zenith bank (uk) limited · pillar 3 disclosures 31 december 2018 page 4 1. introduction 1.1....

ZENITH BANK (UK) LIMITED

PILLAR 3 DISCLOSURES FOR THE YEAR ENDED

31 DECEMBER 2018

Contents

1. Introduction ....................................................................................................................... 4

1.1. Business Profile .................................................................................................................................... 4

1.2. ZBUK’s Parent ...................................................................................................................................... 4

1.3. Principal Activities ................................................................................................................................ 4

1.4. Risk Management Overview ................................................................................................................. 6

1.5. Basis of Disclosures .............................................................................................................................. 6

1.6. Frequency ............................................................................................................................................ 6

2. Risk Governance............................................................................................................... 6

2.1. Overview ............................................................................................................................................. 6

2.2. Board of Directors ................................................................................................................................ 6

2.3. Board Committees ................................................................................................................................ 7

2.4. Management Committees .................................................................................................................... 8

2.5. Oversight of Strategy, Policies and Procedures ..................................................................................... 10

2.6. Assurance .......................................................................................................................................... 11

Internal Audit Programme ................................................................................................................... 11

External Audit ..................................................................................................................................... 11

Compliance ......................................................................................................................................... 11

3. Risk Appetite and Risk Management Policies .............................................................. 11

3.1. Risk Appetite ...................................................................................................................................... 11

3.2. Credit Risk .......................................................................................................................................... 11

Management of Credit Risk ................................................................................................................ 12

3.3. Liquidity Risk ...................................................................................................................................... 12

Management of Liquidity Risk............................................................................................................. 12

3.4. Market Risk ........................................................................................................................................ 12

3.5. Interest Rate Risk ............................................................................................................................... 12

3.6. Operational Risk ................................................................................................................................. 12

3.7. Other Key Risks and Sensitivities ......................................................................................................... 13

4. Capital Adequacy Overview & Resources..................................................................... 13

4.1. Capital Management .......................................................................................................................... 13

4.2. Capital Resources ............................................................................................................................... 13

4.3. Capital Allocation ............................................................................................................................... 14

Pillar 1 Allocation ................................................................................................................................ 14

Pillar 1 Credit Risk .............................................................................................................................. 14

Pillar 1 Operational Risk ..................................................................................................................... 14

Pillar 1 Market Risk ............................................................................................................................. 15

4.4. Pillar 2 Assessment Process ................................................................................................................. 15

4.5. Leverage Ratio ................................................................................................................................... 15

5. Credit Risk ....................................................................................................................... 16

5.1. Definition of Credit Risk ...................................................................................................................... 16

5.2. Credit Exposure by residual maturity and exposure class ...................................................................... 16

Credit Exposure by Geographical distribution ................................................................................................. 17

5.3. Provisioning ....................................................................................................................................... 18

5.4. Credit Risk by credit quality steps ........................................................................................................ 18

Controls and Credit Risk Mitigation .................................................................................................... 18

5.5. Collateral ........................................................................................................................................... 19

6. Market Risk...................................................................................................................... 20

6.1. Definition of Market Risk .................................................................................................................... 20

6.2. Interest Rate Risk ............................................................................................................................... 20

6.3. Foreign Exchange Risk......................................................................................................................... 20

7. Operational Risk ............................................................................................................. 20

8. Concentration Risk ......................................................................................................... 21

9. Remuneration .................................................................................................................. 21

9.1. Remuneration Policy .......................................................................................................................... 21

9.2. Remuneration and Appointments Committee ...................................................................................... 21

9.3. Incentive Calculations ......................................................................................................................... 22

10. Notices ............................................................................................................................. 22

Pillar 3 Disclosures 31 December 2018

1. Introduction

1.1. Business Profile

Zenith Bank (UK) Limited (‘ZBUK’ or ‘Zenith UK’ or ‘the Bank’) was incorporated on 13th February 2006. It is a

wholly owned subsidiary of Zenith Bank Plc. (‘ZBPLC’ or ‘Zenith Nigeria’) one of the leading financial services

groups in Nigeria.

ZBUK was authorised on 30th March 2007 at which date it commenced trading and is staffed with experienced,

professional bankers with extensive knowledge of Corporate and Correspondent Banking, Trade and Commodity

Finance, Wealth Management and Treasury.

The Bank markets and offers a range of banking products and services with its target market being West African

companies, international corporations, commodity traders, investment banks, institutional investors, governments

and supranational organisations as well as high net worth individuals.

The Bank generates revenues through the extension of credit to corporate customers and high net worth

individuals, participating in revolving credit facilities, syndicated structured trade finance facilities, the distribution

of government, bank and corporate securities and Eurobonds, processing of Letters of Credit and related trade

services and payments. The Bank also offers investment mortgages and advisory services to its wealth

management customers.

1.2. ZBUK’s Parent

Zenith Bank Plc. is one of the biggest and most profitable banks in Nigeria. The bank was established in May 1990

and started operations in July same year as a commercial bank.

It became a public limited company on June 17, 2004 and was listed on the Nigerian Stock Exchange on October

21, 2004 following a highly successful Initial Public Offering (IPO). The bank presently has a shareholder base of

639,403 (2017: 642,455).

In November 2007 Zenith Bank Plc. returned to the capital market to raise about N130 billion in a combined rights

issue and public offer. The rights issue and public offering were concluded in February 2008 after which date

Zenith Bank Plc.’s capital base stood at N300 bn. During 2013 Zenith Bank Plc. listed on the London Stock Exchange

with 125 million global depositary receipts for a total value of US$850 million. No new capital was raised as the

bank bought back shares in its home market before launching the GDRs in London. As at 31 December 2018, Zenith

Bank Plc’s capital base at group level stood at N815.8 billion (US$2.2 billion equivalent) (Dec-17 restated:

N812.1billion - US$2.3 billion equivalent) including non-controlling interests reflecting an annual increase of N3.7

billion in Naira capital base.

1.3. Principal Activities

ZBUK provides products and services to UK, European and other corporations trading with and investing in Nigeria,

Ghana and other West African countries.

ZBUK works with Nigerian, Ghanaian and other banks and corporations to facilitate trade and investment flows as

well as participating in Trade and Project financings for West African borrowers.

