Investor Presentaiton
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 ECAls.
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 and SME entities are risk weighted at 100% and 85% (where
applicable).
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.
9
EMIRATES NBD BANK PJSC - BASEL II - PILLAR III DISCLOSURES FOR THE YEAR ENDED 31 DECEMBER 2020
10
Claims on sovereigns
Claims on non-central government public sector entities
Claims on multi-lateral development banks
2020
Gross
Exposure
Risk Weighted
AED 000
311,668,280
1,891,290
327,238
51,815,272
Assets
AED 000
45,887,566
148,993
Gross
Exposure
AED 000
308,088,724
1,317,355
113,847
2019
Risk Weighted
Assets
AED 000
41,060,094
122,849
Credit Risk
The total capital charge for credit risk as at 31 December 2020 is AED 57,067 million (2019: AED 55,867 million).
GROSS CREDIT EXPOSURE AS PER STANDARDISED APPROACH
Claims on banks
28,950,761
Claims on securities firms
540
503
3,929
55,540,475
25,916,226
3,929
Claims on corporate and Government related entities (GRE)
219,605,994
Claims included in the regulatory retail portfolio
74,477,375
Claims secured by residential property
Claims secured by commercial real estate
Past due loans
Higher-risk categories
Other assets
Total
19,230,535
41,847,076
40,766,658
162,797
26,329,419
788,122,474
188,044,759
54,668,530
9,193,629
41,847,076
6,929,218
218,675,965
73,032,780
16,699,384
41,618,482
35,423,980
190,959,340
52,871,754
8,127,016
244,195
17,647,051
273,191
23,436,398
..............
393,562,281
774,224,510
41,618,482
7,777,137
409,787
16,424,596
385,291,210
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