Raiffeisen Bank International : RBI Pillar 3 Report 30.09.2022

RAIFFEISEN BANK INTERNATIONAL

THIRD QUARTER

REGULATORY DISCLOSURE REPORT 2022

DISCLOSURE OF RAIFFEISEN BANK INTERNATIONAL AKTIENGESELLSCHAFT

PURSUANT TO EU 575/2013 CAPITAL REQUIREMENTS REGULATION (CRR) PART 8

1

Introduction

With this document, Raiffeisen Bank International Aktiengesellschaft (RBI AG) fulfills its disclosure requirements under Part 8 of the Capital Requirements Regulation (CRR, EU 575/2013).

Pursuant to Article 11 of the CRR, RBI AG is subject to the CRR provisions not only as an individual credit institution but also a consolidated group.

RBI has opted for the Internet as the medium for publishing its disclosures (www.rbinternational.com). The disclosure report as a main document is published once a year in conjunction with the publication of RBI's Annual Report whereby certain information regarding Article 450 CRR will not be available until July 2022 and will be reported at that time. Furthermore, specific information is published more often pursuant to Articles 432(1), 432(2) and 433 CRR and Guidelines EBA/GL/2014/14. Relevant disclosures are either published as separate documents in the section "Regulatory Disclosures" or included in the annual/quarterly reports in the section "Reports" on RBI's homepage.

The information is based on the valid regulations on a consolidated basis for the RBI CRR Group at the time this document was published.

In this report, Raiffeisen Bank International (RBI) refers to the RBI Group, and RBI AG is used wherever statements refer solely to Raif- feisen Bank International AG.

© 2022

Regulatory Disclosure Report according to Capital Requirements Regulation (CRR) Version 1.0 Raiffeisen Bank International AG

Registered office (also mailing address): Am Stadtpark 9, A 1030 Vienna, Austria

Telephone No.: [phone]

Editorial deadline

November 22, 2022

Editor

Group Regulatory Planning & Reporting (Editor) supported by Active Credit Management, Balance Sheet Risk Management, Competence Centre Compensation & Benefits, Group Capital Markets Business Management, Group Collateral Management & HO Credit Control, Group Financial Reporting, Group Fund Finance and Alternative Investments, Group IRB Coordination, Group Special Exposures Management, Group Subsidiaries & Equity Investments, Group Supervisory Affairs & Regulatory Governance, Group Sustainability Management, Integrated Risk Management and Market Risk Management

Supervisory Authorities

As a credit institution, RBI AG is subject to supervision by the Austrian Federal Ministry of Finance, European Central Bank (ECB), Aus- trian National Bank (OeNB) and the Austrian Financial Market Authority (FMA) and must comply with pertinent legal regulations, in particular the EU regulations (CRR), Austrian Banking Act (Bankwesengesetz, BWG) and the Austrian Securities Supervision Act (Wertpapieraufsichtsgesetz, WAG).

2

Content

Article 438 CRR Capital requirements....................................................................................................................................................................................................................	1
Article 451a CRR Liquidity Coverage Ratio..........................................................................................................................................................................................................	5
Article 455 CRR Use of internal market risk models.....................................................................................................................................................................................	8

