Basel III Pillar 3 Disclosures June 2024

S No

Particulars

Page No

Contents

1.

Introduction

3

2.

Key metrics at consolidated group level (KM1)

3

2.1

Overview of RWA (OV1)

4

3.

Composition of Capital

5

3.1

Composition of Regulatory Capital (CC1)

5

3.2

Reconciliation of Regulatory Capital to Balance Sheet (CC2)

6

3.3

Main Features of Regulatory Capital Instruments (CCA)

7

4.

Macroprudential Supervisory Measures

8

5.

Leverage Ratio

8

5.1

Summary Comparison of Accounting Assets vs Leverage Ratio Exposure Measure (LR1)

8

5.2

Leverage Ratio Common Disclosure Template (LR2)

9

6.

Liquidity Risk

9

6.1 Eligible Liquid Assets Ratio

9

6.2

Advances to Stables Resource Ratio

10

7.

Credit Risk

10

7.1

Credit Quality of Assets (CR1)

10

7.2

Changes in stock of defaulted loans and debt securities (CR2)

11

7.3

Credit risk mitigation techniques - overview (CR3)

11

7.5

Standardised approach - exposures by asset classes and risk weights (CR5)

12

8. ounterparty Credit Risk (CCR)

12

8.1

Credit risk (CCR) exposure by approach (CCR1)

12

8.2

Standardised approach - Credit valuation adjustment (CVA) capital charge (CCR2)

12

8.3

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

13

8.4

Composition of collateral for CCR exposure (CCR5)

13

8.5

Credit derivative exposures (CCR6)

13

8.6

Exposures to central counterparties (CCR8)

13

9. Securitisation

14

10. Market Risk

14

10.1

Market risk under the standardised approach (MR1)

14

AED in 000s

Jun-24

Mar-24

Dec-23

Sep-23

Jun-23

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

1,888,302

1,896,111

1,920,622

1,848,346

1,823,897

1a

Fully loaded ECL accounting model

1,856,157

1,871,773

1,861,439

1,792,273

1,774,422

2

Tier 1

2,347,427

2,355,236

2,379,747

2,307,471

2,283,022

2a

Fully loaded ECL accounting model Tier 1

2,315,282

2,330,898

2,320,564

2,251,398

2,233,547

3

Total capital

2,538,257

2,555,312

2,576,503

2,503,847

2,477,711

3a

Fully loaded ECL accounting model total capital

2,506,112

2,530,974

2,517,320

2,447,774

2,428,236

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

16,568,003

17,269,480

17,010,967

17,025,965

16,897,825

Risk-based capital ratios as a percentage of RWA

5

Common Equity Tier 1 ratio (%)

11.40%

10.98%

11.29%

10.86%

10.79%

5a

Fully loaded ECL accounting model CET1 (%)

11.20%

10.84%

10.94%

10.53%

10.50%

6

Tier 1 ratio (%)

14.17%

13.64%

13.99%

13.55%

13.51%

6a

Fully loaded ECL accounting model Tier 1 ratio (%)

13.97%

13.50%

13.64%

13.22%

13.22%

7

Total capital ratio (%)

15.32%

14.80%

15.15%

14.71%

14.66%

7a

Fully loaded ECL accounting model total capital ratio (%)

15.13%

14.66%

14.80%

14.38%

14.37%

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 (%)

0.00%

0.00%

0.00%

0.00%

0.00%

10

Bank D-SIB additional requirements (%)

0.00%

0.00%

0.00%

0.00%

0.00%

11

Total of bank CET1 specific buffer requirements (%) (row 8 + row 9+ row 10)

2.50%

2.50%

2.50%

2.50%

2.50%

12

CET1 available after meeting the bank's minimum capital requirements (%)

4.40%

3.98%

4.29%

3.86%

3.79%

Leverage Ratio

13

Total leverage ratio measure

22,445,259

21,667,933

21,562,956

21,494,437

22,720,370

14

Leverage ratio (%) (row 2/row 13)

10.46%

10.87%

11.04%

10.74%

10.05%

14a

Fully loaded ECL accounting model leverage ratio (%) (row 2A/row 13)

10.32%

10.76%

10.76%

10.47%

9.83%

14b

Leverage ratio (%) (excluding the impact of any

10.46%

10.87%

11.04%

10.74%

10.05%

applicable temporary exemption of central bank reserves)

