RAPPORT PILIER III de Sfil au 30 JUIN 2021

En application du règlement (UE 2019/876) du Parlement et du Conseil du 20 mai 2019 (règlement CRR II) et du règlement d’exécution (UE 2021/637) du 15 mars 2021 de la Commission européenne relatif aux nouvelles exigences de publications externes « Pilier III », SFIL publie une série de données arrêtées au 30 juin 2021 et relatives aux thématiques ci-dessous.

NB : les chiffres romains et l’intitulé de chaque tableau correspondent aux dénominations retenues par la Commission européenne dans le cadre du règlement d’exécution mentionné ci-dessus.

I- Disclosure of key metrics and overview of risk-weighted exposure amounts
EU KM1 – Key metrics template
EU OV1 – Overview of risk weighted exposure amounts

VII- Disclosure of own funds
EU CC1 – Composition of regulatory own funds
EU CC2 – reconciliation of regulatory own funds to balance sheet in the audited financial statements

IX- Disclosure of countercyclical capital buffers
EU CcyB1 – Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer
EU CcyB2 – Amount of institution-specific countercyclical capital buffer

XI- Disclosure of the leverage ratio
EU LR1 – LRSum: Summary reconciliation of accounting assets and leverage ratio exposures
EU LR2 – LRCom: Leverage ratio common disclosure
EU LR3 – LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)

XIII- Disclosure of liquidity requirements
EU LIQ1 – Quantitative information of LCR
EU LIQ2 – Net Stable Funding Ratio
EU LIQB – Qualitative information on LCR, which complements template EU LIQ1

XV- Disclosure of credit risk quality
EU CQ1 – Credit quality of forborne exposures
EU CQ2 –  Quality of forbearance
EU CQ4 – Quality of non-performing exposures by geography
EU CQ5 – Credit quality of loans and advances to non-financial corporations by industry
EU CQ6 – Collateral valuation – loans and advances
EU CQ7 – Collateral obtained by taking possession and execution processes
EU CQ8 – Collateral obtained by taking possession and execution processes – vintage breakdown
EU CR1 – Performing and non-performing exposures and related provisions.
EU CR2 – Changes in the stock of non-performing loans and advances
EU CR2a – Changes in the stock of non-performing loans and advances and related net accumulated recoveries
EUCR1-A – Maturity of exposures

XVII- Disclosure of the use of credit risk mitigation techniques
EU CR3 – CRM techniques overview:  Disclosure of the use of credit risk mitigation techniques

XIX- Disclosure of the use of the standardised approach
EU CR4 – Standardised approach – Credit risk exposure and CRM effects
EU CR5 – Standardised approach

XXI- Disclosure of the use of the IRB approach to credit risk
EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range
EU CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques
EU CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques
EU CR8 – RWEA flow statements of credit risk exposures under the IRB approach

XXIII- Disclosure of specialised lending
EU CR10 – Specialised lending and equity exposures under the simple riskweighted approach

XXV- Disclosure of exposures to counterparty credit risk
EU CCR1  – Analysis of CCR exposure by approach
EU CCR2 – Transactions subject to own funds requirements for CVA risk
EU CCR3 – Standardised approach – CCR exposures by regulatory exposure class and risk weights
EU CCR4 – IRB approach – CCR exposures by exposure class and PD scale
EU CCR5 – Composition of collateral for CCR exposures
EU CCR6 – Credit derivatives exposures
EU CCR7 – RWEA flow statements of CCR exposures under the IMM
EU CCR8 – Exposures to CCPs

XXVII- Disclosure of exposures to securitisation positions
EU-SEC1 – Securitisation exposures in the non-trading book
EU-SEC2 – Securitisation exposures in the trading book
EU-SEC3 – Securitisation exposures in the non-trading book and associated regulatory capital requirements – institution acting as originator or as sponsor
EU-SEC4 – Securitisation exposures in the non-trading book and associated regulatory capital requirements – institution acting as investor
EU-SEC5 – Exposures securitised by the institution – Exposures in default and specific credit risk adjustments

XXIX- Disclosure of use of standardized approach and internal model for market risk
EU MR1 – Market risk under the standardised approach
EU MR2-A – Market risk under the internal Model Approach (IMA)
EU MR2-B – RWA flow statements of market risk exposures under the IMA
EU MR3 – IMA values for trading portfolios
EU MR4 – Comparison of VaR estimates with gains/losses