The current business profile is that of a wholesale banking institution covering Trade Services, Wealth

Management, Corporate Banking, Correspondent Banking and Financial Institutions, Treasury and Dubai Branch

with the following activities:


Corporate Banking

ZBUK acts as banker to certain Nigerian and West

African corporate entities and European

manufacturing and trading companies. The range of

products in this area include:

- Deposit facilities / Business current and call

accounts

- Term loans, Participations in syndicated facilities &

Foreign exchange

Financial institutions

- Payments

- Trade Services, Foreign exchange, Eurobonds

- Money market loans and deposits

- Loan/Risk participations (primary/secondary)

- Secondary Market sales (loans and LCs)

Correspondent Banking - Correspondent bank accounts, Payments & Trade

Services

Trade Services

- Import / Export / Stand-by / Back-to-Back Letters

of Credit

- Discounting / Refinancing, Contract Guarantees

- Import and Export Collections

- LC advising and Documents Checking

Bond Investment

ZBUK invests in Sub-Saharan Africa Bonds as part of

its strategy to diversify its exposures across the

region. These investments mainly represent African

governments, financial institutions and multilateral

development banks with an acceptable credit

standing (in line with the approved Risk appetite).

Bond Trading

ZBUK acts as broker in Sub-Saharan Africa Bonds as

part of its strategy to establish itself as the leading

bank in the UK providing financial services within

Africa. It aims to become a gateway into Africa for

its non-African customers and a recognised

participant in the African Capital Markets.

Governments and parastatals

ZBUK acts as banker to the Government and

parastatals of Nigeria. The ZBUK Treasury is

responsible for this service.

Dubai Branch Office

Relationship management office, covering Trade

Services and other corporate banking issues, with all

input and documentation being processed in ZBUK

in London (the Dubai Branch is not a booking

centre).

Wealth Management

ZBUK provides Wealth Management and banking

services to private individuals primarily from West

Africa, with an emphasis on Nigeria, Ghana and the

diaspora. The range of products and services offered

in this area include:

- Current accounts, Saving and fixed term deposit

accounts

- Investment mortgages

- Investment services, including custodian services

and Sub-Saharan Africa Eurobonds

Online Retail Deposits Fixed rate online savings accounts – 1, 2 and 3 year

deposit accounts available to UK residents.


1.4. Risk Management Overview

Disclosures in this document fall under Pillar 3 of the Basel III Capital Requirements Directive (CRD) which require

that ZBUK publishes certain information relating to its risk management and capital adequacy.

The disclosure requirements compliment the two other pillars of the CRD, the minimum capital requirements

(Pillar 1) and the supervisory review process (Pillar 2) which has been captured within ZBUK’s Internal Capital

Adequacy Assessment Process (ICAAP) report. In terms of the Pillar 1 requirements the Bank has adopted the

Standardised Approach for Credit and Market Risk and the Basic Indicator Approach for Operational Risk.

The aim of the disclosures is to encourage market discipline and allow market participants and stakeholders to

assess key pieces of information on risk exposures and the risk assessment process.

1.5. Basis of Disclosures

ZBUK’s disclosures have been prepared in accordance with the PRA Rulebook and relevant Supervisory Statements

and cover the qualitative and quantitative disclosure requirements therein. The disclosures should be read in

conjunction with the ZBUK Directors’ Report and Financial Statements for the corresponding financial year, which

are published each year.

1.6. Frequency

The Pillar 3 Disclosures Report will be made on an annual basis and will be published on the Bank’s website at

“www.zenith-bank.co.uk” together with or shortly after the Directors’ Report and Financial Statements. Before

publication this report will be formally presented to the Board of Directors for review and approval.

2. Risk Governance

2.1. Overview

ZBUK’s risk management focuses on major areas of strategic risk, business risk, credit risk, market risk (including

interest rate risk, counterparty risk and foreign exchange risk), liquidity and funding risk, operational risk (including

conduct risk and cyber risk), compliance risk, regulatory risk and reputational risk. The management of these risks

ultimately rests with the Board of Directors as the ultimate governing authority of the Bank.

2.2. Board of Directors

The Board of Directors of ZBUK is ultimately responsible for ensuring that the Bank’s capital (and liquidity) remains

adequate at all times. In performing these duties, The Board has approved the strategic direction and policies to

conduct the business within approved parameters and risk tolerance stated in the Risk Appetite Statement.

To this end, the Board will:

Approve the Strategy, monitor its implementation, approve changes and compare performance against the plan

Approve risk tolerance stated in the Risk Appetite Statement and any changes to these

Approve strategic level policies, framework and any recommended changes to these

Ensure that appropriate systems of internal controls are put in place and maintained to enforce conformity with

the provisions of the policy. This will include the existence of appropriate structures, segregation of duties and

delegation of responsibilities to relevant staff

Monitor ZBUK’s Balance sheet, credit and liquidity risk profile periodically to ensure its robustness for the Bank’s

operating activities.

The Board has allocated the responsibility for execution of the strategy to the Executive management and uses its

specialised committees to monitor and control the activities.


The ‘Senior Managers and Certification Regimes’ (SMCR) have enhanced the individual responsibility and

accountability of the key functions of the bank. Affecting both senior and junior employees, the regime has

stipulated the expectations in terms of behaviour and duties. In line with this, various responsibilities have been

defined and allocated amongst the various Committees and Personnel.

In order to align to the PRA rules and improve the Bank’s governance, the Audit and Risk Committee has been

separated into the Board Risk Committee (which has assumed the responsibilities of the old Board Credit

Committee) and the Audit and Compliance Committee.

The Board is composed of the Non-Executive Chairman, five non-executive directors (includes three independent

directors), Chief Executive Officer and the Executive Director (Business Development).

The table below discloses the number of directorships held by respective directors as at 31st December 2018,

including those in Zenith Bank Group.

Director Name Role Directorships

Jim Ovia Chairman 4

Peter Amangbo Non-Executive Director 4

Jeffery Efeyini Non-Executive Director 2

Ian Ogilvie Non-Executive Director 2

David Somers Non-Executive Director 3

Andrew Gamble Non-Executive Director 5

Pamela Yough Chief Executive 1

Anthony Uzoebo Executive 1

ZBUK are committed to the principle of equal opportunities in employment for all employees, which is equally

applicable to the Board members.

2.3. Board Committees

The Board has established four sub-committees:

Composition and Responsibilities of Board Committees

Committee Members Responsibilities Frequency of

Meetings

Board Risk

Committee

(BRC)

5 Non-Executive Directors

Observers:

Chief Executive Officer

Executive Director

Chief Risk Officer

Head of Business

Development

Head of Internal Audit

The BRC supports the Board's Corporate

Governance responsibilities in relation to

risk management. The Committee

considers and recommends to the Board

the Bank's risk management framework

including policies relating to the

management of current and future risks.