Liquidity Coverage Ratio

15

Total HQLA

16

Total net cash outflow

17

LCR ratio (%)

Net Stable Funding Ratio

18

Total available stable funding

19

Total required stable funding

20

NSFR ratio (%)

ELAR

21

Total HQLA

2,746,417

2,725,303

2,337,825

2,653,204

2,659,124

22

Total liabilities

17,016,608

16,094,542

16,052,929

15,846,954

16,655,886

23

Eligible Liquid Assets Ratio (ELAR) (%)

16.14%

16.93%

14.56%

16.74%

15.97%

ASRR

24

Total available stable funding

14,555,331

14,453,300

14,695,718

14,241,683

13,344,312

25

Total Advances

13,756,379

13,056,941

13,677,694

12,661,953

13,192,743

26

Advances to Stable Resources Ratio (%)

94.51%

90.34%

93.07%

88.91%

98.86%

AED in 000's

Jun-24

Mar-24

Jun-24

RWA

Minimum capital requirements

1

Credit risk (excluding counterparty credit risk)

15,228,247

15,971,329

1,598,966

2

Of which: standardised approach (SA)

15,228,247

15,971,329

1,598,966

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)

19,074

17,375

2,003

7

Of which: standardised approach for counterparty credit risk

19,074

17,375

2,003

8

Of which: Internal Model Method (IMM)

9

Of which: other CCR

10

Credit valuation adjustment (CVA)

19,074

17,375

2,003

11

Equity positions under the simple risk weight approach

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 the banking book

17

Of which: securitisation internal ratings-based approach (SEC-IRBA)

18

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

19

Of which: securitisation standardised approach (SEC-SA)

20

Market risk

279,650

278,029

29,363

21

Of which: standardised approach (SA)

279,650

278,029

29,363

22

Of which: internal models approach (IMA)

23

Operational risk

1,021,957

985,371

107,306

24

Amounts below thresholds for deduction (subject to 250% risk weight)

25

Floor adjustment

26

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

16,568,003

17,269,480

1,739,640

AED in 000's

Jun-24

Amounts

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

1,737,383

2

Retained earnings

(83,751)

3

Accumulated other comprehensive income (and other reserves)

257,599

4

Directly issued capital subject to phase-out from CET1 (only applicable to non-joint stock companies)

-

5

Common share capital issued by third parties (amount allowed in group CET1)

-

6

Common Equity Tier 1 capital before regulatory deductions

1,911,231

Common Equity Tier 1 capital regulatory adjustments

7

Prudent valuation adjustments

-

8

Goodwill (net of related tax liability)

(22,929)

9

Other intangibles including mortgage servicing rights (net of related tax liability)

-

10

Deferred tax assets that rely on future profitability, excluding those arising from temporary differences (net of related tax liability)

-

11

Cash flow hedge reserve

-

12

Securitisation gain on sale

-

13

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

-

14

Defined benefit pension fund net assets

-

15

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

-

16

Reciprocal cross-holdings in CET1, AT1, Tier 2

-

Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank

17

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 entities that are outside the scope of regulatory

18

consolidation (amount above 10% threshold)

-

19

Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability)

-

20

Amount exceeding 15% threshold

-

21

Of which: significant investments in the common stock of financials

-

22

Of which: deferred tax assets arising from temporary differences

-

23

CBUAE specific regulatory adjustments

-

24

Total regulatory adjustments to Common Equity Tier 1

(22,929)

25

Common Equity Tier 1 capital (CET1)

1,888,302

Additional Tier 1 capital: instruments

26

Directly issued qualifying Additional Tier 1 instruments plus related stock surplus

-

27

OF which: classified as equity under applicable accounting standards

-

28

Of which: classified as liabilities under applicable accounting standards

-

29

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

-

Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third parties (amount allowed

30

in AT1)

-

31

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

-

32

Additional Tier 1 capital before regulatory adjustments

-

Additional Tier 1 capital: regulatory adjustments

33

Investments in own additional Tier 1 instruments

-

34

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

-

Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of regulatory

35

consolidation

-

36

CBUAE specific regulatory adjustments

-

37

Total regulatory adjustments to additional Tier 1 capital

-

38

Additional Tier 1 capital (AT1)

