EBA欧洲银行-MT046_38页_4mb

Document Summary: Capital Position and Credit Risk Exposure of Bank of Vallettas (BOV)

Core Capital Position (CRD3 Rules)

The document outlines the capital position of the Bank of Vallettas (BOV) in accordance with the Capital Requirements Directive (CRD3) rules as of 31 December 2012 and 30 June 2013. The key components and figures are summarized below:

• Common Equity before deductions (A):

  • 31/12/2012: 413 million EUR
  • 30/06/2013: 431 million EUR
  • Note: This includes original own funds without hybrid instruments and government support measures other than ordinary shares.

• Adjustment to valuation differences in other AFS assets (1):

  • 31/12/2012: -7 million EUR
  • 30/06/2013: -5 million EUR
  • This adjustment is part of the prudential filters for regulatory capital.

• Deductions from common equity (B):

  • 31/12/2012: -26 million EUR
  • 30/06/2013: -26 million EUR
  • This is based on Article 57 (q) of Directive 2006/48/EC, specifically COREP line 1.3.8 included in 1.3.T1.

• Common equity (A + B):

  • 31/12/2012: 387 million EUR (10.7% of RWA)
  • 30/06/2013: 405 million EUR (11.3% of RWA)

• Ordinary shares subscribed by government:

  • 31/12/2012: 68 million EUR
  • 30/06/2013: 76 million EUR
  • These are paid-up ordinary shares subscribed by the government.

• CoCos issued before 30 June 2012:

  • 31/12/2012: 0 million EUR
  • 30/06/2013: 0 million EUR
  • Referenced to EBA/REC/2011/1.

• Other existing government support measures:

  • 31/12/2012: 0 million EUR
  • 30/06/2013: 0 million EUR

• Core Tier 1 Capital (C + D + E):

  • 31/12/2012: 387 million EUR (10.7% of RWA)
  • 30/06/2013: 405 million EUR (11.3% of RWA)

• Hybrid instruments not subscribed by government (G):

  • 31/12/2012: 0 million EUR
  • 30/06/2013: 0 million EUR
  • Net amount included in T1 own funds, not subscribed by government.

• Tier 1 Capital (F + G):

  • 31/12/2012: 387 million EUR (10.7% of RWA)
  • 30/06/2013: 405 million EUR (11.3% of RWA)
  • COREP CA 1.4 = COREP CA 1.1 + COREP CA 1.3.T1 (negative amount).*

• Risk-Weighted Assets (RWA):

  • 31/12/2012: 3,623 million EUR
  • 30/06/2013: 3,573 million EUR

Credit Risk Exposure by Counterparty Country

The credit risk exposure is categorized by counterparty type and country, with data as of 31 December 2012. The following are the key breakdowns:

Malta

• Total Exposure: 8,256 million EUR
• RWA: 2,979 million EUR
• Value adjustments and provisions: 102 million EUR
• LTV %:
  • Corporates: 66.0% (Non-defaulted) / 64.0% (SME) / 67.0% (Non-SME)
  • Retail: 66.0% (Secured on real estate property)
  • Retail - Secured on real estate property:
    • SME: 64.0%
    • Non-SME: 67.0%
  • Retail - Other Retail:
    • SME: 64.0%
    • Non-SME: 67.0%
  • Securitisation: 0 million EUR
  • Other non-credit obligation assets: 1,055 million EUR

Australia

• Total Exposure: 170 million EUR
• RWA: 35 million EUR
• Value adjustments and provisions: 0 million EUR
• LTV %:
  • Corporates: 41.0% (Non-defaulted) / 19.0% (Defaulted)
  • Retail: 100.0% (Non-defaulted) / 50.0% (Defaulted)
  • Securitisation: 0 million EUR
  • Other non-credit obligation assets: 0 million EUR

U.S.

• Total Exposure: 142 million EUR
• RWA: 69 million EUR
• Value adjustments and provisions: 0 million EUR
• LTV %:
  • Corporates: 41.0% (Non-defaulted) / 19.0% (Defaulted)
  • Retail: 100.0% (Non-defaulted) / 50.0% (Defaulted)
  • Securitisation: 0 million EUR
  • Other non-credit obligation assets: 0 million EUR

Other Countries (Not Applicable)

• Total Exposure: 0 million EUR
• RWA: 0 million EUR
• Value adjustments and provisions: 0 million EUR

Key Notes and Definitions

• LTV %: Loan-to-Value percentage, used to assess risk exposure.
• Exposure values: Breakdown of exposures under different methodologies (F-IRB, A-IRB, STA).
• RWA: Risk-Weighted Assets, calculated based on exposure values and risk weights.
• Value adjustments and provisions: Reflect adjustments made to the value of assets and provisions for expected losses.
• Securitisation and re-securitisations positions deducted from capital: These positions are excluded from RWA and deducted from capital, as per the guidelines.

Regulatory References

• COREP reporting: Used for capital and risk reporting, with specific lines referenced for capital components and adjustments.
• CRR / CRDIV: Capital Requirements Regulation, with relevant articles such as 26(1) (c), 26(2), 36(1) (c), 38, 36(1) (g), (h), (i), 43, 44, 45, and 381–386.
• EBA/REC/2011/1: Refers to the EBA Common Term Sheet for CoCos.

Summary of Key Points

• BOV's capital position under CRD3 rules shows an increase in common equity from 413 million EUR to 431 million EUR between 31 December 2012 and 30 June 2013.
• Deductions from common equity remain consistent at -26 million EUR for both periods.
• The capital structure includes government support measures and excludes hybrid instruments not subscribed by government.
• Credit risk exposure is detailed by counterparty type and country, with significant exposure to Malta and Australia.
• RWA values show a slight decrease from 3,623 million EUR to 3,573 million EUR.
• The LTV percentages vary by counterparty type and country, with higher values for certain sectors.
• Securitisation exposures are not included in RWA and are deducted from capital.