celebrating 100 years of basel ii – pillar iii zayed · 2019-02-26 · 5 emirates nbd bank pjsc -...

CELEBRATING100 YEARS OF

ZAYEDEMIRATES NBDBANK PJSCBASEL II – PILLAR IIIDISCLOSURESFOR THE YEARENDED 31 DECEMBER 2018

EMIRATES NBD BANK PJSC - BASEL II – PILLAR III DISCLOSURES - FOR THE YEAR ENDED 31 DECEMBER 2018

BASEL II – PILLAR III DISCLOSURES

Contents Page

Overview 1

Information on subsidiaries and significant investments 4

Consolidated capital structure as per Basel III 6

Gross credit exposure 11

Capital requirement for market risk as per standardised approach 12

Gross credit exposure by currency 13

Gross credit exposure by geography 14

Gross credit exposure by economic activity 16

Gross credit exposure as per standardised approach 18

Gross credit exposure as per standardised approach (Rated / Unrated) 20

Exposure subject to deduction as per standardised approach (Rated / Unrated) 22

Credit risk mitigation as per standardised approach 24

Impaired loans by economic activity 25

Impaired loans by geography 27

Reconciliation of changes in provision for impaired loans 29

Quantitative disclosures for equity position in the banking book 30

Gross credit exposure by maturity 35

1 2EMIRATES NBD BANK PJSC - BASEL II – PILLAR III DISCLOSURES - FOR THE YEAR ENDED 31 DECEMBER 2018

OVERVIEW (continued)

Quantitative information on risk assessment (per standardised approach) includes:

• Risk weighted assets of the Group - credit risk, market risk and operational risk

• Credit risk profile of gross credit exposure by counterparty classifications, rated/ unrated

• Profile of gross credit exposure by economic activity, geographical region and maturity

• Profile of credit risk mitigation by economic activity, geographical region and maturity

• Profile of impaired loans by economic activity and geographical region

Information on capital adequacy includes:

• Capital adequacy computation

• Capital profile – CET 1, Tier I and Tier II

Introduction

The CBUAE supervises Emirates NBD (“ENBD” or the “bank”) and its subsidiaries (together referred to as the “Group”) on a consolidated basis, and therefore receives information on the capital adequacy of, and sets capital requirements for, the Group as a whole. Effective from 2017, the capital requirements are computed at a Group level using the Basel III framework of the Basel Committee on Banking Supervision (“Basel Committee”), after applying the amendments advised by the CBUAE, within national discretion. The Basel III framework, like Basel II, is structured around three ‘pillars’: minimum capital requirements (Pillar I); supervisory review process (Pillar II); and market discipline (Pillar III).

Pillar III disclosures 2018

Pillar III complements the minimum capital requirements and the supervisory review process. Its aim is to encourage market discipline by developing disclosure requirements which allow market participants to assess certain specified information on the scope of application of Basel III, capital, particular risk exposures and risk assessment processes, and hence the capital adequacy of the institution. Disclosures consist of both quantitative and qualitative information and are provided at the consolidated level.

The CBUAE issued Basel III capital regulations, which came into effect from 1 February 2017 introducing minimum capital requirements at three levels, namely Common Equity Tier 1 (‘CET1’), Additional Tier 1 (‘AT1’) and Total Capital. Additional capital buffers (Capital Conservation Buffer (CCB) and Countercyclical Capital Buffer (CCyB) - maximum up to 2.5% for each buffer) introduced are over and above the minimum CET1 requirement of 7%.

OVERVIEW

In November 2009, The Central Bank of the United Arab Emirates (“CBUAE”) issued guidelines for implementation of Basel II Capital Accord in the banks in UAE. As per the circular, the Standardised Approach for Credit Risk was to apply immediately with an expectation that internationally active UAE banks and larger institutions will migrate to the Foundation Internal Rating Based (FIRB) in due course. The CBUAE Basel II framework is intended to strengthen the market discipline and risk management while enhancing the safety and soundness of the banking industry in UAE.

In February 2017, the new Basel III capital regulations issued by CBUAE came into effect for all Banks in the UAE.

The guidelines for Pillar 1 – Calculation of Credit Risk pertain to the Standardised Approach of Basel II only. One of the major changes brought in with the new guidelines is the ability to apply, on an asset class basis, risk weightings determined from ratings provided by External Credit Assessment Institutions (“ECAI”) approved by CBUAE.

CBUAE requires the Pillar 2 – Supervisory Review Process to focus on each bank’s Internal Capital Adequacy Assessment Process (ICAAP) in addition to Pillar 1 Capital calculations. The ICAAP should include a risk based forward looking view of, but not limited to, Credit, Market and Operational risk Capital.

The purpose of Pillar 3 – Market Discipline is to complement the minimum capital requirements (Pillar 1) and the supervisory review process (Pillar 2). The CBUAE supports the enhanced market discipline by developing a set of disclosure requirements which will allow market participants to assess key pieces of information on the scope of application, capital, risk exposure, risk assessment process and hence the capital adequacy of the institution. The Pillar 3 disclosures, based on a common framework, are an effective means of informing the market about the risks faced by a bank, and provide a consistent and understandable disclosure framework that enhances transparency and comparability.

In compliance with the CBUAE guidelines and Basel II accord, these disclosures include information on the Group’s risk management objectives and policies, risk assessment processes and computation, capital management and capital adequacy.


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n -OVERVIEW (continued)

Future Developments

The CBUAE is in the process of reviewing and incorporating residual Basel III regulations and the Group is tracking these developments and necessary dialogue conducted with the CBUAE, for timely changes to the Capital Management and Disclosure regimes.

In October 2018, CBUAE issued a draft Standard on revised Pillar 3 disclosure requirements that is currently in consultative stage and will supersede the existing pillar 3 disclosure requirements issued in 2009. The revised Pillar 3 disclosure requirements will be implemented in 2019.

Verification

The Pillar III Disclosures for the year 2018 have been appropriately verified internally and have been reviewed by the Group’s statutory auditors.