BRC recommends the Internal Capital

Adequacy Assessment process (ICAAP),

the Internal Liquidity Adequacy

Assessment process (ILAAP), Recovery

Plan and Resolution Pack, the Risk

Appetite Statement (RAS) and others as

well as reviewing Credit Risk Management

and Risk Governance Framework.

Quarterly

and as

required


Composition and Responsibilities of Board Committees


Meetings

Audit &

Compliance

Committee

(ACC)


Observers:


Chief Financial Officer

Chief Operating Officer

Head of

Compliance/MLRO


The ACC supports the Board’s Corporate

Governance responsibilities in respect of

all aspects of Audit and Compliance.

Approves internal, external audit and

compliance arrangements including

monitoring of the operation of the Bank’s

Internal Audit and the internal control

framework. The ACC also recommends

the Financial Statements, approves

financial crime and general compliance

policies, governance controls and

procedures and reviews ‘whistleblowing’

arrangements.

Quarterly

and as

required

Remuneration &

Appointments

Committee

(RAC)



Head of HR

Determines the remuneration,

appointment and contractual

arrangements of individual executive

directors, non-executive directors and

senior staff, having regard to a general

policy framework for executive

remuneration established by the Board.

Quarterly

and as

required

Strategy

Committee


Observers:

EXCO members

To review the business and operational

strategy of ZBUK. Taking into account

results of capital planning (ICAAP).

Twice

annually

2.4. Management Committees

To support the work of these Committees the management have established the following Management

Committees:

Composition and Responsibilities of Management Committees


Meetings

Executive

Committee

(EXCO)


Executive Director

Head of Business

Development


Chief Risk Officer


Head of

Compliance/MLRO

Head of Markets

Head of Correspondent

Banking and Financial

Institutions

Head of HR

Head of IT

Head of Legal


Formulates the strategy of the Bank, in

compliance with the Zenith Group’s

strategy.

Ensures the Bank is managed in

accordance with the agreed strategy;

and is managed in a sound, prudent

and ethical manner.

Approves on behalf of the Board the

Bank’s risk management framework,

other risk management policies and

arrangements and internal control

policies. Covers and implements AML

and compliance policies and approves

financial information, including

budgets and forecasts and considers

operational risk issues, within policies

and procedures.

Weekly




Meetings

Asset & Liability

Committee

(ALCO)


Executive Director


Chief Risk Officer

Head of Markets



Liquidity Manager

Manager, Market Risk

Head of Business

Development and

Senior MM Dealer

(by invitation)

Manages the Bank’s balance sheet

within the defined risk appetite and

risk/return preferences set by the

Board. Provides the Bank with the

ability to continuously assess current

asset and liability management (ALM)

direction, liquidity management and

reporting and balance sheet structure.

Weekly

Market Risk

Committee

(MRC)


Executive Director


Chief Risk Officer

Head of Markets



Manager, Market Risk

Head of Business

Development and

Senior MM Dealer

(by invitation)

Monitors the Bank’s positions in terms

of interest and exchange rates,

assessing market volatility and key

market trends. Reviews market risk

strategy and sets key limits for all

market risks for foreign exchange and

other trading and the reporting

thereof. The committee reports to

ALCO.

Weekly

Management

Credit

Committee

(MCC)


Executive Director


Chief Risk Officer


Manager Credit Risk

(by invitation)

Responsible for reviewing and

approving all credit matters in line

with the approved policies. Establish

guidelines for pricing credit facilities

and review portfolio diversification.

All Credits approved to thereafter go

to ZPLC Global Credit Committee

(GCC) and BRC (if applicable) for final

approval

Weekly

New Products

Committee

(NPC)


Executive Director


Chief Risk Officer

Head of

Compliance/MLRO

Head of Markets


Head of IT

Approve plans for the introduction of

new products and their

implementation. Ensure that before

new products, activities, processes

and systems are introduced or

undertaken, the operational risk

inherent in them is subject to

adequate assessment procedures.

When

required

Security

Committee

(SC)


Chief Risk Officer Head of

Compliance/MLRO


Head of HR and Admin

Head of IT Head of IA

Responsible for the virtual and

physical security of the Bank’s systems

and infrastructure, including

monitoring and audit of security. Quarterly




Meetings

IT Steering

Committee

(ITSC)



Head of IT

Head of

Compliance/MLRO

Chief Risk Officer

Senior Manager

Operations

Approves IT plans, policies, and major

IT expenditures and oversees all IT

activities.

Quarterly

HR Committee

(HRC)


Executive Director


Head of HR

Consider and recommend changes to

existing HR policies, propose new HR

policies.

Provide the RAC with remuneration

recommendations.

Discuss any HR matters that need

urgent consideration.

When

required

Marketing

Committee

Executive Director

Business Development

Head of Africa Desk

Head of International

Desk

Head of FI and

Correspondent Banking

Head of Markets

Marketing

Communications Manager

(by invitation)

The Committee is responsible for

planning, agreeing and effecting a

marketing plan to support the

marketing and business strategies.

Monthly

Tenders

Committee




Chief Risk Officer


To approve the List of Tenderers for

contracts of up to a de minimus

amount set out in its ToR, or such

agreements which are deemed crucial

to the operation of ZBUK and

recommend to EXCO any such

agreements in excess of this level.

When

required

2.5. Oversight of Strategy, Policies and Procedures

ZBUK’s risk management assurance and oversight ensures the following:

• Plans and budgets are formulated by the appropriate business units, which are recommended to the

Board for approval following review by the Executive Committee and ACC. Business strategy is reviewed

by the Executive Committee and Strategy Committee before approval by the Board.

• The Bank’s Risk Appetite Statement is produced and approved by the Board annually (refer to section 3.1

for more details).

• Credit risk and liquidity risk are monitored and controlled according to agreed policies and procedures.

• Internal control incorporates the identification and monitoring of risks by Risk Management using a Risk

Register, which is subject to regular review.

• Risk management strategy, policies and procedures are the responsibility of the Chief Risk Officer

reporting to the Chief Executive Officer and working in conjunction with the other members of EXCO and

are overseen by the Board and BRC.


• The Bank adheres to the PRA’s ICAAP and ILAAP requirements in planning, policy setting and operational

management.

