PILLAR 3 DISCLOSURES
January 1, 2022 to September 30, 2022
The National Bank of Ras Al-Khaimah (P.S.C.)
1. Introduction
On 12th November 2020, the Central Bank of UAE published final Capital Adequacy Standards and Guidance along with Notice 4980/2020. This included revised Standards and Guidance with respect to Pillar 3 - Market Disclosures. The Standards prescribed the effective date of these disclosures to be 31st December 2021 and quarterly thereon. Further to this, the Central Bank of UAE provided explanatory notes and disclosure templates for Pillar 3 on 30th November 2021 as part of Notice 5508/2021 which was superseded by Notice 1887/2022 issued on 9th May 2022.
The Bank has a formal disclosure policy in place which highlights the roles and responsibilities of the management and Board of Directors with respect to internal controls and procedures for information reported under Pillar 3 disclosures.
The scope of consolidation for Pillar 3 disclosures is different compared to the scope of consolidation for financial reporting. Under the scope of regulatory consolidation, all subsidiaries of the Bank are consolidated with the exception of Ras Al Khaimah National Insurance Company PSC. All sections of the following document have been prepared under the scope of regulatory consolidation unless specifically mentioned.
2. Overview of risk management, key prudential metrics and RWA
Amounts in AED'000 | a | b | c | d | e | ||||||||
30 Sep'22 | 30 Jun'22 | 31 Mar'22 | 31 Dec'21 | 30 Sep'21 | |||||||||
Available capital (amounts) | |||||||||||||
1 | Common Equity Tier 1 (CET1) | 8,643,309 | 8,296,328 | 8,084,591 | 7,889,152 | 8,145,217 | |||||||
1a | Fully loaded ECL accounting model | 8,643,309 | 8,296,328 | 8,084,591 | 7,889,152 | 8,060,377 | |||||||
2 | Tier 1 | 8,643,309 | 8,296,328 | 8,084,591 | 7,889,152 | 8,145,217 | |||||||
2a | Fully loaded ECL accounting model | 8,643,309 | 8,296,328 | 8,084,591 | 7,889,152 | 8,060,377 | |||||||
Tier 1 | |||||||||||||
3 | Total capital | 9,248,903 | 8,888,696 | 8,664,904 | 8,434,886 | 8,682,434 | |||||||
3a | Fully loaded ECL accounting model | 9,248,903 | 8,888,696 | 8,664,904 | 8,434,886 | 8,596,534 | |||||||
total capital | |||||||||||||
Risk-weighted assets (amounts) | |||||||||||||
4 | Total risk-weighted assets (RWA) | 54,572,396 | 52,785,360 | 52,543,299 | 49,523,321 | 48,854,950 | |||||||
Risk-based capital ratios as a percentage of RWA | |||||||||||||
5 | Common Equity Tier 1 ratio (%) | 15.8% | 15.7% | 15.4% | 15.9% | 16.7% | |||||||
5a | Fully loaded ECL accounting model | 15.8% | 15.7% | 15.4% | 15.9% | 16.5% | |||||||
CET1 (%) | |||||||||||||
6 | Tier 1 ratio (%) | 15.8% | 15.7% | 15.4% | 15.9% | 16.7% | |||||||
6a | Fully loaded ECL accounting model | 15.8% | 15.7% | 15.4% | 15.9% | 16.5% | |||||||
Tier 1 ratio (%) | |||||||||||||
7 | Total capital ratio (%) | 16.9% | 16.8% | 16.5% | 17.0% | 17.8% | |||||||
7a | Fully loaded ECL accounting model | 16.9% | 16.8% | 16.5% | 17.0% | 17.6% | |||||||
total capital ratio (%) | |||||||||||||
Additional CET1 buffer requirements as a percentage of RWA | |||||||||||||
8 | Capital conservation buffer | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | |||||||
requirement (2.5% from 2019) (%) | |||||||||||||
9 | Countercyclical buffer requirement | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | |||||||
(%) | |||||||||||||
10 | Bank D-SIB additional requirements | 0.0% | 0.0% | 0.0% | 0.0% | 0.0% | |||||||
(%) | |||||||||||||
11 | Total of bank CET1 specific buffer | 2.5% | 2.5% | 2.5% | 2.5% | 2.5% | |||||||
requirements (%) | |||||||||||||
CET1 available after meeting the | |||||||||||||
12 | bank's minimum capital | 6.4% | 6.3% | 6.0% | 6.5% | 7.3% | |||||||
requirements (%) |
Leverage Ratio* | |||||||||||
13 | Total leverage ratio measure | 71,902,159 | 68,335,984 | 65,419,499 | 62,970,840 | ||||||
14 | Leverage ratio (%) | 12.0% | 12.1% | 12.4% | 12.5% | ||||||
14a | Fully loaded ECL accounting model | 12.0% | 12.1% | 12.4% | 12.5% | ||||||
leverage ratio (%) | |||||||||||
Leverage ratio (%) (excluding the | |||||||||||
14b | impact of any | 12.0% | 12.1% | 12.4% | 12.5% | ||||||
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 | 7,879,888 | 6,751,440 | 5,949,025 | 5,476,267 | 4,750,558 | |||||
22 | Total liabilities | 54,431,931 | 51,769,205 | 49,892,014 | 47,259,760 | 45,720,359 | |||||
23 | Eligible Liquid Assets Ratio (ELAR) | 14.5% | 13.0% | 11.9% | 11.6% | 10.4% | |||||
(%) | |||||||||||
ASRR | |||||||||||
24 | Total available stable funding | 48,731,592 | 48,167,572 | 47,129,654 | 45,274,400 | 44,291,396 | |||||
25 | Total Advances | 41,181,766 | 39,475,792 | 40,980,578 | 37,500,815 | 37,145,903 | |||||
26 | Advances to Stable Resources Ratio | 84.5 | 82.0 | 87.0 | 82.8 | 83.9 | |||||
(%) | |||||||||||
*Leverage Ratio went live starting 31st December 2021 and hence, columns for previous periods have been left blank
Capital Adequacy Ratio has improved compared to the previous quarter due to an increase in capital from additional profits earned during the quarter. The increase in Credit RWA compared to 30th June 2022 comes from Due from Banks, Investments, Loans & Advances, Unutilized Limits and Counterparty Credit Risk. Market RWA has also increased due to increase in Foreign Exchange risk.
