Commercial Bank International P S C : Basel III Pillar 3 Disclosures June 2023 -

Commercial Bank International P.S.C

Basel III - Pillar 3 Disclosures -30 June 2023

Commercial Bank International PSC

Basel III - Pillar 3 Disclosures - 30 June 2023

Table of Contents
S No	Particulars	Page No
Contents
Introduction	.....................................................................................................................................................	3
Key metrics at consolidated group level (KM1)	3
2.1	Overview of RWA (OV1)	4
Composition of Capital	5
3.1	Composition of Regulatory Capital (CC1)	5
3.2	Reconciliation of Regulatory Capital to Balance Sheet (CC2)	6
3.3	Main Features of Regulatory Capital Instruments (CCA)	7
Macroprudential Supervisory Measures	7
Leverage Ratio	7
5.1	Summary Comparison of Accounting Assets vs Leverage Ratio Exposure Measure (LR1)	7
5.2	Leverage Ratio Common Disclosure Template (LR2)	8
Liquidity Risk	9
6.1 Eligible Liquid Assets Ratio	9
6.2	Advances to Stables Resource Ratio	9
Credit Risk		10
7.1	Credit Quality of Assets (CR1)	10
7.2	Changes in stock of defaulted loans and debt securities (CR2)	10
7.3	Credit risk mitigation techniques - overview (CR3)	10

7.4 Standardised approach - credit risk exposure and Credit Risk Mitigation (CRM) effects (CR4)11

7.5	Standardised approach - exposures by asset classes and risk weights (CR5)	11
Counterparty Credit Risk (CCR)	12
8.1	Credit risk (CCR) exposure by approach (CCR1)	12
8.2	Standardised approach - CCR exposures by regulatory portfolio and risk weights (CCR3)	12
8.3	Composition of collateral for CCR exposure (CCR5)	12
8.4	Credit derivative exposures (CCR6)	13
8.5 Exposures to central counterparties (CCR8)	13
Securitisation	13
Market Risk	14
10.1	Market risk under the standardised approach (MR1)	14

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Commercial Bank International PSC

Basel III - Pillar 3 Disclosures - 30 June 2023

1. 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.

The purpose of this report is to inform market participants of the key components, scope and effectiveness of the Banks risk measurement processes, risk profile and capital adequacy. This is accomplished by providing consistent and understandable disclosure of the Bank's risk profile in a manner that enhances comparability with other institutions.

The Bank has adopted the Standardized Approach for determining the capital requirements for Credit Risk, Market Risk and Operational Risk. This Pillar 3 Report provides details on the Banks risk profile by risk asset class, which form the basis for the calculation of the capital requirement.

2. Key metrics at consolidated group level (KM1)

			AED in 000's		Jun-23	Mar-23	Dec-22	Sep-22	Jun-22
			Available capital (amounts)
1		Common Equity Tier 1 (CET1)	1,823,897	1,770,800	1,751,637	1,521,995	1,557,762
	1a	Fully loaded ECL accounting model	1,774,422	1,722,751	1,686,607	1,472,495	1,531,148
2		Tier 1	2,283,022	2,229,925	2,210,762	1,981,120	2,016,887
	2a	Fully loaded ECL accounting model Tier 1	2,233,547	2,181,876	2,145,732	1,931,620	1,990,273
3		Total capital	2,477,711	2,423,760	2,400,825	2,163,063	2,194,060
	3a	Fully loaded ECL accounting model total capital	2,428,236	2,375,712	2,335,795	2,113,563	2,167,446
			Risk-weighted assets (amounts)
4		Total risk-weighted assets (RWA)	16,897,825	16,828,758	16,665,027	16,013,493	15,543,694
			Risk-based capital ratios as a percentage of RWA
5		Common Equity Tier 1 ratio (%)	10.79%	10.52%	10.51%	9.50%	10.02%
	5a	Fully loaded ECL accounting model CET1 (%)	10.50%	10.24%	10.12%	9.20%	9.85%
6		Tier 1 ratio (%)	13.51%	13.25%	13.27%	12.37%	12.98%
	6a	Fully loaded ECL accounting model Tier 1 ratio (%)	13.22%	12.97%	12.88%	12.06%	12.80%
7		Total capital ratio (%)	14.66%	14.40%	14.41%	13.51%	14.12%
	7a	Fully loaded ECL accounting model total capital ratio (%)	14.37%	14.12%	14.02%	13.20%	13.94%
			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	2.50%	2.50%	2.50%	2.50%	2.50%
	8 + row 9+ row 10)
12		CET1 available after meeting the bank's minimum capital	3.79%	3.52%	3.51%	2.50%	3.02%
	requirements (%)
			Leverage Ratio
13		Total leverage ratio measure	22,720,370	23,312,396	24,903,109	24,849,168	23,382,773
14		Leverage ratio (%) (row 2/row 13)	10.05%	9.57%	8.88%	7.97%	8.63%
	14a	Fully loaded ECL accounting model leverage ratio (%)	9.83%	9.36%	8.62%	7.77%	8.51%
	(row 2A/row 13)
	14b	Leverage ratio (%) (excluding the impact of any	10.05%	9.57%	8.88%	7.97%	8.63%
	applicable temporary exemption of central bank reserves)
			Liquidity Coverage Ratio
15		Total HQLA
16		Total net cash outflow
17		LCR ratio (%)

