BANQUE SAUDI FRANSI
Liquidity Coverage Ratio Disclosure
September 30, 2022
Public
As of September 30, 2022
Banque Saudi Fransi
Liquidity Coverage Ratio Disclosure -SAR' 000
HIGH-QUALITYLIQUID ASSETS
- Total high-quality liquid assets (HQLA)
CASH OUTFLOWS
- Retail deposits and deposits from small business customers, of which:
- Stable deposits
- Less stable deposits
- Unsecured wholesale funding, of which:
- Operational deposits (all counterparties)
- Non-operationaldeposits (all counterparties)
- Unsecured debt
- Secured wholesale funding
- Additional requirements, of which:
- Outflows related to derivative exposures and other collateral requirements
- Outflows related to loss of funding on debt products
- Credit and liquidity facilities
- Other contractual funding obligations
- Other contingent funding obligations
- TOTAL CASH OUTFLOWS
CASH INFLOWS
- Secured lending (e.g. reverse repos)
- Inflows from fully performing exposures
- Other cash inflows (Derivative)
- TOTAL CASH INFLOWS
SAR (000) | Frequency : Q |
September 30, 2022 | Location : W |
(a) TOTAL UNWEIGHTED | ( b ) TOTAL WEIGHTED VALUE |
VALUE (average) | (average) |
37,657,742 | 38,553,231 |
44,610,977 | 4,461,098 |
44,610,977 | 4,461,098 |
90,986,913 | 32,737,978 |
90,986,913 | 32,737,978 |
9,272,160 | 1,770,757 |
467,806 | 467,806 |
8,804,354 | 1,302,951 |
118,414,001 | 3,053,198 |
42,023,031 | |
37,247,765 | 20,735,571 |
479,349 | 479,349 |
37,727,113 | 21,214,920 |
( c ) TOTAL ADJUSTED VALUE |
21 | TOTAL HQLA | 38,553,231 |
22 | TOTAL NET CASH OUTFLOWS | 20,808,111 |
23 | LIQUIDITY COVERAGE RATIO (%) | 185% |
The above figures are based on simple daily average of the third quarter of 2022. | ||
LCR may not equal to an LCR computed on the basis of the average values of the set of line items disclosed in the template |
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Qualitative LCR Disclosure as at September 2022
The daily average LCR for the third quarter of 2022 stood at 185% compared to 201% in Q2 2022.
The change in the LCR from the previous quarter is mainly due to the movement in the High-quality Liquid Assets (HLQA) and net cash outflows.
Qualitative Disclosure of internal liquidity management and metrics
Governance
Senior management (through the Executive Committee and the Board Risk Committee) review and validate the bank's strategy, policies and practices for managing liquidity risk, which defines the bank's risk tolerance so as to ensure that the bank maintains sufficient liquidity. E.g. The setting of internal risk appetite and early warning indicators regarding the Loan/Deposit Ratio and the LCR.
Senior management (through the Asset & Liability Committee - ALCO) review information on the bank's liquidity developments on a monthly basis, while the CFO provides update reports to each meeting of the Board of Directors.
Senior management also receive daily reports regarding the bank's Loan/Deposit Ratio, which contains key details of daily movements on Loans and Deposits by customer and region, thereby providing close and constant monitoring of loan and deposit originations and withdrawals.
BSF seeks to hold unencumbered, high quality liquid assets as part of its compliance with minimum LCR requirements. As per ALM Policy, the bank has set an internal LCR early warning trigger so as to provide timely escalation and implementation of mitigating actions. The holding of such liquid assets is also assessed against the bank's range of liquidity stress scenarios. The bank has also set an internal requirement in relation to its contingent funding sources, whereby the sum of the bank's realizable assets over the next 30 days (after the application of haircuts) should be greater than a pre-defined portion of Customer Deposits.
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Measurement & Monitoring
Supervision of liquidity risk and management is delegated by the Board of Directors to ALCO, who in turn has delegated operational responsibility for short-term and long- term liquidity management to the Global Markets Group (GMG).
Assessment of liquidity risk is based on the use of both contractual maturities as well as the use of "behaviorally-adjusted" maturities for those assets and liabilities without a fixed maturity date. ALCO-approved maturity mismatch limits are in place to manage and control the level of maturity transformation undertaken across the bank. Such limits are applied for each material currency as well as on an overall aggregated basis and form the basis for the bank's medium- and long-term funding appetite.
Management of Medium / Long Term Liquidity
GMG is responsible for the management of BSF's Medium / Long-term liquidity risk as well as for the maintenance and documentation of the bank's Contingency Funding Plan (CFP). The bank regularly reviews and updates a 3-year plan, which provides a volume and P&L forecast breakdown by product for each business line, which is then aggregated to provide a top of bank view.
Funding and Liquidity of Group Entities
Saudi Fransi Capital (SFC) and Saudi Fransi Leasing (SFL) comprise the major operating subsidiaries, whose funding requirements are managed and controlled on a centralized basis.
Liquidity Stress Testing
The bank has developed a series of liquidity stress tests covering Idiosyncratic, Systemic and Global scenarios which are performed on a quarterly basis and reported to and reviewed by ALCO as well as being included within the semiannual bank-wide stress testing exercise, whose results are reported to and reviewed by the Executive Committee. The results of liquidity stress tests are also considered as part of the bank's Contingency Funding Plan, whose early warning triggers are linked to adverse movements in key sources of liquidity.
Intraday risk and settlement obligations
The bank, through daily management within GMG, actively manages its intraday liquidity positions and risks to meet payment and settlement obligations on a timely basis under both normal and stressed conditions. GMG manages the day to day liquidity based on daily cash flow projections.
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Disclaimer
Banque Saudi Fransi SJSC published this content on 31 October 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 07 November 2022 14:13:10 UTC.