Commercial Bank International P.S.C
Basel III - Pillar 3 Disclosures -30 September 2023
Commercial Bank International PSC
Basel III - Pillar 3 Disclosures - 30th September 2023
Table of Contents | ||
S No | Particulars | Page No |
Contents | ||
Summary Comparison of Accounting Assets vs Leverage Ratio Exposure Measure (LR1) | ||
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Commercial Bank International PSC
Basel III - Pillar 3 Disclosures - 30th September 2023
Introduction
This Basel III - Pillar 3 Report for Commercial Bank International ("CBI" or "the bank") has been prepared in accordance with the public/ market disclosure requirements and guidelines in respect of Pillar 3 of Basel III, as prescribed by the Central Bank of the UAE (CBUAE) and other clarifications received from time to time along with the Formal Disclosure Policy of the Bank.
Based on the revised Capital Standards and guidelines issued by CBUAE, Banks are required to report the Pillar 3 Market Disclosure on quarterly, semi-annually, and annual basis.
Key metrics at consolidated group level (KM1)
AED in 000's | Sep-23 | Jun-23 | Mar-23 | Dec-22 | Sep-22 | ||||||||||||||
Available capital (amounts) | |||||||||||||||||||
1 | Common Equity Tier 1 (CET1) | 1,848,346 | 1,823,897 | 1,770,800 | 1,751,637 | 1,521,995 | |||||||||||||
1a | Fully loaded ECL accounting model | 1,792,273 | 1,774,422 | 1,722,751 | 1,686,607 | 1,472,495 | |||||||||||||
2 | Tier 1 | 2,307,471 | 2,283,022 | 2,229,925 | 2,210,762 | 1,981,120 | |||||||||||||
2a | Fully loaded ECL accounting model Tier 1 | 2,251,398 | 2,233,547 | 2,181,876 | 2,145,732 | 1,931,620 | |||||||||||||
3 | Total capital | 2,503,847 | 2,477,711 | 2,423,760 | 2,400,825 | 2,163,063 | |||||||||||||
3a | Fully loaded ECL accounting model total capital | 2,447,774 | 2,428,236 | 2,375,712 | 2,335,795 | 2,113,563 | |||||||||||||
Risk-weighted assets (amounts) | |||||||||||||||||||
4 | Total risk-weighted assets (RWA) | 17,025,965 | 16,897,825 | 16,828,758 | 16,665,027 | 16,013,493 | |||||||||||||
Risk-based capital ratios as a percentage of RWA | |||||||||||||||||||
5 | Common Equity Tier 1 ratio (%) | 10.86% | 10.79% | 10.52% | 10.51% | 9.50% | |||||||||||||
5a | Fully loaded ECL accounting model CET1 (%) | 10.53% | 10.50% | 10.24% | 10.12% | 9.20% | |||||||||||||
6 | Tier 1 ratio (%) | 13.55% | 13.51% | 13.25% | 13.27% | 12.37% | |||||||||||||
6a | Fully loaded ECL accounting model Tier 1 ratio (%) | 13.22% | 13.22% | 12.97% | 12.88% | 12.06% | |||||||||||||
7 | Total capital ratio (%) | 14.71% | 14.66% | 14.40% | 14.41% | 13.51% | |||||||||||||
7a | Fully loaded ECL accounting model total capital ratio (%) | 14.38% | 14.37% | 14.12% | 14.02% | 13.20% | |||||||||||||
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 (%) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | |||||||||||||
10 | Bank D-SIB additional requirements (%) | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | |||||||||||||
11 | Total of bank CET1 specific buffer requirements (%) (row 8 + row | 2.50% | 2.50% | 2.50% | 2.50% | 2.50% | |||||||||||||
9+ row 10) | |||||||||||||||||||
12 | CET1 available after meeting the bank's minimum capital | 3.86% | 3.79% | 3.52% | 3.51% | 2.50% | |||||||||||||
requirements (%) | |||||||||||||||||||
Leverage Ratio | |||||||||||||||||||
13 | Total leverage ratio measure | 21,494,437 | 22,720,370 | 23,312,396 | 24,903,109 | 24,849,168 | |||||||||||||
14 | Leverage ratio (%) (row 2/row 13) | 10.74% | 10.05% | 9.57% | 8.88% | 7.97% | |||||||||||||
14a | Fully loaded ECL accounting model leverage ratio (%) (row 2A/row | 10.47% | 9.83% | 9.36% | 8.62% | 7.77% | |||||||||||||
13) | |||||||||||||||||||
14b | Leverage ratio (%) (excluding the impact of any | 10.74% | 10.05% | 9.57% | 8.88% | 7.97% | |||||||||||||
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 | 2,653,204 | 2,659,124 | 2,591,505 | 3,758,184 | 2,788,500 |
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Basel III - Pillar 3 Disclosures - 30th September 2023
22 | Total liabilities | 15,846,954 | 16,655,886 | 16,934,817 | 18,425,712 | 17,965,362 |
23 | Eligible Liquid Assets Ratio (ELAR) (%) | 16.74% | 15.97% | 15.30% | 20.40% | 15.52% |
ASRR | ||||||
24 | Total available stable funding | 14,241,683 | 13,344,312 | 14,914,614 | 14,893,934 | 13,832,162 |
25 | Total Advances | 12,661,953 | 13,192,743 | 12,975,891 | 13,734,366 | 13,457,341 |
