National Bank of Umm Al Qaiwain PSC : NBQ Q2 2023 Pillar 3 Published on 11-08-2023

Basel III - Pillar 3 Disclosures

30 June 2023

National Bank of Umm Al Qaiwain

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	Contents
1.	General Information:	4
2.	Executive Summary:	4
2.1. Purpose	4
2.2. Overview of Basel III Requirements	4
2.3. Capital Management	4
1.	Overview of risk management and RWA	5
1.1. Template KM1: Key metrics (at consolidated group level)	5
1.2. Table OVA: Bank Risk Management Approach	7
1.3. Template OV1: Overview of RWA	7
2.	Composition of Capital	8
2.1. Template CC1: Composition of regulatory capital	8
2.2. Template CC2: Reconciliation of regulatory capital to balance sheet	11
2.3. Template CCA: Main features of regulatory capital instruments	12
3.	Macro prudential Supervisory Measures	12
3.1. Template CCyB1: Countercyclical Buffer	12
4.	Leverage ratio	12
4.1. Template LR1: Summary comparison of accounting assets vs leverage ratio exposure	12
4.2. Template LR2: Leverage ratio common disclosure template	13
5.	Liquidity Risk Management	14
5.1. Template LIQ1: Liquidity Coverage Ratio (LCR)	14
5.2. Template LIQ2: Net Stable Funding Ratio (NSFR)	14
5.3. Template ELAR: Eligible Liquid Assets Ratio	14
5.4. Template ASRR: Advances to Stables Resource Ratio	15
6.	Credit risk	15
6.1. Template CRA: General qualitative information about Credit Risk	15
6.2. Template CR1: Credit quality of assets	16
6.3. Template CR2: Changes in stock of defaulted loans and debt securities	16
6.4. Template CRB: Additional disclosure related to the credit quality of assets	17

1. Template CR3: Qualitative disclosure requirements related to credit risk mitigation techniques. 17
2. Template CR4: Standardised approach - credit risk exposure and Credit Risk Mitigation (CRM) effects 18

6.4.3.

Template CR5: standardised approach- exposure by asset classes and risk weights

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7.	Counterparty Credit Risk	20
7.1.	Template CCR1: Analysis of counterparty credit risk (CCR) exposure by approach	20

7.2. Template CCR3: Standardised approach - CCR exposures by regulatory portfolio and risk weights 21

7.3.	Template CCR5: Composition of collateral for CCR exposure	22
7.4.	Template CCR6: Credit derivative exposures	22
7.5.	Template CCR8: Exposures to central counterparties	22
8.	Securitisation	22
8.1.	Template SEC1: Securitisation exposures in the banking book	22
8.2.	Template SEC2: Securitisation exposures in the trading book	22

8.3. Template SEC3: Securitisation exposures in the banking book and associated regulatory capital

requirements - bank acting as originator or as sponsor

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8.4. Template SEC4: Securitisation exposures in the banking book and associated capital

requirements - bank acting as investor	22
9.	Market risk	23
9.1.	Table MRA: General qualitative disclosure requirements related to market risk	23
9.2.	Table MR1: Market risk under the standardised approach (SA)	23

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1. General Information:

National Bank of Umm Al-Qaiwain (PSC) (the "Bank") is a Public Shareholding Company (ADX listed) incorporated in the Emirate of Umm Al-Qaiwain ("UAQ") in the United Arab Emirates ("U.A.E.") by Amiri Decree Number (1) on January 5, 1982, issued by His Highness, the Ruler of Umm Al-Qaiwain, and commenced its operations with effect from August 1, 1982.

The Group comprises National Bank of Umm Al-Qaiwain (PSC), Umm Al-Qaiwain, and its subsidiary Twin Towns Marketing Management LLC (100% ownership), Dubai. The Bank is engaged in providing products and services to customers in Retail, Corporate, Small and Medium Enterprise, Treasury and Trade finance in both conventional and Islamic banking.

2. Executive Summary:

The Central Bank of the UAE has published notice number CBUAE/BSD/N/2020/4980 in November 2020 and CBUAE/BSD/N/2021/5508 on 30 November 2021 regarding Pillar 3 disclosures. These disclosures have been prepared in accordance with these guidelines.

