BASEL III Pillar 3 Disclosures Consolidated as at 30 September 2023

Tables and templates

Overview of risk management, key prudential metrics

KM1 - Key metrics (at consolidated group level)

and RWA

OV1 - Overview of RWA

Leverage ratio

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

LR2 - Leverage ratio common disclosure template

Liquidity

LIQ1 - Liquidity Coverage Ratio (LCR)

Counterparty Credit Risk

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

a

b

c

d

e

Sep-23

Jun-23

Mar-23

Dec-22

Sep-22

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

45,815,367

47,033,351

47,479,334

45,236,926

44,117,150

1a

Fully loaded ECL accounting model

44,946,144

45,990,286

46,262,422

43,846,169

42,552,549

2

Tier 1

45,815,367

47,033,351

47,479,334

45,236,926

44,117,150

2a

Fully loaded ECL accounting model Tier 1

44,946,144

45,990,286

46,262,422

43,846,169

42,552,549

3

Total capital

51,769,107

52,877,981

53,240,890

51,032,068

49,770,293

3a

Fully loaded ECL accounting model total capital

50,899,884

51,834,797

52,023,978

49,641,312

48,205,693

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

280,685,087

284,628,078

276,097,045

256,252,391

245,627,470

4a

Total risk-weighted assets (pre-floor)

280,685,087

284,628,078

276,097,045

256,252,391

245,627,470

5

Common Equity Tier 1 ratio (%)

16.32%

16.52%

17.20%

17.65%

17.96%

5a

Fully loaded ECL accounting model Common Equity Tier 1 (%)

16.01%

16.16%

16.76%

17.11%

17.32%

5b

CET1 ratio (%) (pre-floor ratio)

16.32%

16.52%

17.20%

17.65%

17.96%

6

Tier 1 ratio (%)

16.32%

16.52%

17.20%

17.65%

17.96%

6a

Fully loaded ECL accounting model Tier 1 ratio (%)

16.01%

16.16%

16.76%

17.11%

17.32%

6b

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

16.32%

16.52%

17.20%

17.65%

17.96%

7

Total capital ratio (%)

18.44%

18.58%

19.28%

19.91%

20.26%

7a

Fully loaded ECL accounting model total capital ratio (%)

18.13%

18.21%

18.84%

19.37%

19.63%

7b

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

18.44%

18.58%

19.28%

19.91%

20.26%

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 (%)

0.01%

0.04%

0.01%

0.01%

0.03%

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 (%)

3.01%

3.04%

3.01%

3.01%

3.03%

(row 8 + row 9 + row 10)

12

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

13.31%

13.49%

14.19%

14.64%

14.93%

a

b

c

d

e

Sep-23

Jun-23

Mar-23

Dec-22

Sep-22

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

418,607,436

410,117,874

402,342,673

439,898,722

417,332,704

14

Basel III leverage ratio (%) (row 2 / row 13)

10.94%

11.47%

11.80%

10.28%

10.57%

14a

Fully loaded ECL accounting model Basel III leverage ratio (%)

10.74%

11.21%

11.50%

9.97%

10.20%

(row 2a / row13)

14b

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

10.82%

11.21%

11.50%

9.97%

10.20%

exemption of central bank reserves)

14c

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

10.82%

11.21%

11.50%

9.97%

10.20%

exemption of central bank reserves) incorporating mean values for SFT assets

14d

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

10.82%

11.21%

11.50%

9.97%

10.20%

exemption of central bank reserves) incorporating mean values for SFT assets

Liquidity Coverage Ratio

15

Total HQLA

96,166,082

96,006,267

94,357,438

87,322,535

84,144,949

16

Total net cash outflow

51,213,040

53,580,021

45,575,840

50,793,513

46,968,532

17

LCR ratio (%)

187.78%

179.18%

207.03%

171.92%

179.15%

Net Stable Funding Ratio

18

Total available stable funding

211,917,342

211,852,483

211,485,333

203,404,980

200,745,200

19

Total required stable funding

175,636,744

167,580,458

161,679,701

158,908,356

158,411,135

20

NSFR ratio

120.66%

126.42%

130.81%

128.00%

126.72%

a

b

c

RWA

Minimum capital

requirements

Sep-23

Jun-23

Sep-23

1 Credit risk (excluding counterparty credit risk)

264,965,726

256,899,650

21,197,258

2

Of which: standardised approach (SA)