459,125

39

Tier 1 capital (T1= CET1 + AT1)

2,347,427

Tier 2 capital: instruments and provisions

40

Directly issued qualifying Tier 2 instruments plus related stock surplus

-

41

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

-

Tier 2 instruments (and CET1 and AT1 instruments not included in rows 5 or 30) issued by subsidiaries and held by third parties (amount

42

allowed in group Tier 2)

-

43

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

-

44

Provisions

190,830

45

Tier 2 capital before regulatory adjustments

190,830

Tier 2 capital: regulatory adjustments

46

Investments in own Tier 2 instruments

-

Investments in capital, financial and insurance entities that are outside the scope of regulatory consolidation, where the bank does not own

47

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

-

Significant investments in the capital, financial and insurance entities that are outside the scope of regulatory consolidation (net of eligible

48

short positions)

-

49

CBUAE specific regulatory adjustments

-

50

Total regulatory adjustments to Tier 2 capital

-

51

Tier 2 capital (T2)

190,830

52

Total regulatory capital (TC = T1 + T2)

2,538,257

53

Total risk-weighted assets

16,568,003

Capital ratios and buffers

54

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

11.40%

55

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

14.17%

56

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

15.32%

Institution specific buffer requirement (capital conservation buffer plus countercyclical buffer requirements plus higher loss

57

absorbency requirement, expressed as a percentage of risk-weighted assets)

2.50%

58

Of which: capital conservation buffer requirement

2.50%

59

Of which: bank-specific countercyclical buffer requirement

0.00%

60

Of which: higher loss absorbency requirement (e.g. DSIB)

0.00%

61

Common Equity Tier 1 (as a percentage of risk-weighted assets) available after meeting the bank's minimum capital requirement.

10.50%

The CBUAE Minimum Capital Requirement

62

Common Equity Tier 1 minimum ratio

7.00%

63

Tier 1 minimum ratio

8.50%

64

Total capital minimum ratio

10.50%

Amounts below the thresholds for deduction (before risk weighting)

65

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

66

Significant investments in common stock of financial entities

0

67

Mortgage servicing rights (net of related tax liability)

68

Deferred tax assets arising from temporary differences (net of related tax liability)

0

Applicable caps on the inclusion of provisions in Tier 2

69

Provisions eligible for inclusion in Tier 2 in respect of exposures subject to standardised approach (prior to application of cap)

228,996

70

Cap on inclusion of provisions in Tier 2 under standardised approach

190,830

71

Provisions eligible for inclusion in Tier 2 in respect of exposures subject to internal ratings-based approach (prior to application of cap)

72

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

Capital instruments subject to phase-out arrangements (only applicable between 1 Jan 2018 and 1 Jan 2022)

73

Current cap on CET1 instruments subject to phase-out arrangements

0

74

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

0

75

Current cap on AT1 instruments subject to phase-out arrangements

0

76

Amount excluded from AT1 due to cap (excess after redemptions and maturities)

0

77

Current cap on T2 instruments subject to phase-out arrangements

0

78

Amount excluded from T2 due to cap (excess after redemptions and maturities)

0

AED in 000's

Balance sheet as in published

Under regulatory scope of consolidation

financial statements

Assets

Cash and balances with the Central Banks

1,315,622

1,315,622

Derivative financial assets

3,755

3,755

Deposits and balances due from banks

842,638

842,638

Loans and advances to customers

10,840,794

10,840,794

Islamic financing and investing assets

1,669,558

1,669,558

Financial assets at (FVTOCI)

47,763

106,355

Financial assets at (FVTPL)

257,631

1,836

Financial assets measured at amortised cost

3,120,147

3,120,147

Property Inventory and Others

849,435

745,826

Receivables and other assets

875,850

929,790

Investment properties

23,867

23,867

Intangible assets

22,929

22,929

Property and equipment

92,356

92,356

Investment in associates

10,000

10,000

Total assets

19,972,345

19,725,473

Liabilities

Balance due to the Central Bank of the UAE

-

-

Derivative financial liability

(1,877)

(1,877)

Deposits and balances due to banks

(1,826,628)

(1,826,628)

Customers' deposits

(11,689,607)

(11,695,577)

