Basel III Pillar III Disclosures – Q3 2023

Tables and templates

Page #

Overview of risk anagement, key

KM1: Key metrics

3

prudential metrics and RWA

OV1 - Overview of RWA

4

Credit valuation adjustment risk

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

5

Leverage ratio

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

6

LR2- Leverage ratio common disclosure template

7

Liquidity

LIQ1: Liquidity Coverage Ratio (LCR)

8

SR 000's

a

b

c

d

e

Sep-23

Jun-23

Mar-23

Dec-22

Sep-22

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

36,075,819

36,292,242

36,370,128

35,571,463

34,575,747

1a

Fully loaded ECL accounting model

35,788,194

36,004,617

36,082,503

34,996,213

34,000,497

2

Tier 1

41,075,819

41,292,242

41,370,128

40,571,463

39,575,747

2a

Fully loaded ECL accounting model Tier 1

40,788,194

41,004,617

41,082,503

39,996,213

39,000,497

3

Total capital

42,144,799

43,437,537

43,467,583

42,771,786

41,854,322

3a

Fully loaded ECL accounting model total capital

41,857,174

43,149,912

43,179,958

42,196,536

41,279,072

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

219,332,886

217,276,610

209,634,161

214,672,449

211,807,224

4a

Total risk-weighted assets (pre-floor)

219,332,886

217,276,610

209,634,161

214,672,449

211,807,224

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

16.45%

16.70%

17.35%

16.57%

16.32%

5a

Fully loaded ECL accounting model CET1 (%)

16.32%

16.57%

17.21%

16.30%

16.05%

5b

CET1 ratio (%) (pre-floor ratio)

16.45%

16.70%

17.35%

16.57%

16.32%

6

Tier 1 ratio (%)

18.73%

19.00%

19.73%

18.90%

18.68%

6a

Fully loaded ECL accounting model Tier 1 ratio (%)

18.60%

18.87%

19.60%

18.63%

18.41%

6b

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

18.73%

19.00%

19.73%

18.90%

18.68%

7

Total capital ratio (%)

19.21%

19.99%

20.73%

19.92%

19.76%

7a

Fully loaded ECL accounting model total capital ratio (%)

19.08%

19.86%

20.60%

19.66%

19.49%

7b

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

19.21%

19.99%

20.73%

19.92%

19.76%

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 (%)

0.05%

0.05%

0.07%

0.08%

0.06%

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 +

3.05%

3.05%

3.07%

3.08%

3.06%

row 9 + row 10)

12

CET1 available after meeting the bank's minimum capital

11.21%

11.99%

12.73%

11.92%

11.76%

requirements (%)

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

304,373,400

298,769,134

287,177,196

267,849,183

264,130,388

14

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

13.50%

13.82%

14.41%

15.15%

14.98%

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

13.40%

13.72%

14.31%

14.93%

14.77%

of central bank reserves) (%)

14b

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

13.50%

13.82%

14.41%

15.15%

14.98%

applicable temporary exemption of central bank reserves)

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

14c

applicable temporary exemption of central bank reserves)

13.50%

13.82%

14.41%

15.15%

14.98%

incorporating mean values for SFT assets

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

14d

applicable temporary exemption of central bank reserves)

13.50%

13.82%

14.41%

15.15%

14.98%

incorporating mean values for SFT assets

Liquidity Coverage Ratio (LCR)

15

Total high-quality liquid assets (HQLA)

42,448,292

38,108,681

38,490,124

37,736,643

38,553,231

16

Total net cash outflow

25,055,551

21,866,729

19,211,627

19,213,242

20,808,111

17

LCR ratio (%)

171%

180%

200%

196%

185%

Net Stable Funding Ratio (NSFR)

