Pillar III Disclosures

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1 Pillar III Disclosures As on 31 December 216

2 Scope of Application Basis of Disclosure Frequency of Disclosures Material or Legal Impediments between INVESCO and its Subsidiaries Capital Structure Tier 1 Capital Tier 2 Capital Capital Adequacy Capital Adequacy Ratio and Minimum Capital Requirements ICAAP Scenario Analysis and Stress Testing Risk Management Risk Management Objectives Risk Management Framework The elements of Risk Management Framework are as follows Risk Governance Structure Roles and Responsibilities Board of Directors ( Board ) Risk and Compliance Committee ( RCC ) Risk Appetite Credit Risk Credit Risk Management Impairments and Past Due Claims Use of Credit Rating Information Geographic Concentration Credit Risk Exposures by Credit Quality Credit Risk capital charge Counterparty Credit Risk and Off BS Exposure Credit Risk Exposures before/ after Credit Risk mitigation Market Risk Market Risk Management Market Risk capital charge Operational Risk Operational Risk Management Operational Risk capital charge Liquidity Risk Liquidity risk Management Funding Sources Liquidity Ratio Analysis Appendices Appendix 1 Disclosure on Capital Base Appendix 2 Disclosure on Capital Adequacy Appendix 3 Disclosure on Credit Risk s Risk Weight Appendix 4 Disclosure on Credit Risk s Credit Rating Appendix 5 Disclosure on Credit Risk Mitigation (CRM)

3 1. Scope of Application The Investor for Securities Company ( the Company or INVESCO ) is a Saudi closed joint stock company registered in the Kingdom of Saudi Arabia under commercial registration numbered dated 6 Jamad Al Awal 1429H, corresponding to 12 May 28. On 22 Ramadan 1429H, corresponding to August 18, 28 the Capital Markets Authority (CMA) in the Kingdom of Saudi Arabia granted The Investor for Securities Company the full license to operate as a Shariah compliant investment bank under the license number The licensed activities of the company include providing Dealing, Managing, Custody, Arranging and Advising services. The Pillar III disclosures contained herein relate to the audited financial statements of INVESCO for the year ended December 31, 216. The CMA Prudential Rules comprise of three Pillars: Pillar I sets the minimum capital requirements to meet credit, market and operational risk. INVESCO Investment uses the Standardized Approach in the calculation of the capital required for Credit risk. The capital charge for market risk is assessed for trading book portfolio and Foreign exchange positions in the books. The capital charge for operational risk is calculated as higher of the amounts under the Basic Indicator Approach or the Expenditure Based Approach Pillar II The Internal Capital Adequacy Assessment Process (ICAAP) requires firms and their supervisors to consider whether additional capital should be held to cover risks not covered by Pillar I requirements and to perform an extensive stress testing, scenario analysis, strategic capital planning and reviewing the internal control framework and the roles and responsibilities of departments / individuals that are critical to the implementation of the risk management framework. The Company has taken various initiatives to implement the ICAAP and assess capital requirements in accordance with its risk appetites taking into consideration the size, nature and complexity of its business. Pillar III aims to provide a detailed and transparent reporting framework that enhances market discipline to operate while sharing key information that facilitates assessment of the AP s capital adequacy by all stakeholders including creditors, investors, analysts, customers, suppliers, employees, regulators and rating agencies, which leads to an improved corporate governance. The information provided here has been reviewed and validated by the Management and is in accordance with the rules in force at the time of publication, covering both the qualitative and quantitative items. INVESCO 3 shall publish the Pillar III disclosures at its website

4 1.1 Basis of Disclosure These disclosures are compiled in accordance with CMA s minimum requirements for the annual market disclosure of information as referred to by the Part 7 Pillar III Disclosure and Reporting of the Prudential Rules. Specifically, they cover The Company s risk management objectives and policies; the processes for managing its material risks; the structure and organization of its risk management functions; the scope and nature of its risk reporting and measurement systems; and its policies for mitigating risk. 1.2 Frequency of Disclosures These disclosures will be produced on an annual basis. This report discloses the positions as on 31 December Material or Legal Impediments between INVESCO and its Subsidiaries INVESCO does not envisage any material or legal impediment to the prompt transfer of capital or repayment of liabilities between INVESCO and the related business partners/subsidiaries/associates. 2. Capital Structure The Company s authorised share capital is SR 4,, consisting of 4,, shares of SR 1 each. As of 31 December 216, the Company s issued and paid up capital is SR 2,, consisting of 2,, shares of SR 1 each. For regulatory purposes, capital is categorized into two main classes Tier 1 and Tier 2, which are described below: 2.1. Tier 1 Capital Tier1 capital of the Company consists of paidup capital, reserves (other than revaluation reserves) and Audited Retained Earnings / Accumulated (losses). All amounts in SAR) Tier1 capital Dec 216 Dec 215 Dec 214 Paidup capital 2, 2, 2, Share premium Tier1 capital contribution 19,33 19,33 19,33 ( 25,445 ) 15,699 68, , ,2 288,29 Statutory Reserves Audited retained earnings / Accumulated (losses) Loss offsetting against capital reduction Total Tier1 capital 4