2.6. Assurance

Assurance evaluation is provided to the Board through the Audit and Compliance Committee which monitors

assurance, auditing, and compliance.

Internal Audit Programme

The Bank’s Internal Audit programme seeks the promotion of accuracy and efficiency in ZBUK’s operational,

financial, administrative and risk management controls.

The Head of Internal Audit, who reports to the Chairman of the Audit and Compliance Committee, prepares an

annual auditing programme, which is forwarded to the CEO for review. This plan is submitted by the Head of

Internal Audit to the Audit and Compliance Committee for approval. When this has been approved, a copy is

shared with the Bank's Auditors and the Group Chief Inspector. The Head of Internal Audit reports regularly to the

ACC on the progress of the Internal Audit plan.

External Audit

External audit is undertaken by the Bank’s appointed Auditors (currently KPMG L.L.P) to approve and issue their

opinion on the Bank’s financial statements and valuations and to provide feedback to the Audit and Compliance

Committee and the Board on the operation of the internal financial controls which are reviewed as part of the

annual audit.

Compliance

The Compliance function exists to monitor and assess the adequacy and effectiveness of the measures and

procedures to comply with the Bank’s regulatory obligations and to minimise associated risks. Compliance also

maintains the systems and controls to tackle risk that the Bank may be used to further financial crime.

The Bank operates a strict and comprehensive anti-money laundering policy. All members of staff receive AML

training to industry standards and have access to all relevant policies and procedures, specifically Financial Crime

Manual, KYC Procedures Manual and Compliance Manual. The Bank also operates a strict anti-bribery/ corruption

policy, with all departmental procedures having been adapted to cover the issue of Bribery and Corruption and all

members of staff have received anti-bribery/corruption training to industry standards.

3. Risk Appetite and Risk Management Policies

3.1. Risk Appetite

The Bank’s risk appetite is set out in its Risk Appetite Statement (“RAS”), which articulates the nature and extent of

the material risks that the Bank is prepared to accept in order to meet its strategic objectives, business plan and

regulatory obligations. ZBUK is well aware of the various risks associated with the business of banking globally and

particularly those risks to which ZBUK is exposed. The Bank is also aware that substantial franchise value may be

eroded if ZBUK is considered high risk and therefore risk management is of critical importance. The Bank has

therefore set its Risk Appetite limits at levels generally more conservative than those required by the PRA.

3.2. Credit Risk

ZBUK mainly lends to major West African corporates and financial institutions who are long established customers

of the Zenith Group, as well as UK and European trading companies against underlying trade transactions. Zenith

UK also invests in selected government and financial institution bonds. The majority of international interbank

lending is to Investment Grade rated organisations in line with the Bank’s credit policies. The Wealth Management

business is mainly with well-known and established customers of the Group in accordance with strict credit and

security parameters.


Management of Credit Risk

The Bank’s objectives are:

• to have a high quality, diversified loan and bond portfolio which will generate profits commensurate with

the risks incurred and the Bank’s target return on investments, and

• to be able to identify potential problem loans and keep non-performing assets and impairments to a

minimum.

Responsibility for Credit Risk ultimately rests with the Board of Directors of the Bank, which has delegated this

responsibility to the Board Risk Committee chaired by an independent Non-Executive Director. In turn operational

responsibility for credit risk has been delegated to the MCC chaired by the Chief Executive Officer.

• The MCC is responsible for reviewing and approving all credit limits under its delegated authorities and is

supported in this process by Risk Management, who independently assess all credit applications

• All credit applications approved by MCC are forwarded to Group Credit Committee of Zenith Bank Plc in

Lagos for final approval. All such facilities in excess of significant limits are also approved by BRC.

• Daily management of credit limits and guidelines is the responsibility of business line departments, with

Risk Management responsible for monitoring compliance with these limits and guidelines

All credit limits in ZBUK are based on the Bank’s own capital resources, with limits covering all areas and types of

credit to which the Bank provides lending.

3.3. Liquidity Risk

Liquidity risk is a critical issue for the Bank. In mitigating this risk the Bank strives to:

• diversify its sources of deposits and minimise concentration,

• adopt prudent liquidity policies to manage liquidity requirements,

• minimise reliance on purchased funds,

• maintain an appropriate level of liquid assets,

• ensure effective management control over mismatching of assets and liabilities.

Management of Liquidity Risk

Liquidity Risk is managed by maintaining liquidity adequacy ratios and standards set out in the Bank’s RAS and best

practices (e.g. LCR, NSFR, Funding concentration), and as documented in the latest ILAAP report under the

Individual Liquidity Adequacy Standards (“ILAS”) set by the PRA.

3.4. Market Risk

As at 31 December 2018 the Bank’s total trading exposure was below the minimum requirements for regulatory

disclosures. The Bank operated a modest trading book in spot and forward foreign exchange and in the trading of

Eurobonds. It also executed foreign exchange contracts to manage its own inherent FX exposures and for customer

orders.

3.5. Interest Rate Risk

The structure of the Bank’s balance sheet is not complex. The deposit base is mainly from parastatals, corporate

customers and financial institutions using the Bank as a correspondent. Lending is predominantly in US dollars and

referenced to a margin over LIBOR.

3.6. Operational Risk

The Bank maintains an Operational Risk policy and further mitigates risk as follows:

• by recruiting experienced, professional and well qualified staff,

• adoption of industry best practice in its approach to operational risk,

• ongoing consultation with risk management experts to ensure processes remain robust, and

• by keeping up-to-date with market leading software to mitigate cyber and other emerging industry risks.


3.7. Other Key Risks and Sensitivities

As well as the risks highlighted above, other key risks and sensitivities are covered within the capital assessment

process highlighted under the Pillar 2 process. These risks include:

• Credit concentration Risk

• Business Risk

• Conduct Risk

• Group Risk

These risks are regularly reviewed by Management and BRC and are all taken into account when conducting the

internal capital assessment, the results of which are included in the next section. Pension and Brexit risks are

considered minimal.

4. Capital Adequacy Overview & Resources

4.1. Capital Management

ZBUK measures and manages its Capital on a daily basis throughout the financial year. Regulatory Capital includes

Pillar 1 and Pillar 2A requirements. Pillar 2A Capital covers all material risks not assessed by Pillar 1.

ZBUK undertakes an Internal Capital Adequacy Assessment Process (ICAAP) which is an internal assessment of its

capital needs. The ICAAP is performed at least annually and is formally presented to the Board of Directors for

review and approval.

