AB Siauliu Bankas : Additional information regarding the nature of capital and risk of Šiaulių Bankas AB for 1 quarter 2024

REPORT ON RISK AND CAPITAL MANAGEMENT

PILLAR3 OF THE BASEL

FOR THE FIRST QUARTER OF THE YEAR 2024

DISCLOSURE OF INFORMATION UNDER PART EIGHT OF REGULATION (EU) No 575/2013

CONTENTS
DISCLOSURE OF KEY METRICS	2
Template EU OV1 - Overview of total risk exposure amounts	2
Template EU KM1 - Key metrics template	3
Template TFAS 9-FL: Comparison of institutions' own funds and capital and leverage ratios with and
without the application of transitional arrangements for IFRS 9 or analogous ECLs	4
DISCLOSURE OF LIQUIDITY REQUIREMENTS	5
Template EU LIQ1 - Quantitative information of LCR	5
Table EU LIQB on qualitative information on LCR, which complements template EU LIQ1	6

DISCLOSURE OF KEY METRICS

Template EU OV1 - Overview of total risk exposure amounts

					Total risk exposure amounts		Total own
						funds
							(TREA)
								requirements
				31-03-2024	31-12-2023	31-03-2024
1		Credit risk (excluding CCR)	2,095,012	2,080,536	167,601
2		Of which the standardised approach	2,095,012	2,080,536	167,601
3		Of which the Foundation IRB (F-IRB) approach
4		Of which slotting approach
	EU 4a		Of which equities under the simple risk weighted approach
5		Of which the Advanced IRB (A-IRB) approach
6		Counterparty credit risk - CCR	20,571	17,667	1,646
7		Of which the standardised approach	4,602	4,993	368
8		Of which internal model method (IMM)
	EU 8a		Of which exposures to a CCP
	EU 8b		Of which credit valuation adjustment - CVA	113	50	9
9		Of which other CCR	15,856	12,624	1,268
10		Not applicable
11		Not applicable
12		Not applicable
13		Not applicable
14		Not applicable
15		Settlement risk
16		Securitisation exposures in the non-trading book (after the cap)	90,294	44,055	7,224
17		Of which SEC-IRBA approach
18		Of which SEC-ERBA (including IAA)
19		Of which SEC-SA approach	90,294	44,055	7,224
	EU 19a		Of which 1250% / deduction
20		Position, foreign exchange and commodities risks (Market risk)	22,954	23,082	1,836
21		Of which the standardised approach	22,954	23,082	1,836
22		Of which IMA
	EU 22a		Large exposures
23		Operational risk	273,992	273,992	21,919
	EU 23a		Of which basic indicator approach	273,992	273,992	21,919
	EU 23b		Of which standardised approach
	EU 23c		Of which advanced measurement approach
24		Amounts below the thresholds for deduction (subject
	to 250% risk weight)
25		Not applicable
26		Not applicable
27		Not applicable
28		Not applicable
	29		Total		2,502,823		2,439,333		200,226

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Template EU KM1 - Key metrics template