5 2.2. Tier 2 Capital Tier2 capital of the Company consists of revaluation reserves which resulted from the change in fair value of AFS equity investments. All amounts in SAR) Tier1 capital Dec 216 Dec 215 Dec 214 Subordinated loans Cumulative preference shares 43,318 72,892 25,168 Other deductions from Tier2 () Deduction to meet Tier2 capital limit() Total Tier2 capital 43,318 72,892 25,169 TOTAL CAPITAL BASE (Tier1 & 2) 237,175 37, ,197 Revaluation reserves Please refer to Appendix 1 for detailed disclosure on capital base. 3. Capital Adequacy The Company aims to maximize shareholders value through an optimal capital structure that protects the stakeholders interests under extreme stress conditions, and provides sufficient capacity for growth whilst ensuring compliance with the regulatory requirements and meeting shareholders expectations. 3.1 Capital Adequacy Ratio and Minimum Capital Requirements The Company is capitalized with total capital ratio of.94 X, against a minimum regulatory requirement for capital ratio of 1 x. The below table reflects the further details of the minimum capital required. Particulars % Change Tier I Capital 193, ,2 18% Tier II Capital 43,318 72,892 19% Total 237,175 37,894 2% Credit Risk 239, ,763 47% Market risk 781 1,16 1% Operational risk 1,912 19,456 28% 32,325 38% Total Minimum Capital Required 251,45 5 Capital adequacy ratio % Surplus in Capital Base ( 13,87 ) 5,569 94% Please refer to Appendix 2 for detailed disclosure on capital adequacy

6 3.2. ICAAP INVESCO has introduced an Internal Capital Adequacy Assessment Process (ICAAP) by which it examines its risk profile from both regulatory and internal risk capital point of view. The ICAAP describes the Firm s business strategy, its forecasts for the next three years for risk weighted assets, its risk appetite and the assessment of specific risk exposures, their mitigation and the capital allocated to these risks. In effect, the ICAAP is a crucial part of the Company s strategic decision making process and risk management framework. The ICAAP is reviewed and approved by the Board committee on an annual basis and a Report is submitted to the CMA. The assessment draws on the results of existing risk management techniques and reporting Scenario Analysis and Stress Testing Scenario analysis and stress testing refers to various techniques (quantitative and/or qualitative) used by the Company to assess their susceptibility to exceptional but probable events. It is a risk management technique used to evaluate the potential effects of a specific event and/or movement in a set of financial variables on the Firm s financial condition. Senior Management is regularly informed of the stress test outcomes to ensure that the Company has sufficient capital in place and that any unacceptable risks are mitigated. These scenarios are regularly reviewed and updated to account for changing market dynamics. Various stress scenarios and their impact on capital position is reported to CMA on annual basis. 4. Risk Management The Company has a risk management framework to manage its exposure to diverse set of risks it undertakes during the course of its business objectives. 4.1 Risk Management Objectives The primary goal of risk management is to ensure that INVESCO asset and liability profile, its trading positions, its credit and operational activities do not expose it to losses that could threaten the existence of the Company. Risk management helps ensure that risk exposures do not become excessive relative to the Company s capital position and its financial position. The objective of Risk Management Process is to help business units and support units to identify risks, measure risks exposures, assess the effects of exposures, control and mitigate risk s exposures and monitor/evaluate the performance of risk management to help INVESCO to achieve its strategic goals and to meet regulatory requirements Risk Management Framework The Company established a robust risk management framework for efficiently managing its risks. Following is the schematic representation of the risk management framework established by the Firm: 6

