12. Overview of Risk Management, Key Prudential Metrics and RWA

Template OV1 provides an overview of total RWA forming the denominator of the risk-based capital requirements. Template KM1: Key metrics (at consolidated group level) Purpose: To provide an overview of a bank’s prudential regulatory metrics. Scope of application: The template is mandatory for all banks. Content: Key prudential metrics related to risk-based capital ratios, leverage ratio and liquidity standards. Banks are required to disclose each metric’s value using the corresponding standard’s specifications for the reporting period-end (designated by T in the template below) as well as the four previous quarter-end figures (T–1 to T–4). All metrics are intended to reflect actual bank values for (T), with the exception of “fully loaded expected credit losses (ECL)” metrics, the leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) and metrics designated as “pre-floor” which may not reflect actual values. Frequency: Quarterly. Format: Fixed. If banks wish to add rows to provide additional regulatory or financial metrics, they must provide definitions for these metrics and a full explanation of how the metrics are calculated (including the scope of consolidation and the regulatory capital used if relevant). The additional metrics must not replace the metrics in this disclosure requirement. Accompanying narrative: Banks are expected to supplement the template with a narrative commentary to explain any significant change in each metric’s value compared with previous quarters, including the key drivers of such changes (eg whether the changes are due to changes in the regulatory framework, group structure or business model). Banks that apply transitional arrangement for ECL are expected to supplement the template with the key elements of the transition they use. a b c d e T T-1 T-2 2-3 T-4 Available capital (amounts) 1 Common Equity Tier 1 (CET1) 1a Fully loaded ECL accounting model 2 Tier 1 2a Fully loaded ECL accounting model Tier 1 3 Total capital 3a Fully loaded ECL accounting model total capital Risk-weighted assets (amounts) 4 Total risk-weighted assets (RWA) 4a Total risk-weighted assets (pre-floor) Risk-based capital ratios as a percentage of RWA 5 CET1 ratio (%) 5a Fully loaded ECL accounting model CET1 (%) 5b CET1 ratio (%) (pre-floor ratio) 6 Tier 1 ratio (%) 6a Fully loaded ECL accounting model Tier 1 ratio (%) 6b Tier 1 ratio (%) (pre-floor ratio) 7 Total capital ratio (%) 7a Fully loaded ECL accounting model total capital ratio (%) 7b Total capital ratio (%) (pre-floor ratio) Additional CET1 buffer requirements as a percentage of RWA 8 Capital conservation buffer requirement (2.5% from 2019) (%) 9 Countercyclical buffer requirement (%) 10 Bank G-SIB and/or D-SIB additional requirements (%) 11 Total of bank CET1 specific buffer requirements (%) (row 8 + row 9 + row 10) 12 CET1 available after meeting the bank’s minimum capital requirements (%) Basel III leverage ratio 13 Total Basel III leverage ratio exposure measure 14 Basel III leverage ratio (%) (including the impact of any applicable temporary exemption of central bank reserves) 14a Fully loaded ECL accounting model Basel III leverage ratio (including the impact of any applicable temporary exemption of central bank reserves) (%) 14b Basel III leverage ratio (%) (excluding the impact of any applicable temporary exemption of central bank reserves) 14c Basel III leverage ratio (%) (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean values for SFT assets 14d Basel III leverage ratio (%) (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean values for SFT assets Liquidity Coverage Ratio (LCR) 15 Total high-quality liquid assets (HQLA) 16 Total net cash outflow 17 LCR ratio (%) Net Stable Funding Ratio (NSFR) 18 Total available stable funding 19 Total required stable funding 20 NSFR ratio Instructions Row Number Explanat