Banque Saudi Fransi : Basel III – Pillar III Q3 2022

Revised Basel III Pillar 3-

Disclosures

KM1: Key metrics - Sep 30, 2022 (Figures in SAR 000's)

a

b

c

d

e

T

T-1

T-2

T-3

T-4

Available capital (amounts)

Sep-22

Jun-22

Mar-22

Dec-21

Sep-21

1

Common Equity Tier 1 (CET1) (excluding IFRS 9 adjustment)

34,575,747

1a

Fully loaded ECL accounting model

39,000,497

38,463,630

39,916,097

39,466,406

38,729,998

2

Tier 1 (excluding IFRS 9 adjustment)

39,575,747

2a

Fully loaded ECL accounting model Tier 1

39,000,497

38,463,630

39,916,097

39,466,406

39,466,406

3

Total capital (Tier I+Tier II) (excluding IFRS 9 adjustment)

41,854,322

3a

Fully loaded ECL accounting model total capital

41,279,072

40,888,955

42,206,502

41,780,897

41,008,919

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

211,807,224

215,998,255

207,826,417

202,219,816

199,889,085

Risk-based capital ratios as a percentage of RWA

5

Common Equity Tier 1 ratio (%)

16.32%

5a

Fully loaded ECL accounting model Common Equity Tier 1 (%)

18.41%

17.81%

19.21%

19.52%

19.38%

6

Tier 1 ratio (%)

18.68%

6a

Fully loaded ECL accounting model Tier 1 ratio (%)

18.41%

17.81%

19.21%

19.52%

19.74%

7

Total capital ratio (%)

19.76%

7a

Fully loaded ECL accounting model total capital ratio (%)

19.49%

18.93%

20.31%

20.66%

20.52%

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 (%)

0.06%

0.06%

0.06%

0.06%

0.06%

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 (%) (row 8 + row 9 + row

3.06%

3.06%

3.06%

3.06%

3.06%

10)

12

CET1 available after meeting the bank's minimum capital requirements

15.36%

14.75%

16.14%

16.45%

16.32%

(%)

Basel III leverage ratio

13

Total Basel III leverage ratio exposure measure

264,130,388

268,449,806

259,491,923

253,526,031

250,747,393

14

Basel III leverage ratio (%) (row 2 / row 13)

14.98%

14a

Fully loaded ECL accounting model Basel III leverage ratio (%)(row 2a /

14.77%

14.33%

15.38%

15.57%

15.74%

row13)

Liquidity Coverage Ratio*

15

Total HQLA

38,553,231

40,488,803

39,479,123

39,699,525

39,977,145

16

Total net cash outflow

20,808,111

20,146,030

20,369,446

22,185,744

22,729,354

17

LCR ratio (%)

185%

201%

194%

179%

176%

Net Stable Funding Ratio

18

Total available stable funding

146,431,650

147,433,694

146,101,486

142,013,102

141,921,545

19

Total required stable funding

129,716,459

127,046,049

122,600,866

120,725,448

118,439,666

20

NSFR ratio

113%

116%

119%

118%

120%

Public

2/3

Internal Use

a

b

c

Minimum

RWA

capital

requirements

Sep-22

Jun-22

Sep-22

1

Credit risk (excluding counterparty credit risk) (CCR)*

193,515,509

196,205,304

15,481,241

2

Of which standardised approach (SA)

193,515,509

196,205,304

15,481,241

3

Of which internal rating-based (IRB) approach

4

Counterparty Credit Risk

2,421,312

3,247,997

193,705

5

Of which standardised approach for counterparty credit

2,421,312

3,247,997

193,705

risk (SA-CCR)

6

Of which internal model method (IMM)

7

Equity positions in banking book under market-based

approach

8

Equity investments in funds - look-through approach

9

Equity investments in funds - mandate-based approach

10

Equity investments in funds - fall-back approach

11

Settlement risk

12

Securitisation exposures in banking book

13

Of which IRB ratings-based approach (RBA)

14

Of which IRB Supervisory Formula Approach (SFA)

15

Of which SA/simplified supervisory formula approach

(SSFA)

16

Market risk

2,214,413

2,982,740

177,153

17

Of which standardised approach (SA)

2,214,413

2,982,740

177,153

18

Of which internal model approaches (IMM)

19

Operational risk

13,655,990

13,562,214

1,092,479

20

Of which Basic Indicator Approach

21

Of which Standardised Approach

13,655,990

13,562,214

1,092,479

22

Of which Advanced Measurement Approach

23

Amounts below the thresholds for deduction (subject to

250% risk weight)

24

Floor adjustment

25

Total (1+4+7+8+9+10+11+12+16+19+23+24)

211,807,224

215,998,255

16,944,578

Explanation of significant drivers behind differences in reporting periods T and T-1 ;

RWA for Credit risk

decreased mainly due to reduction in

exposure