Implementation of Basel II guidelines

The Group is compliant with Standardised Approach for Credit, Market and Operational Risk (Pillar I) with effect from 31st October 2007.

The Bank also assigns capital on other than Pillar I risk categories, for ‘Interest Rate risk on Banking Book’ and for ‘Business Risk’, within the Pillar II framework. Details on Pillar II methodologies are contained in the section – “Internal Capital Adequacy Assessment Process” of this report.

Group Structure

The Bank was incorporated in the United Arab Emirates on 16 July 2007, under the Commercial Companies Law (Federal Law Number 8 of 1984 as amended) as a Public Joint Stock Company. The bank is listed on the Dubai Financial Market (Ticker: “EMIRATESNBD”). The Federal Law No. 8 of 1984 was replaced by the Federal Law No. 2 of 2015, concerning Commercial Companies which has come into effect from 1 July 2015.

The Group’s principal business activity is corporate banking, consumer banking, treasury and Islamic banking.


CONSOLIDATED CAPITAL STRUCTURE AS PER BASEL III

The CBUAE issued Basel III capital regulations, which came into effect from 1 February 2017 introducing minimum capital requirements at three levels, namely Common Equity Tier 1 (‘CET1’), Additional Tier 1 (‘AT1’) and Total Capital.

Additional capital buffers (Capital Conservation Buffer (CCB) and Countercyclical Capital Buffer (CCyB) - maximum up to 2.5% for each buffer) introduced over and above the minimum CET1 requirement of 7%.

For 2018, CCB is effective in transition arrangement and is required to keep at 1.88% of the Capital base and from 2019; it will be required to be kept at 2.5% of the Capital base. CCyB is not in effect and is not required to be kept for 2018.

Over and above additional capital buffers, the Group as a Domestic Systematically Important Bank (D-SIB) is required to keep an additional D-SIB buffer of 1.13% of the Capital base for 2018. This buffer will increase to 1.5% of the Capital base by 2019.

Regulatory Capital

The Bank’s capital base is divided into three main categories, namely CET1, AT1 and Tier 2 (‘T2’), depending on their characteristics.

• CET1 capital is the highest quality form of capital, comprising share capital, share premium, legal, statutory and other reserves, fair value reserve, retained earnings, non-controlling interest after deductions for goodwill and intangibles and other regulatory adjustments relating to items that are included in equity but are treated differently for capital adequacy purposes under ‘CBUAE’ guidelines.

• AT1 capital comprises eligible non-common equity capital instruments.

• T2 capital comprises qualifying subordinated debt, and undisclosed reserve.

The capital overview as per Basel III framework is given below:

Available capital 2018AED 000

2017AED 000

Common equity tier 1 capital 46,678,016 42,649,802

Tier 1 capital 55,607,384 51,527,359

Total eligible capital 58,802,536 57,782,602

Risk-weighted assets

Credit risk 243,860,147 238,799,078

Market risk 9,035,854 7,841,446

Operational risk 28,043,576 26,381,543

Total risk-weighted assets 280,939,577 273,022,067

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CONSOLIDATED CAPITAL STRUCTURE AS PER BASEL III (continued) The consolidated capital structure as per Basel III is given below:

2018AED 000

2017AED 000

Common Equity Tier 1 (CET1) Capital

Share Capital 5,557,775 5,557,775

Share premium account 12,270,124 12,270,124

Eligible Reserves 4,384,056 4,429,333

Retained Earnings / (-) Loss 32,412,538 27,403,808

Dividend Expected/Proposed (2,223,110) (2,223,110)

Eligible amount of minority interest 9,066 8,028

CET1 capital before the regulatory adjustments and threshold deduction 52,410,449 47,445,958

Less: Regulatory deductions (5,732,433) (5,995,195)

Total CET1 capital after the regulatory adjustments and threshold deduction 46,678,016 41,450,763

Total CET1 capital after transitional arrangement for deduc-tions (CET1) (A) 46,678,016 42,649,802

Additional Tier 1 (AT1) Capital

Eligible AT1 capital 8,929,368 9,477,076

Other AT1 Capital e.g. (Share premium, minority interest) - -

Total AT1 capital 8,929,368 9,477,076

Total AT1 capital after transitional arrangements (AT1) (B) 8,929,368 8,877,557

Tier 2 (T2) Capital

Tier 2 Instruments e.g. subordinated loan 146,900 3,752,068

Other Tier 2 capital (including General Provisions, etc.) 3,048,252 3,102,694

Total T2 Capital 3,195,152 6,854,762

Total T2 capital after transitional arrangements (T2) (C) 3,195,152 6,255,243

Total Regulatory Capital ( A+B+C) 58,802,536 57,782,602

CONSOLIDATED CAPITAL STRUCTURE AS PER BASEL III (continued)

The capital adequacy ratios as per Basel III capital regulation are given below:

Capital Ratio

Minimumcapital

requirement2018 2018 2017

a. Total capital ratio for consolidated Group 13.50% 20.93% 21.16%

b. Tier 1 ratio only for consolidated Group 11.50% 19.79% 18.87%

c. CET1 ratio only for consolidated Group 10.00% 16.61% 15.62%

Total for each significant bank subsidiary:

Emirates Islamic Bank 12.38% 18.19% 17.36%

Each banking subsidiary is directly regulated by its local banking supervisor which sets and monitors its capital adequacy requirements. CBUAE monitors the Capital Adequacy requirements of Emirates NBD at the Group level and also separately for Emirates Islamic Bank and Dubai Bank, subsidiaries of Emirates NBD.

Note: In January 2018, CBUAE issued Basel III Capital supply standards and guidance, based on this guidance Banks are required to deduct proposed dividend from retained earnings while calculating the Capital Adequacy ratio.

Accordingly, the Capital Adequacy ratio for 2017 and 2018 is calculated after considering the impact of proposed dividend for 2017 and 2018.


