Al Rajhi Banking and Investment : Pillar III Disclosures

Section

#

Tables and templates

Applicable

1.

Overview of Risk

OV1

Overview of RWA

Yes

Management and

KM1

Key Metrics

Yes

RWA

2.

Leverage Ratio

LR1

Summary comparison of accounting assets vs leverage ratio exposure

Yes

LR2

Leverage ratio common disclosure template

Yes

3.

Liquidity

LIQ1

Liquidity Coverage Ratio

Yes

4.

Composition of

CCA

Main features of regulatory capital instruments and of other TLAC-eligible

Yes

capital and TLAC

instruments

a

b

c

Minimum

RWA

capital

requirements

SAR '000s

Mar-22

Dec-21

Mar-22

Credit risk (excluding counterparty credit risk) (CCR)

405,397,970

384,490,928

32,431,838

Of which standardised approach (SA)

405,397,970

384,490,928

32,431,838

Of which internal rating-based (IRB) approach

-

-

-

Counterparty credit risk

704,276

924,277

56,342

Of which standardised approach for counterparty credit

704,276

924,277

56,342

risk (SA-CCR)

Of which internal model method (IMM)

-

-

-

Equity positions in banking book under market-based

-

-

-

approach

Equity investments in funds - look-through approach

-

-

-

Equity investments in funds - mandate-based approach

-

-

-

Equity investments in funds - fall-back approach

-

-

-

Settlement risk

-

-

-

Securitisation exposures in banking book

-

-

-

Of which IRB ratings-based approach (RBA)

-

-

-

Of which IRB Supervisory Formula Approach (SFA)

-

-

-

Of which SA/simplified supervisory formula approach

-

-

-

(SSFA)

Market risk

2,798,763

2,414,738

223,901

Of which standardised approach (SA)

2,798,763

2,414,738

223,901

Of which internal model approaches (IMM)

-

-

-

Operational risk

37,798,847

37,798,847

3,023,908

Of which Basic Indicator Approach

-

-

-

Of which Standardised Approach

37,798,847

37,798,847

3,023,908

Of which Advanced Measurement Approach

-

-

-

Amounts below the thresholds for deduction (subject to

-

-

-

250% risk weight)

Floor adjustment

-

-

-

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

446,699,856

425,628,790

35,735,989

a

b

c

d

e

SAR '000s

Mar-22

Dec-21

Sep-21

Jun-21

Mar-21

Available capital (amounts)

1

Common Equity Tier 1 (CET1)

74,483,643

70,191,539

66,519,221

62,552,759

59,222,145

1a

Fully loaded ECL accounting model

71,841,179

67,308,851

63,636,533

59,670,071

59,222,145

2

Tier 1

80,983,643

70,191,539

66,519,221

62,552,759

59,222,145

2a

Fully loaded accounting model Tier 1

78,341,179

67,308,851

63,636,533

59,670,071

59,222,145

3

Total capital

86,059,921

75,009,229

71,004,381

66,728,512

63,100,846

3a

Fully loaded ECL accounting model total capital

83,417,457

72,126,541

68,121,693

63,845,824

63,100,846

Risk-weighted assets (amounts)

4

Total risk-weighted assets (RWA)

446,699,856

425,628,790

395,765,556

370,826,095

353,498,271

4a

Total risk-weighted assets (pre-floor)

446,699,856

425,628,790

395,765,556

370,826,095

353,498,271

Risk-based capital ratios as a percentage of RWA

5

Common Equity Tier 1 ratio (%)

16.67%

16.49%

16.81%

16.87%

16.75%

5a

Fully loaded ECL accounting model CET1 (%)

16.08%

15.81%

16.08%

16.09%

16.75%

6

Tier 1 ratio (%)

18.13%

16.49%

16.81%

16.87%

16.75%

6a

Fully loaded ECL accounting model Tier 1 ratio (%)

17.54%

15.81%

16.08%

16.09%

16.75%

7

Total capital ratio (%)

19.27%

17.62%

17.94%

17.99%

17.85%

7a

Fully loaded ECL accounting model total capital

18.67%

16.95%

17.21%

17.22%

17.85%

ratio (%)

Additional CET1 buffer requirements as a percentage of RWA

8

Capital conservation buffer requirement (2.5%

2.50%

2.50%

2.50%

2.50%

2.50%

from 2019) (%)

9

Countercyclical buffer requirement (%)

0.00%

0.00%

0.00%

0.00%

0.00%

10

Bank D-SIB additional requirements (%)

0.50%

0.50%

0.50%

0.50%

0.50%

11

Total of bank CET1 specific buffer requirements

3.00%

3.00%

3.00%

3.00%

3.00%

(%) (row 8 + row 9+ row 10)

12

CET1 available after meeting the bank's minimum

5.67%

5.49%

5.81%

5.87%

5.75%

capital requirements (%)

Basel III Leverage Ratio

13

Total Basel III leverage ratio measure

673,489,447

637,968,559

593,602,031

555,205,300

528,559,513

14

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

12.02%

11.00%

11.21%

11.27%

11.20%

14a

Fully loaded ECL accounting model Basel III

11.63%

10.55%

10.72%

10.75%

11.20%

leverage ratio (%) (row 2A/row 13)

