Banque Saudi Fransi : Liquidity Coverage Ratio Disclosure – Q4 2022

BANQUE SAUDI FRANSI

Liquidity Coverage Ratio Disclosure

December 31, 2022

Public

As of December 31, 2022

Banque Saudi Fransi

Liquidity Coverage Ratio Disclosure -SAR' 000

HIGH-QUALITY LIQUID ASSETS

1 Total high-quality liquid assets (HQLA)

CASH OUTFLOWS

1. Retail deposits and deposits from small business customers, of which:
2. Stable deposits
3. Less stable deposits
4. Unsecured wholesale funding, of which:
5. Operational deposits (all counterparties)
6. Non-operationaldeposits (all counterparties)
7. Unsecured debt
8. Secured wholesale funding

1. Additional requirements, of which:
2. Outflows related to derivative exposures and other collateral requirements
3. Outflows related to loss of funding on debt products
4. Credit and liquidity facilities
5. Other contractual funding obligations
6. Other contingent funding obligations
7. TOTAL CASH OUTFLOWS

CASH INFLOWS

1. Secured lending (e.g. reverse repos)
2. Inflows from fully performing exposures
3. Other cash inflows (Derivative)
4. TOTAL CASH INFLOWS

SAR (000)	Frequency : Q
December 31, 2022	Location : W
(a) TOTAL UNWEIGHTED	( b ) TOTAL WEIGHTED VALUE
VALUE (average)	(average)
38,423,299	37,736,643
61,030,726	6,103,073
61,030,726	6,103,073
70,388,378	29,395,704
70,388,378	29,395,704
5,183,368	1,344,301
448,276	448,276
4,735,093	896,025
125,550,635	3,261,209
	40,104,287
37,163,925	20,434,532
456,513	456,513
37,620,438	20,891,045
	( c ) TOTAL ADJUSTED VALUE

21	TOTAL HQLA	37,736,643
22	TOTAL NET CASH OUTFLOWS	19,213,242
23	LIQUIDITY COVERAGE RATIO (%)	196%
The above figures are based on simple daily average of the fourth 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 December 2022

The daily average LCR for the fourth quarter of 2022 stood at 196% compared to 185% in Q3 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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