7 The elements of Risk Management Framework are as follows: A.Risk Direction It consists of the following components: Risk Appetite: It is the level of risk that the Firm is prepared to accept, before action is deemed necessary to reduce it. Risk Strategy: The strategy for effective management of all material and potential risks has been identified based on the understanding of the Firm s business strategy. B.Risk Organization and Methodology It consists of the following components: Risk Governance: The Risk Organization Structure of the Firm includes Risk Committee, Risk Management Department and the corresponding skills and resources. The Risk Governance Structure has been detailed in the next section. Risk Management Life Cycle: Identification, Assessment, Monitoring, and Reporting and Mitigation of all material risks faced by the Firm Risk Governance Structure The Risk Management Governance Structure at the Firm based on the Three Lines of Defense model which is proven and widely adopted by leading investment companies and financial institutions. The diagram below illustrates the Risk Management Governance Structure: The governance structure ensures that there are clearly defined roles and responsibilities throughout the organization at the Board level, at the Executive Management level and at the business unit and support unit level. It sets out our requirements for the segregations of duties to ensure adequate independence of risk management staff. 7

8 4.4. Roles and Responsibilities This section describes the roles and responsibilities of the Board, their committees to the capital management process at the Company Board of Directors ( Board ) The Board will be responsible for the following: Approving the ICAAP Policy; Approving the Risk Appetite of the Firm as part of the risk management framework; Approving the annual ICAAP report; and Approving Pillar III disclosures Risk and Compliance Committee ( RCC ) RCC will be responsible for the following: Reviewing on quarterly basis capital adequacy under Pillar I standardized approach provided by CMA; Reviewing the annual document of ICAAP that outlines the Firm s current capital needs and anticipated capital requirements to ensure alignment with the overall business strategy of the Firm on an annual basis; Reviewing Pillar III disclosures; Overseeing the results of the quality assurance process by the Internal Audit and their report on the effectiveness of the ICAAP framework; and Recommending to The Board for approval of ICAAP document and pillar III disclosures Risk Appetite The Board of Directors of INVESCO is responsible for overall risk appetite of the Company. Risk appetite of INVESCO is defined as the amount of risk that the company is willing to accept to achieve its stated objectives and respective returns to shareholders, while safeguarding against key sources of risk for the company. The Company has established a Risk Appetite along with limits to monitor the risks across various businesses and at the Company as a whole. Risk limits are thresholds to monitor that actual risk exposure does not deviate too much from the target and stays within an organization s risk tolerance/risk appetite. Exceeding risk limits will typically act as a trigger for management action. This requires the Company to consider at a more general level how much risk an individual units/heads should be allowed to take. All limit breaches are monitored by the Risk Department who seeks clarifications of such breaches from the business and reports to the Risk Committee. Limit breaches are followed by corrective actions in order to bring the risk to acceptable levels. 8

9 The Risk Appetite statement has been detailed below: No. 1. Concentration Risk 2. Liquidity Risk 3. Market Risk 4. Leverage 5. Earnings Volatility Risk Appetite Statement The Firm shall not exceed the thresholds defined for large exposure to a particular sector. The Firm shall maintain adequate liquidity to meet its shortterm obligations. The Firm shall take a calculated risk on the market positions. The company shall not exceed the threshold prescribed on debt to equity ratio and maximum borrowings limits set for foreign exposures, The projection of net profit based on an approved business plan should not deviate beyond a reasonable range. 6. Capital Adequacy The Firm to maintain minimum Capital adequacy coverage with adequate buffer at all times to meet CMA rules as well as to remain adequately solvent. 7. Operational risk loss Operational Risk Loss to be controlled with improvement in systems, policies and procedures of the Firm s business Risk Type Regulatory Compliance Risk The Firm shall maintain zero tolerance for any violation on regulatory guidelines related to its business lines and rules issued by CMA. Human Resources Risk Annual attrition rate shall be kept under check and unfulfilled approved vacancies at management level to be filled in stipulated interval Reputational Risk The Firm shall have zero tolerance for earning bad name resulting from adverse media News/Statements or customer services complaints Legal Risk The Firm shall have no tolerance for risk arising from litigations Risk Appetite Indicator Approved Concentration Risk Limits Quick Ratio Maximum Asset Liability Mismatch Value at Risk (VaR) Debt Equity Ratio Maximum foreign exposure borrowings limit Deviation from projections Capital adequacy coverage Annual operational risk loss Number of fraud incidents Instances of noncompliance with any applicable regulatory requirements Annual attrition rate (%) Unfulfilled approved vacancies at management level Adverse media news or customer complaints Number of litigations filed against the company Maximum value of legal claims settled