CAPITAL ADEQUACY (STANDARDISED APPROACH) (continued)

Standardised Approach – Credit risk & credit risk mitigation

Under Standardised Approach, all credit exposures are assessed according to the counterparty classifications and against the External Credit Assessment Institutions (“ECAI”) ratings as advised under national discretion (November 2009):

• Claims on sovereign and central banks in the GCC are risk weighted at 0% (where applicable).• Domestic currency claims on a non-commercial GCC Public Sector Enterprise (PSE) are treated as claims on

their sovereigns if their central bank or monetary authority treats them as such. Foreign currency claims on such a PSE are risk weighted one grade less favorable than its sovereign i.e. 20% risk weight. Claims on other foreign PSEs are risk weighted one grade less favorable than its sovereign.

• Claims on commercial companies owned by a GCC sovereign or PSEs that operate as commercial organisations are treated as claims on a corporate and risk weighted in accordance with ratings from acceptable ECAIs.

• ECAI ratings are also used to determine the capital requirements against exposures to banks and financial institutions. The group uses option 2 (one of alternative risk weight and ECAI ratings matrices as prescribed in the Basel II accord) for determining the capital requirements in line with the supervisory discretion adopted by the CBUAE.

• Claims on corporate entities are risk weighted at prescribed risk weights applicable per the latest ECAI rating of the counterparty. Claims on unrated corporate entities are risk weighted at 100%.

• Consumer banking exposure is classified into ‘Qualified Residential Mortgage’, ‘Qualified regulatory retail portfolio’ and ‘Others’; per the CBUAE Basel II guidelines and are risk weighted at 35%, 75% and 100% respectively.

• All other assets are classified between ‘assets under higher risk categories’ and ‘others’; and risk weighted at prescribed risk weights.

For standardised capital adequacy calculations, the following rules are applied consistently to determine the appropriate ECAI ratings:

• Where more ECAI ratings of two acceptable rating agencies are available, the lower (worse) of the two is considered.

• Where the ECAI ratings are split evenly between all four rating agencies, the more conservative ratings are considered.

• Acceptable ECAI agencies are Moody’s, S&P, Fitch and Capital Intelligence.

CONSOLIDATED CAPITAL STRUCTURE AS PER BASEL III (continued)

TIER I CAPITAL NOTES

The Group has issued a number of regulatory Tier 1 capital notes with details mentioned in the table below. The notes are perpetual, subordinated and unsecured. The Group can elect not to pay a coupon at its own discretion. Note holders will not have a right to claim the coupon and such event will not be considered an event of default. The notes carry no maturity date and have been classified as equity.

Issuance Month / Year Issued Amount Coupon rate

September 2014 USD 500 million (AED 1.83 billion) Fixed interest rate with a reset after six years

May 2013 USD 1 billion (AED 3.67 billion) Fixed interest rate with a reset after six years

June 2009 AED 4 billion Fixed interest rate for the first five years and on a floating rate basis thereafter.

CAPITAL ADEQUACY (STANDARDISED APPROACH)

2018Capital Charge

2017Capital Charge

Total Capital Requirements AED 000 AED 000

Credit Risk 32,921,120 28,531,789

Market Risk 948,765 939,953

Operational Risk 2,944,575 3,165,785

Total Capital Requirements 36,814,460 32,637,527


Market Risk

Market risks subject to capital charge are as follows:

• Interest Rate Risk• Foreign Exchange Risk• Equity Exposure Risk• Commodity Risk• Options Risk

Capital charge on interest rate risk and equity exposure risk is restricted to Bank’s ‘trading book’, while capital charge on Foreign exchange risk applies on the bank’s entire positions.

The total Capital requirement for Market Risk as at 31 December 2018 is AED 949 million (2017: AED 940 million) as detailed below:

CAPITAL REQUIREMENT FOR MARKET RISK AS PER STANDARDISED APPROACH

2018AED 000

2017AED 000

Interest rate risk 847,009 880,038

Equity position risk - 2,714

Options risk 74,935 7,914

Foreign exchange risk 26,821 49,287

Total capital requirement 948,765 939,953

Operational Risk

Basel II framework outlines three methods for calculating the risk charge for operational risk – Basic Indicator, Standardised Approach and Advanced Measurement Approach. The Group presently follows the Standardised Approach.

The total capital requirement for Operational Risk as at 31 December 2018 is AED 2,945 million (2017: AED 3,166 million). This charge is computed by categorizing the Group’s activities into 8 business lines (as defined by Basel II guidelines) and multiplying the line’s three year average gross income by a pre-defined beta factor.

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il po

rtfo

lio35

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,593

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002

36,3

37,5

9536

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,595

1,65

9,88

234

,677

,713

26,6

20,8

06

Clai

ms

secu

red

by re

side

ntia

l pro

pert

y15

,856

,498

-15

,856

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15,8

56,4

98-

15,8

56,4

9810

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Clai

ms

secu

red

by c

omm

erci

al re

al e

stat

e43

,263

,107

1,14

1,37

044

,404

,477

44,4

04,4

77-

44,4

04,4

7744

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Past

due

loan

s28

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479,

914

28,5

68,6

062,

214,

095

-2,

214,

095

2,78

6,40

1

Hig

her-

risk

cate

gorie

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1-

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7

Oth

er a

sset

s16

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-16

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16,3

47,6

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16,3

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Clai

ms

on s

ecur

itise

d as

sets

--

--

--

-

Cred

it de

rivat

ives

(Ban

ks s

ellin

g pr

otec

tion)

--

--

--

-

Tota

l51

6,47

2,74

0 5

0,09

8,62

656

6,57

1,36

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0,17

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6 2

2,67

7,11

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7,50

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3,86

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7

The

grou

p’s

cred

it e

xpos

ure

by G

eogr

aphy

and

Eco

nom

ic a

ctiv

ity,

bot

h fu

nded

and

non

-fun

ded

is d

etai

led

belo

w (c

onti

nued

):

GRO

SS C

RED

IT E

XPO

SURE

BY

ECO

NO

MIC

ACT

IVIT

Y (c

onti

nued

)