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Commercial Bank International PSC

Basel III - Pillar 3 Disclosures - 30 June 2023

	Net Stable Funding Ratio
18	Total available stable funding
19	Total required stable funding
20	NSFR ratio (%)

			ELAR
	21		Total HQLA		2,659,124		2,591,505		3,758,184	2,788,500	2,409,294
	22		Total liabilities		16,655,886		16,934,817		18,425,712	17,965,362	16,450,031
	23		Eligible Liquid Assets Ratio (ELAR) (%)		15.97%		15.30%		20.40%	15.52%	14.65%
			ASRR
	24		Total available stable funding		13,344,312		14,914,614		14,893,934	13,832,162	12,812,489
	25		Total Advances		13,192,743		12,975,891		13,734,366	13,457,341	12,458,212
	26		Advances to Stable Resources Ratio (%)		98.86%		87.00%		92.21%	97.29%	97.23%
		2.1 Overview of RWA (OV1)
			AED in 000's			Jun-23	Mar-23		Jun-23
								RWA			Minimum capital requirements
	1		Credit risk (excluding counterparty credit risk)		15,554,030	15,456,425			1,633,173
	2		Of which: standardised approach (SA)		15,554,030	15,456,425			1,633,173
	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)			10,558		25,209			1,109
	7		Of which: standardised approach for counterparty credit risk			10,558		25,209			1,109
	8		Of which: Internal Model Method (IMM)
	9		Of which: other CCR
	10		Credit valuation adjustment (CVA)			10,558		25,209			1,109
	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			284,026		283,261			29,823
	21		Of which: standardised approach (SA)			284,026		283,261			29,823
	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)		16,897,825	16,828,758			1,774,272

Note Minimum capital requirements are calculated @ 10.50%

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Commercial Bank International PSC

Basel III - Pillar 3 Disclosures - 30 June 2023

3. Composition of Capital

3.1 Composition of Regulatory Capital (CC1)

	AED in 000's	Jun-23
		Amounts
	Common Equity Tier 1 capital: instruments and reserves
1	Directly issued qualifying common share (and equivalent for non-joint stock companies) capital plus related stock surplus	1,737,383
2	Retained earnings	(128,158)
3	Accumulated other comprehensive income (and other reserves)	239,199
4	Directly issued capital subject to phase-out from CET1 (only applicable to non-joint stock companies)	-
5	Common share capital issued by third parties (amount allowed in group CET1)	-
6	Common Equity Tier 1 capital before regulatory deductions	1,848,424
	Common Equity Tier 1 capital regulatory adjustments
7	Prudent valuation adjustments	-
8	Goodwill (net of related tax liability)	(24,527)
9	Other intangibles including mortgage servicing rights (net of related tax liability)	-
10	Deferred tax assets that rely on future profitability, excluding those arising from temporary differences (net of related tax	-
liability)
11	Cash flow hedge reserve	-
12	Securitisation gain on sale	-
13	Gains and losses due to changes in own credit risk on fair valued liabilities	-
14	Defined benefit pension fund net assets	-
15	Investments in own shares (if not already subtracted from paid-in capital on reported balance sheet)	-
16	Reciprocal cross-holdings in CET1, AT1, Tier 2	-
17	Investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory	-
consolidation, where the bank does not own more than 10% of the issued share capital (amount above 10% threshold)
18	Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of	-
regulatory consolidation (amount above 10% threshold)
19	Deferred tax assets arising from temporary differences (amount above 10% threshold, net of related tax liability)	-
20	Amount exceeding 15% threshold	-
21	Of which: significant investments in the common stock of financials	-
22	Of which: deferred tax assets arising from temporary differences	-
23	CBUAE specific regulatory adjustments	-
24	Total regulatory adjustments to Common Equity Tier 1	(24,527)
25	Common Equity Tier 1 capital (CET1)	1,823,897
	Additional Tier 1 capital: instruments
26	Directly issued qualifying Additional Tier 1 instruments plus related stock surplus	-
27	OF which: classified as equity under applicable accounting standards	-
28	Of which: classified as liabilities under applicable accounting standards	-
29	Directly issued capital instruments subject to phase-out from additional Tier 1	-
30	Additional Tier 1 instruments (and CET1 instruments not included in row 5) issued by subsidiaries and held by third	-
parties (amount allowed in AT1)
31	Of which: instruments issued by subsidiaries subject to phase-out	-
32	Additional Tier 1 capital before regulatory adjustments	-
	Additional Tier 1 capital: regulatory adjustments
33	Investments in own additional Tier 1 instruments	-
34	Investments in capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation	-
35	Significant investments in the common stock of banking, financial and insurance entities that are outside the scope of	-
regulatory consolidation
36	CBUAE specific regulatory adjustments	-
37	Total regulatory adjustments to additional Tier 1 capital	-
38	Additional Tier 1 capital (AT1)	459,125
39	Tier 1 capital (T1= CET1 + AT1)	2,283,022
	Tier 2 capital: instruments and provisions

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