Commercial Bank International P.S.C

Basel III - Pillar 3 Disclosures -30 September 2023

Commercial Bank International PSC

Basel III - Pillar 3 Disclosures - 30th September 2023

Introduction

This Basel III - Pillar 3 Report for Commercial Bank International ("CBI" or "the bank") has been prepared in accordance with the public/ market disclosure requirements and guidelines in respect of Pillar 3 of Basel III, as prescribed by the Central Bank of the UAE (CBUAE) and other clarifications received from time to time along with the Formal Disclosure Policy of the Bank.

Based on the revised Capital Standards and guidelines issued by CBUAE, Banks are required to report the Pillar 3 Market Disclosure on quarterly, semi-annually, and annual basis.

Key metrics at consolidated group level (KM1)

AED in 000's

Sep-23

Jun-23

Mar-23

Dec-22

Sep-22

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

1,848,346

1,823,897

1,770,800

1,751,637

1,521,995

1a

Fully loaded ECL accounting model

1,792,273

1,774,422

1,722,751

1,686,607

1,472,495

2

Tier 1

2,307,471

2,283,022

2,229,925

2,210,762

1,981,120

2a

Fully loaded ECL accounting model Tier 1

2,251,398

2,233,547

2,181,876

2,145,732

1,931,620

3

Total capital

2,503,847

2,477,711

2,423,760

2,400,825

2,163,063

3a

Fully loaded ECL accounting model total capital

2,447,774

2,428,236

2,375,712

2,335,795

2,113,563

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

17,025,965

16,897,825

16,828,758

16,665,027

16,013,493

Risk-based capital ratios as a percentage of RWA

5

Common Equity Tier 1 ratio (%)

10.86%

10.79%

10.52%

10.51%

9.50%

5a

Fully loaded ECL accounting model CET1 (%)

10.53%

10.50%

10.24%

10.12%

9.20%

6

Tier 1 ratio (%)

13.55%

13.51%

13.25%

13.27%

12.37%

6a

Fully loaded ECL accounting model Tier 1 ratio (%)

13.22%

13.22%

12.97%

12.88%

12.06%

7

Total capital ratio (%)

14.71%

14.66%

14.40%

14.41%

13.51%

7a

Fully loaded ECL accounting model total capital ratio (%)

14.38%

14.37%

14.12%

14.02%

13.20%

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 (%)

0.00%

0.00%

0.00%

0.00%

0.00%

10

Bank D-SIB additional requirements (%)

0.00%

0.00%

0.00%

0.00%

0.00%

11

Total of bank CET1 specific buffer requirements (%) (row 8 + row

2.50%

2.50%

2.50%

2.50%

2.50%

9+ row 10)

12

CET1 available after meeting the bank's minimum capital

3.86%

3.79%

3.52%

3.51%

2.50%

requirements (%)

Leverage Ratio

13

Total leverage ratio measure

21,494,437

22,720,370

23,312,396

24,903,109

24,849,168

14

Leverage ratio (%) (row 2/row 13)

10.74%

10.05%

9.57%

8.88%

7.97%

14a

Fully loaded ECL accounting model leverage ratio (%) (row 2A/row

10.47%

9.83%

9.36%

8.62%

7.77%

13)

14b

Leverage ratio (%) (excluding the impact of any

10.74%

10.05%

9.57%

8.88%

7.97%

applicable temporary exemption of central bank reserves)

Liquidity Coverage Ratio

15

Total HQLA

16

Total net cash outflow

17

LCR ratio (%)

Net Stable Funding Ratio

18

Total available stable funding

19

Total required stable funding

20

NSFR ratio (%)

ELAR

21

Total HQLA

2,653,204

2,659,124

2,591,505

3,758,184

2,788,500

3

The content is classified as Internal

Commercial Bank International PSC

Basel III - Pillar 3 Disclosures - 30th September 2023

22

Total liabilities

15,846,954

16,655,886

16,934,817

18,425,712

17,965,362

23

Eligible Liquid Assets Ratio (ELAR) (%)

16.74%

15.97%

15.30%

20.40%

15.52%

ASRR

24

Total available stable funding

14,241,683

13,344,312

14,914,614

14,893,934

13,832,162

25

Total Advances

12,661,953

13,192,743

12,975,891

13,734,366

13,457,341

26

Advances to Stable Resources Ratio (%)

88.91%

98.86%

87.00%

92.21%

97.29%

Overview of RWA (OV1)

Sep-23

June-23

Sep-23

AED In 000's

RWA

Minimum capital

requirements

1

Credit risk (excluding counterparty credit risk)

15,671,355

15,554,030

1,645,492

2

Of which: standardized approach (SA)

15,671,355

15,554,030

1,645,492

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)

19,360

10,558

2,033

7

Of which: standardized approach for counterparty credit risk

19,360

10,558

2,033

8

Of which: Internal Model Method (IMM)

9

Of which: other CCR

10

Credit valuation adjustment (CVA)

19,360

10,558

2,033

11

Equity positions under the simple risk weight approach

12

Equity investments in funds - look-through approach

13

Equity investments in funds - mandate-based approach

14

Equity investments in funds - fallback approach

15

Settlement risk

16

Securitization exposures in the banking book

17

Of which: securitization internal ratings-based approach (SEC-IRBA)

18

Of which: securitization external ratings-based approach (SEC-ERBA)

19

Of which: securitization standardized approach (SEC-SA)