10 5. Credit Risk Credit risk is the risk of loss arising out of failure of counterparties to meet their financial or contractual obligations when due. The Company s credit exposures can be categorized as: Risk against listed equity kept under available for sale investments. Risk against placement with the financial institutions. Risk against corporate receivable. Risk against accrued income. 5.1 Credit Risk Management Currently, the Company uses the Standardized Approach prescribed under the Pillar I requirements of the CMA Prudential Rules to calculate regulatory capital for the credit risk faced by it. Please refer to Appendix 3 for more details. 5.2 Impairments and Past Due Claims The Company exercises judgment to calculate the impairment loss of available for sale investments and other underlying assets. The Company follows yearly review on impairments of assets and impairments resulting losses or gains are recognized through the statement of income. Following table give depict the breakdown of impairments: Reconciliation of Impairment: Details Value as at 31 December 216 Value as at 31 December 215 Opening impairment 1,26, 5,61, Charge for the year 14,74, 4,65, Reversal during the year Closing Impairment 25,, 1,26, Sectorwise and Geographical breakdown of Impairment charge: Total impairment related to Insurance Sector and completely in Kingdom of Saudi Arabia. 5.3 Use of Credit Rating Information The Company uses ratings of established credit rating agencies (CRA) before placing its deposits in Banks. 5.4 Geographic Concentration INVESCO has 9.96% of its credit risk exposure inside the Kingdom of Saudi Arabia and 9.4% for outside. 1 Country Amount in SAR Percentage Kingdom of Saudi Arabia 217, % Other GCC member.% Cayman islands 21, % Luxembourg 35.1% Total 239,352 1%

11 5.5. Credit Risk Exposures by Credit Quality Please refer to Appendix 4 for the details Credit Risk capital charge Credit Risk Exposures to government, central banks Exposures to corporates, admin bodies, NPO 6,987 Exposures to APs, banks 3 Listed shares Investment funds 34,3 High risk investments 173,496 Securitizations, resecuritisations Margin financing Prohibited risks 8,86 Other onbalance sheet exposures 747 Offbalance sheet commitments 15,734 Credit Risks Capital Charge 239, Counterparty Credit Risk and Off BS Exposure The Company does not have transactions in OTC derivatives, repos and reverse repos and securities borrowing/lending, hence this section does not apply Credit Risk Exposures before/ after Credit Risk mitigation Please refer to Appendix 5 for the details. 6. Market Risk Market risk is defined as the risk of losses on financial instruments arising from changes in market prices. Market risk covers foreign exchange, equity price, commodity price and interest rate risks Market Risk Management There are no trading book positions in the Company and the investments are made in AFS category. There are investments in USD & other currencies for which foreign exchange risk capital is reserved as per CMA Pillar I minimum capital requirement. 11

12 6.2. Market Risk capital charge All amounts in SAR) Market Risks Equity Risk Fund Risk Interest Rate Risk Commodities Risk FX Risk 781 Underwriting Risk Excess Exposure Risk Settlement Risk Market Risk Capital Charge Operational Risk Operational risk is operational risk is defined as the risk of loss resulting from inadequate or failed internal processes, human behavior, systems or from external events. This definition includes legal risk, but excludes strategic and reputational risk. Operational risk is inherent in all products, activities, processes and systems of the Firm Operational Risk Management The INVESCO will use Risk Assessment approach and Risk Control Matrix ( RCM ) as a tool to manage operational risks in its business activities, which starts with mapping all processes and subprocess to relevant departments and identifying potential risks for each subprocess and existing controls to mitigate/manage the risks. The Company recognizes that good management information systems (MIS) and a strong internal control culture and contingency planning are all crucial elements of effective operational risk management and takes measures to continually develop procedures and systems to support such requirements Individual line managers are responsible for identifying and assessing the operational risks of their area. This process will be conducted in a workshop with Risk Management Department support. 12

