Saudi Awwal Bank
Pillar 3 Disclosures at 30 September 2023
Saudi Awwal Bank
30 September 2023 - Pillar 3 Disclosures
TABLE OF CONTENTS
Tables and templates | |
Overview of risk management, key prudential metrics | KM1 - Key metrics (at consolidated group level) |
and RWA | OV1 - Overview of RWA |
Leverage ratio | LR1 - Summary comparison of accounting assets vs leverage ratio exposure measure |
LR2 - Leverage ratio common disclosure template | |
Liquidity | LIQ1 - Liquidity Coverage Ratio (LCR) |
Counterparty Credit Risk | CVA4 - RWA flow statements of CVA risk exposures under SA-CVA |
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Saudi Awwal Bank
30 September 2023 - Pillar 3 Disclosures
KM1: Key metrics (at consolidated group level) (Figures in SAR 000's)
a | b | c | d | e | ||
Sep-23 | Jun-23 | Mar-23 | Dec-22 | Sep-22 | ||
Available capital (amounts) | ||||||
1 | Common Equity Tier 1 (CET1) | 45,815,367 | 47,033,351 | 47,479,334 | 45,236,926 | 44,117,150 |
1a | Fully loaded ECL accounting model | 44,946,144 | 45,990,286 | 46,262,422 | 43,846,169 | 42,552,549 |
2 | Tier 1 | 45,815,367 | 47,033,351 | 47,479,334 | 45,236,926 | 44,117,150 |
2a | Fully loaded ECL accounting model Tier 1 | 44,946,144 | 45,990,286 | 46,262,422 | 43,846,169 | 42,552,549 |
3 | Total capital | 51,769,107 | 52,877,981 | 53,240,890 | 51,032,068 | 49,770,293 |
3a | Fully loaded ECL accounting model total capital | 50,899,884 | 51,834,797 | 52,023,978 | 49,641,312 | 48,205,693 |
Risk-weighted assets (amounts) | ||||||
4 | Total risk-weighted assets (RWA) | 280,685,087 | 284,628,078 | 276,097,045 | 256,252,391 | 245,627,470 |
4a | Total risk-weighted assets (pre-floor) | 280,685,087 | 284,628,078 | 276,097,045 | 256,252,391 | 245,627,470 |
Risk-based capital ratios as a percentage of RWA
5 | Common Equity Tier 1 ratio (%) | 16.32% | 16.52% | 17.20% | 17.65% | 17.96% |
5a | Fully loaded ECL accounting model Common Equity Tier 1 (%) | 16.01% | 16.16% | 16.76% | 17.11% | 17.32% |
5b | CET1 ratio (%) (pre-floor ratio) | 16.32% | 16.52% | 17.20% | 17.65% | 17.96% |
6 | Tier 1 ratio (%) | 16.32% | 16.52% | 17.20% | 17.65% | 17.96% |
6a | Fully loaded ECL accounting model Tier 1 ratio (%) | 16.01% | 16.16% | 16.76% | 17.11% | 17.32% |
6b | Tier 1 ratio (%) (pre-floor ratio) | 16.32% | 16.52% | 17.20% | 17.65% | 17.96% |
7 | Total capital ratio (%) | 18.44% | 18.58% | 19.28% | 19.91% | 20.26% |
7a | Fully loaded ECL accounting model total capital ratio (%) | 18.13% | 18.21% | 18.84% | 19.37% | 19.63% |
7b | Total capital ratio (%) (pre-floor ratio) | 18.44% | 18.58% | 19.28% | 19.91% | 20.26% |
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 (%) | 0.01% | 0.04% | 0.01% | 0.01% | 0.03% |
10 | Bank G-SIB and/or D-SIB additional requirements (%) | 0.50% | 0.50% | 0.50% | 0.50% | 0.50% |
11 | Total of bank CET1 specific buffer requirements (%) | 3.01% | 3.04% | 3.01% | 3.01% | 3.03% |
(row 8 + row 9 + row 10) | ||||||
12 | CET1 available after meeting the bank's minimum capital requirements (%) | 13.31% | 13.49% | 14.19% | 14.64% | 14.93% |
Page 3 of 12
Saudi Awwal Bank
30 September 2023 - Pillar 3 Disclosures
KM1: Key metrics (at consolidated group level) (Figures in SAR 000's)
a | b | c | d | e | ||
Sep-23 | Jun-23 | Mar-23 | Dec-22 | Sep-22 | ||
Basel III leverage ratio | ||||||
13 | Total Basel III leverage ratio exposure measure | 418,607,436 | 410,117,874 | 402,342,673 | 439,898,722 | 417,332,704 |
14 | Basel III leverage ratio (%) (row 2 / row 13) | 10.94% | 11.47% | 11.80% | 10.28% | 10.57% |
14a | Fully loaded ECL accounting model Basel III leverage ratio (%) | 10.74% | 11.21% | 11.50% | 9.97% | 10.20% |
(row 2a / row13) | ||||||
14b | Basel III leverage ratio (%) (excluding the impact of any applicable temporary | 10.82% | 11.21% | 11.50% | 9.97% | 10.20% |
exemption of central bank reserves) | ||||||
14c | Basel III leverage ratio (%) (including the impact of any applicable temporary | 10.82% | 11.21% | 11.50% | 9.97% | 10.20% |
exemption of central bank reserves) incorporating mean values for SFT assets | ||||||
14d | Basel III leverage ratio (%) (excluding the impact of any applicable temporary | 10.82% | 11.21% | 11.50% | 9.97% | 10.20% |
exemption of central bank reserves) incorporating mean values for SFT assets | ||||||
Liquidity Coverage Ratio | ||||||
15 | Total HQLA | 96,166,082 | 96,006,267 | 94,357,438 | 87,322,535 | 84,144,949 |
16 | Total net cash outflow | 51,213,040 | 53,580,021 | 45,575,840 | 50,793,513 | 46,968,532 |
17 | LCR ratio (%) | 187.78% | 179.18% | 207.03% | 171.92% | 179.15% |
Net Stable Funding Ratio | ||||||