Liquidity Coverage Ratio1

15

Total HQLA

99,428,326

94,787,976

93,066,326

87,715,610

79,694,564

16

Total net cash outflow

80,084,849

78,358,520

74,433,433

69,515,667

56,317,327

17

LCR ratio (%)

124.15%

120.97%

125.03%

126.18%

141.51%

Net Stable Funding Ratio

18

Total available stable funding

474,705,710

458,494,554

428,239,559

403,423,861

385,042,244

19

Total required stable funding2

431,286,771

401,940,132

379,568,440

355,933,724

332,045,854

20

NSFR ratio (%)

110.07%

114.07%

112.82%

113.34%

115.96%

Summary comparison of accounting assets versus leverage ratio exposure measure

Table 1

Row #

Item

SAR '000s

1

Total consolidated assets as per published financial statements

657,628,150

Adjustment for investments in banking, financial, insurance or commercial

2

entities that are consolidated for accounting purposes but outside the

-

scope of regulatory consolidation

Adjustment for fiduciary assets recognized on the balance sheet pursuant

3

to the operative accounting framework but excluded from the leverage

-

ratio exposure measure

4

Adjustments for derivative financial instruments

1,082,811

5

Adjustment for securities financing transactions (i.e. repos and similar

-

secured lending)

6

Adjustment for off-balance sheet items (i.e. conversion to credit equivalent

14,778,487

amounts of off-balance sheet exposures)

7

Other adjustments

-

8

Leverage ratio exposure

673,489,447

#

Item

SAR '000s

On-balance sheet exposures

1

On-balance sheet items (excluding derivatives and SFTs, but including collateral)

657,628,150

2

(Relevant Asset amounts deducted in determining Basel III Tier 1 capital)

-

3

Total on-balance sheet exposures (excluding derivatives and SFTs) (sum of lines

657,628,150

1 and 2)

Derivative Exposures

4

Replacement cost associated with all derivatives transactions (ie net of eligible

-

cash variation margin)

5

Add-on amounts for Potential Financial Exposure (PFE) associated with all

1,082,811

derivatives transactions

6

Gross-up for derivatives collateral provided where deducted from the balance

-

sheet assets pursuant to the operative accounting framework

7

(Deductions of receivables assets for cash variation margin provided in

-

derivatives transactions)

8

(Exempted CCP leg of client-cleared trade exposures)

-

9

Adjusted effective notional amount of written credit derivatives

-

10

(Adjusted effective notional offsets and add-on deductions for written credit

-

derivatives)

11

Total derivative exposures (sum of lines 4 to 10)

1,082,811

Securities financing transaction exposures

12

Gross SFT assets (with no recognition of netting), after adjusting for sales

-

accounting transactions

13

(Netted amounts of cash payables and cash receivables of gross SFT assets)

-

14

Credit Conversion Factor (CCR) exposure for Security Financing Transaction (SFT)

-

assets

15

Agent transaction exposures

-

16

Total securities financing transaction exposures (sum of lines 12 to 15)

-

Other off-balance sheet exposures

17

Off-balance sheet exposure at gross notional amount

29,112,934

18

(Adjustments for conversion to credit equivalent amounts)

(14,334,447)

19

Off-balance sheet items (sum of lines 17 and 18)

14,778,487

Capital and total exposures

20

Tier 1 capital

80,983,643

21

Total exposures (sum of lines 3, 11, 16 and 19)

673,489,447

Leverage ratio

22

Basel III leverage ratio

12.02%

TOTAL

TOTAL WEIGHTED

SAR '000s

UNWEIGHTED

VALUE (Average)

VALUE (Average)

HIGH-QUALITY LIQUID ASSETS

1

Total high-quality liquid assets (HQLA)

-

99,428,326

CASH OUTFLOWS

2

Retail deposits and deposits from small business

269,113,252

22,080,721

customer, of which:

3

Stable deposits

-

-

4

Less stable deposits

269,113,252

22,080,721

5

Unsecured wholesale funding, of which:

166,314,926

70,482,760

6

Operational deposits (all counterparties)

-

-

7

Non-Operational deposits (all counterparties)

166,314,926

70,482,760

8

Unsecured debt

-

-

9

Secured wholesale funding

-

-

10

Additional requirements, of which:

27,925,884

1,129,685

11

Outflows related to derivative exposures and other

-

-

collateral requirements

12

Outflows related to loss of funding on debt products

-

-

13

Credit and liquidity facilities

13,394,600

1,311,987

14

Other contractual funding obligations

-

-

15

Other contingent funding obligations

14,531,284

290,626

16

TOTAL CASH OUTFLOWS

94,166,094

CASH INFLOWS

17

Secured lending (e.g. reverse repos)

-

-

18

Inflows from fully performing exposures

23,618,964

14,072,216

19

Other cash inflows

9,029

9,029

20

TOTAL CASH INFLOWS

14,081,245

TOTAL ADJUSTED VALUE

21

TOTAL HQLA

99,428,326

22

TOTAL NET CASH OUTFLOWS

80,084,849

23

LIQUIDITY COVERAGE RATIO (%)

124.15%