Basel III Pillar III Disclosures – Q2 2024

Tables and templates

Page #

KM1: Key metrics (at consolidated group level)

3

CCA: Main features of regulatory capital instruments and of other TLAC-eligible instruments

4

CC1: Composition of regulatory capital

5

CC2: Reconciliation of regulatory capital to balance sheet

6

ENC: Asset encumbrance

7

OV1: Overview of RWA

8

CR1: Credit quality of assets

9

CR2: Changes in stock of defaulted loans and debt securities

10

CR3: Credit risk mitigation techniques - overview

11

CR4: Standardised approach - credit risk exposure and credit risk mitigation (CRM) effects

12

CR5: Standardised approach - exposures by asset classes and risk weights

13

CCR1: Analysis of CCR exposures by approach

14

CCR3: Standardised approach - CCR exposures by regulatory portfolio and risk weights

15

CCR5: Composition of collateral for CCR exposure

16

CCR6: Credit derivatives exposures

17

CCR8: Exposures to central counterparties

18

MR1: Market risk under the standardised approach

19

CVA1: The reduced basic approach for CVA (BA-CVA)

20

CVA2: The full basic approach for CVA (BA-CVA)

21

CVA3: The standardised approach for CVA (SA-CVA)

22

CVA4: RWA flow statements of CVA risk exposures under SA-CVA

23

LR1: Summary comparison of accounting assets vs leverage ratio exposure measure

24

LR2: Leverage ratio common disclosure template

25

LIQ1: Liquidity Coverage Ratio (LCR)

26

LIQ2: Net Stable Funding Ratio (NSFR)

27

CCyB1: Geographical distribution of credit exposures used in the calculation of the bank-

28

specific countercyclical capital buffer requirement

SR 000's

a

b

c

d

e

Jun-24

Mar-24

Dec-23

Sep-23

Jun-23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

37,848,756

38,041,035

37,204,728

36,075,819

36,292,242

1a

Fully loaded ECL accounting model

37,848,756

38,041,035

36,917,103

35,788,194

36,004,617

2

Tier 1

42,848,756

43,041,035

42,204,728

41,075,819

41,292,242

2a

Fully loaded ECL accounting model Tier 1

42,848,756

43,041,035

41,917,103

40,788,194

41,004,617

3

Total capital

44,601,697

44,548,760

43,568,461

42,144,799

43,437,537

3a

Fully loaded ECL accounting model total capital

44,601,697

44,548,760

43,280,836

41,857,174

43,149,912

Risk-

weighted assets (amounts)

4

Total risk-weighted assets (RWA)

246,687,676

234,255,461

223,023,190

219,332,886

217,276,610

4a

Total risk-weighted assets (pre-floor)

246,687,676

234,255,461

223,023,190

219,332,886

217,276,610

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

15.34%

16.24%

16.68%

16.45%

16.70%

5a

Fully loaded ECL accounting model CET1 (%)

15.34%

16.24%

16.55%

16.32%

16.57%

5b

CET1 ratio (%) (pre-floor ratio)

15.34%

16.24%

16.68%

16.45%

16.70%

6

Tier 1 ratio (%)

17.37%

18.37%

18.92%

18.73%

19.00%

6a

Fully loaded ECL accounting model Tier 1 ratio (%)

17.37%

18.37%

18.79%

18.60%

18.87%

6b

Tier 1 ratio (%) (pre-floor ratio)

17.37%

18.37%

18.92%

18.73%

19.00%

7

Total capital ratio (%)

18.08%

19.02%

19.54%

19.21%

19.99%

7a

Fully loaded ECL accounting model total capital ratio (%)

18.08%

19.02%

19.41%

19.08%

19.86%

7b

Total capital ratio (%) (pre-floor ratio)

18.08%

19.02%

19.54%

19.21%

19.99%

Additional CET1 buffer requirements as a percentage of RWA

8

Capital conservation buffer requirement (2.5% from 2019) (%)

2.50%

2.50%

2.50%

2.50%

2.50%

9

Countercyclical buffer requirement (%)

0.02%

0.02%

0.05%

0.05%

0.05%

10

Bank G-SIB and/or D-SIB additional requirements (%)

0.50%

0.50%

0.50%

0.50%

0.50%

11

Total of bank CET1 specific buffer requirements (%) (row 8 +

3.02%

3.05%

3.05%

3.05%

3.05%

row 9 + row 10)

12

CET1 available after meeting the bank's minimum capital

10.08%

11.02%

11.54%

11.21%

11.99%

requirements (%)

