Sbanken : Pillar III report Q4 2021 (pdf)

Risk and capital management (Pillar III)

4Q 2021

Sbanken group

Risk and capital management (Pillar III)

4Q 2021

Part 2 - Overview of risk management, key prudential metrics and RWA

Part 3 - Linkages between financial statements and regulatory exposures

Part 4 - Composition of capital

Part 5 - Macroprudential supervisory measures

Part 6 - Leverage ratio

Part 7 - Liquidity

Part 8 - Credit risk

Part 9 - Counterparty credit risk

Part 10 - Securitisation

Part 11 - Market risk

Part 12 - Interest rate risk in the banking book

Part 13 - Operational risk

Part 14 - Remuneration

Attachments

			Document reference	Updated
KM1 - Key metrics	Pillar III - document	Quarterly
KM2 - Key Metrics - TLAC requirements (at resolution group level)	Not applicable	Quarterly
			Annual report - note 6
OVA - Bank risk management approach	and chapter corporate	Yearly
			governance
OV1 - Overview of RWA	Pillar III - document	Quarterly
LIA - Explanations of differences between accounting and regulatory exposure amounts	Pillar III - document	Quarterly
LI1 - Differences between accounting and regulatory scopes of consolidation and mapping of financial statements with regulatory risk categories	Not applicable	Yearly
LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements	Pillar III - document	Quarterly
PV1 - Prudential valuation adjustments	Pillar III - document	Quarterly
CC1 - Composition of regulatory capital	Pillar III - document	Quarterly
CC2 - Reconciliation of regulatory capital to balance sheet	Pillar III - document	Quarterly
CCA - Main features of regulatory capital instruments	Pillar III - document	Quarterly
TLAC1 - Capital and TLAC composition for G-SIBs	Not applicable	Semiannual
TLAC2 - Material subgroup entity - creditor ranking at legal entity level	Not applicable	Semiannual
TLAC3 - Resolution entity - creditor ranking at legal entity level	Not applicable	Semiannual
GSIB1 - Disclosure of G-SIB indicators (simple consolidation without change)	Not applicable	Yearly
CCyB1 - Geographical distribution of credit exposures used in the countercyclical buffer	Not applicable	Yearly
			Pillar III - document	Quarterly
LR2 - Leverage ratio calculation	Pillar III - document	Quarterly
LRSpl - Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)	Pillar III - document	Quarterly
LIQA - Liquidity risk management (simple consolidation without change)	Annual report - note 18	Yearly
LIQ1 - Liquidity Coverage Ratio (simple consolidation without change)	Pillar III - document	Quarterly
LIQ 2 - Net Stable Funding Ratio (simple consolidation without change)	Pillar III - document	Quarterly
CRA - General information about credit risk	Annual report - note 7	Yearly
CR1 - Credit quality of assets	Pillar III - document	Quarterly
CR2 - Stock of defaulted loans	Pillar III - document	Quarterly
CRB - Additional disclosure related to the credit quality of assets	Pillar III - document	Yearly
CRC - Qualitative disclosure requirements related to credit risk mitigation techniques	Not applicable	Yearly
CR3 - Credit risk mitigation techniques - overview	Not applicable	Yearly
CRD - Qualitative disclosures on banks' use of external credit ratings under the standardised approach for credit risk	Pillar III - document	Yearly
CR4 - Standardised approach - credit risk exposure and Credit Risk Mitigation (CRM) effects	Pillar III - document	Quarterly
CR5 - Standardised approach - exposures by asset classes and risk weights	Pillar III - document	Quarterly
CRE - Qualitative disclosures related to IRB models	Not applicable	Quarterly
CR6 - IRB - Credit risk exposures by portfolio and PD range	Not applicable	Quarterly
CR7 - IRB - Effect on RWA of credit derivatives used as CRM techniques	Not applicable	Quarterly
CR8 - RWA flow statements of credit risk exposures under IRB	Not applicable	Yearly
CR9 - IRB - Backtesting of probability of default (PD) per portfolio	Not applicable	Quarterly
CR10 - IRB (specialised lending and equities under the simple risk weight method)	Not applicable	Quarterly
CCRA - Qualitative disclosure related to counterparty credit risk	Annual report - note 7	Yearly
CCR1 - Analysis of counterparty credit risk (CCR) exposure by approach	Pillar III - document	Quarterly
CCR2 - Credit valuation adjustment (CVA) capital charge	Pillar III - document	Quarterly
CCR3 - Standardised approach of CCR exposures by regulatory portfolio and risk weights	Pillar III - document	Quarterly
CCR4 - IRB - CCR exposures by portfolio and PD scale	Not applicable	Quarterly
CCR5 - Composition of collateral for CCR exposure	Not applicable	Quarterly
CCR6 - Credit derivatives exposures	Not applicable	Quarterly
CCR7 - RWA flow statements of CCR exposures under the Internal Model Method (IMM)	Not applicable	Quarterly
CCR8 - Exposures to central counterparties	Not applicable	Quarterly
SECA - Qualitative disclosure requirements related to securitisation exposures	Not applicable	Yearly
SEC1 - Securitisation exposures in the banking book	Not applicable	Quarterly
SEC2 - Securitisation exposures in the trading book	Not applicable	Quarterly
SEC3 - Securitisation exposures in the banking book and associated regulatory capital requirements - bank acting as originator or as sponsor	Not applicable	Quarterly
SEC4 - Securitisation exposures in the banking book and associated capital requirements - bank acting as investor	Not applicable	Quarterly
MRA - General qualitative disclosure requirements related to market risk	Annual report - note 24	Yearly
MRB - Qualitative disclosures for banks using the Internal Models Approach (IMA)	Not applicable	Yearly
MRC - The structure of desks for banks using the IMA	Not applicable	Semiannual
MR1 - Market risk under standardised approach	Not applicable	Semiannual
MR2 - Market risk IMA per desk	Not applicable	Semiannual
MR3 - Market risk IMA per risk type	Not applicable	Semiannual
MR4 - RWA flow statements of market risk exposures under IMA	Not applicable	Quarterly
IRRBBA - IRRBB risk management objective and policies	Annual report - note 24	Yearly
IRRBB1 - Quantitative information on IRRBB	Annual report - note 24	Yearly
ORA - General qualitative information about operational risk management	Annual report - note 28	Yearly
OR1 - Historical losses used for SMA calculation	Not applicable	Yearly
OR2 - SMA - business indicator and subcomponents	Not applicable	Yearly
OR3 - Historical losses	Pillar III - document	Yearly
REMA - Remuneration policy	Annual report - note 34	Yearly
REM1 - Remuneration awarded during the financial year	Pillar III - document	Yearly
REM2 - Special payments	Not applicable	Yearly
REM3 - Deferred remuneration	Not applicable	Yearly
AE - Asset Encumbrance	Pillar III - document	Yearly
ATT1 - Capital Adequacy - Group	Pillar III - document	Quarterly
ATT2 - Loans to customers by geographical area and by residual time to maturity	Pillar III - document	Yearly
ATT3 - Expected credit loss (ECL)	Pillar III - document	Yearly
ATT4 - Market risk and sensitivity	Pillar III - document	Yearly
ATT5 - Investments (equity positions outside the trading portfolio) by purpose	Pillar III - document	Yearly
ATT6 - Capital Adequacy - parent bank	Pillar III - document	Yearly
ATT7 - Capital Adequacy - Skandiabanken Boligkreditt AS	Pillar III - document	Yearly
			Pillar III - document	Yearly