18

Total available stable funding

156,256,015

155,759,131

156,044,130

153,071,631

146,431,650

19

Total required stable funding

134,761,722

134,157,626

130,605,318

125,311,959

129,716,459

20

NSFR ratio

116%

116%

119%

122%

113%

a

b

c

Minimum

Drivers behind significant differences during the

SR 000's

RWA

capital

quarter

requirements

Sep-23

Jun-23

Sep-23

1

Credit risk (excluding counterparty credit risk)

203,315,808

201,030,322

16,265,265

2

Of which: standardised approach (SA)

203,315,808

201,030,322

16,265,265

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)

3,180,788

3,534,934

254,463

7

Of which: standardised approach for counterparty credit risk

3,180,788

3,534,934

254,463

8

Of which: IMM

9

Of which: other CCR

10

Credit valuation adjustment (CVA)

3,054,739

2,216,937

244,379

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

2,236,259

2,949,124

178,901

21

Of which: standardised approach (SA)

2,236,259

2,949,124

178,901

22

Of which: internal model approach (IMA)

23

Capital charge for switch between trading book and banking

book

24

Operational risk

7,545,292

7,545,292

603,623

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

219,332,886

217,276,610

17,546,631

+ 23 + 24 + 25 + 28)

SR 000's

a

1

Total RWA for CVA at previous quarter-end

2,216,937

2

Total RWA for CVA at end of reporting period

3,054,739

SR 000's

Particulars

a

1

Total consolidated assets as per published financial statements

249,862,239

Adjustment for investments in banking, financial, insurance or commercial

2

entities that are consolidated for accounting purposes but outside the scope

of regulatory consolidation

3

Adjustment for securitised exposures that meet the operational requirements

for the recognition of risk transference

4

Adjustments for temporary exemption of central bank reserves (if applicable)

Adjustment for fiduciary assets recognised on the balance sheet pursuant to

5

the operative accounting framework but excluded from the leverage ratio

exposure measure

6

Adjustments for regular-way purchases and sales of financial assets subject

to trade date accounting

7

Adjustments for eligible cash pooling transactions

8

Adjustments for derivative financial instruments

(2,449,123)

9

Adjustment for securities financing transactions (ie repurchase agreements

and similar secured lending)

10

Adjustment for off-balance sheet items (ie conversion to credit equivalent

54,636,532

amounts of offbalance sheet exposures)

11

Adjustments for prudent valuation adjustments and specific and general

provisions which have reduced Tier 1 capital

12

Other adjustments

2,323,752

13

Leverage ratio exposure measure

304,373,400

SR 000's

a

b

Sep-23

Jun-23

On Balance sheet exposures

1

On-balance sheet exposures (excluding derivatives and securities financing transactions

244,839,946

241,735,028

(SFTs), but including collateral)

2

Gross-up for derivatives collateral provided where deducted from balance sheet assets

pursuant to the operative accounting framework

3

(Deductions of receivable assets for cash variation margin provided in derivatives

transactions)

4

(Adjustment for securities received under securities financing transactions that are

recognised as an asset)

5

(Specific and general provisions associated with on-balance sheet exposures that are

deducted from Basel III Tier 1 capital)

6

(Asset amounts deducted in determining Basel III Tier 1 capital and regulatory adjustments)

7

Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of rows 1

244,839,946

241,735,028

to 6)

Derivative exposures

8

Replacement cost associated with all derivatives transactions (where applicable net of

3,231,005

2,465,569

eligible cash variation margin and/or with bilateral netting)

9

Add-on amounts for potential future exposure associated with all derivatives transactions

1,665,917

1,333,588

10

(Exempted central counterparty (CCP) leg of client-cleared trade exposures)

11

Adjusted effective notional amount of written credit derivatives

12

(Adjusted effective notional offsets and add-on deductions for written credit derivatives)

13

Total derivative exposures (sum of rows 8 to 12)

4,896,922

3,799,158

Securities financing transaction exposures

14

Gross SFT assets (with no recognition of netting), after adjustment for sale accounting

transactions

15

(Netted amounts of cash payables and cash receivables of gross SFT assets)