The increase in leverage ratio exposure measure is due to an increase in overall balance sheet size as well as from an increase in off balance sheet exposure. The increase in capital was not in line with increase in exposure and hence, the leverage ratio has reduced compared to 30th June 2022.
Higher increase in High Quality Liquid Assets (HQLA) compared to total liabilities has led to the overall improvement in ELAR.
Total eligible advances have increased compared to 30th June 2022. On the other hand, total stable resources have remained relatively flat. This has led to the overall increase in ASRR.
AED'000 | a | b | c | ||||||
Minimum capital | |||||||||
RWA | requirements | ||||||||
30 Sep 2022 | 30 Jun 2022 | 30 Sep 2022 | |||||||
1 | Credit risk (excluding counterparty credit risk) | 47,788,733 | 46,821,626 | 5,017,817 | |||||
2 | Of which: standardised approach (SA) | 47,788,733 | 46,821,626 | 5,017,817 | |||||
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) | 366,370 | 308,615 | 38,469 | |||||
7 | Of which: standardised approach for counterparty | 366,370 | 308,615 | 38,469 | |||||
credit risk | |||||||||
8 | Of which: Internal Model Method (IMM) | ||||||||
9 | Of which: other CCR | ||||||||
10 | Credit valuation adjustment (CVA) | 292,428 | 259,192 | 30,705 | |||||
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 - fall-back approach | - | - | - | |||||
15 | Settlement risk | - | - | - | |||||
16 | Securitisation exposures in the banking book | - | - | - | |||||
17 | Of which: securitisation internal ratings-based | ||||||||
approach (SEC-IRBA) | |||||||||
18 | Of which: securitisation external ratings-based | - | - | - | |||||
approach (SEC-ERBA) | |||||||||
19 | Of which: securitisation standardised approach | - | - | - | |||||
(SEC-SA) | |||||||||
20 | Market risk | 2,446,416 | 1,717,478 | 256,874 | |||||
21 | Of which: standardised approach (SA) | 2,446,416 | 1,717,478 | 256,874 | |||||
22 | Of which: internal models approach (IMA) | ||||||||
23 | Operational risk | 3,678,449 | 3,678,449 | 386,237 | |||||
24 | Amounts below thresholds for deduction (subject | ||||||||
to 250% risk weight) | |||||||||
25 | Floor adjustment | ||||||||
26 | Total | 54,572,396 | 52,785,360 | 5,730,102 | |||||
3. Leverage ratio
a | ||||
30 Sep 2022 | ||||
AED'000 | ||||
1 | Total consolidated assets as per published financial statements | 63,831,514 | ||
Adjustments for investments in banking, financial, insurance or commercial entities that | ||||
2 | are consolidated for accounting purposes but outside the scope of regulatory | 317,244 | ||
consolidation | ||||
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 | 1,267,013 | ||
9 | Adjustment for securities financing transactions (i.e. repos and similar secured lending) | - | ||
10 | Adjustments for off-balance sheet items (i.e. conversion to credit equivalent amounts of | 5,073,265 | ||
off-balance sheet exposures) | ||||
11 | Adjustments for prudent valuation adjustments and specific and general provisions which | - | ||
have reduced Tier 1 capital | ||||
12 | Other adjustments | 1,413,123 | ||
13 | Leverage ratio exposure measure | 71,902,159 |
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Disclaimer
RAKBANK - National Bank of Ras Al-Khaimah PSC published this content on 16 November 2022 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 16 November 2022 16:18:01 UTC.