bank Stress-Testing a UK Retail Bank Executive Summary This article discusses stress and scenario testing the mechanism through which firms understand and prepare for a range of realistic adverse circumstances.

More information

MORGAN STANLEY Financial Supplement - 4Q 2015 Table of Contents

MORGAN STANLEY Financial Supplement - 4Q 2015 Table of Contents Page # MORGAN STANLEY Financial Supplement - 4Q 2015 Table of Contents 1. Quarterly Consolidated Financial Summary 2. Quarterly Consolidated Income Statement Information 3. Quarterly Consolidated Financial

More information

PILLAR 3 DISCLOSURES 2009

PILLAR 3 DISCLOSURES 2009 PILLAR 3 DISCLOSURES 2009 Company Registration Number: C 16343 Contents Page Introduction............................................................... 3 Risk Management Objectives and Policies.................................

More information

Basel II. Tamer Bakiciol Nicolas Cojocaru-Durand Dongxu Lu

Basel II. Tamer Bakiciol Nicolas Cojocaru-Durand Dongxu Lu Basel II Tamer Bakiciol Nicolas Cojocaru-Durand Dongxu Lu Roadmap Background of Banking Regulation and Basel Accord Basel II: features and problems The Future of Banking regulations Background of Banking

More information

Basel Committee on Banking Supervision. Capital requirements for banks equity investments in funds

Basel Committee on Banking Supervision. Capital requirements for banks equity investments in funds Basel Committee on Banking Supervision Capital requirements for banks equity investments in funds December 2013 This publication is available on the BIS website (www.bis.org). Bank for International Settlements

More information

Capital Requirements Directive Pillar 3 Disclosure. Western Asset Management Company Limited December 2008

Capital Requirements Directive Pillar 3 Disclosure. Western Asset Management Company Limited December 2008 Capital Requirements Directive Pillar 3 Disclosure Western Asset Management Company Limited December 2008 Background Under the 2006 Capital Requirements Directive ( CRD ), a revised regulatory framework

More information

1. This Prudential Standard is made under paragraph 230A(1)(a) of the Life Insurance Act 1995 (the Act).

1. This Prudential Standard is made under paragraph 230A(1)(a) of the Life Insurance Act 1995 (the Act). Prudential Standard LPS 110 Capital Adequacy Objective and key requirements of this Prudential Standard This Prudential Standard requires a life company to maintain adequate capital against the risks associated

More information

The recent Asset quality review on non-performing loans conducted by the Bank of Italy: Main features and results

The recent Asset quality review on non-performing loans conducted by the Bank of Italy: Main features and results The recent Asset quality review on non-performing loans conducted by the Bank of Italy: Main features and results 1. Introduction In the last few years the Italian economy has been under considerable strain.

More information

on Asset Management Management

on Asset Management Management 2008 Guidelines for for Insurance Insurance Undertakings Undertakings on Asset on Asset Management Management 2 Contents Context...3 1. General...3 2. Introduction...3 3. Regulations and guidelines for

More information

The following is the text of an announcement made today by HSBC Bank Malta p.l.c., a 70.03 per cent indirectly held subsidiary of HSBC Holdings plc.

The following is the text of an announcement made today by HSBC Bank Malta p.l.c., a 70.03 per cent indirectly held subsidiary of HSBC Holdings plc. We only advise on our own life assurance, pensions and unit trusts The following is the text of an announcement made today by HSBC Bank Malta p.l.c., a 70.03 per cent indirectly held subsidiary of HSBC

More information

Roche Capital Market Ltd Financial Statements 2014

Roche Capital Market Ltd Financial Statements 2014 Roche Capital Market Ltd Financial Statements 2014 1 Roche Capital Market Ltd - Financial Statements 2014 Roche Capital Market Ltd, Financial Statements Roche Capital Market Ltd, statement of comprehensive

More information

Saxo Capital Markets CY Limited

Saxo Capital Markets CY Limited Saxo Capital Markets CY Limited DISCLOSURES IN ACCORDANCE WITH THE REGULATION FOR THE CAPITAL REQUIREMENTS OF INVESTMENT FIRMS FOR THE YEAR ENDED 31 DECEMBER 2014 MAY 2015 CONTENTS 1. GENERAL INFORMATION

More information

Commerzbank: Operating profit more than doubled to EUR 685 m in the first quarter of 2015

