Basel III - Pillar 3 Disclosures 30 June -2024 Table of Disclosures
Chapter | BCBS Reference | Disclosures | Page No. |
DIS20: Overview of risk management, key prudential metrics and RWA | KM1 | Key metrics (at consolidated group level) | 3 |
OV1 | Overview of risk-weighted assets (RWA) | 4 | |
DIS25: Composition of capital and TLAC | CCA | Main features of regulatory capital instruments and of other total loss-absorbing capacity (TLAC) - eligible instruments | 6 |
CC1 | Composition of regulatory capital | 7 | |
CC2 | Reconciliation of regulatory capital to balance sheet | 10 | |
DIS31: Asset encumbrance | ENC | Asset encumbrance | 12 |
CR1 | Credit quality of assets | 13 | |
CR2 | Changes in stock of defaulted loans and debt securities | 14 | |
CR3 | Credit risk mitigation techniques - overview | 14 | |
CR4 | Standardized approach - Credit risk exposure and credit risk mitigation effects | 15 | |
CR5 | Standardized approach - Exposures by asset classes and risk weights | 16 | |
DIS42: Counterparty credit risk | CCR1 | Analysis of CCR Exposures by Approach | 17 |
CCR3 | CCR exposures by regulatory portfolio and risk weights | 18 | |
DIS51: Credit valuation adjustment risk | CVAA | General qualitative disclosure requirements related to CVA | 18 |
DIS50: Market risk | MR3 | Market risk under simplified standardized approach | 19 |
DIS80: Leverage ratio | LR1 | Summary comparison of accounting assets vs leverage ratio exposure measure | 20 |
LR2 | Leverage ratio common disclosure template | 21 | |
DIS85: Liquidity | LIQ1 | Liquidity coverage ratio (LCR) | 22 |
LIQ2 | Net stable funding ratio (NSFR) | 23 |
The Qatar Central Bank (QCB) supervises Dukhan Bank (the Bank) and its subsidiaries (together referred to as the "Group") on a consolidated basis, and therefore receives information on the capital adequacy of, and sets capital requirements for, the Group as a whole. The capital requirements are computed at a Group level using the Basel III framework as laid out in QCB circular 33/2022. The Basel framework is structured around three 'pillars', with the Pillar 1 minimum capital requirements and Pillar 2 supervisory review process complemented by Pillar 3 market discipline. These disclosures are in line with the requirements of Pillar 3 under Basel Framework and is required by QCB bide circular 6/2022 dates 08/01/2022.
Pillar 3 Disclosure June 2024Pillar 3 disclosures complement the minimum capital requirements and the supervisory review process. Its aim is to encourage market discipline by developing disclosure requirements which allow market participants to assess specified information on the scope of application of Basel III, capital, particular risk exposures and risk assessment processes, and hence the capital adequacy of the Group. Disclosures consist of both qualitative and quantitative information and are provided at the consolidated level. The disclosures presented as part of this document is in line with disclosure template provided by Basel Committee of Banking Supervision in DIS 10 dates 11/11/2021 and QCB circular 6/2022 dated 08/01/2022. The figures mentioned in the disclosures are in QAR Mn.
The QCB issued Basel III capital regulations in 2014 introducing minimum capital requirements at three levels, namely Common Equity Tier 1 (CET1), Additional Tier 1 (AT1) and Total Capital. Additional capital buffers (Capital Conservation Buffer - 2.5%) introduced are over and above the minimum CET1 requirement of 6%. In November 2022 QCB published revised capital guidelines mainly focused on updates on Pillar 1 capital requirements introduced Basel III - Reforms with January 2024 as timeline for adaption.
DIS20: Overview of risk management, key prudential metrics and RWA KM1: Key Metrics (at consolidated group level)Jun-24 | Dec-23 | ||
Available capital (amounts) | |||
1 | Common Equity Tier 1 (CET1) | 11,659 | 11,213 |
1a | Fully loaded ECL accounting model | - | - |
2 | Tier 1 | 13,479 | 13,034 |
2a | Fully loaded ECL accounting model Tier 1 | - | - |
3 | Total capital | 14,191 | 13,800 |
3a | Fully loaded ECL accounting model total capital | - | - |
Risk-weighted assets (amounts) | |||
4 | Total risk-weighted assets (RWA) | 79,806 | 80,138 |
Risk-based capital ratios as a percentage of RWA | |||
5 | Common Equity Tier 1 ratio (%) | 14.61% | 13.99% |
5a | Fully loaded ECL accounting model CET1 (%) | ||
6 | Tier 1 ratio (%) | 16.89% | 16.26% |
6a | Fully loaded ECL accounting model Tier 1 ratio (%) | ||
7 | Total capital ratio (%) | 17.78% | 17.22% |
7a | Fully loaded ECL accounting model total capital ratio (%) | ||
Additional CET1 buffer requirements as a percentage of RWA | |||
8 | Capital conservation buffer requirement (2.5% from 2019) (%) | 2.50% | 2.50% |
9 | Countercyclical buffer requirement (%) | 0.00% | 0.00% |
10 | Bank D-SIB additional requirements (%) | 0.50% | 0.50% |
11 | Total of bank CET1 specific buffer requirements (%) (row 8 + row 9+ row 10) | 3.00% | 3.00% |
12 | CET1 available after meeting the bank's minimum capital requirements (%) | 5.61% | 4.99% |
Leverage Ratio | |||
13 | Total leverage ratio measure | 127,314 | 127,054 |
14 | Leverage ratio (%) (row 2/row 13) | 10.59% | 10.26% |
14a | Fully loaded ECL accounting model leverage ratio (%) | 10.59% | 10.26% |
Liquidity Coverage Ratio | |||
15 | Total HQLA | 16,847 | 19,641 |
16 | Total net cash outflow | 12,817 | 19,708 |
17 | LCR ratio (%) | 131.4% | 99.70% |
Net Stable Funding Ratio | |||
18 | Total available stable funding | 74,533 | 68,952 |
19 | Total required stable funding | 71,481 | 68,415 |
20 | NSFR ratio (%) | 104.3% | 99.22% |
a | b | c | |||
RWA | Minimum capital requirements | ||||
June-24 | Dec-23 | June-24 | Dec-23 | ||
1 | Credit risk (excluding counterparty credit risk) | 70,094.68 | 72,974.43 | 9,112.31 | 9,486.68 |
2 | Of which: standardized approach (SA) | 70,094.68 | 72,974.43 | 9,112.31 | 9,486.68 |
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) | 71.03 | 36.75 | 9.23 | 4.78 |
7 | Of which: standardized approach for counterparty credit risk | 71.03 | 36.75 | 9.23 | 4.78 |
8 | Of which: IMM | - | - | ||
9 | Of which: other CCR | - | - | ||
10 | Credit valuation adjustment (CVA) | 71.03 | 19.46 | 9.23 | 2.53 |
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 | 212.8 | - | 27.67 | 0.00 |
14 | Equity investments in funds - fallback approach | 22.6 | - | 2.94 | 0.00 |
15 | Settlement risk | - | - | ||
16 | Securitization exposures in banking book | - | - | ||
17 | Of which: securitization IRB approach | ||||
(SEC-IRBA) | |||||
18 | Of which: securitization external ratings-based approach (SEC-ERBA), including internal assessment approach (IAA) | ||||
19 | Of which: securitization standardized approach (SEC-SA) | ||||
20 | Market risk | 5,668.43 | 2,080.17 | 736.90 | 270.42 |
21 | Of which: standardized approach (SA) | 5,668.43 | 2,080.17 | 736.90 | 270.42 |
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