Capital requirement assessment

• Credit Risk: Pillar 1 minimum capital requirement for credit risk which is based on the Standardised

Approach is taken as the starting point. The internal capital assessment includes consideration as to

whether Pillar 1 capital calculation fully covers the credit risk faced by the Bank.

• Market Risk: The Bank’s own capital assessment covers foreign exchange rate risk, investment risk,

interest rate risk and currency valuation risk, including a Credit Valuation Adjustment for Counterparty

Risk.

• Operational Risk: ZBUK calculates this risk using the Basic Indicator Approach which is calculated as 15%

of the Bank’s average operating income over the last three years.

Pillar 2 Capital is the Bank’s internal capital assessment over and above Pillar 1 credit, market and

operational risk capital elements. Pillar 2A represents the Bank’s assessment of capital requirement for

other risks which includes inter-alia concentration risk, market risk capturing the market value losses of

long term assets, interest rate risk and a comprehensive list of operational risk items. Pillar 2B capital

represents the CRD IV buffers and PRA’s guided buffers.

4.2. Capital Resources

The Bank’s entire capital base qualifies as Common Equity Tier 1 capital (‘CET-1’) which consists of fully issued

ordinary shares and audited reserves.

CET-1 capital as at 31st December is as follows:

US$000's 2018 2017

Share capital 136,702 136,702

Profit and loss reserve 88,798 70,085

Regulatory adjustments 4,269 -

Total CET-1 capital 229,769 206,787


4.3. Capital Allocation

Pillar 1 Allocation

The total capital requirements for Pillar 1 as at 31st December are detailed in the following table:

Pillar 1 Capital Requirements Pillar 1 Capital Requirements

US$000's US$000's

2018 2017

Credit Risk 43,903 38,948

Market Risk 483 1,206

Operational Risk 6,340 5,172

Total 50,726 45,326

Regulatory Available Capital 229,769 206,787

As previously indicated the calculations for Credit and Market Risk have been based on the standardised approach

for the Pillar 1 capital requirements, while Operational Risk has been based on the basic indicator approach. The

main calculations used in this assessment are provided below.

Pillar 1 Credit Risk

The following table details the Bank’s minimum capital requirement for credit risk under the standardised

approach, which is expressed as 8% of the risk weighted exposure amounts for each of the applicable risk

exposures as at each year end:

Capital requirements (8%) US$000's 2018 2017

Central governments & central banks 9,300 4,114

Multilateral development banks 2,154 1,891

Institutions 12,848 12,795

Corporates 19,171 20,137

Retail 10 11

Mortgages 38 0

Other items 382 0

Total credit risk capital requirement 43,903 38,948

Pillar 1 Operational Risk

The following table details the Bank’s minimum capital requirement for operational risk using the basic indicator

approach. This states that regulatory capital is calculated by taking a single risk-weighted multiple (15%) of the

Bank’s average gross operating income.

US$000's 2018 2017 2016

Interest income 44,011 32,593 37,726

Interest expense -5,389 -4,290 -9,027

Net interest income 38,621 28,303 28,699

Net fee and commission income 6,232 5,716 5,344

Net trading and other income 4,810 5,939 3,141

Non-interest income 11,041 11,655 8,485

Operating income 49,663 39,958 37,184

Average annual operating income 42,268

Capital requirements (15%) as at 31 December 2018 (2017: US$5,172) 6,340


Pillar 1 Market Risk

The calculation for market risk covers the position risk requirement (PRR) for Foreign Currency risk, a small bond

trading position and the CVA for Counterparty Risk. As at 31 December 2018, the total regulatory capital cost

amounts to US$483,000 (2017: US$1,206,000).

4.4. Pillar 2 Assessment Process

Relevant methodology has been adopted by ZBUK to assist with the final allocation of capital for all risks identified.

ZBUK maintains a Risk Register for assessing risks, which is subject to regular review at a frequency reflecting the

nature and degree of threat to the business. Assessing these risks includes probability and impact assessment,

modelling and stress testing, the standardised approach for credit risk weightings, capital planning models and

materiality.

Pillar 2 Allocation

A summary of the Pillar 2 calculations detailing the overall internal capital requirements as at 31st December are

set out in the following tables:

(US$000's)

2018 2017

Pillar 1 Pillar 2A

assessment

Pillar 1 + 2A

assessment Pillar 1

Pillar 2A

assessment

Pillar 1 + 2A

assessment

Credit Risk 43,903 40,725 43,903 38,948 31,317 38,948

Market Risk Total 483 483 1,206 1,206

Interest Rate Risk Total 8,086 8,086 13,016 13,016

Operational Risk Total 6,340 2,976 6,340 5,172 3,105 5,172

Concentration Risk Total 23,885 23,885 22,848 22,848

Total Capital allocation 50,726 82,697 45,326 81,190

Capital Resources 229,769 206,787

Solvency Ratio against

Pillar 1 + Pillar 2A

(Required capital divided

by available capital)

278%

255%

The Pillar 1 amounts are as assessed based on regulatory standards as described earlier. The items detailed under

the Bank’s own assessment use the Risk Register assessments, Herfindahl Hirschman Index based methodology

and various other stress testing results.

4.5. Leverage Ratio

Zenith Bank UK’s Leverage ratio was 10.39% as at 31st December 2018. A summary reconciliation of accounting

assets and leverage ratio exposures:


Summary reconciliation of accounting assets and leverage ratio exposures 2018 2017

$'000 $'000

Accounting assets as per published statutory accounts

Derivative financial instruments 0 1,330

Loans and advances and other assets 1,904,335 1,674,432

Total IFRS assets 1,904,335 1,675,762

Other statutory adjustments

Derivative financial instruments 4,516 423

Loans and advances and other assets 12,612 (115,693)

Total statutory adjustments 17,128 (115,270)

Accounting assets as per regulatory submission

Derivative financial instruments 4,516 1,753

Loans and advances and other assets 1,916,947 1,558,739

Total IFRS assets 1,921,463 1,560,492

Derivatives adjustments

Add-on under the mark-to-market method 9,333 0

Total derivatives adjustments 9,333 0

Weighted off balance sheet commitments 35,367 132,114

Other regulatory adjustments

Asset amount deducted - Tier 1 capital - fully phased-in definition (2,720) 0

Asset amount deducted - Tier 1 capital - transitional definition (4,812) 0

Total Leverage Ratio exposure - using a fully phased-in definition of Tier 1 capital 1,963,443 1,692,606

Total Leverage Ratio exposure - using a fully transitional definition of Tier 1 capital 1,961,351 1,692,606

CET 1 capital - fully phased-in definition 203,915 204,567

CET 1 capital - transitional definition 201,823 204,567

Leverage Ratio - using a fully phased-in definition of Tier 1 capital 10.39% 12.09%

Leverage Ratio - using a fully transitional definition of Tier 1 capital 10.29% 12.09%

5. Credit Risk

5.1. Definition of Credit Risk

Credit risk is defined as the risk of a financial loss resulting from counterparty’s inability, for whatever reason, to

meet fully its financial obligations and/or contractual obligations when they fall due. It includes and consists of

country risk, counterparty/borrower risk and delivery/settlement risk.