18 | Total available stable funding | 211,917,342 | 211,852,483 | 211,485,333 | 203,404,980 | 200,745,200 |
19 | Total required stable funding | 175,636,744 | 167,580,458 | 161,679,701 | 158,908,356 | 158,411,135 |
20 | NSFR ratio | 120.66% | 126.42% | 130.81% | 128.00% | 126.72% |
Page 4 of 12
Saudi Awwal Bank
30 September 2023 - Pillar 3 Disclosures
OV1: Overview of RWA (Figures in SAR 000's)
a | b | c | |||
RWA | Minimum capital | ||||
requirements | |||||
Sep-23 | Jun-23 | Sep-23 | |||
1 Credit risk (excluding counterparty credit risk) | 264,965,726 | 256,899,650 | 21,197,258 | ||
2 | Of which: standardised approach (SA) | 264,965,726 | 256,899,650 | 21,197,258 | |
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) | 1,434,426 | 1,340,193 | 114,754 | ||
7 | Of which: standardised approach for counterparty credit risk | 1,434,426 | 1,340,193 | 114,754 | |
8 | Of which: Internal Model Method (IMM) | - | - | - | |
9 | Of which: other CCR | - | - | - | |
10 Credit valuation adjustment (CVA) | 1,201,449 | 5,937,487 | 96,116 | ||
11 Equity positions under the simple risk weight approach and the internal model method during the five- | - | - | - | ||
12 Equity investments in funds - look-through approach | - | - | - | ||
13 Equity investments in funds - mandate-based approach | - | - | - | ||
14 Equity investments in funds - fall-back approach | 102,850 | 102,850 | 8,228 | ||
15 | Settlement risk | - | - | - | |
16 Securitisation exposures in banking book | - | - | - | ||
17 | Of which: securitisation internal ratings-based approach (SEC-IRBA) | - | - | - | |
18 | Of which: securitisation external ratings-based approach (SEC-ERBA), including internal assessment | ||||
approach (IAA) | - | - | - | ||
19 | Of which: securitisation standardised approach (SEC-SA) | - | - | - | |
Page 5 of 12
Saudi Awwal Bank
30 September 2023 - Pillar 3 Disclosures
OV1: Overview of RWA (Figures in SAR 000's)
a | b | c | |||
RWA | Minimum capital | ||||
requirements | |||||
Sep-23 | Jun-23 | Sep-23 | |||
20 | Market risk | 1,314,984 | 8,830,253 | 105,199 | |
21 | Of which: standardised approach (SA) | 1,314,984 | 8,830,253 | 105,199 | |
22 | Of which: internal model approaches (IMA) | - | - | - | |
23 | Capital charge for switch between trading book and banking book | - | - | - | |
24 | Operational risk | 10,458,162 | 10,458,162 | 836,653 | |
25 | Amounts below the thresholds for deduction (subject to 250% risk weight) | 1,207,491 | 1,059,482 | 96,599 | |
26 | Output floor applied | - | - | - | |
27 | Floor adjustment (before application of transitional cap) | - | - | - | |
28 | Floor adjustment (after application of transitional cap) | - | - | - | |
29 | Total (1 + 6 + 10 + 11 + 12 + 13 + 14 + 15 + 16 + 20 + 23 + 24 + 25 + 28) | 280,685,087 | 284,628,078 | 22,454,807 | |
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Saudi Awwal Bank
30 September 2023 - Pillar 3 Disclosures
LR1: Summary comparison of accounting assets vs leverage ratio exposure measure (Figures in SAR 000's)
A | ||
1 | Total consolidated assets as per published financial statements | 324,739,652 |
2 | Adjustment for investments in banking, financial, insurance or commercial entities that are consolidated for accounting purposes but outside | - |
3 | Adjustment for securitised 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 recognised on the balance sheet pursuant to the operative accounting framework but 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 | 14,214,844 |
9 | Adjustment for securities financing transactions (ie repurchase agreements and similar secured lending) | - |
10 | Adjustment for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) | 79,652,940 |
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 | 418,607,436 |
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Saudi Awwal Bank
30 September 2023 - Pillar 3 Disclosures
LR2: Leverage ratio common disclosure template (Figures in SAR 000's)
a | b | ||
Sep-23 | Jun-23 | ||
On-balance sheet exposures | |||
1 | On-balance sheet exposures (excluding derivatives and securities financing transactions (SFTs), but including collateral) | 324,739,652 | 320,360,052 |
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 recognised 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 and regulatory adjustments) | - | - |
7 | Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of rows 1 to 6) | 324,739,652 | 320,360,052 |
Derivative exposures | |||
8 | Replacement cost associated with all derivatives transactions (where applicable net of eligible cash variation margin, with | ||
