Risk and capital management (Pillar III)
4Q 2021
Sbanken group
Risk and capital management (Pillar III)
4Q 2021
Part 2 - Overview of risk management, key prudential metrics and RWA
Part 3 - Linkages between financial statements and regulatory exposures
Part 4 - Composition of capital
Part 5 - Macroprudential supervisory measures
Part 6 - Leverage ratio
Part 7 - Liquidity
Part 8 - Credit risk
Part 9 - Counterparty credit risk
Part 10 - Securitisation
Part 11 - Market risk
Part 12 - Interest rate risk in the banking book
Part 13 - Operational risk
Part 14 - Remuneration
Attachments
Document reference | Updated | |||
KM1 - Key metrics | Pillar III - document | Quarterly | ||
KM2 - Key Metrics - TLAC requirements (at resolution group level) | Not applicable | Quarterly | ||
Annual report - note 6 | ||||
OVA - Bank risk management approach | and chapter corporate | Yearly | ||
governance | ||||
OV1 - Overview of RWA | Pillar III - document | Quarterly | ||
LIA - Explanations of differences between accounting and regulatory exposure amounts | Pillar III - document | Quarterly | ||
LI1 - Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories | Not applicable | Yearly | ||
LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements | Pillar III - document | Quarterly | ||
PV1 - Prudential valuation adjustments | Pillar III - document | Quarterly | ||
CC1 - Composition of regulatory capital | Pillar III - document | Quarterly | ||
CC2 - Reconciliation of regulatory capital to balance sheet | Pillar III - document | Quarterly | ||
CCA - Main features of regulatory capital instruments | Pillar III - document | Quarterly | ||
TLAC1 - Capital and TLAC composition for G-SIBs | Not applicable | Semiannual | ||
TLAC2 - Material subgroup entity - creditor ranking at legal entity level | Not applicable | Semiannual | ||
TLAC3 - Resolution entity - creditor ranking at legal entity level | Not applicable | Semiannual | ||
GSIB1 - Disclosure of G-SIB indicators (simple consolidation without change) | Not applicable | Yearly | ||
CCyB1 - Geographical distribution of credit exposures used in the countercyclical buffer | Not applicable | Yearly | ||
Pillar III - document | Quarterly | |||
LR2 - Leverage ratio calculation | Pillar III - document | Quarterly | ||
LRSpl - Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures) | Pillar III - document | Quarterly | ||
LIQA - Liquidity risk management (simple consolidation without change) | Annual report - note 18 | Yearly | ||
LIQ1 - Liquidity Coverage Ratio (simple consolidation without change) | Pillar III - document | Quarterly | ||
LIQ 2 - Net Stable Funding Ratio (simple consolidation without change) | Pillar III - document | Quarterly | ||
CRA - General information about credit risk | Annual report - note 7 | Yearly | ||
CR1 - Credit quality of assets | Pillar III - document | Quarterly | ||
CR2 - Stock of defaulted loans | Pillar III - document | Quarterly | ||
CRB - Additional disclosure related to the credit quality of assets | Pillar III - document | Yearly | ||
CRC - Qualitative disclosure requirements related to credit risk mitigation techniques | Not applicable | Yearly | ||
CR3 - Credit risk mitigation techniques - overview | Not applicable | Yearly | ||
CRD - Qualitative disclosures on banks' use of external credit ratings under the standardised approach for credit risk | Pillar III - document | Yearly | ||
CR4 - Standardised approach - credit risk exposure and Credit Risk Mitigation (CRM) effects | Pillar III - document | Quarterly | ||
CR5 - Standardised approach - exposures by asset classes and risk weights | Pillar III - document | Quarterly | ||
CRE - Qualitative disclosures related to IRB models | Not applicable | Quarterly | ||
CR6 - IRB - Credit risk exposures by portfolio and PD range | Not applicable | Quarterly | ||
CR7 - IRB - Effect on RWA of credit derivatives used as CRM techniques | Not applicable | Quarterly | ||
CR8 - RWA flow statements of credit risk exposures under IRB | Not applicable | Yearly | ||
CR9 - IRB - Backtesting of probability of default (PD) per portfolio | Not applicable | Quarterly | ||