Commerzbank: Operating profit more than doubled to EUR 685 m in the first quarter of 2015 Press release For business desks 7 May 2015 Commerzbank: Operating profit more than doubled to EUR 685 m in the first quarter of 2015 Revenues before loan loss provisions in the Group increased year-on-year

More information

2014 RISK REPORT Spar Nord 1 Risk Report 2014

2014 RISK REPORT Spar Nord 1 Risk Report 2014 RISK REPORT 1 Risk Report 0. CONTENTS 1. PREFACE 3 6. CREDIT RISK 19 6.1 Credit policy 19 2. BUSINESS MODEL 4 6.2 Management, monitoring and reporting customer exposures 19 2.1 Vision 4 6.3 Developments

More information

Capital Management Standard Banco Standard de Investimentos S/A

Capital Management Standard Banco Standard de Investimentos S/A Capital Management Standard Banco Standard de Investimentos S/A Level: Entity Type: Capital Management Owner : Financial Director Approved by: Board of Directors and Brazilian Management Committee (Manco)

More information

Nykredit Capital Markets Day. Ulrik Nødgaard October 31, 2013

Nykredit Capital Markets Day. Ulrik Nødgaard October 31, 2013 Nykredit Capital Markets Day Ulrik Nødgaard October 31, 2013 Agenda 1. Sector performance 2. SIFI 3. Guidelines for the fulfillment of the pillar II add-on 4. Agricultural sector 5. Asset Quality Review/Comprehensive

More information

CONSULTATION PAPER P016-2006 October 2006. Proposed Regulatory Framework on Mortgage Insurance Business

CONSULTATION PAPER P016-2006 October 2006. Proposed Regulatory Framework on Mortgage Insurance Business CONSULTATION PAPER P016-2006 October 2006 Proposed Regulatory Framework on Mortgage Insurance Business PREFACE 1 Mortgage insurance protects residential mortgage lenders against losses on mortgage loans

More information

Fact Book Q3 2012. Supplementary Information for Investors and Analysts. Unaudited. Updated: 30 September 2012

Fact Book Q3 2012. Supplementary Information for Investors and Analysts. Unaudited. Updated: 30 September 2012 Fact Book Q3 2012 Supplementary Information for Investors and Analysts Unaudited 1 Updated: 30 September 2012 Table of contents 1. Group facts 1.1 Financial goals 5 1.2 Dividends and share buybacks 5 1.3

More information

Financial Stability Report 2015/2016

Financial Stability Report 2015/2016 Financial Stability Report 2015/2016 Press Conference Presentation Miroslav Singer Governor Prague, 14 June 2016 Structure of presentation I. Overall assessment of risks and setting of countercyclical

More information

Press Release. Major Elements of the Consolidated Accounts. Balance Sheet

Press Release. Major Elements of the Consolidated Accounts. Balance Sheet Presse und Kommunikation MAIN TOWER Neue Mainzer Straße 52-58 60311 Frankfurt am Main www.helaba.de Tel.: +49 (0) 69 / 9132 2192 Wolfgang Kuß E-Mail: wolfgang.kuss@helaba.de Ursula-Brita Krück E-Mail:

More information

Julian Hodge Bank Limited. Pillar 3 disclosures as at 31 October 2012

Julian Hodge Bank Limited. Pillar 3 disclosures as at 31 October 2012 as at 31 October 2012 Approved by the Board on 26 March 2013 Contents 1 2 3 4 5 6 7 8 9 Introduction Scope Risk management objectives and policies Capital resources Capital adequacy Credit risk Interest

More information

Guidelines on Investment in Shares, Interest-in-Shares and Collective Investment Schemes

Guidelines on Investment in Shares, Interest-in-Shares and Collective Investment Schemes Interest-in-Shares and Collective BNM/RH/GL 001-30 Prudential Financial Policy Department PART A INTRODUCTION AND OVERVIEW... 1 1. Overview of the Guidelines... 1 2. Definitions... 1 3. Legal Enforceability

More information

Basel Committee on Banking Supervision

Basel Committee on Banking Supervision Basel Committee on Banking Supervision Liquidity coverage ratio disclosure standards January 2014 (rev. March 2014) This publication is available on the BIS website (www.bis.org). Bank for International

More information

YEARENDED31DECEMBER2013 RISKMANAGEMENTDISCLOSURES

YEARENDED31DECEMBER2013 RISKMANAGEMENTDISCLOSURES RISKMANAGEMENTDISCLOSURES 2015 YEARENDED31DECEMBER2013 ACCORDINGTOCHAPTER7(PAR.34-38)OFPARTCANDANNEXXIOFTHECYPRUSSECURITIES ANDEXCHANGECOMMISSIONDIRECTIVEDI144-2007-05FORTHECAPITALREQUIREMENTSOF INVESTMENTFIRMS

More information

Portfolio Management for Banks

Portfolio Management for Banks Enterprise Risk Solutions Portfolio Management for Banks RiskFrontier, our industry-leading economic capital and credit portfolio risk management solution, along with our expert Portfolio Advisory Services

More information

DRAFT September 2007. specified in the ADI s IRB approval, application of the FIRB approach to one or more of its SL sub-asset classes.

