BASEL III Pillar3 Disclosures - Q3 2024

Section

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

LR1- Summary comparison of accounting assets vs leverage ratio exposure

6

Leverage ratio

measure

LR2- Leverage ratio common disclosure template

7

Liquidity

LIQ1: Liquidity Coverage Ratio (LCR)

8

SR 000's

a

b

c

d

e

Sep-24

Jun-24

Mar-24

Dec-23

Sep-23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

38,457,797

37,848,756

38,041,035

37,204,728

36,075,819

1a

Fully loaded ECL accounting model

38,457,797

37,848,756

38,041,035

36,917,103

35,788,194

2

Tier 1

46,457,797

42,848,756

43,041,035

42,204,728

41,075,819

2a

Fully loaded ECL accounting model Tier 1

46,457,797

42,848,756

43,041,035

41,917,103

40,788,194

3

Total capital

48,458,115

44,601,697

44,548,760

43,568,461

42,144,799

3a

Fully loaded ECL accounting model total capital

48,458,115

44,601,697

44,548,760

43,280,836

41,857,174

Risk-

weighted assets (amounts)

4

Total risk-weighted assets (RWA)

249,385,615

246,687,676

234,255,461

223,023,190

219,332,886

4a

Total risk-weighted assets (pre-floor)

249,385,615

246,687,676

234,255,461

223,023,190

219,332,886

Risk-based capital ratios as a percentage of RWA

5

CET1 ratio (%)

15.42%

15.34%

16.24%

16.68%

16.45%

5a

Fully loaded ECL accounting model CET1 (%)

15.42%

15.34%

16.24%

16.55%

16.32%

5b

CET1 ratio (%) (pre-floor ratio)

15.42%

15.34%

16.24%

16.68%

16.45%

6

Tier 1 ratio (%)

18.63%

17.37%

18.37%

18.92%

18.73%

6a

Fully loaded ECL accounting model Tier 1 ratio (%)

18.63%

17.37%

18.37%

18.79%

18.60%

6b

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

18.63%

17.37%

18.37%

18.92%

18.73%

7

Total capital ratio (%)

19.43%

18.08%

19.02%

19.54%

19.21%

7a

Fully loaded ECL accounting model total capital ratio (%)

19.43%

18.08%

19.02%

19.41%

19.08%

7b

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

19.43%

18.08%

19.02%

19.54%

19.21%

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%

0.02%

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%

3.02%

3.05%

3.05%

3.05%

row 9 + row 10)

12

CET1 available after meeting the bank's minimum capital

10.92%

10.08%

11.02%

11.54%

11.21%

requirements (%)

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

355,249,102

356,261,720

333,939,191

309,830,885

304,373,400

14

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

13.08%

12.03%

12.89%

13.62%

13.50%

applicable temporary exemption of central bank reserves)

14a

Fully loaded ECL accounting model Basel III leverage ratio

13.08%

12.03%

12.89%

13.53%

13.40%

(including the impact of any applicable temporary exemption

of central bank reserves) (%)

14b

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

13.08%

12.03%

12.89%

13.62%

13.50%

applicable temporary exemption of central bank reserves)

14c

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

13.08%

12.03%

12.89%

13.62%

13.50%

applicable temporary exemption of central bank reserves)

incorporating mean values for SFT assets

14d

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

13.08%

12.03%

12.89%

13.62%

13.50%

applicable temporary exemption of central bank reserves)

incorporating mean values for SFT assets

Liquidity

Coverage Ratio (LCR)

15

Total high-quality liquid assets (HQLA)

44,329,011

43,855,835

43,162,866

43,141,206

42,448,292

16

Total net cash outflow

27,424,567

25,575,570

26,066,588

22,626,135

25,055,551

17

LCR ratio (%)

162%

187%

166%

196%

171%

Net Stable Funding Ratio (NSFR)

18

Total available stable funding

179,314,436

177,278,132

166,833,232

160,835,285

156,256,015

19

Total required stable funding

152,015,786

150,162,938

143,845,681

137,740,306

134,761,722

20

NSFR ratio

118%

118%

116%

117%

116%

a

b

c

RWA

Minimum

Drivers behind significant differences during the

SR 000's

capital

quarter

requirements

Sep-24

Jun-24

Sep-24

1

Credit risk (excluding counterparty credit risk)