31 D

ECEM

BER

2017

Loan

s&

Isla

mic

Fi

nanc

ing

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000

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t se

curi

ties

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mm

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0

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ff-

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shee

t ex

posu

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AED

000

Tota

lno

n-fu

nded

AED

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Tota

lAE

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00

Agric

ultu

re, fi

shin

g &

rela

ted

activ

ities

6,3

74

147

,004

-

153

,378

5

2,96

6 -

156

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209

,515

362

,893

Crud

e, o

il ga

s, m

inin

g &

qu

arry

ing

589,

334

- 25

,135

61

4,46

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0,83

8 -

192,

301

433,

139

1,04

7,60

8

Man

ufac

turin

g8,

500,

926

--

8,50

0,92

6 17

8,83

1 39

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2,

854,

088

3,07

2,30

1 11

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Elec

tric

ity &

Wat

er43

5,37

9 -

- 43

5,37

9 -

- 36

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7 36

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7 79

9,78

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Cons

truc

tion

8,89

8,94

9-

435,

831

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0 1,

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Tran

spor

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icat

ion

3,34

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793

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2

38,0

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38,8

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vest

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1

23,3

80,9

64

151

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1

84,2

34

6,6

00,7

72

5,8

53,7

92

12,

638,

798

164

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,749

Real

Est

ate

44,6

81,5

03 2

02,6

21

- 44

,884

,124

12

4,04

3 19

2,58

3 1,

581,

138

1,8

97,7

64

46,

781,

888

Serv

ices

11,1

35,4

0249

3,25

9 18

4,46

5 11

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11

5,10

3 57

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1,

418,

583

1,59

0,92

2 13

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Sove

reig

n14

0,54

5,64

64,

717,

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2,2

20,5

71

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45,8

78

- 36

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82

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14

7,56

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5

Pers

onal

60

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60,8

72,9

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00

- 2,

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All O

ther

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17

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5,60

3,97

3 8,

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25,7

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24

Add:

Gro

ssin

g up

of i

nter

est

in s

uspe

nse

6,6

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47

- -

6,6

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47

- -

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6,6

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Tota

l 3

36,0

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86,7

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Oth

er A

sset

s in

clud

e Ca

sh &

Dep

osits

with

Cen

tral

Ban

k, D

ue f

rom

Ban

ks, T

radi

ng s

ecur

ities

, Inv

estm

ent

secu

ritie

s [n

et o

f D

ebt

Secu

ritie

s], I

nves

tmen

t pr

oper

ties,

Pr

oper

ty &

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ipm

ent

& O

ther

Ass

ets.


GRO

SS C

RED

IT E

XPO

SURE

AS

PER

STA

ND

ARD

ISED

APP

ROA

CH (R

ATE

D /

UN

RATE

D)

31 D

ECEM

BER

2018

Rate

dAE

D 0

00U

nrat

edAE

D 0

00

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l Gro

ss

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fore

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r CR

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00

Risk

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ght-

ed A

sset

sAE

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00

Clai

ms

on s

over

eign

s8,

811,

937

235,

623,

808

244,

435,

745

244,

435,

745

244,

435,

745

8,24

6,16

8

Clai

ms

on n

on-c

entr

al g

over

nmen

t pub

lic s

ecto

r ent

ities

26

6,64

258

2,15

884

8,80

084

8,80

084

8,80

088

,294

Clai

ms

on m

ulti-

late

ral d

evel

opm

ent b

anks

14,6

90 -

14,6

9014

,690

14,6

90

-

Clai

ms

on b

anks

36,9

54,8

4816

,053

,416

53,0

08,2

6452

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45,5

04,3

9527

,601

,538

Clai

ms

on c

orpo

rate

and

Gov

ernm

ent r

elat

ed e

ntiti

es (G

RE)

1,73

1,11

912

4,58

7,95

512

6,31

9,07

412

6,31

9,07

411

2,76

8,48

011

1,80

0,92

1

Clai

ms

incl

uded

in th

e re

gula

tory

reta

il po

rtfo

lio -

36,

337,

595

36,

337,

595

36,

337,

595

34,

677,

713

26,

620,

806

Clai

ms

secu

red

by re

side

ntia

l pro

pert

y -

15,

856,

498

15,

856,

498

15,

856,

498

15,8

56,4

98

10,

999,

715

Clai

ms

secu

red

by c

omm

erci

al re

al e

stat

e-

44,4

04,4

77

44,4

04,4

77

44,4

04,4

77

44,4

04,4

77

44,4

04,4

77

Past

due

loan

s -

28,

568,

606

28,

568,

606

2,2

14,0

95 2

,214

,095

2,7

86,4

01

Hig

her-

risk

cate

gorie

s -

429

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4

29,9

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429

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Oth

er a

sset

s-

16,3

47,6

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,646

16,3

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4616

,347

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10,6

66,8

70

Clai

ms

on s

ecur

itise

d as

sets

- -

- -

- -

Cred

it de

rivat

ives

(Ban

ks s

ellin

g pr

otec

tion)

- -

- -

- -

Tota

l47

,779

,236

518,

792,

130

566,

571,

366

540,

179,

626

517,

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243,

860,

147

GRO

SS C

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IT E

XPO

SURE

AS

PER

STA

ND

ARD

ISED

APP

ROA

CH (c

onti

nued

)

31 D

ECEM

BER

2017

On

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nce

Shee

t Gr

oss

Out

stan

ding

AED

000

Off

-Bal

ance

Sh

eet

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Ex

posu

re

afte

r Cr

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nver

sion

Fa

ctor

s (C

CF)

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000

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l Gro

ss

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sure

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000

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it R

isk

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igat

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(CRM

) Ex

posu

re

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re C

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000

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00Af

ter

CRM

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00

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eigh

ted

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ts

AED

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Clai

ms

on s

over

eign

s 2

17,8

19,1

32

53,

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217

,872

,839

2

17,8

72,8

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- 2

17,8

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6,1

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Clai

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on n

on-c

entr

al g

over

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t pub

lic s

ecto

r ent

ities

1,14

6,94

2 11

9,15

4 1,

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1,26

6,09

6 -

1,26

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6 1

35,4

16

Clai

ms

on m

ulti-

late

ral d

evel

opm

ent b

anks

14,

503

- 14

,503

14

,503

-

14,5

03

-

Clai

ms

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anks

51,

908,

583

11,

204,

573

63,1

13,1

56

63,

113,

156

5,3

66,8

27

57,

746,

329

28,

637,

975

Clai

ms

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orpo

rate

and

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ernm

ent r

elat

ed e

ntiti

es (G

RE)