2.1. Purpose

The purpose of this report is to enable market participants to access key information relating to Bank's regulatory capital and risk exposures in order to increase transparency and confidence about Bank's exposure to risk and the overall adequacy of its regulatory capital.

2.2. Overview of Basel III Requirements

For Pillar 1, Bank has adopted the Standardized Approach for Credit Risk, the Standardized Approach for Market Risk and the Basic Indicator Approach for determining the capital requirements for Operational Risk.

Pillar 2 covers additional risk areas such as , concentration risk, strategic & business risk, reputational risk, liquidity risk ,reputation risk, human resource risk, technology risk, FIRB vs standardize approach etc. The risk and capital assessment of these other areas are commonly referred as "Internal Capital Adequacy Assessment Process (ICAAP)". Under ICAAP report, the Bank assesses the above mentioned risk (where applicable) and measures that after combining the pillar 1+Pillar 2 risk the Bank can withstand the regulatory and internal capital requirements. The Bank submits ICAAP report to CBUAE on annual basis.

Pillar 3 focuses on Market Discipline and complements the minimum capital requirements (Pillar I) and the supervisory review process (Pillar II). The CBUAE supports the enhanced market discipline by developing a set of disclosure requirements which will allow market participants to assess key pieces of information on the scope of application, capital, risk exposure, risk assessment process and hence the capital adequacy . This report is prepared in line with the same objective.

2.3. Capital Management

Bank's capital management policy is to maintain a strong capital base to support the development and growth of business. Current and future capital requirements are determined on the basis of loan growth expectations for each business unit, expected growth in off-balance sheet facilities, future sources and uses of funds and Bank's future dividend policy. The U.A.E. Central Bank requires the banks in U.A.E. to maintain a ratio of total regulatory capital to the risk weighted assets at or above the agreed minimum of 13%. (Including 2.5% of capital conservation buffer)

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1. Overview of risk management and RWA

1.1. Template KM1: Key metrics (at consolidated group level)

		a	b	c	d	e
		T	T-1	T-2	T-3	T-4
	In AED'000	30-Jun-23	31-Mar-23	31-Dec-22	30-Sep-22	30-Jun-22
	Available capital (amounts)
1	Common Equity Tier 1 (CET1)	4,873,595	4,767,195	4,583,381	4,684,668	4,408,136
1a	Fully loaded ECL accounting model	4,873,595	4,767,195	4,583,381	4,684,668	4,408,136
2	Tier 1	4,873,595	4,767,195	4,583,381	4,684,668	4,408,136
2a	Fully loaded ECL accounting model Tier 1	4,873,595	4,767,195	4,583,381	4,684,668	4,408,136
3	Total capital	4,997,255	4,886,156	4,704,340	4,807,931	4,526,208
3a	Fully loaded ECL accounting model total capital	4,997,255	4,886,156	4,704,340	4,807,931	4,526,208
	Risk-weighted assets (amounts)
4	Total risk-weighted assets (RWA)	10,865,460	10,471,181	10,627,427	10,877,644	10,462,176
	Risk-based capital ratios as a percentage of RWA
5	Common Equity Tier 1 ratio (%)	44.85%	45.53%	43.13%	43.07%	42.13%
5a	Fully loaded ECL accounting model CET1 (%)	44.85%	45.53%	43.13%	43.07%	42.13%
6	Tier 1 ratio (%)	44.85%	45.53%	43.13%	43.07%	42.13%
6a	Fully loaded ECL accounting model Tier 1 ratio (%)	44.85%	45.53%	43.13%	43.07%	42.13%
7	Total capital ratio (%)	45.99%	46.66%	44.27%	44.20%	43.26%
7a	Fully loaded ECL accounting model total capital ratio (%)	45.99%	46.66%	44.27%	44.20%	43.26%
	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 (%)	0.00%	0.00%	0.00%	0.00%	0.00%
10	Bank D-SIB additional requirements (%)	0.00%	0.00%	0.00%	0.00%	0.00%
	Total of bank CET1 specific buffer requirements (%) (row 8 + row 9+ row
11	10)	2.50%	2.50%	2.50%	2.50%	2.50%
	CET1 available after meeting the bank's minimum capital requirements
12	(%)	35.49%	36.16%	33.77%	33.70%	32.76%

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