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

356,261,720

333,939,191

309,830,885

304,373,400

298,769,134

14

Basel III leverage ratio (%) (including the impact of any

12.03%

12.89%

13.62%

13.50%

13.82%

applicable temporary exemption of central bank reserves)

Fully loaded ECL accounting model Basel III leverage ratio

14a

(including the impact of any applicable temporary exemption

12.03%

12.89%

13.53%

13.40%

13.72%

of central bank reserves) (%)

14b

Basel III leverage ratio (%) (excluding the impact of any

12.03%

12.89%

13.62%

13.50%

13.82%

applicable temporary exemption of central bank reserves)

Basel III leverage ratio (%) (including the impact of any

14c

applicable temporary exemption of central bank reserves)

12.03%

12.89%

13.62%

13.50%

13.82%

incorporating mean values for SFT assets

Basel III leverage ratio (%) (excluding the impact of any

14d

applicable temporary exemption of central bank reserves)

12.03%

12.89%

13.62%

13.50%

13.82%

incorporating mean values for SFT assets

Liquidity

Coverage Ratio (LCR)

15

Total high-quality liquid assets (HQLA)

43,855,835

43,162,866

43,141,206

42,448,292

38,108,681

16

Total net cash outflow

23,446,643

26,066,588

22,626,135

25,055,551

21,866,729

17

LCR ratio (%)

187%

166%

196%

171%

180%

Net Stable Funding Ratio (NSFR)

18

Total available stable funding

177,278,132

166,833,232

160,835,285

156,256,015

155,759,131

19

Total required stable funding

150,162,938

143,845,681

137,740,306

134,761,722

134,157,626

20

NSFR ratio

118%

116%

117%

116%

116%

Basel III - Pillar III Disclosures - 30 June 2024

CCA - Main features of regulatory capital instruments and of other TLAC-eligible instruments

a

Quantitative / qualitative

information

1

Issuer

Banque Saudi Fransi

Unique identifier (eg Committee on Uniform Security

2

Identification Procedures (CUSIP), International

N/A

Securities Identification Number (ISIN) or Bloomberg

identifier for private placement)

3

Governing law(s) of the instrument

Saudi Arabian law

Means by which enforceability requirement of Section

3a

13 of the TLAC Term Sheet is achieved (for other

TLAC-eligible instruments governed by foreign law)

4

Transitional Basel III rules

Additional Tier I

5

Post-transitional Basel III rules

Eligible

6

Eligible at solo/group/group and solo

Group & Solo

7

Instrument type (refer to SACAP)

Subordinated sukuk

8

Amount recognised in regulatory capital (currency in

SAR 5,000,000

millions, as of most recent reporting date)

9

Par value of instrument

SAR 5,000,000

10

Accounting classification

Equity

11

Original date of issuance

04 November 2020

12

Perpetual or dated

Perpetual

13

Original maturity date

N/A

14

Issuer call subject to prior SAMA approval

Yes

Optional call date, contingent call dates and

In compliance with Basel III, call date is equal to or greater than 5 years and the Sukuk may be

15

redeemed early due to a capital event, tax event or at the option of the Bank as described in the terms

redemption amount

and conditions of the Sukuk

16

Subsequent call dates, if applicable

As above

Coupons / dividends

17

Fixed or floating dividend/coupon

Fixed

18

Coupon rate and any related index

4.5% p.a.

19

Existence of a dividend stopper

Yes

20

Fully discretionary, partially discretionary or

Fully discretionary

mandatory

21

Existence of step-up or other incentive to redeem

No

22

Non-cumulative or cumulative

Non Cumulative

23

Convertible or non-convertible

Non Convertible

24

If convertible, conversion trigger(s)

N/A

25

If convertible, fully or partially

N/A

26

If convertible, conversion rate

N/A

27

If convertible, mandatory or optional conversion

N/A

28

If convertible, specify instrument type convertible

N/A

into

29

If convertible, specify issuer of instrument it

N/A

converts into

30

Writedown feature

Yes

31

If writedown, writedown trigger(s)

Terms of contract of the instrument provide the legal basis for SAMA to trigger write-down (a

contractual approach)

32

If writedown, full or partial

Write-down fully or partial

33

If writedown, permanent or temporary

Permanent

34

If temporary write-down, description of writeup

N/A

mechanism

34a

Type of subordination

Subordinated

Position in subordination hierarchy in liquidation

35

(specify instrument type immediately senior to

N/A

instrument in the insolvency creditor hierarchy of the

legal entity concerned).