78,8

41,0

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37,8

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892

116,

715,

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7,56

7,20

3 10

9,14

8,68

9 10

8,05

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2

Clai

ms

incl

uded

in th

e re

gula

tory

reta

il po

rtfo

lio35

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6

66,3

60

35,

783,

859

35,7

83,8

59

3,4

07,3

53

32,

376,

506

24,

822,

435

Clai

ms

secu

red

by re

side

ntia

l pro

pert

y14

,235

,643

-

14,2

35,6

43

14,2

35,6

43

-14

,235

,643

10

,974

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Clai

ms

secu

red

by c

omm

erci

al re

al e

stat

e41

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1,

278,

043

42,3

63,8

36

42,3

63,8

36

-42

,363

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42

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,836

Past

due

loan

s29

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36

0,62

5 30

,086

,332

5,

744,

083

- 5,

744,

083

6,48

6,04

2

Hig

her-

risk

cate

gorie

s87

0,61

0 -

870

,610

87

0,61

0 -

870

,610

1

,305

,915

Oth

er a

sset

s15

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-

15,9

68,2

80

15,9

68,2

80

-

15,

968,

280

9,86

5,02

2

Clai

ms

on s

ecur

itise

d as

sets

--

--

- -

-

Cred

it de

rivat

ives

(Ban

ks s

ellin

g pr

otec

tion)

- -

--

- -

-

Tota

l 4

86,7

33,7

30

51,

557,

316

538

,291

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5

13,9

48,7

97

16,

341,

383

497

,607

,414

23

8,79

9,07

8


EXPO

SURE

SU

BJEC

T TO

DED

UCT

ION

AS

PER

STA

ND

ARD

ISED

APP

ROA

CH (R

ATE

D/ U

NRA

TED

)

31 D

ECEM

BER

2018

Rate

dA

ED 0

00U

nrat

edA

ED 0

00

Tota

l Gro

ss

Expo

sure

AED

000

Expo

sure

Be

fore

CR

MA

ED 0

00A

fter

CRM

AED

000

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W

eigh

ted

Ass

ets

AED

000

Clai

ms

on s

over

eign

s-

--

--

-

Clai

ms

on n

on-c

entr

al g

over

nmen

t pub

lic s

ecto

r ent

ities

-

--

--

-

Clai

ms

on m

ulti-

late

ral d

evel

opm

ent b

anks

--

--

--

Clai

ms

on b

anks

4,38

3,20

63,

408,

948

7,79

2,15

47,

792,

154

325,

514

162,

757

Clai

ms

on c

orpo

rate

and

Gov

ernm

ent r

elat

ed e

ntiti

es (G

RE)

- 4

7,54

1,48

2 4

7,54

1,48

2 4

7,54

1,48

2 3

3,99

0,88

8 3

3,99

0,88

8

Clai

ms

incl

uded

in th

e re

gula

tory

reta

il po

rtfo

lio-

3,71

4,65

13,

714,

651

3,71

4,65

12,

054,

769

1,5

41,0

76

Clai

ms

secu

red

by re

side

ntia

l pro

pert

y-

--

--

-

Clai

ms

secu

red

by c

omm

erci

al re

al e

stat

e-

--

--

-

Past

due

loan

s-

--

--

-

Hig

her-

risk

cate

gorie

s-

--

--

-

Oth

er a

sset

s-

--

--

-

Clai

ms

on s

ecur

itise

d as

sets

--

--

--

Cred

it de

rivat

ives

(Ban

ks s

ellin

g pr

otec

tion)

--

--

--

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l4,

383,

206

54,

665,

081

59,

048,

287

59,

048,

287

36,

371,

171

35,

694,

721

GRO

SS C

RED

IT E

XPO

SURE

AS

PER

STA

ND

ARD

ISED

APP

ROA

CH (R

ATE

D /

UN

RATE

D) (

cont

inue

d)

31 D

ECEM

BER

2017

Rate

dAE

D 0

00U

nrat

edAE

D 0

00

Tota

l Gro

ss

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sure

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000

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r CR

MAE

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00

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Wei

ghte

d As

sets

AED

000

Clai

ms

on s

over

eign

s6,

927,

542

210,

945,

297

217,

872,

839

217,

872,

839

217,

872,

839

6,14

9,04

3

Clai

ms

on n

on-c

entr

al g

over

nmen

t pub

lic s

ecto

r ent

ities

63

9,47

962

6,61

71,

266,

096

1,26

6,09

61,

266,

096

135,

416

Clai

ms

on m

ulti-

late

ral d

evel

opm

ent b

anks

14,

503

- 14

,503

14,5

03

14,5

03 -

Clai

ms

on b

anks

32,3

27,8

4730

,785

,309

63

,113

,156

63,1

13,1

5657

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,329

28,6

37,9

75

Clai

ms

on c

orpo

rate

and

Gov

ernm

ent r

elat

ed e

ntiti

es (G

RE)

2,35

6,51

611

4,35

9,37

611

6,71

5,89

211

6,71

5,89

210

9,14

8,68

9 10

8,05

9,24

2

Clai

ms

incl

uded

in th

e re

gula

tory

reta

il po

rtfo

lio -

35,7

83,8

59

35,7

83,8

5935

,783

,859

32,3

76,5

0624

,822

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Clai

ms

secu

red

by re

side

ntia

l pro

pert

y -

14,

235,

643

14,2

35,6

4314

,235

,643

14,2

35,6

4310

,974

,152

Clai

ms

secu

red

by c

omm

erci

al re

al e

stat

e-

42,3

63,8

36

42,3

63,8

3642

,363

,836

42,3

63,8

3642

,363

,836

Past

due

loan

s -

30,0

86,3

3230

,086

,332

5,74

4,08

35,

744,

083

6,48

6,04

2

Hig

her-

risk

cate

gorie

s -

870,

610

870,

610

870,

610

870,

610

1,30

5,91

5

Oth

er a

sset

s-

15,9

68,2

8015

,968

,280

15,9

68,2

8015

,968

,280

9,86

5,02

2

Clai

ms

on s

ecur

itise

d as

sets

- -

- -

- -

Cred

it de

rivat

ives

(Ban

ks s

ellin

g pr

otec

tion)