1

Article 438 CRR

Capital requirements

Overview of total risk exposure amounts

			Total own funds
EU OV1	Total risk exposure amounts (TREA)	requirements
in € thousand	30/09/2022	30/06/2022	30/09/2022
Credit risk (excluding CCR)	82,543,002	87,303,747	6,603,440
Of which the standardised approach	31,069,166	31,345,951	2,485,533
Of which the Foundation IRB (F-IRB) approach	39,575,315	44,247,205	3,166,025
Of which slotting approach	3,883,003	3,898,319	310,640
Of which equities under the simple riskweighted approach	5	6	0
Of which the Advanced IRB (A-IRB) approach	7,582,303	7,324,596	606,584
Counterparty credit risk - CCR	2,833,847	2,583,699	226,708
Of which the standardised approach	1,219,475	0	97,558
Of which internal model method (IMM)	0	0	0
Of which exposures to a CCP	37,251	3,131	2,980
Of which credit valuation adjustment - CVA	436,389	434,820	34,911
Of which other CCR	1,140,731	2,145,748	91,258
Settlement risk	85 642	106,721	6,851
Securitisation exposures in the non-trading book (after the cap)	1,470,416	1.472,000	117,633
Of which SEC-IRBA approach	982,747	978,577	78,620
Of which SEC-ERBA (including IAA)	77,101	75,970	6,168
Of which SEC-SA approach	410,568	417,453	32,845
Of which 1250% / deduction	0	0	0
Position, foreign exchange and commodities risks (Market risk)	7,357,155	6,111,193	588,572
Of which the standardised approach	5,434,433	4,612,725	434,755
Of which IMA	1,922,721	1,498,468	153,818
Large exposures	0	0	0
Operational risk	14,205,443	11,445,893	1,136,435
Of which basic indicator approach	0	0	0
Of which standardised approach	3,714,310	3,791,409	297,145
Of which advanced measurement approach	10,491,132	7,654,485	839,291
Amounts below the thresholds for deduction (subject to 250% risk weight)	0	151,009	0
Total	108,495,504	109,023,253	8,679,640

2

Key metrics template

	EU KM1
	in € thousand	30/09/2022	30/06/2022	31/03/2022	31/12/2021	30/09/2021
	Available own funds (amounts)
	Common Equity Tier 1 (CET1) capital	15,888,042	14,619,926	12,156,337	11,812,244	11,272,516
	Tier 1 capital	17,560,977	16,292,495	13,831,902	13,459,611	12,919,092
	Total capital	19,966,688	18,253,854	15,988,819	15,806,848	15,298,222
	Risk-weighted exposure amounts
	Total risk exposure amount	108,495,504	109,023,253	104,028,953	89,928,197	88,860,247
	Capital ratios (as a percentage of risk-weighted exposure amount)
	Common Equity Tier 1 ratio (%)	14.64%	13.41%	11.69%	13.14%	12.69%
	Tier 1 ratio (%)	16.19%	14.94%	13.30%	14.97%	14.54%
	Total capital ratio (%)	18.40%	16.74%	15.37%	17.58%	17.22%
	Additional own funds requirements to address risks other than the risk of excessive leverage (as a % of RWEA)
	Additional own funds requirements to address risks other than the risk of excessive leverage (%)	2.20%	2.20%	2.20%	2.25%	2.25%
	of which: to be made up of CET1 capital (percentage points)	1.24%	1.24%	1.24%	1.27%	1.27%
	of which: to be made up of Tier 1 capital (percentage points)	1.65%	1.65%	1.65%	1.69%	1.69%
	Total SREP own funds requirements (%)	10.20%	10.20%	10.20%	10.25%	10.25%
	Combined buffer and overall capital requirement (as a % of RWEA)
	Capital conservation buffer (%)	2.50%	2.50%	2.50%	2.50%	2.50%
	Conservation buffer due to macro-prudential or systemic risk	0.00%	0.00%	0.00%	0.00%	0.00%
	identified at the level of a Member State (%)
	Institution specific countercyclical capital buffer (%)	0.27%	0.26%	0.16%	0.17%	0.17%
	Systemic risk buffer (%)	1.00%	1.00%	1.00%	1.00%	1.00%
	Global Systemically Important Institution buffer (%)	0.00%	0.00%	0.00%	0.00%	0.00%
	Other Systemically Important Institution buffer (%)	1.00%	1.00%	1.00%	1.00%	1.00%
	Combined buffer requirement (%)	4.77%	4.76%	4.66%	4.67%	4.67%
	Overall capital requirements (%)	14.97%	14.96%	14.86%	14.92%	14.92%
	CET1 available after meeting the total SREP own funds requirements (%)	8.91%	7,67%	5,95%	7,37%	6,92%