Islamic customers' deposits

(2,535,039)

(2,535,039)

Payables and other liabilities

(977,432)

(976,967)

Total liabilities

(17,030,583)

(17,036,088)

Shareholders' equity

Share capital

(1,737,383)

(1,737,383)

Tier 1 Capital

(459,125)

(459,125)

Statutory reserve

(317,313)

(314,543)

General reserve

-

-

Properties revaluation reserve

-

-

Investments revaluation reserve

62,793

56,944

Specific provision reserve

(350,861)

(350,861)

General provision reserve

-

-

Accumulated loss /(Retained earnings)

(18,825)

115,896

Non-controlling interests

(121,048)

(313)

Total shareholders' equity

(2,941,762)

(2,689,385)

Quantitative / qualitative information

Common Equity

1

Issuer

CBI TIER 1 PRIVATE LIMITED

CBI

2

Unique identifier (eg CUSIP, ISIN or Bloomberg identifier for private

ISIN: XS1339766476

NA

placement)

3

Governing law(s) of the instrument

English Law

UAE Law

Regulatory treatment

Grandfathered at 100% eligibility for 10 years

4

Transitional arrangement rules (i.e. grandfathering)

commencing from 1-Jan-2018 until 31-Dec-

NA

2027

5

Post-transitional arrangement rules (i.e. grandfathering)

NA

NA

6

Eligible at solo/group/group and solo

Group

Group

7

Instrument type (types to be specified by each jurisdiction)

Ordinary shares

Ordinary shares

8

Amount recognised in regulatory capital (currency in millions, as of

AED 459.125 Mn

AED 1,737.383 Mn

most recent reporting date)

9

Nominal amount of instrument

AED 459.125 Mn

AED 1,737.383 Mn

9a

Issue price

AED 459.125 Mn

AED 1,737.383 Mn

9b

Redemption price

AED 459.125 Mn

AED 1,737.383 Mn

10

Accounting classification

AT-1

Common Equity/ Ordinary

shares

11

Original date of issuance

23-Dec-15

Multiple dates

12

Perpetual or dated

Perpetual

NA

13

Original maturity date

NA

NA

14

Issuer call subject to prior supervisory approval

Yes

NA

15

Optional call date, contingent call dates and redemption amount

on or after Dec-2021, redemption amount

NA

100%

16

Subsequent call dates, if applicable

First Call Date and every interest payment

NA

date thereafter

Coupons / dividends

Coupon

Dividend

17

Fixed or floating dividend/coupon

Floating

Floating

18

Coupon rate and any related index

0.05993

NA

19

Existence of a dividend stopper

Yes

Yes

20a

Fully discretionary, partially discretionary, or mandatory (in terms of

Full discretionary

Full discretionary

timing)

20b

Fully discrectionary, partially discrectionary or mandatory (in terms of

Full discretionary

Full discretionary

amount)

21

Existence of step-up or other incentive to redeem

NA

NA

22

Non-cumulative or cumulative

Non-Cumulative

Non-Cumulative

23

Convertible or non-convertible

Non-Cumulative

Non-Cumulative

24

Writedown feature

Yes

Yes

25

If Writedown, Writedown trigger(s)

At the point of non-viability

At the point of non-viability

26

If Writedown, full or partial

Full

Full

27

If Writedown, permanent or temporary

Permanent

Permanent

28

If temporary write-own, description of writeup mechanism

NA

NA

28a

Type of subordination

NA

NA

Position in subordination hierarchy in liquidation (specify instrument

29

type immediately senior to instrument in the insolvency creditor

NA

NA

hierarchy of the legal entity concerned).