36

Non-compliant transitioned features

N/A

37

If yes, specify non-compliant features

N/A

a

b

Commentary to explain any significant changes

Source based on reference numbers/letters of

SR 000's

over the reporting period and the key drivers of

Amounts

the balance sheet under the regulatory scope of

such change

consolidation

Common Equity Tier 1 capital: instruments and reserves

1

Directly issued qualifying common share (and equivalent for non-joint stock

companies) capital plus related stock surplus

12,053,572

2

Retained earnings

26,631,370

3

Accumulated other comprehensive income (and other reserves)

(1,672,242)

4

Directly issued capital subject to phase-out from CET1 capital (only applicable to non-

joint stock companies)

5

Common share capital issued by subsidiaries and held by third parties (amount allowed

in group CET1 capital)

6

Common Equity Tier 1 capital before regulatory adjustments

37,012,700

Common

Equity Tier 1 capital: regulatory adjustments

7

Prudent valuation adjustments

8

Goodwill (net of related tax liability)

9

Other intangibles other than mortgage servicing rights (MSR) (net of related tax

liability)

10

Deferred tax assets (DTA) that rely on future profitability, excluding those arising from

temporary differences (net of related tax liability)

11

Cash flow hedge reserve

1,039,427

12

Shortfall of provisions to expected losses

13

Securitisation gain on sale (as set out in SACAP4.1.4)

14

Gains and losses due to changes in own credit risk on fair valued liabilities

15

Defined benefit pension fund net assets

16

Investments in own shares (if not already subtracted from paid-in capital on reported

(203,371)

balance sheet)

17

Reciprocal cross-holdings in common equity

Investments in the capital of banking, financial and insurance entities that are outside

18

the scope of regulatory consolidation, where the bank does not own more than 10% of

the issued share capital (amount above 10% threshold)

Significant investments in the common stock of banking, financial and insurance

19

entities that are outside the scope of regulatory consolidation (amount above 10%

threshold)

20

MSR (amount above 10% threshold)

21

DTA arising from temporary differences (amount above 10% threshold, net of related

tax liability)

22

Amount exceeding the 15% threshold

23

Of which: significant investments in the common stock of financials

24

Of which: MSR

25

Of which: DTA arising from temporary differences

26

National specific regulatory adjustments

27

Regulatory adjustments applied to Common Equity Tier 1 capital due to insufficient

Additional Tier 1 and Tier 2 capital to cover deductions

28

Total regulatory adjustments to Common Equity Tier 1 capital

836,056

29

Common Equity Tier 1 capital (CET1)

37,848,756

Additional Tier 1 capital: instruments

30

Directly issued qualifying additional Tier 1 instruments plus related stock surplus

5,000,000

31

Of which: classified as equity under applicable accounting standards

32

Of which: classified as liabilities under applicable accounting standards

33

Directly issued capital instruments subject to phase-out from additional Tier 1 capital

Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by

34

subsidiaries and held by third parties (amount allowed in group additional Tier 1

capital)

35

Of which: instruments issued by subsidiaries subject to phase-out

36

Additional Tier 1 capital before regulatory adjustments

5,000,000

Additional Tier 1 capital: regulatory adjustments

37

Investments in own additional Tier 1 instruments

38

Reciprocal cross-holdings in additional Tier 1 instruments

Investments in the capital of banking, financial and insurance entities that are outside

39

the scope of regulatory consolidation, where the bank does not own more than 10% of

the issued common share capital of the entity (amount above 10% threshold)

40

Significant investments in the capital of banking, financial and insurance entities that

are outside the scope of regulatory consolidation

41

National specific regulatory adjustments

42

Regulatory adjustments applied to additional Tier 1 capital due to insufficient Tier 2

capital to cover deductions

43

Total regulatory adjustments to additional Tier 1 capital

-

44

Additional Tier 1 capital (AT1)

5,000,000

45

Tier 1 capital (T1 = CET1 + AT1)

42,848,756

Tier 2

capital: instruments and provisions

46

Directly issued qualifying Tier 2 instruments plus related stock surplus

47

Directly issued capital instruments subject to phase-out from Tier 2 capital

48

Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 34) issued

by subsidiaries and held by third parties (amount allowed in group Tier 2)

49

Of which: instruments issued by subsidiaries subject to phase-out

50

Provisions

1,752,941

51

Tier 2 capital before regulatory adjustments

1,752,941

Tier 2

capital: regulatory adjustments

52

Investments in own Tier 2 instruments

53

Reciprocal cross-holdings in Tier 2 instruments and other TLAC liabilities

Investments in the capital and other TLAC liabilities of banking, financial and insurance

54

entities that are outside the scope of regulatory consolidation, where the bank does

not own more than 10% of the issued common share capital of the entity (amount

above 10% threshold)