DRAFT September 2007. specified in the ADI s IRB approval, application of the FIRB approach to one or more of its SL sub-asset classes. Reporting Form ARF 113.0E FIRB Specialised Lending Instruction Guide This instruction guide is designed to assist in the completion of the FIRB Specialised Lending form. This form captures the credit risk-weighted

More information

Statement by the management 16. Supplementary information 17. Realkredit Danmark First Quarter 2015 2/17

Statement by the management 16. Supplementary information 17. Realkredit Danmark First Quarter 2015 2/17 Interim Report First Quarter 2015 Management s report Financial highlights Realkredit Danmark Group 3 Overview, first quarter 2015 4 Mortgage credit market 4 Results 4 Balance sheet 5 Capital and solvency

More information

Supervisor of Banks: Proper Conduct of Banking Business [9] (4/13) Sound Credit Risk Assessment and Valuation for Loans Page 314-1

Supervisor of Banks: Proper Conduct of Banking Business [9] (4/13) Sound Credit Risk Assessment and Valuation for Loans Page 314-1 Sound Credit Risk Assessment and Valuation for Loans Page 314-1 SOUND CREDIT RISK ASSESSMENT AND VALUATION FOR LOANS Principles for sound credit risk assessment and valuation for loans: 1. A banking corporation

More information

RISK MANAGEMENT REPORT (for the Financial Year Ended 31 March 2012)

RISK MANAGEMENT REPORT (for the Financial Year Ended 31 March 2012) RISK MANAGEMENT REPORT (for the Financial Year Ended 31 March 2012) Integrated Risk Management Framework The Group s Integrated Risk Management Framework (IRMF) sets the fundamental elements to manage

More information

Basel III Pillar 3 CAPITAL ADEQUACY AND RISK DISCLOSURES AS AT 30 SEPTEMBER 2014

Basel III Pillar 3 CAPITAL ADEQUACY AND RISK DISCLOSURES AS AT 30 SEPTEMBER 2014 Basel III Pillar 3 CAPITAL ADEQUACY AND RISK DISCLOSURES AS AT 30 SEPTEMBER 2014 COMMONWEALTH BANK OF AUSTRALIA ACN 123 123 124 5 NOVEMBER 2014 1 Scope of Application The Commonwealth Bank of Australia

More information

CONSOLIDATED RESULTS AS AT 30 JUNE 2012

CONSOLIDATED RESULTS AS AT 30 JUNE 2012 CONSOLIDATED RESULTS AS AT 30 JUNE 2012 THE IMPLEMENTATION OF THE PROJECT TO SIMPLIFY THE GROUP CORPORATE STRUCTURE CONTINUES, WITH POSITIVE EFFECTS ON CAPITAL AND SYNERGIES FURTHER IMPROVEMENT IN THE

More information

New Monetary Policy Challenges

New Monetary Policy Challenges New Monetary Policy Challenges 63 Journal of Central Banking Theory and Practice, 2013, 1, pp. 63-67 Received: 5 December 2012; accepted: 4 January 2013 UDC: 336.74 Alexey V. Ulyukaev * New Monetary Policy

More information

Pillar 3 Disclosures. Principality Group 31 December 2008

Pillar 3 Disclosures. Principality Group 31 December 2008 Pillar 3 Disclosures Principality Group 31 December 2008 Contents 1. Overview 3 1.1 Background 1.2 Basis and frequency of disclosures 1.3 Scope of application 1.4 External audit 2. Risk Management Objectives

More information

TD Bank Financial Group Q4/08 Guide to Basel II

TD Bank Financial Group Q4/08 Guide to Basel II TD Bank Financial Group Q4/08 Guide to Basel II 1. OVERVIEW General Information on Basel can be found on the Canadian Bankers Association website at www.cba.ca. Choose Issues, Standards, Rules and Guidelines

More information