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Key metrics - Group

Available capital (amounts)1	31.12.2021	30.09.2021	30.06.2021	31.03.2021	31.12.2020
Common equity Tier 1 capital	5 987 099	6 273 921	6 183 445	6 096 771	6 009 290
Tier 1 capital	6 687 099	6 973 921	6 883 445	6 796 771	6 709 290
Own funds (primary capital)	7 587 099	7 873 921	7 783 445	7 696 771	7 609 290
Risk-weighted assets (amounts)
Total risik weighted volume (RWA)	39 849 716	38 523 272	38 711 812	38 382 564	38 775 122
Risk-based capital ratios as a percentage of RWA1
Common Equity Tier 1 ratio (%)	15,0 %	16,3 %	16,0 %	15,9 %	15,5 %
Tier 1 ratio (%)	16,8 %	18,1 %	17,8 %	17,7 %	17,3 %
Total capital ratio (%)	19,0 %	20,4 %	20,1 %	20,1 %	19,6 %

1 Year-end 2021 is adjusted with proposed dividend NOK 6,60 per share for 2021.

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Overview of total risk-weighted assets (RWAs)

Risk-weighted assets

(RWAs)

			31.12.2021	30.09.2021
	1	Credit risk (excluding CCR)	37 019 564	35 792 419
Article 438 (c)(d)	2	Of which the standardised approach	37 019 564	35 792 419
Article 438 (c)(d)	3	Of which the foundation IRB (FIRB) approach	0	0
Article 438 (c)(d)	4	Of which the advanced IRB (AIRB) approach	0	0
Article 438 (d)	5	Of which equity IRB under the simple risk-weighted approach or the IMA	0	0
Article 107 Article 438(c)(d)	6	CCR	56 442	37 564
Article 438 (c)(d)	7	Of which mark to market	0	0
Article 438 (c)(d)	8	Of which original exposure	0	0
	9	Of which the standardised approach	0	0
	10	Of which internal model method (IMM)	0	0
Article 438 (c)(d)	11	Of which risk exposure amount for contributions to the default fund of a CCP	0	0
Article 438 (c)(d)	12	Of which CVA	56 442	37 564
Article 438 (e)	13	Settlement risk	0	0
Article 449 (o)(i)	14	Securitisation exposures in the banking book (after the cap)	0	0
	15	Of which IRB approach	0	0
	16	Of which IRB supervisory formula approach (SFA)	0	0
	17	Of which internal assessment approach (IAA)	0	0
	18	Of which standardised approach	0	0
Article 438 (e)	19	Market risk	0	0
	20	Of which the standardised approach	0	0
	21	Of which IMA	0	0
Article 438 (e)	22	Large exposures	0	0
Article 438 (f)	23	Operational risk*	2 773 710	2 693 289
	24	Of which basic indicator approach	0	0
	25	Of which standardised approach	2 773 710	2 693 289
	26	Of which advanced measurement approach	0	0
Article 437(2), article 48 and
article 60	27	Amounts below the thresholds for deduction (subject to 250% risk weight) 2)	0	0
Article 500	28	Floor adjustment 3)	0	0
	29 Total	39 849 716	38 523 272

* Sbanken ASA uses the standardised approach (changed from basic method in Q4 19) to establish the risk- weighted volume for operational risk.

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Explanations of differences between accounting and regulatory exposure amounts

The Bank solely engages in banking business (companies in the financial sector) and the Bank's fully owned subsidiary, Sbanken Boligkreditt AS, is fully consolidated. There is therefore no difference between solvency and accounting consolidation.

There are only minor differences between accounting and capital adequacy exposure. These are stated in "Main sources of differences between regulatory exposure amounts and carrying values in financial statements "(LI2) and "Reconciliation of regulatory capital to balance sheet" (CC2).