- -

- -

- -

Tota

l42

,265

,887

496,

025,

159

538,

291,

046

513,

948,

797

497,

607,

414

238,

799,

078


CRED

IT R

ISK

MIT

IGA

TIO

N A

S PE

R ST

AN

DA

RDIS

ED A

PPRO

ACH

201

820

17

G

ross

cre

dit

expo

sure

(AED

000

)Ri

sk w

eigh

ted

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Gro

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Risk

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Gro

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566,

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Expo

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Expo

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elig

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ral

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Net

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243,

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147

497,

607,

415

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799,

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ND

ARD

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APP

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ATE

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cont

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31 D

ECEM

BER

2017

Rate

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Clai

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- -

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Clai

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1,31

4,61

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5,72

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85,

724,

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--

Clai

ms

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- 41

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41

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41

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325,

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260,

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Clai

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Past

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--

-

Hig

her-

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cate

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--

-

Oth

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-

Clai

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Cred

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--

--

--

Tota

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314,

610

58,4

56,1

54

59,

770,

764

59,

770,

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28,

488,

263

28,

423,

170


IMPA

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LO

AN

S BY

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NO

MIC

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onti

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)

31 D

ECEM

BER

2017

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rdue

(Gro

ss o

f Int

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AED

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23

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wat

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--

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--

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Cons

truc

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- 2,

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2

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2,

317,

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- 96

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596

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Trad

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Real

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Serv

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9,03

7

77

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273

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(217

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Sove

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- -

- -

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Pers

onal

- 3,

271,

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3

,271

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926,

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All o

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- 1,

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674,

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27,

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1

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3,4

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*Spe

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esen

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ge 3

Exp

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d Cr

edit

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tage

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Cred

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The

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pair

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ans

by G

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Eco

nom

ic A

ctiv

ity

are

as b

elow

:

IMPA

IRED

LO

AN

S BY

ECO

NO

MIC

ACT

IVIT

Y

31 D

ECEM

BER

2018

Ove

rdue

(Gro

ss o

f Int

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pens

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Inte

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AED

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Spec

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ricul

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177

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37,8

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4,19

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2,09

71,

382,

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871,

900

-79

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37,1

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3,95

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Elec

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wat

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246

246

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--

1715

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Cons

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- 3,

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43,

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338

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11)

Trad

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2,51

0,32

42,

510,

324

2,54

7,51

5-

960,

908

66,7

3968

2,35

4(7

19,5

45)

Tran

spor

t, st

orag

e &

co

mm

unic

atio

n -

843,

435

843,

435

468,

343

-9,

372

391,

709

181,

425

193,

667

Fina

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titut

ions

- 9,

028,

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9,02

8,55

36,

673,

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63,8

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Real

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- 4,

411,

470

4,41

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923

6,03

51,

802,

463

(223

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)

Serv

ices

- 2,

524,

217

2,52

4,21

795

8,15

9-

336,

387

418,

203

104,

723

1,46

1,33

5

Sove

reig

n -

--

--

--

--

Pers

onal

- 3,

228,

752

3,22

8,75

21,

494,

057

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216,

571

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1,15

6,74

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All o

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8,30

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9,62

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1

*Spe

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repr

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Exp

ecte

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**G

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pres

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tage

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tage

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ted

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ss (‘

ECL’)

.


IMPA

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LO

AN

S BY

GEO

GRA

PHY

(con

tinu

ed)

31 D

ECEM

BER

2017

Ove

rdue

(Gro

ss o

f Int

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t in

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pens

e / P

rovi

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s)Pr

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ions

Adj

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ents

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rest

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AED

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3,

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exc

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ng U

AE

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9 10

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3,94

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GCC

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39,1

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(95,

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-

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19,8

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- 3,

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--

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5,0

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2,75

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1 2,

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repr

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ge 3

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ecte

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sion

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tage

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tage

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xpec

ted

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ss (‘

ECL’)

.

IMPA

IRED

LO

AN

S BY

GEO

GRA

PHY

31 D

ECEM

BER

2018

Ove

rdue

(Gro

ss o

f Int

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t in

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pens

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rovi

sion

s)Pr

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ions

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ustm

ents

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rest

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AED

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2,9

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09

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2

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96

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7

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ludi

ng

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1

82,1

79

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4,39

4 5

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0

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-

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5,51

4-

--

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a -

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th A

mer

ica

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a -

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bean

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Euro

pe -

293,

346

293,

346

24,1

93 -

596

282,

336

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ralia

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2,

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1 -

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- (7

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88,6

9228

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19,2

59,6

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3,14

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7,09

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cific

pro

visi

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repr

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ge 3

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ecte

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edit

Loss

(‘EC

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ener

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rovi

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pres

ent S

tage

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tage

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xpec

ted

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ss (‘

ECL’)

.