264,965,726

256,899,650

21,197,258

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)

1,434,426

1,340,193

114,754

7

Of which: standardised approach for counterparty credit risk

1,434,426

1,340,193

114,754

8

Of which: Internal Model Method (IMM)

-

-

-

9

Of which: other CCR

-

-

-

10 Credit valuation adjustment (CVA)

1,201,449

5,937,487

96,116

11 Equity positions under the simple risk weight approach and the internal model method during the five-

-

-

-

12 Equity investments in funds - look-through approach

-

-

-

13 Equity investments in funds - mandate-based approach

-

-

-

14 Equity investments in funds - fall-back approach

102,850

102,850

8,228

15

Settlement risk

-

-

-

16 Securitisation exposures in banking book

-

-

-

17

Of which: securitisation internal ratings-based 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)

-

-

-

a

b

c

RWA

Minimum capital

requirements

Sep-23

Jun-23

Sep-23

20

Market risk

1,314,984

8,830,253

105,199

21

Of which: standardised approach (SA)

1,314,984

8,830,253

105,199

22

Of which: internal model approaches (IMA)

-

-

-

23

Capital charge for switch between trading book and banking book

-

-

-

24

Operational risk

10,458,162

10,458,162

836,653

25

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

1,207,491

1,059,482

96,599

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 + 25 + 28)

280,685,087

284,628,078

22,454,807

A

1

Total consolidated assets as per published financial statements

324,739,652

2

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

-

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

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

14,214,844

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 of off-balance sheet exposures)

79,652,940

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

418,607,436

a

b

Sep-23

Jun-23

On-balance sheet exposures

1

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

324,739,652

320,360,052

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 and regulatory adjustments)

-

-

7

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

324,739,652

320,360,052

Derivative exposures

8

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

bilateral netting and/or the specific treatment for client cleared derivatives)

9,015,650

3,718,742

9

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

5,199,194

9,127,243

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)

14,214,844

12,845,985

Securities financing transaction exposures

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

Credit Conversion Factor (CCR) exposure for Security Financing Transaction (SFT ) assets

-

-

17

Agent transaction exposures

-

-

18

Total securities financing transaction exposures (sum of lines 12 to 15)

-

-

Other off-balance sheet exposures

19

Off-balance sheet exposure at gross notional amount

232,200,548

227,249,421

20

(Adjustments for conversion to credit equivalent amounts)

(152,547,607)

(150,337,584)

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)

79,652,940

76,911,837

Capital and total exposures

23

Tier 1 capital

45,815,367

47,033,353

24

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

418,607,436

410,117,874

a

b

Sep-23

Jun-23

Leverage ratio

25

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

10.94%

11.47%

25a

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

10.94%

11.47%

26

National minimum leverage ratio requirement

3.00%

3.00%

27

Applicable leverage buffers

7.94%

8.47%

Disclosure 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 bank reserves) incorporating mean

30

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

30a

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

31

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

31a

mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of

associated cash payables and cash receivables)

-

-

a

b

Total Unweighted Value

Total Weighted Value

(average)

(average)

High-quality liquid assets

1

Total High-Quality Liquid Assets (HQLA)

96,166,082

Cash outflows

2

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

61,713,214

5,232,564

3

Stable deposits

-

-

4

Less stable deposits

61,713,214

5,232,564

5

Unsecured wholesale funding, of which:

139,996,604

64,991,275

6

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

-

-

7

Non-operational deposits (all counterparties)

139,996,604

64,991,275

8

Unsecured debt

-

-

9

Secured wholesale funding

-

-

10

Additional requirements, of which:

9,767,234

1,047,771

11

Outflows related to derivative exposures and other collateral requirements

78,942

78,942

12

Outflows related to loss of funding on debt products

-

-

13

Credit and liquidity facilities

9,688,292

968,829

14

Other contractual funding obligations

-

-

15

Other contingent funding obligations

208,256,468

5,729,340

16

TOTAL CASH OUTFLOWS

-

77,000,951