26 | Advances to Stable Resources Ratio (%) | 88.91% | 98.86% | 87.00% | 92.21% | 97.29% |
Overview of RWA (OV1)
Sep-23 | June-23 | Sep-23 | |||||||
AED In 000's | RWA | Minimum capital | |||||||
requirements | |||||||||
1 | Credit risk (excluding counterparty credit risk) | 15,671,355 | 15,554,030 | 1,645,492 | |||||
2 | Of which: standardized approach (SA) | 15,671,355 | 15,554,030 | 1,645,492 | |||||
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) | 19,360 | 10,558 | 2,033 | |||||
7 | Of which: standardized approach for counterparty credit risk | 19,360 | 10,558 | 2,033 | |||||
8 | Of which: Internal Model Method (IMM) | ||||||||
9 | Of which: other CCR | ||||||||
10 | Credit valuation adjustment (CVA) | 19,360 | 10,558 | 2,033 | |||||
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 - fallback approach | ||||||||
15 | Settlement risk | ||||||||
16 | Securitization exposures in the banking book | ||||||||
17 | Of which: securitization internal ratings-based approach (SEC-IRBA) | ||||||||
18 | Of which: securitization external ratings-based approach (SEC-ERBA) | ||||||||
19 | Of which: securitization standardized approach (SEC-SA) | ||||||||
20 | Market risk | 277,237 | 284,026 | 29,110 | |||||
21 | Of which: standardized approach (SA) | 277,237 | 284,026 | 29,110 | |||||
22 | Of which: internal models approach (IMA) | ||||||||
23 | Operational risk | 1,038,653 | 1,038,653 | 109,059 | |||||
24 | Amounts below thresholds for deduction (subject to 250% risk weight) | ||||||||
25 | Floor adjustment | ||||||||
26 | Total (1+6+10+11+12+13+14+15+16+20+23) | 17,025,965 | 16,897,825 | 1,787,726 |
Note: Minimum capital requirements are calculated at 10.50%
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Basel III - Pillar 3 Disclosures - 30th September 2023
Leverage Ratio
4.1 Summary Comparison of Accounting Assets vs Leverage Ratio Exposure Measure (LR1)
AED in 000's | Sep-23 | ||||
1 | Total consolidated assets as per published financial statements | 18,738,439 | |||
2 | Adjustments for investments in banking, financial, insurance or commercial entities that are consolidated for accounting | (286,178) | |||
purposes but outside the scope of regulatory consolidation | |||||
3 | Adjustment for securitized 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 recognized on the balance sheet pursuant to the operative accounting framework but | (28,072) | |||
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 | 42,007 | |||
9 | Adjustment for securities financing transactions (ie repos and similar secured lending) | - | |||
10 | Adjustments for off-balance sheet items (ie conversion to credit equivalent amounts of off-balance sheet exposures) | 3,028,241 | |||
11 | Adjustments for prudent valuation adjustments and specific and general provisions which have reduced Tier 1 capital | - | |||
12 | Other adjustments | - | |||
13 | Leverage ratio exposure measure | 21,494,437 | |||
4.2 Leverage Ratio Common Disclosure Template (LR2)
AED In 000's | Sep-23 | June-23 | |||
On-balance sheet exposures | |||||
1 | On-balance sheet exposures (excluding derivatives and securities financing transactions (SFTs), but | 18,452,261 | 19,218,700 | ||
including collateral) | |||||
2 | Gross-up for derivatives collateral provided where deducted from balance sheet assets pursuant to the | - | - | ||
operative accounting framework | |||||
3 | (Deductions of receivable assets for cash variation margin provided in derivatives transactions) | - | - | ||
4 | (Adjustment for securities received under securities financing transactions that are recognized as an | - | - | ||
asset) | |||||
5 | (Specific and general provisions associated with on-balance sheet exposures that are deducted from | - | - | ||
Tier 1 capital) | |||||
6 | (Asset amounts deducted in determining Tier 1 capital) | (28,072) | (24,527) | ||
7 | Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of rows 1 to 6) | 18,424,189 | 19,194,173 | ||
Derivative exposures | |||||
8 | Replacement cost associated with all derivatives transactions (where applicable net of eligible cash | 8,238 | 8,391 | ||
variation margin and/or with bilateral netting) | |||||
9 | Add-on amounts for PFE associated with all derivatives transactions | 21,767 | 6,731 | ||
10 | (Exempted CCP leg of client-cleared trade exposures) | - | - | ||
11 | Adjusted effective notional amount of written credit derivatives | - | - | ||
12 | (Adjusted effective notional offsets and add-on deductions for written credit derivatives) | - | - | ||