5.2. Credit Exposure by residual maturity and exposure class

Credit exposure before and after credit risk mitigation as at each year end 31 December:

Residual maturity breakdown under the

Standardised Approach by Expsoure

Classes (31-Dec-2018)

On demand Less than 3 months Between 3 & 12 months 1 to 5 years Greater than 5 years Total

Central Governments 1,467 296,145 47,064 33,272 17,209 395,157

Multilateral Development Banks - 68,568 158,951 277,794 196 505,508

Institutions 144,807 573,190 13,280 9,530 - 740,807

Corporates 74,302 144,743 29,608 144,717 - 393,369

Retail - 4 57 104 - 165

Mortgages 1,367 - - - - 1,367

Other 2,956 - - - - 2,956

Total 224,898 1,082,649 248,960 465,418 17,405 2,039,329

Exposures before Credit Risk Mitigation






Central Governments - 296,145 47,064 33,272 17,209 393,690

Multilateral Development Banks - 71,319 158,951 277,794 196 508,260

Institutions 144,807 573,190 13,280 16,246 - 747,523

Corporates 14,125 78,502 20,323 88,146 - 201,095

Retail - 4 57 104 - 165

Mortgages 1,367 - - - - 1,367

Other 13,636 44,418 5,806 49,855 - 113,715

Total 173,935 1,063,578 245,481 465,418 17,405 1,965,815

Exposures after Credit Risk Mitigation






Multilateral Development Banks - 45,271 66,694 109,727 - 221,692

Institutions 209,103 546,773 509 5,258 - 761,643

Corporates 195,816 180,337 71,384 90,691 - 538,228

Retail 0 9 90 84 - 182

Mortgages - - - - - -

Other 5,931 - - - - 5,931

Total 410,849 1,005,255 207,730 212,633 9,467 1,845,935







Multilateral Development Banks - 45,271 66,694 109,727 - 221,692

Institutions 209,103 546,773 509 5,258 - 761,643

Corporates 43,155 22,318 62,158 90,541 - 218,172

Retail - 9 90 84 - 182


Other 5,931 - - - - 5,931

Total 258,189 847,237 198,504 212,483 9,467 1,525,880

Exposures after Credit Risk Mitigation

Credit Exposure by Geographical distribution

Below summarises maximum exposure to credit risk as at statement of financial position date by geographical

area:

Geographical distribution under the

Standardised Approach by Exposure


Europe Nigeria Rest of AfricaUnited States of

AmericaRest of World Total

Central Governments - 70,189 46,058 277,442 - 393,690

Multilateral Development Banks - 2,752 - 10,084 495,425 508,260

Institutions 179,597 6,716 30,412 123,260 407,538 747,523

Corporates - 123,230 44,761 - 50,928 218,919

Retail - 42 3 - 120 165

Mortgages - 1,367 - - - 1,367

Other 2,956 159,727 - - 6,723 169,405

Total 182,552 364,022 121,235 410,786 960,735 2,039,329



Geographical distribution under the

Standardised Approach by Exposure


Europe Nigeria Rest of AfricaUnited States of

AmericaRest of World Total

Central Governments 224,576 3,635 - 90,049 - 318,260

Multilateral Development Banks 18,508 51,116 - 75,503 76,564 221,692

Institutions 153,261 95,602 99,185 362,709 50,885 761,643

Corporates 264,867 102,805 3,667 127,900 38,988 538,228

Retail 26 59 6 91 - 182


Other 5,931 - - - - 5,931

Total 667,171 253,217 102,858 656,252 166,438 1,845,935


5.3. Provisioning

The Bank’s credit portfolio and other assets are subject to regular comprehensive impairment reviews by both

Finance and Risk Management departments, with a view to determining any deterioration in quality and value.

Impairment provisions are assessed in line with IFRS 9 requirements and are based on Expected Credit Loss model.

All provisions are approved by the Audit and Compliance Committee and the Board.

All credit facilities are classified into performing and non-performing categories. A credit facility is non-performing

(NPL) when payment of interest or principal is past due by 90 days or more. Non-performing and overdue loans are

managed in accordance with the Bank’s policies for such accounts and are monitored daily by Risk Management.

The status of all overdue and non-performing accounts is reported to the Management Credit Committee on a

monthly basis, with a quarterly report being provided to the Board Risk Committee.

As at 31 December 2018, ZBUK’s non-performing loans resulted in a total cumulative provision of nil (2017: US$29

million).

5.4. Credit Risk by credit quality steps

The Bank uses its own internal credit rating system, with grades being assigned to the counterparty on the basis of

business risk, financial risk and structural risk. Where external agency ratings are available for the counterparty,

these are also mapped into the internal credit grades. ZBUK utilises ratings available from Fitch Ratings (“Fitch”),

Moody’s and Standard and Poor’s as appropriate.

Controls and Credit Risk Mitigation

Credit limits are allocated for all countries (sovereigns), banks, corporate counterparties and personal customers in

accordance with the ZBUK’s credit policies. As such the Bank uses various ways to minimise its credit risk exposure,

with formal assessments signed off by the MCC, GCC and the BRC when appropriate. Such assessments will

consider the ability of the counterparty to service the proposed debt, and where necessary security will be

obtained to mitigate the risk further.

Where the Bank uses credit risk mitigation it relies on guarantees provided by investment grade supranational

financial institutions. The Bank has no significant credit or market risk concentrations within credit mitigation

taken.