20

Market risk

277,237

284,026

29,110

21

Of which: standardized approach (SA)

277,237

284,026

29,110

22

Of which: internal models approach (IMA)

23

Operational risk

1,038,653

1,038,653

109,059

24

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

25

Floor adjustment

26

Total (1+6+10+11+12+13+14+15+16+20+23)

17,025,965

16,897,825

1,787,726

Note: Minimum capital requirements are calculated at 10.50%

4

The content is classified as Internal

Commercial Bank International PSC

Basel III - Pillar 3 Disclosures - 30th September 2023

Leverage Ratio

4.1 Summary Comparison of Accounting Assets vs Leverage Ratio Exposure Measure (LR1)

AED in 000's

Sep-23

1

Total consolidated assets as per published financial statements

18,738,439

2

Adjustments for investments in banking, financial, insurance or commercial entities that are consolidated for accounting

(286,178)

purposes but outside the scope of regulatory consolidation

3

Adjustment for securitized 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 recognized on the balance sheet pursuant to the operative accounting framework but

(28,072)

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

42,007

9

Adjustment for securities financing transactions (ie repos and similar secured lending)

-

10

Adjustments for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures)

3,028,241

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

21,494,437

4.2 Leverage Ratio Common Disclosure Template (LR2)

AED In 000's

Sep-23

June-23

On-balance sheet exposures

1

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

18,452,261

19,218,700

including collateral)

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 recognized 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)

(28,072)

(24,527)

7

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

18,424,189

19,194,173

Derivative exposures

8

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

8,238

8,391

variation margin and/or with bilateral netting)

9

Add-on amounts for PFE associated with all derivatives transactions

21,767

6,731

10

(Exempted 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)

42,007

21,170

Securities financing transactions

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

CCR exposure for SFT assets

-

-

17

Agent transaction exposures

-

-

18

Total securities financing transaction exposures (sum of rows 14 to 17)

-

-

5

The content is classified as Internal

Commercial Bank International PSC

Basel III - Pillar 3 Disclosures - 30th September 2023

Other off-balance sheet exposures

19

Off-balance sheet exposure at gross notional amount

5,908,368

6,146,547

20

(Adjustments for conversion to credit equivalent amounts)

(2,880,127)

(2,641,520)

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)

3,028,241

3,505,027

Capital and total exposures

23

Tier 1 capital

2,307,471

2,283,022

24

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

21,494,437

22,720,370

Leverage ratio

25

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

10.735%

10.048%

reserves)

26

CBUAE minimum leverage ratio requirement

3.000%

3.000%

27

Applicable leverage buffers

7.735%

7.048%

Liquidity Risk

Liquidity Coverage Ratio (LIQ1) & Net Stable Funding Ratio (LIQ2)

Not Applicable - Not a regulatory requirement for Commercial Bank International as of Q3 2023.

5.1 Eligible Liquid Assets Ratio (ELAR)

AED In 000's

Sep-23

1

High Quality Liquid Assets

Nominal

Eligible Liquid

amount

Asset

1.1

Physical cash in hand at the bank + balances with the CBUAE

1,184,787

1.2

UAE Federal Government Bonds and Sukuks

960,901

Sub Total (1.1 to 1.2)

2,145,688

2,145,688

1.3

UAE local governments publicly traded debt securities

507,516

1.4

UAE Public sector publicly traded debt securities

0

Sub total (1.3 to 1.4)

507,516

507,516

1.5

Foreign Sovereign debt instruments or instruments issued by their respective central

0

0

banks

1.6

Total

2,653,204

2,653,204

2

Total liabilities

15,846,954

3

Eligible Liquid Assets Ratio (ELAR)

16.74%

5.2 Advances to Stables Resource Ratio (ASRR)

AED in 000's

Sep-23

Items

Amount

1

Computation of Advances

1.1

Net Lending (gross loans - specific and collective provisions + interest in suspense)

11,796,175

1.2

Lending to non-banking financial institutions

341,822

1.3

Net Financial Guarantees & Stand-by LC (issued - received)

207,786

1.4

Interbank Placements

316,170

1.5

Total Advances

12,661,953

6

The content is classified as Internal

Commercial Bank International PSC

Basel III - Pillar 3 Disclosures - 30th September 2023

2

Calculation of Net Stable Resources

2.1

Total capital + general provisions

2,829,845

Deduct:

2.1.1

Goodwill and other intangible assets

28,072

2.1.2

Fixed Assets

435,193

2.1.3

Funds allocated to branches abroad

-

2.1.5

Unquoted Investments

17,375

2.1.6

Investment in subsidiaries, associates, and affiliates

91,806

2.1.7

Total deduction

572,446

2.2

Net Free Capital Funds

2,257,399

2.3

Other stable resources:

2.3.1

Funds from the head office

-

2.3.2

Interbank deposits with remaining life of more than 6 months

1,242,163

2.3.3

Refinancing of Housing Loans

-

2.3.4

Borrowing from non-Banking Financial Institutions

302,918

2.3.5

Customer Deposits

10,439,203

2.3.6

Capital market funding/ term borrowings maturing after 6 months from reporting date

-

2.3.7

Total other stable resources

11,984,284

2.4

Total Stable Resources (2.2+2.3.7)

14,241,683

3

Advances To Stable Resources Ratio (1.6/ 2.4*100)

88.91

7

The content is classified as Internal

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Disclaimer

Commercial Bank International PSC published this content on 07 November 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 13 November 2023 11:25:07 UTC.