CR10 - IRB (specialised lending and equities under the simple risk weight method) | Not applicable | Quarterly | ||
CCRA - Qualitative disclosure related to counterparty credit risk | Annual report - note 7 | Yearly | ||
CCR1 - Analysis of counterparty credit risk (CCR) exposure by approach | Pillar III - document | Quarterly | ||
CCR2 - Credit valuation adjustment (CVA) capital charge | Pillar III - document | Quarterly | ||
CCR3 - Standardised approach of CCR exposures by regulatory portfolio and risk weights | Pillar III - document | Quarterly | ||
CCR4 - IRB - CCR exposures by portfolio and PD scale | Not applicable | Quarterly | ||
CCR5 - Composition of collateral for CCR exposure | Not applicable | Quarterly | ||
CCR6 - Credit derivatives exposures | Not applicable | Quarterly | ||
CCR7 - RWA flow statements of CCR exposures under the Internal Model Method (IMM) | Not applicable | Quarterly | ||
CCR8 - Exposures to central counterparties | Not applicable | Quarterly | ||
SECA - Qualitative disclosure requirements related to securitisation exposures | Not applicable | Yearly | ||
SEC1 - Securitisation exposures in the banking book | Not applicable | Quarterly | ||
SEC2 - Securitisation exposures in the trading book | Not applicable | Quarterly | ||
SEC3 - Securitisation exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor | Not applicable | Quarterly | ||
SEC4 - Securitisation exposures in the banking book and associated capital requirements - bank acting as investor | Not applicable | Quarterly | ||
MRA - General qualitative disclosure requirements related to market risk | Annual report - note 24 | Yearly | ||
MRB - Qualitative disclosures for banks using the Internal Models Approach (IMA) | Not applicable | Yearly | ||
MRC - The structure of desks for banks using the IMA | Not applicable | Semiannual | ||
MR1 - Market risk under standardised approach | Not applicable | Semiannual | ||
MR2 - Market risk IMA per desk | Not applicable | Semiannual | ||
MR3 - Market risk IMA per risk type | Not applicable | Semiannual | ||
MR4 - RWA flow statements of market risk exposures under IMA | Not applicable | Quarterly | ||
IRRBBA - IRRBB risk management objective and policies | Annual report - note 24 | Yearly | ||
IRRBB1 - Quantitative information on IRRBB | Annual report - note 24 | Yearly | ||
ORA - General qualitative information about operational risk management | Annual report - note 28 | Yearly | ||
OR1 - Historical losses used for SMA calculation | Not applicable | Yearly | ||
OR2 - SMA - business indicator and subcomponents | Not applicable | Yearly | ||
OR3 - Historical losses | Pillar III - document | Yearly | ||
REMA - Remuneration policy | Annual report - note 34 | Yearly | ||
REM1 - Remuneration awarded during the financial year | Pillar III - document | Yearly | ||
REM2 - Special payments | Not applicable | Yearly | ||
REM3 - Deferred remuneration | Not applicable | Yearly | ||
AE - Asset Encumbrance | Pillar III - document | Yearly | ||
ATT1 - Capital Adequacy - Group | Pillar III - document | Quarterly | ||
ATT2 - Loans to customers by geographical area and by residual time to maturity | Pillar III - document | Yearly | ||
ATT3 - Expected credit loss (ECL) | Pillar III - document | Yearly | ||
ATT4 - Market risk and sensitivity | Pillar III - document | Yearly | ||
ATT5 - Investments (equity positions outside the trading portfolio) by purpose | Pillar III - document | Yearly | ||
ATT6 - Capital Adequacy - parent bank | Pillar III - document | Yearly | ||
ATT7 - Capital Adequacy - Skandiabanken Boligkreditt AS | Pillar III - document | Yearly | ||
Pillar III - document | Yearly |
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Key metrics - Group
Available capital (amounts)1 | 31.12.2021 | 30.09.2021 | 30.06.2021 | 31.03.2021 | 31.12.2020 |
Common equity Tier 1 capital | 5 987 099 | 6 273 921 | 6 183 445 | 6 096 771 | 6 009 290 |
Tier 1 capital | 6 687 099 | 6 973 921 | 6 883 445 | 6 796 771 | 6 709 290 |
Own funds (primary capital) | 7 587 099 | 7 873 921 | 7 783 445 | 7 696 771 | 7 609 290 |
Risk-weighted assets (amounts) | |||||
Total risik weighted volume (RWA) | 39 849 716 | 38 523 272 | 38 711 812 | 38 382 564 | 38 775 122 |