The Bank’s credit Risk Exposure including on & off-balance sheet mitigation as at 31st December 2018:


Guarantees Collateral

Central Governments 393,690 - - 393,690 116,247 9,300

Multilateral Development Banks 505,508 - - 508,260 26,923 2,154

Institutions 732,112 - - 732,112 150,769 12,062

Corporates 281,150 2,752 87,585 190,813 225,879 18,070

Retail 165 - - 165 124 10

Mortgages 1,367 - - 1,367 478 38

Other 2,956 - - 90,541 2,927 234

Central Governments 1,467 - 1,467 - - -

Institutions - - - 6,716 6,716 537

Corporates 107,066 6,716 77,398 5,128 6,046 484

Other - - - 23,174 1,850 148

Institutions 8,695 - - 8,695 3,112 249

Corporates 5,154 - - 5,154 7,708 617

Total 2,039,329 9,468 166,450 1,965,815 548,780 43,902

On Balance Sheet

Off Balance Sheet

Derivatives

Breakdown of Expsoure Classes / Expsosure Types (31-Dec-2018) Expsoure ValueTotal Mitigation

Net Expsoure Value Risk Weighted Assets Capital Requirement

Credit Quality Steps

ZBUK’s internal credit risk grade (ICR) rating system is designed with a combination of qualitative and quantitative

measures, in addition to weights attached to external rating grades. The breakdown of credit exposures in terms of

external ratings are as follows in US$000’s:

2018 (Fitch Rating)

Central

governments &

central banks

Multilateral

development

banks

Institutions Corporates Retail Mortgages Other items Total

AAA 277,442 400,928 0 0 0 0 0 678,370

AA+ 0 0 1,072 0 0 0 0 1,072

AA- 0 0 96,780 3,876 0 0 0 100,656

A+ 0 0 25,467 50 0 0 0 25,517

A 0 0 173,587 0 0 0 0 173,587

A- 0 0 139,509 0 0 0 0 139,509

BBB+ 0 0 119,372 0 0 0 0 119,372

BBB 0 196 0 0 0 0 0 196

BBB- 6,144 21,272 60,313 0 0 0 0 87,729

BB+ 0 0 228 0 0 0 0 228

BB 0 6,007 0 0 0 0 0 6,007

B+ 85,895 0 0 220,539 0 0 0 306,434

B 17,686 0 0 31,236 0 0 0 48,922

B- 0 0 0 766 0 0 0 766

Unrated 7,990 77,105 124,479 136,902 165 1,367 2,956 350,964

Total 395,157 505,508 740,807 393,369 165 1,367 2,956 2,039,329

2017 (Fitch Rating)

Central

governments &

central banks

Multilateral

development

banks

Institutions Corporates Retail Mortgages Other items Total

AAA 195,139 197,609 0 0 0 0 0 392,748

AA+ 71,692 0 18,769 0 0 0 0 90,461

AA- 0 0 54,108 58 0 0 0 54,166

A+ 0 0 55,752 66 0 0 0 55,818

A 0 0 148,862 0 0 0 0 148,862

A- 0 0 218,125 0 0 0 0 218,125

BBB+ 0 0 50,355 0 0 0 0 50,355

BBB 0 444 0 0 0 0 0 444

BBB- 0 10,702 70,159 10,013 0 0 0 90,874

BB 0 0 25,018 0 0 0 0 25,018

BB- 0 12,937 0 0 0 0 0 12,937

B+ 40,257 0 0 186,620 0 0 0 226,877

B 8,196 0 0 23,581 0 0 0 31,777

B- 0 0 0 40,418 0 0 0 40,418

Unrated 2,976 0 120,495 277,472 182 0 5,931 407,056

Total 318,260 221,692 761,643 538,228 182 0 5,931 1,845,936

Specific mapping of external ratings to credit quality steps (CQS) is detailed in the notes to the financial statements

of Zenith Bank (UK) Limited as of 31st December 2018.

5.5. Collateral

Collateral forms that are accepted by the Bank are Cash, Marketable securities, Property and Vessels.

The Bank has adequate processes and procedures in place to identify at any point what assets are held as

collateral. If due to market volatility the value of underlying assets has declined, additional security shall be

provided by the borrower or credit exposure shall be reduced accordingly through partial repayment of the loan.

Valuation of Property and Vessels to determine their resalable market value for collection purposes is carried out

by independent registered valuers selected from a panel of valuers approved by the Bank.


6. Market Risk

6.1. Definition of Market Risk

Market risk is the risk that changes in financial market prices and interest and exchange rates will (adversely)

impact the Bank’s financial condition. Market risk, as it pertains to the Bank, consists of foreign exchange risk, the

counterparty risk as measured by Credit Value Adjustment (“CVA”) and interest rate risk. ZBUK’s total trading book

falls below the regulatory limit of EUR 20 million.

6.2. Interest Rate Risk

Interest rate risk is the risk that arises due to the possibility of a change in rates, and how that impacts on pricing

structure of the Bank’s assets and liabilities. The Bank’s ALCO (Asset and Liability Committee), which is assisted by

Risk Management, meets weekly to monitor these issues and changes in interest rates in various currencies arising

from gaps in the future dates of repricing of assets, liabilities and derivative instruments.

The table below details the impact of a 200 basis point increase or reduction in interest rates for all exposures as at

31 December:

US$000's 200 basis points

increase

200 basis points

decrease

31 December 2018 (7,409) 8,086

31 December 2017 (12,147) 13,016

Assessing the potential impact on “economic value” for regulatory purposes, the Bank’s capital base has been

chosen to provide a very conservative determinant of the “economic value”. As at 31st December 2018, the

modelled decline in pre-tax profit is 3.2% (2017: 5.9%) of capital.

6.3. Foreign Exchange Risk

The Bank operates primarily in US dollars, with Sterling and Euros as the other main currencies. As at 31st

December 2018, US dollars accounted for 86% (2017: 89%) of the Bank’s balance sheet. The foreign currency

position is managed by the Bank’s Treasury Department operating within defined foreign exchange limits as

agreed by ALCO. ZBUK generally maintains a square or near square position in all currencies, and if any overnight

position is taken, these are always against an agreed stop loss. Customer positions are usually matched with the

market, with deals agreed and then covered prior to execution. The overall position is monitored by Risk

Management throughout the day.

The currency of the Bank’s share capital and the base currency of the Bank’s financials is US dollars. The “valuation

risk” has been assessed as part of the Pillar 2 process, and this shows the effect that theoretical exchange rate

movements would have had on the balance sheet as at 31 December.

