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explanatory notes and disclosure templates for Pillar 3 on 30th November 2021 as part of Notice 5508/2021 which was superseded by Notice 1887/2022 issued on 9th May 2022.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.