bilateral netting and/or the specific treatment for client cleared derivatives) | 9,015,650 | 3,718,742 | |
9 | Add-on amounts for potential future exposure associated with all derivatives transactions | 5,199,194 | 9,127,243 |
10 | (Exempted central counterparty (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) | 14,214,844 | 12,845,985 |
Securities financing transaction exposures | |||
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 | Credit Conversion Factor (CCR) exposure for Security Financing Transaction (SFT ) assets | - | - |
17 | Agent transaction exposures | - | - |
18 | Total securities financing transaction exposures (sum of lines 12 to 15) | - | - |
Other off-balance sheet exposures | |||
19 | Off-balance sheet exposure at gross notional amount | 232,200,548 | 227,249,421 |
20 | (Adjustments for conversion to credit equivalent amounts) | (152,547,607) | (150,337,584) |
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) | 79,652,940 | 76,911,837 |
Capital and total exposures | |||
23 | Tier 1 capital | 45,815,367 | 47,033,353 |
24 | Total exposures (sum of rows 7, 13, 18 and 22) | 418,607,436 | 410,117,874 |
Page 8 of 12
Saudi Awwal Bank
30 September 2023 - Pillar 3 Disclosures
LR2: Leverage ratio common disclosure template (Figures in SAR 000's)
a | b | |||
Sep-23 | Jun-23 | |||
Leverage ratio | ||||
25 | Leverage ratio (including the impact of any applicable temporary exemption of central bank reserves) | 10.94% | 11.47% | |
25a | Leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) | 10.94% | 11.47% | |
26 | National minimum leverage ratio requirement | 3.00% | 3.00% | |
27 | Applicable leverage buffers | 7.94% | 8.47% | |
Disclosure of mean values | ||||
28 | Mean value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated cash | |||
payables and cash receivables | - | - | ||
29 | Quarter-end value of gross SFT assets, after adjustment for sale accounting transactions and netted of amounts of associated | |||
cash payables and cash receivables | - | - | ||
Total exposures (including the impact of any applicable temporary exemption of central bank reserves) incorporating mean | ||||
30 | values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated | |||
cash payables and cash receivables) | - | - | ||
Total exposures (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating mean | ||||
30a | values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of associated | |||
cash payables and cash receivables) | - | - | ||
Basel III leverage ratio (including the impact of any applicable temporary exemption of central bank reserves) incorporating | ||||
31 | mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of | |||
associated cash payables and cash receivables) | - | - | ||
Basel III leverage ratio (excluding the impact of any applicable temporary exemption of central bank reserves) incorporating | ||||
31a | mean values from row 28 of gross SFT assets (after adjustment for sale accounting transactions and netted of amounts of | |||
associated cash payables and cash receivables) | - | - |
Page 9 of 12
Saudi Awwal Bank
30 September 2023 - Pillar 3 Disclosures
LIQ1: Liquidity Coverage Ratio (LCR) (Figures in SAR 000's)
a | b | ||
Total Unweighted Value | Total Weighted Value | ||
(average) | (average) | ||
High-quality liquid assets | |||
1 | Total High-Quality Liquid Assets (HQLA) | 96,166,082 | |
Cash outflows | |||
2 | Retail deposits and deposits from small business customers, of which: | 61,713,214 | 5,232,564 |
3 | Stable deposits | - | - |
4 | Less stable deposits | 61,713,214 | 5,232,564 |
5 | Unsecured wholesale funding, of which: | 139,996,604 | 64,991,275 |
6 | Operational deposits (all counterparties) and deposits in networks of cooperative banks | - | - |
7 | Non-operational deposits (all counterparties) | 139,996,604 | 64,991,275 |
8 | Unsecured debt | - | - |
9 | Secured wholesale funding | - | - |
10 | Additional requirements, of which: | 9,767,234 | 1,047,771 |
11 | Outflows related to derivative exposures and other collateral requirements | 78,942 | 78,942 |
12 | Outflows related to loss of funding on debt products | - | - |
13 | Credit and liquidity facilities | 9,688,292 | 968,829 |
14 | Other contractual funding obligations | - | - |
15 | Other contingent funding obligations | 208,256,468 | 5,729,340 |
16 | TOTAL CASH OUTFLOWS | - | 77,000,951 |
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The Saudi British Bank SJSC published this content on 18 October 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 01 November 2023 14:12:43 UTC.