Risk-based capital ratios as a percentage of RWA1 | |||||
Common Equity Tier 1 ratio (%) | 15,0 % | 16,3 % | 16,0 % | 15,9 % | 15,5 % |
Tier 1 ratio (%) | 16,8 % | 18,1 % | 17,8 % | 17,7 % | 17,3 % |
Total capital ratio (%) | 19,0 % | 20,4 % | 20,1 % | 20,1 % | 19,6 % |
1 Year-end 2021 is adjusted with proposed dividend NOK 6,60 per share for 2021.
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Overview of total risk-weighted assets (RWAs)
Risk-weighted assets
(RWAs)
31.12.2021 | 30.09.2021 | |||
1 | Credit risk (excluding CCR) | 37 019 564 | 35 792 419 | |
Article 438 (c)(d) | 2 | Of which the standardised approach | 37 019 564 | 35 792 419 |
Article 438 (c)(d) | 3 | Of which the foundation IRB (FIRB) approach | 0 | 0 |
Article 438 (c)(d) | 4 | Of which the advanced IRB (AIRB) approach | 0 | 0 |
Article 438 (d) | 5 | Of which equity IRB under the simple risk-weighted approach or the IMA | 0 | 0 |
Article 107 Article 438(c)(d) | 6 | CCR | 56 442 | 37 564 |
Article 438 (c)(d) | 7 | Of which mark to market | 0 | 0 |
Article 438 (c)(d) | 8 | Of which original exposure | 0 | 0 |
9 | Of which the standardised approach | 0 | 0 | |
10 | Of which internal model method (IMM) | 0 | 0 | |
Article 438 (c)(d) | 11 | Of which risk exposure amount for contributions to the default fund of a CCP | 0 | 0 |
Article 438 (c)(d) | 12 | Of which CVA | 56 442 | 37 564 |
Article 438 (e) | 13 | Settlement risk | 0 | 0 |
Article 449 (o)(i) | 14 | Securitisation exposures in the banking book (after the cap) | 0 | 0 |
15 | Of which IRB approach | 0 | 0 | |
16 | Of which IRB supervisory formula approach (SFA) | 0 | 0 | |
17 | Of which internal assessment approach (IAA) | 0 | 0 | |
18 | Of which standardised approach | 0 | 0 | |
Article 438 (e) | 19 | Market risk | 0 | 0 |
20 | Of which the standardised approach | 0 | 0 | |
21 | Of which IMA | 0 | 0 | |
Article 438 (e) | 22 | Large exposures | 0 | 0 |
Article 438 (f) | 23 | Operational risk* | 2 773 710 | 2 693 289 |
24 | Of which basic indicator approach | 0 | 0 | |
25 | Of which standardised approach | 2 773 710 | 2 693 289 | |
26 | Of which advanced measurement approach | 0 | 0 | |
Article 437(2), article 48 and | ||||
article 60 | 27 | Amounts below the thresholds for deduction (subject to 250% risk weight) 2) | 0 | 0 |
Article 500 | 28 | Floor adjustment 3) | 0 | 0 |
29 Total | 39 849 716 | 38 523 272 |
* Sbanken ASA uses the standardised approach (changed from basic method in Q4 19) to establish the risk- weighted volume for operational risk.
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Explanations of differences between accounting and regulatory exposure amounts
The Bank solely engages in banking business (companies in the financial sector) and the Bank's fully owned subsidiary, Sbanken Boligkreditt AS, is fully consolidated. There is therefore no difference between solvency and accounting consolidation.
There are only minor differences between accounting and capital adequacy exposure. These are stated in "Main sources of differences between regulatory exposure amounts and carrying values in financial statements "(LI2) and "Reconciliation of regulatory capital to balance sheet" (CC2).
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Disclaimer
Sbanken ASA published this content on 10 February 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 10 February 2022 06:08:29 UTC.