MARITIME & MERCHANT BANK ASA Pilar III
Pilar III
According to Basel III and
The Capital Requirements Regulation
2022
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Pilar III
RISK ANALYSIS | 6 | ||
3.1 | STATUS | 6 | |
3.2 | IT | 7 | |
3.3 | CREDIT RISK | 7 | |
3.3.1 | LOSS ALLOWANCE | 9 | |
3.3.2 CALCULATION BASIS FOR COMPANIES | 15 | ||
3.3.3 CREDIT MANAGEMENT AND CONTROL | 15 | ||
3.3.4 CONCENTRATION RISK STRESS TEST | 15 | ||
3.4 | ESG | 16 | |
3.5 | INTEREST RATE RISK | 16 | |
3.6 | CURRENCY RISK | 18 | |
3.7 | CVA RISK | 19 | |
3.8 | LIQUIDITY RISK | 19 | |
3.9 | OPERATIONAL RISK | 20 | |
RISK MANAGEMENT IN MARITIME & MERCHANT BANK | 21 | ||
4.1 | CORPORATE GOVERNANCE | 21 | |
4.1.1 | MANAGEMENT PRINCIPLES | 21 | |
4.1.2 | RISK LIMITS - RISK APPETITE | 22 | |
4.1.3 | GOVERNING POLICIES | 22 | |
4.1.4 | FUNCTION POLICIES | 22 | |
4.1.5 WORK PROCESSES AND PROCEDURES | 23 | ||
4.1.6 | KEY CONTROLS | 23 | |
ATTACHMENTS | 24 | ||
STANDARD FORM FOR DISCLOSURE OF COMMON EQUITY CAPITAL | 24 |
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Pilar III
INTRODUCTION
This document describes the risk and capital management of Maritime & Merchant Bank ASA ("the Bank").
The document thus covers the requirements set out in the capital regulation on the disclosure of financial information (Pilar III) under the Basel III regulations and the Regulations for Capital Requirements part IX.
All numbers and calculations shown in the document are based on numbers per. 31.12.2022.
The Bank also conducts a minimum annual analysis of the capital requirement in relation to risk levels and the Bank's capital situation (the Bank's ICAAP and Pilar II ratings). This document is updated according to the reviews made there.
The Bank uses the standard method for calculating capital requirements for credit risk. This implies that officiall and standardized risk weights are used to calculate the capital requirement.
For the calculation of capital requirements for operational risk, the basic method is used, which implies that the capital requirement is calculated in relation to income for the last 3 years (Maritime & Merchant Bank uses revenues for 2020, 2021 and 2022). The Bank does not have a trading portfolio and therefore does not allocate capital requirements for market risk in relation to this.
The purpose of having systems, routines and documentation in relation to the Bank's risk profile and capital management is to create certainty that the Bank has adequate capital to cover the risk associated with its business. This helps to ensure that the Bank has a continuous process for assessing overall capital requirements in relation to the Bank's risk profile at any given time. It must be stressed that this is a process that includes all of the Bank's business and that it is the Board of Directors that sets the conditions for this work. The purpose is also to help ensure that this can help the Bank refine and improve its risk management. This is done via the ongoing processes that take place in the Bank in connection with this and also through periodic audits.
The systems, routines and documentation associated with risk assessment and control cover the entire Bank. No areas are omitted. The guidelines and routines for managing and controlling risk in the Bank cover the following risks:
- Credit, concentration and counterparty risk
- Liquidity risk
- Market risk
- Interest rate risk
- Operational risk (including IT, AML, GDPR and New Products)
- Strategic risk
- ESG risk
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Pilar III
CAPITAL REQUIREMENTS
The Bank's Risk Policy provides a general description of the types of risk the Bank faces and how the Bank should act in relation to these. This is described in the Bank's Risk Policy.
The Bank must at all times maintain control over the risks it faces. In cases where the risk is greater than what is acceptable in relation to our policy, measures must immediately be taken to reduce the risk.
Different risks within the various areas will have different probabilities of occurring and different consequences for the Bank. The emphasis must be to focusing on the risks with the greatest consequences.
Banking entails systematic risk taking versus risk pricing. This means that the risk must not be so high that it threatens the existence of the Bank, while at the same time it must not be so low that it threatens the Bank's earnings. The Bank accepts a moderate risk for its total business.
2.1 COMMON EQUITY TIER 1 (CET 1)
Below is an overview of the Bank's capital and minimum capital requirement regarding Pilar I calculated using the standard method regarding credit risk method and the basic method regarding operational risk. The Bank's capital base consists only of Common Equity Tier 1 (CET 1) capital.
Amounts in 1 000 USD | Calculation | Risk Weight | Balance | |
Basis | ||||
Share capital | 9 709 | 9 709 | ||
Other reserves | 112 949 | 112 949 | ||
- | Dividend | - 4 000 | - 4 000 | |
- | Deferred tax assets and intangible assets | - 49 | - 49 | |
- | This year's result | - | - | |
- | Adjustments to CET1 due to prudential filters | - 147 | - 147 | |
Common Equity Tier 1 (CET 1) | 118 462 | 118 462 | ||
Credit Risks | ||||
+ Bank of Norway | - | 0% | 6 554 | |
+ | Local and regional authorities | - | 0% | 13 661 |
+ | Institutions | 12 278 | 20% | 61 391 |
+ Companies | 295 641 | 83% | 354 496 | |
+ Covered bonds | 11 753 | 10% | 117 529 | |
+ Shares | 192 | 100% | 192 | |
+ Other assets | 2 091 | 100% | 2 091 | |
Total Credit risks | 321 955 | 555 914 | ||
+ | Operational risk | 30 777 | ||
+ | Counterparty risk derivatives (CVA-risk) | 3 268 | ||
Total calculation basis | 356 000 | |||
Capital Adequacy | ||||
Common Equity Tier 1 % | 33.3% | |||
Total capital % | 33.3% |
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Pilar III
2.2 LEVERAGE RATIO
Maritime & Merchant Bank's capital target for the leverage ratio is 10.00%.
The requirement from The Financial Supervisory Authority of Norway is 5% leverage ratio (3% + 2%).
The leverage ratio for Maritime & Merchant Bank was 19.75 % on 31.12.2022.
2.3 BUFFER REQUIREMENTS
Maritime & Merchant Bank's Countercyclical buffer is calculated like this:
Exposure to customers by | Country-specific | Capital requirements | ||
geographical location (1) | USD | buffer | USD | % |
Norway | 123 455 900 | 2.00 % | 2 469 118 | 2.00 % |
Germany | 64 727 143 | 0.00 % | - | 0.00 % |
United Kingdom | 1 823 526 | 1.00 % | 18 235 | 1.00 % |
Singapore | 5 340 117 | 0.00 % | - | 0.00 % |
Hong Kong | 9 061 307 | 1.00 % | 90 613 | 1.00 % |
Other countries | 91 233 400 | 2.00 % | 1 824 668 | 2.00 % |
Other Assets and shares | 2 282 377 | 2.00 % | 45 648 | 2.00 % |
Total | 297 923 771 | 4 448 282 | 1.49 % |
(1) Exposure = Lending to customers + Committed loans - Cash collateral
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Disclaimer
Maritime & Merchant Bank ASA published this content on 22 March 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 22 March 2023 11:42:03 UTC.
