for the year ending

December 31, 2019

FAB Private Bank (Suisse) SA

Pillar 3 Report

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Table of content

1. Introduction ................................................................................................................................................... 3

2. KM1: Key Metrics ........................................................................................................................................ 4

3. OV1: Overview of RWA .............................................................................................................................. 5

4. CR1: Credit quality of assets ..................................................................................................................... 5

5. CRB: Additional disclosures related to the credit quality of assets ...................................................... 6

5.1 General information ............................................................................................................................ 6

5.2 Non-performing loans & Impaired loans ......................................................................................... 6

5.3 Breakdown of exposures by geographical area ............................................................................. 7

6. CR3: Credit risk mitigation techniques – overview ................................................................................. 7

7. CR5: Credit Risk - Standardized approach – exposures by asset classes and risk weights ........... 8

8. CCR5: Counterparty Credit Risk –Composition of collateral for CCR exposure ............................... 8

9. LIQA – Liquidity Risk management .......................................................................................................... 9

9.1 Governance of liquidity risk Management including policy in place, risk tolerance, risk

mitigation, monitoring and reporting activities ............................................................................................. 9

9.2 Funding strategy including diversification of funding sources ..................................................... 9

9.3 Stress testing policy and approach ................................................................................................ 10

9.4 Contingency funding plan ................................................................................................................ 10

9.5 High Quality Liquid Assets and Liquidity Coverage Ratio .......................................................... 10

9.6 Balance sheet items by contractual maturity ................................................................................ 11

9.7 Off- Balance sheet items by contractual maturity ........................................................................ 11

10. IRRBBA – Qualitative disclosure requirements .................................................................................... 12

11. IRRBBA1 - Quantitative information to positions structure and interest pricing ............................... 13

12. IRRBB1 – Quantitative information on EVE and NII ............................................................................ 14

13. ORA – Operational Risk ........................................................................................................................... 15

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1. Introduction

This document presents the Pillar 3 disclosures of FAB Private Bank (Suisse) SA thereafter

“the Bank” as at 31 December 2019. The purpose of Pillar 3 disclosures is to allow market

participants to assess key pieces of information on the firm's capital, risk exposures and risk

assessment process.

The Basel III capital adequacy framework is structured around the following three Pillars:

Pillar 1 on minimum capital requirements for credit, market and operational risk

Pillar 2 on the supervisory review process

Pillar 3 on the publication of disclosures

The Bank is regulated by the Swiss Financial Market Supervisory Authority (FINMA) and

follows the Pillar 3 disclosure requirements as stated under the FINMA circular 2016/01

“Disclosure – banks” lastly modified on 31 October 2019. The disclosure requirements are

based guidance issued by the Basel Committee on Banking Supervision (BCBS) on the

“Revised Pillar 3 disclosure requirements” issued in January 2015, the “Frequently asked

questions on the revised Pillar 3 disclosure requirements” issued in August 2016, and the

“Pillar 3 disclosure requirements – consolidated and enhanced framework” issued in March

2017.

The FINMA circular 2016/01 “Disclosure – banks” is applicable to all banks and securities

dealers domiciled in Switzerland and subject to FINMA supervision. Quantitative and

qualitative disclosures shall be made taking into account the meaningfulness in relation to

the business activities performed and the regulatory approaches used.

The Board of directors shall approve the specific principles and the scope of disclosure on

the basis of which the Bank complies with the provisions of the circular. The disclosure must

be subject to internal control comparable to that applied to the publication of the annual

financial statements. The publication of the data updated after each annual period must take

place within four months of the closing of the annual financial statements.

The Pillar 3 disclosures are to be read in conjunction with the Annual Report as of 31

December 2019.