			a	b		c	d		e
			31-03-2024	31-12-2023	30-09-2023	30-06-2023	31-03-2023
	Available own funds (amounts)
1	Common Equity Tier 1 (CET1) capital	465,393	485,311		455,880	415,624		418,407
2	Tier 1 capital	465,393	485,311		455,880	415,624		418,407
3	Total capital	528,276	546,599		516,727	476,649		438,407
	Risk-weighted exposure amounts
4	Total risk exposure amount	2,502,823	2,439,333		2,421,787	2,430,251		2,418,651
	Capital ratios (as a percentage of risk-weighted exposure amount)
5	Common Equity Tier 1 ratio (%)	18.59%	19.90%		18.82%	17.10%		17.30%
6	Tier 1 ratio (%)	18.59%	19.90%		18.82%	17.10%		17.30%
7	Total capital ratio (%)	21.11%	22.41%		21.34%	19.61%		18.13%
	Additional own funds requirements to address risks other than the risk of excessive leverage (as a percentage of risk-weighted exposure
	amount)
	Additional own funds requirements to address risks other than the risk of
EU 7a	excessive leverage (%)	2.05%	2.05%		2.05%	2.05%		2.05%
EU 7b		of which: to be made up of CET1 capital (percentage points)	0.012	0.012		0.012	0.012		0.012
EU 7c		of which: to be made up of Tier 1 capital (percentage points)	0.015	0.015		0.015	0.015		0.015
EU 7d	Total SREP own funds requirements (%)	10.05%	10.05%		15.51%	15.51%		15.49%
	Combined buffer and overall capital requirement (as a percentage of risk-weighted exposure amount)
8	Capital conservation buffer (%)	2.50%	2.50%		2.50%	2.50%		2.50%
	Conservation buffer due to macro-prudential or systemic risk identified at
EU 8a	the level of a Member State (%)	0.00%	0.00%		0.00%	0.00%		0.00%
9	Institution specific countercyclical capital buffer (%)	1.00%	0.99%		0.02%	0.02%		0.01%
EU 9a	Systemic risk buffer (%)	0.20%	0.20%		0.19%	0.19%		0.18%
10	Global Systemically Important Institution buffer (%)	0.00%	0.00%		0.00%	0.00%		0.00%
EU 10a	Other Systemically Important Institution buffer (%)	1.00%	1.00%		1.00%	1.00%		1.00%
11	Combined buffer requirement (%)	4.70%	4.69%		3.71%	3.71%		3.69%
EU 11a	Overall capital requirements (%)	14.75%	14.74%		13.76%	13.76%		13.74%
12	CET1 available after meeting the total SREP own funds requirements (%)	11.06%	12.36%		11.29%	9.56%		8.08%
	Leverage ratio
13	Total exposure measure	5,069,058	5,081,739		4,912,200	4,715,718		4,804,920
14	Leverage ratio (%)	9.18%	9.55%		9.28%	8.81%		8.71%
	Additional own funds requirements to address the risk of excessive leverage (as a percentage of total exposure measure)
	Additional own funds requirements to address the risk of excessive
EU 14a	leverage (%)	0.00%	0.00%		0.00%	0.00%		0.00%
EU 14b		of which: to be made up of CET1 capital (percentage points)	0.0000	0.0000		0.0000	0.0000		0.0000
EU 14c	Total SREP leverage ratio requirements (%)	3.00%	3.00%		3.00%	3.00%		3.00%
	Leverage ratio buffer and overall leverage ratio requirement (as a percentage of total exposure measure)
EU 14d	Leverage ratio buffer requirement (%)	0%	0%		0%	0%		0%
EU 14e	Overall leverage ratio requirement (%)	3%	3%		3%	3%		3%
	Liquidity Coverage Ratio
15	Total high-quality liquid assets (HQLA) (Weighted value -average)	707,818	570,809		451,117	440,233		534,242
EU 16a	Cash outflows - Total weighted value	494,885	486,284		474,839	483,283		508,600
EU 16b	Cash inflows - Total weighted value	171,247	228,271		266,306	258,327		201,564
16	Total net cash outflows (adjusted value)	323,638	258,013		208,532	224,956		307,036
17	Liquidity coverage ratio (%)	228.81%	236.08%		227.72%	206.10%		186.09%
	Net Stable Funding Ratio
18	Total available stable funding	3,478,108	3,933,910		3,812,960	3,656,657		3,512,041
19	Total required stable funding	2,503,222	2,613,299		2,621,431	2,726,304		2,650,745
20	NSFR ratio (%)	138.95%	150.53%		145.45%	134.13%		132.49%
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Template TFAS 9-FL: Comparison of institutions' own funds and capital and leverage ratios with and without the application of transitional arrangements for IFRS 9 or analogous ECLs