7. Operational Risk

As previously indicated the Bank has adopted the basic indicator approach for operational risk and the Pillar 1

calculations are set out in section 4.3 above. However, the Bank faces a number of risks and has an Operational

Risk policy in place. As part of this policy a Risk Register is maintained and various risks have been assessed using

the Risk Register. The various risks covered are aligned to the Basel definitions:

• Internal fraud

• External fraud

• Employment practises and workplace safety

• Clients, products and business practises

• Damage to physical assets

• Business disruption and system failures


• Execution, delivery and process failures

Risk is first assessed on its probability (likelihood) and impacts by the use of a heat map. The purpose of this initial

assessment is to shortlist those threats which are significant. In some instances, threats of a similar nature are

combined. During this analysis, previous loss events are discussed and noted. Risk mitigants are considered as part

of the analysis in order to arrive at residual risks post mitigation.

For assessing each threat within ZBUK’s Risk Register, the probability score is multiplied by the impact score. The

result of this assessment is provided in the Pillar 2 assessment above.

8. Concentration Risk

Credit concentration risk is defined as the risk of losses arising as a result of excessive exposures to individual asset

classes or a very high levels of concentration to a sector. This can also be described as an excessive exposure to a

specific credit rating category. Concentration risk can arise due to the size of the Bank’s portfolio relative to the

minimum ticket size required for participating in a transaction or asset class. Zenith Bank UK in its Credit Risk

Appetite Statement has established concentration risk limits as percentages of total credit exposure across

industry sectors, geographies and internal credit risk ratings. The Bank’s Risk Appetite Statement sets out limits for

net single obligor exposures, which are more prudent than 25% of the Bank’s Capital Resources as required by EBA

framework established under Capital Resource Requirements of the European Union.

For the Pillar 2A analysis the Bank has assessed concentration risk in terms of lending by industry sector,

geography and by single name applying Herfindahl Hirschman Index based methodology. Capital allocation based

on this process amounted to US$6.2 million (2017: US$4.9 million) for sector concentration risk, US$0.5 million

(2017: US$1 million) for geographic (international) concentration and US$17.2 million (2017: US$17 million) for

single name obligor concentration risk.

9. Remuneration

9.1. Remuneration Policy

ZBUK is committed to building a leading emerging markets bank that attracts and retains top quality staff. We aim

to develop a depth and calibre of human resource that is capable of delivering sustainable growth, within an

acceptable risk tolerance:

• The Bank's remuneration policy (“the policy”) specifically supports our business strategy within our agreed

risk management framework. The policy is designed to ensure that cost effective packages are provided

which attract and retain staff of the highest calibre and which will motivate them to perform to the highest

standards;

• The objective is to align individual rewards with ZBUK’s performance, the interests of its shareholders, and

a prudent approach to risk management. In this way we balance the requirements of our various

stakeholders: customers, shareholders, employees, and regulators. The policy seeks to reward long-term

value creation whilst not encouraging excessive risk taking;

• Where practical we aim to ensure that the totality of remuneration for executives is competitive against

our benchmark banks (other small/medium sized emerging market banks operating in the UK). We aim to

be competitively, but conservatively, positioned against the market;

• The annual incentive for executives is linked to four key performance areas (“KPAs”) and their performance

against the targets set for these KPAs;

• In accordance with the PRA/FCA Remuneration Code, we ensure that contract notice provisions are limited

for executives to a maximum of six months.

9.2. Remuneration and Appointments Committee

The Bank has a robust governance framework with an independent Remuneration & Appointments Committee

(“RAC”) which reviews all compensation decisions. It consists of three Independent Non-Executive Directors and a

Non-Executive Director who chairs the Committee. The Chief Executive Officer and the Head of Human Resources

attend the committee meetings and have the right to speak, but do not vote.


• The RAC is responsible for the Bank’s remuneration philosophies, structures and practices, giving particular

attention to:

o Reward strategies and remuneration to enable the Bank, in a highly competitive environment, to

attract, motivate and retain high-calibre people at all levels within the organisation;

o Remuneration designs must motivate strong and sustained performance in teams, but also

promote risk management in line with the Bank's stated strategy and risk tolerance;

o Consideration is given to the appropriate balance between fixed and variable pay for all employees,

depending on seniority and roles, and particularly within risk and control areas; and

o Transparency on remuneration designs and processes is maintained with employees and the Bank’s

shareholder;

• Members of RAC have unrestricted access to all information that forms their independent judgements of

the possible effects that remuneration may have on compliance with risk, regulatory and behavioural

controls across the Bank;

• Within such guidelines and financial parameters as may be set by the Board and giving due regard to the

contents of the Bank’s Governance Code, the FCA’s Remuneration Code and associated guidance, the RAC

considers and recommends to the Board approval of:

o the appointment and individual remuneration packages for each of the Executive Directors

(including any individual performance related bonus scheme);

o departmental and Bank level incentive schemes;

o the policy for and scope of pension arrangements;

o compensation payments for loss of office;

o severance payments; and

o the terms and conditions of the Non-Executive Directors' contracts.

• RAC recommends and monitors the level and structure of remuneration for senior management and

advises on any major changes to the employee benefit structures in the Bank.

9.3. Incentive Calculations

• The Bank’s net profit is a key measure by which the Bank manages its performance.

• ZBUK also have non-financial measures of performance against risk objectives in the performance areas for

Executives, which enables a more rounded assessment of risk-taking behaviour to be made.

• The Bank’s incentive plan targets are directly linked to the business strategy which has been prepared

within the Bank’s risk appetite. This not only ensures alignment with the Bank’s performance, but also

means that the targets are meaningful and also motivating for staff.

• Incentive pools are allocated to business areas based on their performance. These pools are shaped by a

combination of departmental profitability and Bank level net profit and an evaluation of the business area's

future development and growth prospects.

• Individual performance is measured according to a number of absolute and relative levels, including the

person's quantitative delivery against specific criteria, qualitative individual behaviour and competitive

performance through the KPA mechanism. This measurement is integral to our remuneration practice.

10. Notices

The disclosures herein are based on the Annual Report and Financial Statements of the Bank for the year ended 31

December 2018, as well as the latest ICAAP report, where more detailed information is available. The disclosures

are subject to periodic review, update and audit and will reflect any changes or updates to the ICAAP. The

information contained in this Pillar 3 disclosure has not been audited by the Bank’s external auditors.

For further information on any aspect of this report please contact the Bank at [email protected]