RISK

MA

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GEM

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annu

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Bank

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Curr

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Year

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atel

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Equi

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498,

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120,

488

377,

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Colle

ctiv

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men

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--

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--

--

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749

8,35

712

0,48

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LO

AN

S

2018

AED

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2017

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Bala

nce

of p

rovi

sion

for i

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at 1

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Reve

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)-

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nce

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Add:

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peci

fic P

rovi

sion

s (E

CL S

tage

3)

3,82

2,87

9

3

,464

,643

G

ener

al P

rovi

sion

s (E

CL S

tage

1 a

nd S

tage

2)

(4

6,25

3)

591,

992

Less

: Writ

e-off

of i

mpa

ired

loan

s (3

,148

,844

)(1

,332

,429

)

Less

: Rec

over

y of

loan

s pr

evio

usly

writ

ten

off-

-

Less

: Writ

e ba

ck /

Reco

very

of l

oan

loss

pro

visi

ons

(1,6

31,2

10)

(1,7

77,2

61)

Less

: Adj

ustm

ents

of l

oan

loss

pro

visi

ons

(

1,46

1)(1

,194

)

Bala

nce

of p

rovi

sion

for i

mpa

ired

loan

s as

at 3

1 D

ecem

ber

26,7

02,5

08

2

5,29

3,04

7


QU

AN

TITA

TIVE

DIS

CLO

SURE

S FO

R EQ

UIT

Y PO

SITI

ON

IN T

HE

BAN

KIN

G B

OO

K (c

onti

nued

)

31 D

ECEM

BER

2017

(a) Q

uant

itat

ive

Det

ails

of E

quit

y Po

siti

onA

ED 0

00

Type

FS C

ateg

ory

(FVO

CI/

Am

orti

Sed

cost

)

Base

l II

Cate

gory

(B

anki

ng

book

)

Curr

ent

Year

Publ

icly

Trad

edPr

ivat

ely

Hel

dEq

uitie

s78

0,86

278

0,86

211

,307

769,

555

Colle

ctiv

e in

vest

men

t sch

emes

--

--

Any

othe

r inv

estm

ent

--

--

Tota

l78

0,86

278

0,86

211

,307

769,

555

(b) R

ealis

ed, u

nrea

lised

& la

tent

rev

alua

tion

gai

ns /

(loss

es) d

urin

g th

e ye

arA

ED 0

00

Part

icul

ars

FVO

CI

Gai

ns (L

osse

s)

Real

ised

gai

ns (l

osse

s) fr

om s

ale

and

liqui

datio

ns20

6,43

6U

nrea

lised

gai

ns (l

osse

s) re

cogn

ised

in th

e ba

lanc

e sh

eet b

ut n

ot th

roug

h pr

ofit a

nd lo

ss

acco

unt

158,

477

Late

nt re

valu

atio

n ga

ins

(loss

es) f

or in

vest

men

t rec

orde

d at

cos

t but

not

reco

gnis

ed in

ba

lanc

e sh

eet o

f pro

fit a

nd lo

ss a

ccou

nt-

Tota

l36

4,91

3

(c) I

tem

s in

(b) a

bove

incl

uded

in T

ier

I / T

ier

II Ca

pita

l

A

ED 0

00

Tier

Cap

ital

Am

ount

Amou

nt in

clud

ed in

Tie

r I c

apita

l (re

alis

ed g

ains

)20

6,43

6

Amou

nt in

clud

ed in

Tie

r II c

apita

l (un

real

ised

gai

ns)

71,3

14

Tota

l27

7,75

0

QU

AN

TITA

TIVE

DIS

CLO

SURE

S FO

R EQ

UIT

Y PO

SITI

ON

IN T

HE

BAN

KIN

G B

OO

K (c

onti

nued

)

31 D

ECEM

BER

2018

(d) C

apit

al r

equi

rem

ents

by

Equi

ty g

roup

ings

AED

000

Gro

upin

gA

mou

nt

Inve

stm

ents

in a

ssoc

iate

and

join

t ven

ture

213,

458

Inve

stm

ent s

ecur

ities

67,2

78

Hel

d fo

r tra

ding

-

Tota

l cap

ital

req

uire

men

t28

0,73

6

(e) E

quit

y In

vest

men

ts (Q

uote

d / U

nquo

ted)

- In

clud

ing

priv

ate

equi

ty in

vest

men

ts

AED

000

Part

icul

ars

Bank

ing

Book

(Per

Ba

sel I

I Defi

niti

on)

Trad

ing

Book

(Per

Ba

sel I

I Defi

niti

on)

Quo

ted

120,

488

-

Unq

uote

d37

7,86

9-

Tota

l49

8,35

7-


RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

Foreign Exchange Risk

Foreign exchange risk hedging strategies are used to ensure that positions are always within established limits. The Group has a conservative policy towards foreign exchange risk and has set limits on positions by currency. Foreign exchange risk is measured using position reports showing the net long or short position for currencies, which are monitored on a real-time basis. Foreign exchange risk is actively managed using spot and forward foreign exchange instruments.

The capital requirement for foreign exchange risk as at 31 December 2018 is AED 26.82 million (2017: AED 49.29 million).

Operational Risk

Please refer Note no. 50 in the annual financial statements for detailed risk management objectives and policies for Operational risk.

Liquidity Risk

Please refer Note no. 50 in the annual financial statements for detailed risk management objectives and policies for Liquidity risk.

QU

AN

TITA

TIVE

DIS

CLO

SURE

S FO

R EQ

UIT

Y PO

SITI

ON

IN T

HE

BAN

KIN

G B

OO

K (c

onti

nued

)

31 D

ECEM

BER

2017

(d) C

apit

al r

equi

rem

ents

by

Equi

ty g

roup

ings

AED

000

Gro

upin

gA

mou

nt

Inve

stm

ents

in jo

int v

entu

res

173,

138

Inve

stm

ent s

ecur

ities

93,7

03

Hel

d fo

r tra

ding

-

Tota

l cap

ital

req

uire

men

t26

6,84

1

(e) E

quit

y in

vest

men

ts (Q

uote

d / U

nquo

ted)

- In

clud

ing

priv

ate

equi

ty in

vest

men

ts

AED

000

Part

icul

ars

Bank

ing

Book

(Per

Ba

sel I

I Defi

niti

on)

Trad

ing

Book

(Per

Base

l II D

efini

tion

)Q

uote

d11

,307

-

Unq

uote

d76

9,55

5-

Tota

l78

0,86

2-


GRO

SS C

RED

IT E

XPO

SURE

BY

MA

TURI

TY (c

onti

nued

)

The

follo

win

g ta

ble

lists

the

Gro

up’s

exp

osur

es b

y Re

sidu

al M

atur

ity

(con

tinu

ed):