16

Counterparty credit risk exposure for SFT assets

17

Agent transaction exposures

18

Total securities financing transaction exposures (sum of rows 14 to 17)

Other off balance sheet exposures

19

Off-balance sheet exposure at gross notional amount

142,598,103

141,597,942

20

(Adjustments for conversion to credit equivalent amounts)

(87,961,571)

(88,362,994)

21

(Specific and general provisions associated with off-balance sheet exposures deducted in

determining Tier 1 capital)

22

Off-balance sheet items (sum of rows 19 to 21)

54,636,532

53,234,948

Capital and total exposures

23

Tier 1 capital

41,075,819

41,292,242

24

Total exposures (sum of rows 7, 13, 18 and 22)

304,373,400

298,769,134

Leverage ratio

25

Leverage ratio (including the impact of any applicable temporary exemption of

13.50%

13.82%

central bank reserves)

25a

Leverage ratio (excluding the impact of any applicable temporary exemption of central bank

13.50%

13.82%

reserves)

26

National minimum leverage ratio requirement

3.00%

3.00%

27

Applicable leverage buffers

10.50%

10.82%

Disclsoure of mean values

28

Mean value of gross SFT assets, after adjustment for sale accounting transactions and

netted of amounts of associated cash payables and cash receivables

29

Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions

and netted of amounts of associated cash payables and cash receivables

Total exposures (including the impact of any applicable temporary exemption of central

30

bank reserves) incorporating mean values from row 28 of gross SFT assets (after

304,373,400

298,769,134

adjustment for sale accounting transactions and netted of amounts of associated cash

payables and cash receivables)

Total exposures (excluding the impact of any applicable temporary exemption of central

30a

bank reserves) incorporating mean values from row 28 of gross SFT assets (after

304,373,400

298,769,134

adjustment for sale accounting transactions and netted of amounts of associated cash

payables and cash receivables)

Basel III leverage ratio (including the impact of any applicable temporary exemption of

31

central bank reserves) incorporating mean values from row 28 of gross SFT assets (after

13.50%

13.82%

adjustment for sale accounting transactions and netted of amounts of associated cash

payables and cash receivables)

Basel III leverage ratio (excluding the impact of any applicable temporary exemption of

31a

central bank reserves) incorporating mean values from row 28 of gross SFT assets (after

13.50%

13.82%

adjustment for sale accounting transactions and netted of amounts of associated cash

payables and cash receivables)

a

b

SR 000's

Total unweighted

Total weighted value

value (average)

(average)

High quality liquid assets

1

Total HQLA

42,448,292

Cash outflows

2

Retail deposits and deposits from small business customers, of

40,107,633

4,010,763

which:

3

Stable deposits

4

Less stable deposits

40,107,633

4,010,763

5

Unsecured wholesale funding, of which:

91,597,800

39,218,127

6

Operational deposits (all counterparties) and deposits in networks of

cooperative banks

7

Non-operational deposits (all counterparties)

91,597,800

39,218,127

8

Unsecured debt

9

Secured wholesale funding

10

Additional requirements, of which:

2,168,324

1,462,283

11

Outflows related to derivative exposures and other collateral

914,372

914,372

requirements

12

Outflows related to loss of funding on debt products

13

Credit and liquidity facilities

1,253,952

547,911

14

Other contractual funding obligations

222,950

222,950

15

Other contingent funding obligation

138,673,490

3,597,101

16

TOTAL CASH OUTFLOWS

48,511,224

Cash inflows

17

Secured lending (eg reverse repos)

18

Inflows from fully performing exposures

41,931,304

22,648,131

19

Other cash inflows

807,542

807,542

20

TOTAL CASH INFLOWS

23,455,673

Total adjusted value

21

Total HQLA

42,448,292

22

Total net cash outflows

25,055,551

23

Liquidity Coverage Ratio (%)

171%