Investments in the other TLAC liabilities of banking, financial and insurance entities

that are outside the scope of regulatory consolidation and where the bank does not

54a

own more than 10% of the issued common share capital of the entity: amount

previously designated for the 5% threshold but that no longer meets the conditions

(for G-SIBs only)

Significant investments in the capital and other TLAC liabilities of banking, financial

55

and insurance entities that are outside the scope of regulatory consolidation (net of

eligible short positions)

56

National specific regulatory adjustments

57

Total regulatory adjustments to Tier 2 capital

-

58

Tier 2 capital

1,752,941

59

Total regulatory capital (= Tier 1 + Tier2)

44,601,697

60

Total risk-weighted assets

246,687,676

Increase in Credit RWA

Capital

adequacy ratios and buffers

61

Common Equity Tier 1 capital (as a percentage of risk-weighted assets)

15.34%

62

Tier 1 capital (as a percentage of risk-weighted assets)

17.37%

63

Total capital (as a percentage of risk-weighted assets)

18.08%

Institution-specific buffer requirement (capital conservation buffer plus

64

countercyclical buffer requirements plus higher loss absorbency requirement,

expressed as a percentage of riskweighted assets)

3.02%

65

Of which: capital conservation buffer requirement

2.50%

66

Of which: bank-specific countercyclical buffer requirement

0.02%

67

Of which: higher loss absorbency requirement

0.50%

68

Common Equity Tier 1 capital (as a percentage of risk-weighted assets)

available after meeting the bank's minimum capital requirements

10.08%

National

minima (if different from Basel III)

69

National minimum Common Equity Tier 1 capital adequacy ratio (if different from Basel

III minimum)

n/a

70

National minimum Tier 1 capital adequacy ratio (if different from Basel III minimum)

n/a

71

National minimum Total capital adequacy ratio (if different from Basel III minimum)

n/a

Amounts below the thresholds for deduction (before risk-weighting)

72

Non-significant investments in the capital and other TLAC liabilities of other financial

entities

73

Significant investments in the common stock of financial entities

74

MSR (net of related tax liability)

75

DTA arising from temporary differences (net of related tax liability)

Applicable caps on the inclusion of provisions in Tier 2 capital

76

Provisions eligible for inclusion in Tier 2 capital in respect of exposures subject to

standardised approach (prior to application of cap)

1,752,941

77

Cap on inclusion of provisions in Tier 2 capital under standardised approach

2,934,447

78

Provisions eligible for inclusion in Tier 2 capital in respect of exposures subject to

internal ratings based approach (prior to application of cap)

n/a

79

Cap for inclusion of provisions in Tier 2 capital under internal ratings-based approach

n/a

Capital

instruments subject to phase-out arrangements (only applicable between 1

80

Current cap on CET1 instruments subject to phase-out arrangements

81

Amount excluded from CET1 capital due to cap (excess over cap after redemptions and

maturities)

82

Current cap on AT1 instruments subject to phase-out arrangements

83

Amount excluded from AT1 capital due to cap (excess over cap after redemptions and

maturities)

84

Current cap on Tier 2 instruments subject to phase-out arrangements

85

Amount excluded from Tier 2 capital due to cap (excess over cap after redemptions

and maturities)

a

b

c

Balance sheet as

Under

in published

SR 000's

regulatory scope

financial

Reference

of consolidation

statements

As at period-end

As at period-end

Assets

1

Cash and balances with SAMA

11,577,948

11,577,948

2

Items in the course of collection from other banks

3

Trading portfolio assets

588,147

588,147

4

Financial assets designated at fair value

5

Derivative financial instruments

6,207,275

6,207,275

6

Due from banks and other FI

11,742,226

11,742,226

7

Loans and advances

197,160,066

197,160,066

8

Investments at amortised cost

27,712,690

27,712,690

9

Investments at FVOCI

27,205,026

27,205,026

10

Current and deferred tax assets

-

11

Other assets and other real estate

4,548,281

4,548,281

12

Investments in associates and joint ventures

9,695

9,695

13

Goodwill and intangible assets

-

-

Of which: goodwill

Of which: other intangibles (excluding MSR)

Of which: MSR

14

Property, equipment and RoU

2,075,122

2,075,122

15

Total assets

288,826,476

288,826,476

Liabilities

16

Due to SAMA, banks and other FI

24,856,768

24,856,768

17

Items in the course of collection due to other banks

-

18

Customers' deposits

196,247,577

196,247,577

19

Repurchase agreements and other similar secured

borrowing

20

Trading portfolio liabilities

21

Financial liabilities designated at fair value

22

Derivative financial instruments

7,102,424

7,102,424

23

Debt securities and term loans

12,490,055

12,490,055

24

Other liabilities

6,320,323

6,320,323

25

Current and deferred tax liabilities

-

-

Of which: deferred tax liabilities (DTL) related to goodwill

Of which: DTL related to intangible assets (excluding

MSR)