13 7.2. Operational Risk capital charge The Operational Risk capital charge is calculated as higher of the amounts under the following two approaches. 1. Basic Indicator Approach: Under the Basic Indicator Approach, 15% capital charge is calculated on average gross income of current and last two years, excluding gains and losses from non trading books. 2. Expenditure Based Approach: Under the Expenditure Based Approach, 25% capital charge is calculated on overhead expenses, as reported in most recent audited financial statements of the Company, except extraordinary expenses. 1. Basic Indicator Approach Operating income (SAR ') Average 175,279 24,136 15,247 71,554 Capital Risk requirements charge (%) (SAR ') 15 1, , Expenditurebased approach 43,649 Overhead expenses (SAR ') 1,912 Total Operational Risks 8. Liquidity Risk Liquidity risk is the risk resulting from the Firm s inability to fund its portfolio of assets, and meet obligations at appropriate maturities. Liquidity risk could also arise due to the inability of an institution to liquidate a position in a timely manner at a reasonable price. Market Liquidity Risk Market Liquidity Risk is the risk that the Firm is unable to liquidate or eliminate a position without incurring a significant loss Liquidity risk Management INVESCO has liquidity risk policy uses the following approaches: A. Liquidity Ratios B. Structural Liquidity Gap Analysis (Maturity Ladder Approach) C. Liquidity Pool D. Liquidity Contingency Plan INVESCO uses asset and liability mismatch model for calculating liquidity risk and related capital charge. If the cumulative gap in all buckets is positive this reflecting that the cash inflows are more than cash outflows. If there is negative gap in any periodic bucket the Company will calculate the charge of taking incremental borrowing and additional charge for funding cost. The time intervals have been defined as per the prudential rules of Capital Market Authority (CMA) as stated below: 1 Day 13 > 1 day to 1 week >1 week to 1 month >1 month to 3 months >3 months to 6 months >6 months to > 1 year 1 year Non Maturity

14 8.2. Funding Sources The Company has funding source from operating activities, investing and financing activities Liquidity Ratio Analysis INVESCO maintains adequate liquidity to meet its day to day obligations and cash outflows. Below table shows the Liquidity ratio analysis for the Company: Indicator Value in Percentage Current asset/ current liabilities Liquid assets / Total Assets Comments 11.2% As of balance sheet date, the current assets are lower than current liabilities due to maturity of loans in next period. Management has plan to manage by selling certain illiquid assets that is investment held for sale and investment properties. 4% This reflects the cushion/comfort level in meeting its shortterm liabilities and fixed cost payment. Currently short term assets as at lower size as compared to total assets size and total current liabilities. The company plan to manage maturity of short term liabilities with selling of certain illiquid asset that is investment property and AFS investment in managed funds. 9. Appendices 9.1. Appendix 1 Disclosure on Capital Base Capital Base Tier1 Capital Paidup capital 2, 2, Share premium Reserves 19,33 19,33 Audited retained earnings (25,445) 15,699 Verified previous year profit/(loss) Verified interim profit/(loss) Loss offsetting against capital reduction Deductions () Tier1 capital 193, ,2 Subordinated loans Cumulative preference shares Revaluation reserves 43,318 72,892 Deduction to meet Tier2 capital limit () Tier2 capital 43,318 72,892 CAPITAL BASE 237,175 37,894 Tier1 adjustment * Tier2 Capital Other deductions from Tier2 () 14

15 9.2. Appendix 2 Disclosure on Capital Adequacy Exposure Class Exposures before CRM SAR ' Net Exposures after CRM SAR ' Risk Weighted Assets SR ' Capital Requirement SAR ' Credit Risk Governments and Central Banks Authorised Persons and Banks ,38 3 Corporates 6,989 6,989 49, ,986.2 Retail High risk Investments 39,814 39,814 1,239, , Securitisation Investment Funds 81,667 81, ,1 34,3. Listed shares Other Assets 1,779 1,779 5, Total OnBalance sheet Exposures 4,344 4,344 1,539, ,532.4 Guarantee Security lending Security pledging Book building Other Total OffBalance sheet Exposures 112,384 15,734 Total On and OffBalance sheet Exposures 1,539, , ,758 8,86 Offbalance Sheet Exposures Prohibited Exposure Risk Requirement Total Credit Risk Market Risk ,352 Net Long Position Net Short Position Equity price risks Investment fund risks Interest rate risk Interest rate risk Securitization Interest rate riskre securitization Foreign exchange rate risks Commodities risks. Settlement risk Total Market Risk Exposures Operational Risk 1,912 Minimum Capital Requirements 251,45 Surplus/(Deficit) in capital 13,87 Total Capital ratio (time).94

16 Appendix 3 Disclosure on Credit Risk s Risk Weight 9.4. Appendix 4 Disclosure on Credit Risk s Credit Rating 9.5. Appendix 5 Disclosure on Credit Risk Mitigation (CRM)

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