227,996,853

226,823,191

18,239,748

2

Of which: standardised approach (SA)

227,996,853

226,823,191

18,239,748

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)

4,243,082

3,987,003

339,447

7

Of which: standardised approach for counterparty credit risk

4,243,082

3,987,003

339,447

8

Of which: IMM

9

Of which: other CCR

10

Credit valuation adjustment (CVA)

3,606,716

3,945,595

288,537

11

Equity positions under the simple risk weight approach and the

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

4,889,179

2,756,746

391,134

21

Of which: standardised approach (SA)

4,889,179

2,756,746

391,134

22

Of which: internal model approach (IMA)

23

Capital charge for switch between trading book and banking book

24

Operational risk

8,649,785

9,175,141

691,983

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 + 24

249,385,615

246,687,677

19,950,849

+ 25 + 28)

SR 000's

a

1

Total RWA for CVA at previous quarter-end

3,945,595

2

Total RWA for CVA at end of reporting period

3,606,716

SR 000's

#

Particulars

a

1

Total consolidated assets as per published financial statements

287,670,223

Adjustment for investments in banking, financial, insurance or commercial entities

2

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 the

5

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

-125,168

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 amounts

65,570,797

of offbalance sheet exposures)

11

Adjustments for prudent valuation adjustments and specific and general provisions

which have reduced Tier 1 capital

12

Other adjustments

2,133,250

13

Leverage ratio exposure measure

355,249,102

SR 000's

a

b

Sep-24

Jun-24

On Balance sheet exposures

1

On-balance sheet exposures (excluding derivatives and securities financing

284,473,168

284,348,342

transactions (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

284,473,168

284,348,342

rows 1 to 6)

Derivative exposures

8

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

2,800,423

3,622,083

eligible cash variation margin and/or with bilateral netting)

9

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

2,404,714

2,151,416

transactions

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)

5,205,137

5,773,499

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

172,158,465

165,041,000

20

(Adjustments for conversion to credit equivalent amounts)

(106,587,668)

(98,901,121)

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)

65,570,797

66,139,879

Capital

and total exposures

23

Tier 1 capital

46,457,797

42,848,756

24

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

355,249,102

356,261,720

Leverage

ratio

25

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

13.08%

12.03%

central bank reserves)

25a

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

13.08%

12.03%

bank reserves)

26

National minimum leverage ratio requirement

3.00%

3.00%

27

Applicable leverage buffers

10.08%

9.03%

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

30

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

355,249,102

356,261,720

(after 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

30a

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

355,249,102

356,261,720

(after 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

31

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

13.08%

12.03%

(after 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

31a

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

13.08%

12.03%

(after 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

44,329,011

Cash outflows

2

Retail deposits and deposits from small business customers, of which:

38,250,480

3,825,048

3

Stable deposits

4

Less stable deposits

38,250,480

3,825,048

5

Unsecured wholesale funding, of which:

106,005,003

45,094,028

6

Operational deposits (all counterparties) and deposits in networks of cooperative

banks

7

Non-operational deposits (all counterparties)

106,005,003

45,094,028

8

Unsecured debt

9

Secured wholesale funding

10

Additional requirements, of which:

1,831,292

1,831,292

11

Outflows related to derivative exposures and other collateral requirements

1,093,034

1,093,034

12

Outflows related to loss of funding on debt products

13

Credit and liquidity facilities

738,258

738,258

14

Other contractual funding obligations

-

-

15

Other contingent funding obligation

154,613,871

4,836,960

16

TOTAL CASH OUTFLOWS

55,587,328

Cash inflows

17

Secured lending (eg reverse repos)

18

Inflows from fully performing exposures

50,489,910

27,010,617

19

Other cash inflows

1,152,143

1,152,143

20

TOTAL CASH INFLOWS

28,162,760

Total adjusted value

21

Total HQLA

44,329,011

22

Total net cash outflows

27,424,567

23

Liquidity Coverage Ratio (%)

162%