		31-03-2024	31-12-2023	30-09-2023	30-06-2023	31-03-2023
	Available capital (amounts)
1	Common Equity Tier 1 (CET1) capital	465,393	485,311	455,880	415,624	418,407
	Common Equity Tier 1 (CET1) capital as if IFRS 9 or analogous
2	ECLs transitional arrangements had not been applied	457,337	469,738	444,079	404,937	408,289
3	Tier 1 capital	465,393	485,311	455,880	415,624	418,407
	Tier 1 capital as if IFRS 9 or analogous ECLs transitional
4	arrangements had not been applied	457,337	469,738	444,079	404,937	408,289
5	Total capital	528,276	546,599	516,727	476,649	438,407
	Total capital as if IFRS 9 or analogous ECLs transitional
6	arrangements had not been applied	520,220	531,026	504,926	465,963	428,289
	Risk-weighted assets (amounts)
7	Total risk-weighted assets	2,502,823	2,439,333	2,421,787	2,430,251	2,418,651
	Total risk-weighted assets as if IFRS 9 or analogous ECLs
8	transitional arrangements had not been applied	2,494,767	2,423,760	2,409,986	2,419,565	2,408,534
	Capital ratios
9	Common Equity Tier 1 (as a percentage of risk exposure amount)	18.59%	19.90%	18.82%	17.10%	17.30%
	Common Equity Tier 1 (as a percentage of risk exposure amount)
	as if IFRS 9 or analogous ECLs transitional arrangements had not
10	been applied	18.33%	19.38%	18.43%	16.74%	16.95%
11	Tier 1 (as a percentage of risk exposure amount)	18.59%	19.90%	18.82%	17.10%	17.30%
	Tier 1 (as a percentage of risk exposure amount) as if IFRS 9 or
12	analogous ECLs transitional arrangements had not been applied	18.33%	19.38%	18.43%	16.74%	16.95%
13	Total capital (as a percentage of risk exposure amount)	21.11%	22.41%	21.34%	19.61%	18.13%
	Total capital (as a percentage of risk exposure amount) as if IFRS
	9 or analogous ECLs transitional arrangements had not been
14	applied	20.85%	21.91%	20.95%	19.26%	17.78%
	Leverage ratio
15	Leverage ratio total exposure measure	5,069,058	5,081,739	4,912,200	4,715,718	4,804,920
16	Leverage ratio	9.18%	9.55%	9.28%	8.81%	8.71%
	Leverage ratio as if IFRS 9 or analogous ECLs transitional
17	arrangements had not been applied	9.04%	9.27%	9.06%	8.61%	8.52%

As of 1 January 2018, Šiaulių Bankas AB transitioned to the application of IFRS 9 and exercised the option provided for in Article 473a (1) of CRR to apply transitional measures to institutions to mitigate the impact of the introduction of IFRS 9 on own funds and chose to apply Article 473a (4) of CRR , it is a dynamic component. The bank did not change its initial decision made in 2018. The bank shall assign a 100% risk weight to the amount of ABSA referred to in point (a) of the second subparagraph of Article 473a (1) of Regulation 2020/873.

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DISCLOSURE OF LIQUIDITY REQUIREMENTS

Template EU LIQ1 - Quantitative information of LCR

Scope of consolidation (consolidated)

			Total unweightedvalue (average)
EU 1a	Quarter ending on (31 March 2024)	31-03-2024	31-12-2023	30-09-2023	30-06-2023
EU 1b	Number of data points used in the calculation of averages	12	12	12	12

HIGH-QUALITY LIQUID ASSETS

1

Total high-quality liquid assets (HQLA)

CASH - OUTFLOWS

		Retail deposits and deposits from small business customers,
2		of which:	2,446,024	2,379,930			2,297,351		2,228,339
3		Stable deposits	1,069,257	1,074,436			1,091,394		1,112,614
4		Less stable deposits	720,662	731,241			732,301		743,206
5		Unsecured wholesale funding	534,219	529,494			533,040		535,762
6		Operational deposits (all counterparties) and deposits	-	-			-		-
	in networks of cooperative banks
7		Non-operational deposits (all counterparties)	534,219	529,494			533,040		535,762
8		Unsecured debt	-	-			-		-
9		Secured wholesale funding
10		Additional requirements	366,428	377,358			389,065		393,159

11Outflows related to derivative exposures and other

				collateral requirements	2,805	2,607		2,752	2,438
12			Outflows related to loss of funding on debt products	-	-		-	-
13			Credit and liquidity facilities	363,623	374,750		386,313	390,721
	14			Other contractual funding obligations			24,776	25,550			22,843		30,666
	15			Other contingent funding obligations			174,439	166,917			154,216		131,217
	16			TOTAL CASH OUTFLOWS
	CASH - INFLOWS
	17			Secured lending (e.g. reverse repos)			1,943	17,373			18,505		18,626
	18			Inflows from fully performing exposures			96,571	95,753			129,940		158,107
	19			Other cash inflows			108,316	164,180			165,136		127,467
				(Difference between total weighted inflows and total
	ES-19a			weighted outflows arising from transactions in third
			countries where there are transfer restrictions or which are
				denominated in non-convertible currencies)
	ES-19b			(Excess inflows from a related specialised credit institution)
	20			TOTAL CASH INFLOWS			206,830	277,306			313,581		304,200
	ES-20a	Fully exempt inflows		-	-			-		-
	ES-20b	Inflows subject to 90% cap		-	-			-		-
	ES-20c	Inflows subject to 75% cap		206,830	277,306			313,581		304,200
	TOTAL ADJUSTED VALUE
	21			LIQUIDITY BUFFER
	22			TOTAL NET CASH OUTFLOWS
	23			LIQUIDITY COVERAGE RATIO (%)