31 D

ECEM

BER

2017

Loan

s &

Is

lam

ic

Fina

ncin

gD

ebt

secu

riti

esO

ther

asse

tsTo

tal

fund

edCo

mm

it-

men

tsO

TCde

riva

tive

s

Oth

er

off-b

alan

ce

shee

tex

posu

res

Tota

l no

n-fu

nded

Tota

l

AED

000

AED

000

AED

000

AED

000

AED

000

AED

000

AED

000

AED

000

AED

000

Less

than

3 m

onth

s 15

7,66

9,02

3 2

,520

,259

94

,058

,513

254,

247,

795

2,3

35,4

58

4,5

55,1

45

18,7

08,5

24 2

5,59

9,12

7 2

79,8

46,9

22

3 m

onth

s to

1 y

ear

27,8

41,1

58 3

,098

,735

31

,263

,799

62,2

03,6

92 2

,720

,388

1

,144

,239

12

,180

,367

16,

044,

994

78,

248,

686

1 ye

ar to

5 y

ears

59,9

71,9

98 4

,607

,229

3,

887,

164

68,4

66,3

91 -

1,3

73,9

10

6,90

1,73

3 8

,275

,643

7

6,74

2,03

4

Ove

r 5 y

ears

66,2

21,4

834,

218,

373

7,03

3,75

077

,473

,606

- 1

,068

,150

56

9,40

2 1

,637

,552

7

9,11

1,15

8 Ad

d: G

ross

ing

up o

f in

tere

st in

sus

pens

e &

pr

ovis

ions

24,3

42,2

46

- -

24,3

42,2

46 -

--

- 24

,342

,246

Tota

l33

6,04

5,90

814

,444

,596

136,

243,

226

486,

733,

730

5,0

55,8

46

8,14

1,44

438

,360

,026

51,5

57,3

1653

8,29

1,04

6

Oth

er A

sset

s in

clud

e Ca

sh &

Dep

osits

with

Cen

tral

Ban

k, D

ue f

rom

Ban

ks, T

radi

ng s

ecur

ities

, Inv

estm

ent

secu

ritie

s [n

et o

f D

ebt

Secu

ritie

s], I

nves

tmen

t pr

oper

ties,

In

vest

men

t in

ass

ocia

te a

nd jo

int

vent

ures

, Pro

pert

y &

Equ

ipm

ent

& O

ther

Ass

ets.

GRO

SS C

RED

IT E

XPO

SURE

BY

MA

TURI

TY

The

follo

win

g ta

ble

lists

the

Gro

up’s

exp

osur

es b

y Re

sidu

al M

atur

ity:

31 D

ECEM

BER

2018

Loan

s &

Is

lam

ic

Fina

ncin

gD

ebt

secu

riti

esO

ther

as

sets

Tota

lfu

nded

Com

mit

-m

ents

OTC

deri

vati

ves

Oth

er

off-b

alan

ce

shee

tex

posu

res

Tota

l no

n-fu

nded

Tota

l

AED

000

AED

000

AED

000

AED

000

AED

000

AED

000

AED

000

AED

000

AED

000

Less

than

3 m

onth

s 18

5,10

5,42

1 1,

987,

413

99,4

35,0

93

286,

527,

927

1,94

3,11

3 2,

054,

364

19,8

21,0

3423

,818

,511

310,

346,

438

3 m

onth

s to

1 y

ear

25,

947,

506

1,6

63,6

42

29,

412,

501

57,

023,

649

2,2

16,0

57

1,8

07,9

78

9,8

13,3

65

13,

837,

400

70,

861,

049

1 ye

ar to

5 y

ears

64,

698,

039

7,8

25,2

41

3,1

57,4

39

75,

680,

719

- 4

,462

,561

6

,254

,131

1

0,71

6,69

2 8

6,39

7,41

1

Ove

r 5 y

ears

59,6

22,3

594,

750,

266

6,51

3,30

970

,885

,934

-1,

235,

024

490,

999

1,72

6,02

372

,611

,957

Add:

Gro

ssin

g up

of

inte

rest

in s

uspe

nse

&

prov

isio

ns 2

6,35

4,51

1 -

- 2

6,35

4,51

1 -

- -

- 2

6,35

4,51

1

Tota

l36

1,72

7,83

616

,226

,562

138,

518,

342

516,

472,

740

4,15

9,17

09,

559,

927

36,3

79,5

2950

,096

,626

566,

571,

366

Oth

er A

sset

s in

clud

e Ca

sh &

Dep

osits

with

Cen

tral

Ban

k, D

ue f

rom

Ban

ks, T

radi

ng s

ecur

ities

, Inv

estm

ent

secu

ritie

s [n

et o

f D

ebt

Secu

ritie

s], I

nves

tmen

t pr

oper

ties,

In

vest

men

t in

ass

ocia

te a

nd jo

int

vent

ures

, Pro

pert

y &

Equ

ipm

ent

& O

ther

Ass

ets.

37 EMIRATES NBD BANK PJSC - BASEL II – PILLAR III DISCLOSURES - FOR THE YEAR ENDED 31 DECEMBER 2018

RISK MANAGEMENT OBJECTIVES AND POLICIES (continued)

Reputational Risk

Please refer Note no. 50 in the annual financial statements for detailed risk management objectives and policies for reputation risk.

Regulatory / Compliance Risk

Please refer Note no. 50 in the annual financial statements for detailed risk management objectives and policies for Regulatory/compliance risk.

Internal Capital Adequacy Assessment Process

Please refer Note no. 50 in the annual financial statements for detailed risk management objectives and policies for Internal Capital Adequacy Assessment Process.

Internal Audit’s role in overall risk management

Please refer Note no. 50 in the annual financial statements for detailed risk management objectives and policies for details on Internal Audit’s role in overall risk management.

Risk management framework and processes at Emirates Islamic Bank (EI)

Please refer Note no. 50 in the annual financial statements for detailed risk management objectives and policies for details on risk management framework and processes at EIB.

celebrating 100 years of basel ii – pillar iii zayed · 2019-02-26 · 5 emirates nbd bank pjsc -...

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