13 | Total derivative exposures (sum of rows 8 to 12) | 42,007 | 21,170 | ||
Securities financing transactions | |||||
14 | Gross SFT assets (with no recognition of netting), after adjusting for sale accounting transactions | - | - | ||
15 | (Netted amounts of cash payables and cash receivables of gross SFT assets) | - | - | ||
16 | CCR exposure for SFT assets | - | - | ||
17 | Agent transaction exposures | - | - | ||
18 | Total securities financing transaction exposures (sum of rows 14 to 17) | - | - |
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Basel III - Pillar 3 Disclosures - 30th September 2023
Other off-balance sheet exposures
19 | Off-balance sheet exposure at gross notional amount | 5,908,368 | 6,146,547 | |
20 | (Adjustments for conversion to credit equivalent amounts) | (2,880,127) | (2,641,520) | |
21 | (Specific and general provisions associated with off-balance sheet exposures deducted in determining | - | - | |
Tier 1 capital) | ||||
22 | Off-balance sheet items (sum of rows 19 to 21) | 3,028,241 | 3,505,027 | |
Capital and total exposures | ||||
23 | Tier 1 capital | 2,307,471 | 2,283,022 | |
24 | Total exposures (sum of rows 7, 13, 18 and 22) | 21,494,437 | 22,720,370 | |
Leverage ratio | ||||
25 | Leverage ratio (including the impact of any applicable temporary exemption of central bank | 10.735% | 10.048% | |
reserves) | ||||
26 | CBUAE minimum leverage ratio requirement | 3.000% | 3.000% | |
27 | Applicable leverage buffers | 7.735% | 7.048% |
Liquidity Risk
Liquidity Coverage Ratio (LIQ1) & Net Stable Funding Ratio (LIQ2)
Not Applicable - Not a regulatory requirement for Commercial Bank International as of Q3 2023.
5.1 Eligible Liquid Assets Ratio (ELAR)
AED In 000's | Sep-23 | ||||||||||
1 | High Quality Liquid Assets | Nominal | Eligible Liquid | ||||||||
amount | Asset | ||||||||||
1.1 | Physical cash in hand at the bank + balances with the CBUAE | 1,184,787 | |||||||||
1.2 | UAE Federal Government Bonds and Sukuks | 960,901 | |||||||||
Sub Total (1.1 to 1.2) | 2,145,688 | 2,145,688 | |||||||||
1.3 | UAE local governments publicly traded debt securities | 507,516 | |||||||||
1.4 | UAE Public sector publicly traded debt securities | 0 | |||||||||
Sub total (1.3 to 1.4) | 507,516 | 507,516 | |||||||||
1.5 | Foreign Sovereign debt instruments or instruments issued by their respective central | 0 | 0 | ||||||||
banks | |||||||||||
1.6 | Total | 2,653,204 | 2,653,204 | ||||||||
2 | Total liabilities | 15,846,954 | |||||||||
3 | Eligible Liquid Assets Ratio (ELAR) | 16.74% |
5.2 Advances to Stables Resource Ratio (ASRR)
AED in 000's | Sep-23 | ||
Items | Amount | ||
1 | Computation of Advances | ||
1.1 | Net Lending (gross loans - specific and collective provisions + interest in suspense) | 11,796,175 | |
1.2 | Lending to non-banking financial institutions | 341,822 | |
1.3 | Net Financial Guarantees & Stand-by LC (issued - received) | 207,786 | |
1.4 | Interbank Placements | 316,170 | |
1.5 | Total Advances | 12,661,953 |
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Basel III - Pillar 3 Disclosures - 30th September 2023
2 | Calculation of Net Stable Resources | |||
2.1 | Total capital + general provisions | 2,829,845 | ||
Deduct: | ||||
2.1.1 | Goodwill and other intangible assets | 28,072 | ||
2.1.2 | Fixed Assets | 435,193 | ||
2.1.3 | Funds allocated to branches abroad | - | ||
2.1.5 | Unquoted Investments | 17,375 | ||
2.1.6 | Investment in subsidiaries, associates, and affiliates | 91,806 | ||
2.1.7 | Total deduction | 572,446 | ||
2.2 | Net Free Capital Funds | 2,257,399 | ||
2.3 | Other stable resources: | |||
2.3.1 | Funds from the head office | - | ||
2.3.2 | Interbank deposits with remaining life of more than 6 months | 1,242,163 | ||
2.3.3 | Refinancing of Housing Loans | - | ||
2.3.4 | Borrowing from non-Banking Financial Institutions | 302,918 | ||
2.3.5 | Customer Deposits | 10,439,203 | ||
2.3.6 | Capital market funding/ term borrowings maturing after 6 months from reporting date | - | ||
2.3.7 | Total other stable resources | 11,984,284 | ||
2.4 | Total Stable Resources (2.2+2.3.7) | 14,241,683 | ||
3 | Advances To Stable Resources Ratio (1.6/ 2.4*100) | 88.91 | ||
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Commercial Bank International PSC published this content on 07 November 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 13 November 2023 11:25:07 UTC.