30

Non-compliant transitioned features

NA

NA

31

If yes, specify non-compliant features

NA

NA

AED in 000's

Jun-24

1

Total consolidated assets as per published financial statements

19,972,345

2

Adjustments for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside

(246,872)

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)

-

5

Adjustment for fiduciary assets recognised on the balance sheet pursuant to the operative accounting framework but excluded from the

(22,929)

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

38,825

9

Adjustment for securities financing transactions (ie repos and similar secured lending)

-

10

Adjustments for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures)

2,703,890

11

Adjustments for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital

-

12

Other adjustments

-

13

Leverage ratio exposure measure

22,445,259

AED in 000's

Jun-24

Mar-24

On-balance sheet exposures

1

On-balance sheet exposures (excluding derivatives and securities financing transactions (SFTs), but including

19,725,473

18,748,987

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 Tier 1

-

-

capital)

6

(Asset amounts deducted in determining Tier 1 capital)

(22,929)

(25,118)

7

Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of rows 1 to 6)

19,702,544

18,723,869

Derivative exposures

8

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

8,542

8,189

margin and/or with bilateral netting)

9

Add-on amounts for PFE associated with all derivatives transactions

19,190

13,848

10

(Exempted 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)

38,825

30,851

Securities financing transactions

14

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

-

-

15

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

-

-

16

CCR 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

5,412,941

5,858,612

20

(Adjustments for conversion to credit equivalent amounts)

(2,709,051)

(2,945,399)

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)

2,703,890

2,913,213

Capital and total exposures

23

Tier 1 capital

2,347,427

2,355,236

24

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

22,445,259

21,667,933

Leverage ratio

25

Leverage ratio (including the impact of any applicable temporary exemption of central bank reserves)

10.458%

10.870%

26

CBUAE minimum leverage ratio requirement

3.000%

3.000%

27

Applicable leverage buffers

7.458%

7.870%

AED in 000's

Jun-24

1

High Quality Liquid Assets

Nominal amount

Eligible Liquid Asset

1.1

Physical cash in hand at the bank + balances with the CBUAE

1,315,622

1.2

UAE Federal Government Bonds and Sukuks

924,372

Sub Total (1.1 to 1.2)

2,239,994

2,239,994

1.3

UAE local governments publicly traded debt securities

506,423

1.4

UAE Public sector publicly traded debt securities

0

Sub total (1.3 to 1.4)

506,423

506,423

1.5

Foreign Sovereign debt instruments or instruments issued by their respective central banks

0

0

1.6

Total

2,746,417

2,746,417

2

Total liabilities

17,016,608

3

Eligible Liquid Assets Ratio (ELAR)

16.14%

AED in 000's

Jun-24

Items

Amount

1

Computation of Advances

1.1

Net Lending (gross loans - specific and collective provisions + interest in suspense)

12,392,181

1.2

Lending to non-banking financial institutions

361,364

1.3

Net Financial Guarantees & Stand-by LC (issued - received)

210,968

1.4

Interbank Placements

791,866

1.5

Total Advances

13,756,379

2

Calculation of Net Stable Ressources

2.1

Total capital + general provisions

2,977,414

Deduct:

2.1.1

Goodwill and other intangible assets

22,929

2.1.2

Fixed Assets

838,182

2.1.3

Funds allocated to branches abroad

-

2.1.5

Unquoted Investments

17,399

2.1.6

Investment in subsidiaries, associates and affiliates

103,642

2.1.7

Total deduction

982,152

2.2

Net Free Capital Funds

1,995,262

2.3

Other stable resources:

2.3.1

Funds from the head office

-

2.3.2

Interbank deposits with remaining life of more than 6 months

-

2.3.3

Refinancing of Housing Loans

-

2.3.4

Borrowing from non-Banking Financial Institutions

92,384

2.3.5

Customer Deposits

12,467,685

2.3.6

Capital market funding/ term borrowings maturing after 6 months from reporting date

-

2.3.7

Total other stable resources

12,560,069

2.4

Total Stable Resources (2.2+2.3.7)

14,555,331

3

Advances TO STABLE RESOURCES RATIO (1.6/ 2.4*100)

94.51

Of which ECL accounting

AED in 000's

Gross carrying values of

provisions for credit losses

on SA exposures

Allowances/Impa

Allocated in

Allocated in

Net values

irments

(a+b-c)

Defaulted

Non-defaulted

regulatory

regulatory

exposures

exposures

category of

category of

Specific

General

1

Loans

2,351,084

11,809,614

(785,541)

(542,127)

(243,414)

14,946,239

2

Debt securities

-

3,168,693

(14,799)

-

(14,799)

3,183,492

3

Off-balance sheet exposures

118,033

5,294,909

(24,283)

(221)

(24,062)

5,437,224

4

Total

2,469,116

20,273,215

(824,623)

(542,348)

(282,275)

23,566,954