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(continued)	Total weightedvalue (average)

EU 1a	Quarter ending on (31 March 2024)	31-03-2024	31-12-2023		30-09-2023		30-06-2023
EU 1b	Number of data points used in the calculation of averages	12	12		12		12
HIGH-QUALITY LIQUID ASSETS
1		Total high-quality liquid assets (HQLA)	707,818	570,809		451,117		440,233
CASH - OUTFLOWS
		Retail deposits and deposits from small business customers,
2		of which:	195,913	187,776		178,584		179,896
3		Stable deposits	53,463	53,722		54,570	55,631
4		Less stable deposits	92,687	94,397		94,614	96,073
5		Unsecured wholesale funding	229,851	227,672		227,175		227,226
		Operational deposits (all counterparties) and deposits	-	-		-	-
6		in networks of cooperative banks
7		Non-operational deposits (all counterparties)	229,851	227,672		227,175	227,226
8		Unsecured debt	-	-		-	-
9		Secured wholesale funding	-	-		-		-
10		Additional requirements	35,622	36,939		38,527		38,935
		Outflows related to derivative exposures and other	2,805	2,607		2,752	2,438
11		collateral requirements
12		Outflows related to loss of funding on debt products	-	-		-	-
13		Credit and liquidity facilities	32,817	34,332		35,775	36,497
14		Other contractual funding obligations	24,776	25,550		22,843		30,666
15		Other contingent funding obligations	8,722	8,346		7,711		6,561
16		TOTAL CASH OUTFLOWS	494,885	486,284		474,839		483,283
CASH - INFLOWS
17		Secured lending (e.g. reverse repos)	1,913	3,167		4,298		4,419
18		Inflows from fully performing exposures	61, 018	60,924		96,872		126,441
19		Other cash inflows	108,316	164,180		165,136		127,467
		(Difference between total weighted inflows and total
		weighted outflows arising from transactions in third
		countries where there are transfer restrictions or which are
ES-19a		denominated in non-convertible currencies)	-	-		-		-
ES-19b		(Excess inflows from a related specialised credit institution)	-	-		-		-
20		TOTAL CASH INFLOWS	171,247	228,271		266,306		258,327
ES-20a		Fully exempt inflows	-	-		-	-
ES-20b		Inflows subject to 90% cap	-	-		-	-
ES-20c		Inflows subject to 75% cap	171,247	228,271		266,306	258,327
TOTAL ADJUSTED VALUE
21		LIQUIDITY BUFFER	707,818	570,809		451,117		440,233
22		TOTAL NET CASH OUTFLOWS	323,638	258,013		208,532		224,956
23		LIQUIDITY COVERAGE RATIO (%)	228.81%	236.08%		227.72%		206.10%

Table EU LIQB on qualitative information on LCR, which complements template EU LIQ1

The main factors influencing the Group's LCR are changes in the liquidity buffer, which is largely made up of highly liquid government securities and funds held with the central bank, and cash outflows, primarily related to unsecured wholesale funding.

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The Financial Group uses Retail deposits as the main source of financing. More detailed information on the concentration of funding sources in note 4 to Interim financial report Šiaulių bankas AB and the bank's Group for 1 quarter 2024.

Liquidity buffer is formed of high-quality assets that can easily be converted into cash without any restrictions and with minimal losses. Due to that fact the Financial Group possesses a significant debt securities portfolio, which is highly liquid.

The Group has insignificant derivative positions consisting of forward foreign exchange contracts and derivatives linked to the prices of financial instruments. Their share of total assets is 0.48%.

The Financial Group's 100% of assets are accounted for in euro and 98 % of liabilities. Therefore it not gives rise to an inherent risk of currency mismatch in the LCR.

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