Of which: DTL related to MSR

26

Subordinated liabilities

27

Provisions

28

Retirement benefit liabilities

29

Total liabilities

247,017,147

247,017,147

Shareholders' equity

30

Paid-in share capital

17,053,572

17,053,572

Of which: amount eligible for CET1 capital

12,053,572

12,053,572

Of which: amount eligible for AT1 capital

5,000,000

5,000,000

31

Retained earnings

26,631,370

26,631,370

32

Accumulated other comprehensive income

-1,875,613

-1,875,613

33

Total shareholders' equity

41,809,329

41,809,329

a

b

c

SR 000's

Encumbered

Unencumbered

Total

Assets

Assets

The assets on the balance sheet would be

1

disaggregated; there can be as much disaggregation as

17,152,346

271,674,130

288,826,476

desired

a

b

c

Minimum

Drivers behind significant differences during the

SR 000's

RWA

capital

quarter

requirements

Jun-24

Mar-24

Jun-24

1

Credit risk (excluding counterparty credit risk)

226,823,191

214,654,533

18,145,855

2

Of which: standardised approach (SA)

226,823,191

214,654,533

18,145,855

Due to increase in Risk weighted assets

3

Of which: foundation internal ratings-based(F-IRB) approach

4

Of which: supervisory slotting approach

5

Of which: advanced internal ratings-based(A-IRB) approach

6

Counterparty credit risk (CCR)

3,987,003

3,488,759

318,960

7

Of which: standardised approach for counterparty credit risk

3,987,003

3,488,759

318,960

8

Of which: IMM

9

Of which: other CCR

10

Credit valuation adjustment (CVA)

3,945,595

3,982,974

315,648

Equity positions under the simple risk weight approach and the

11

internal model method during the five-year linear phase-in

period

12

Equity investments in funds - look-through approach

13

Equity investments in funds - mandate-based approach

14

Equity investments in funds - fall-back approach

15

Settlement risk

16

Securitisation exposures in banking book

17

Of which: securitisation IRB approach (SEC-IRBA)

18

Of which: securitisation external ratings-based approach (SEC-

ERBA), including internal assessment approach (IAA)

19

Of which: securitisation standardised approach (SEC-SA)

20

Market risk

2,756,746

3,226,993

220,540

21

Of which: standardised approach (SA)

2,756,746

3,226,993

220,540

22

Of which: internal model approach (IMA)

23

Capital charge for switch between trading book and banking

book

24

Operational risk

9,175,141

8,902,202

734,011

25

Amounts below the thresholds for deduction (subject to 250%

risk weight)

26

Output floor applied

27

Floor adjustment (before application of transitional cap)

28

Floor adjustment (after application of transitional cap)

29

Total (1 + 6 + 10 + 11 + 12 + 13 + 14 + 15 + 16 + 20 + 23 +

246,687,676

234,255,461

19,735,014

24 + 25 + 28)

a

b

c

d

e

f

g

Of which ECL accounting

Gross carrying values of

provisions for credit losses

Of which ECL

on SA exposures

SR 000's

accounting

Net

Allowances/

provisions for

values

impairments

Allocated in

Allocated in

credit losses on

(a+b-c)

Defaulted

Nondefaulted

regulatory

regulatory

IRB exposures

exposures

exposures

category of

category of

Specific

General

1

Loans

1,879,252

198,322,456

3,041,642

1,331,193

1,710,449

197,160,066

2

Debt Securities

54,354,281

12,317

12,317

54,341,964

3

Off-balance sheet exposures

504,879

65,635,000

173,304

147,859

25,445

65,966,575

4

Total

2,384,131

318,311,737

3,227,263

1,479,052

1,748,211

-

317,468,605

Basel III - Pillar III Disclosures - 30 June 2024

CR2: Changes in stock of defaulted loans and debt securities

SR 000's

a

1

Defaulted loans and debt securities at end

1,920,781

of the previous reporting period

2

Loans and debt securities that have defaulted

252,088

since the last reporting period

3

Returned to non-defaulted status

16,727

4

Amounts written off

248,429

5

Other changes

28,461

6

Defaulted loans and debt securities at end

1,879,252

of the reporting period (1+2-3-4+5)