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2. KM1: Key Metrics

31.12.19 31.12.18

Available capital (CHF 000)

1 Common Equity Tier 1 (CET1) 97,651 97,112

2 Tier 1 Capital 97,651 97,112

3 Total Capital 97,651 97,112

Risk Weighted Assets (RWA) (CHF 000)

4 RWA 397,381 348,783

4a Minimum capital requirements (CHF) 31,790 27,903

Risk based capital ratios as % of RWA

5 Common Equity Tier 1 ratio 24.6% 27.8%

6 Tier 1 ratio 24.6% 27.8%

7 Total Capital ratio 24.6% 27.8%

Additional CET1 buffer requirements as % of RWA

8 Capital conservation buffer requirements as per Basel minimal standards

2.5% 1.9%

9 Countercyclical buffer requirements as per Basel minimal standards

0.0% 0.1%

10 Bank G-SIB and/or D-SIB additional requirements - -

11 CET1 available after meeting the bank’s minimum capital requirements as per Basel minimal standards

2.5% 2.0%

12 Total of bank CET1 specific buffer requirements as per the Basel minimal standards

16.4% 24.3%

Target capital ratios as per appendix 8 CAO (% of RWA)

12a Capital buffer (Appendix 8 CAO) 2.5% 2.5%

12b Countercyclical buffer (art. 44 and 44a CAO) 0.1% 0.1%

12c T1 target ratio according to appendix 8 CAO in addition to countercyclical capital buffer according to art. 44 and 44a CAO

7.1% 7.1%

12d Total capital target ratio according to appendix 8 CAO in addition to countercyclical capital buffer according to art. 44 and 44a CAO

8.6% 8.6%

12e Total capital target ratio according to appendix 8 CAO in addition to countercyclical capital buffer according to art. 44 and 44a CAO

10.6% 10.6%

Basel III leverage ratio

13 Total Basel III leverage ratio exposure measure (CHF 000) 758,858 679,057

14 Basel III leverage ratio (%) 12.8% 14.3%

Liquidity coverage ratio (3 month average)

15 Total HQLA (CHF 000) 97,489 129,742

16 Total net cash outflow 58,234 59,740

17 LCR ratio (%) 145% 303%

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3. OV1: Overview of RWA

FAB Private Bank (Suisse) SA calculates its Swiss capital adequacy requirements using the

International Standardised Approach for Credit Risk, the Standardised Approach for Market

Risk and the Basic Indicator Approach for Operational Risk..

The below table presents the details of RWA by risk category:

CHF 000 RWA RWA Minimum equity requirements

2019 2018 2019

Credit Risk 325,778 272,745 26,062

Market Risk 34,564 36,913 2,765

Operational Risk 37,039 39,125 2,963

Amount below thresholds for deduction (250% risk weight)

- - -

Total 397,381 348,783 31,790

RWAs increased by 14% compared to the previous year mainly due to growth in credit facilities.

4. CR1: Credit quality of assets

CHF 000 Defaulted exposures

Non-defaulted exposures

Impairment Net values

Loans 923 426,666 923 426,666

Debt securities - 71,166 - 71,166

Off Balance sheet - 18,879 - 18,879

Total 923 516,711 923 516,711

Loans that are unlikely to be repaid due to financial difficulties on the part of the borrower,

increased likelihood of bankruptcy or durable failure to honor interest payments, amortisation

or principal repayments are considered to be impaired and in default.

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5. CRB: Additional disclosures related to the credit quality of

assets

5.1 General information

Non-performing loans / receivables (“Créances en souffrance” as per FINMA Circ.15/1

Accounting – Banks)

Loans / receivables are deemed to be non-performing if at least one of the following payments has not been effected in full more than ninety days after the due date:

· Interest payments

· Commission payments

· Amortisation (partial repayments of principal)

· Full repayment of principal

If payments for interest, commission and / or amortisation are overdue, the whole amount of the loan / receivable is also considered to be non-performing. Loans / receivables to debtors in liquidation are always to be considered non-performing. Loans / receivables subject to special conditions based on the borrower’s credit standing (e.g. significant reductions in interest rates, with interest below the bank’s refinancing costs) are to be considered non-performing. Non-performing loans / receivables are frequently a component of impaired loans / receivables. Impairment of loans / receivables (“Créances compromises” as per FINMA Circ.15/1

Accounting – Banks)

An impairment is applicable where the expected recoverable amount (including collateral) is

lower than the book value of the loan / receivable.

5.2 Non-performing loans & Impaired loans

CHF 000 Non-Performing loans Impaired loans

Existing at 31.12.18 - -

New exposures - 923

Existing at 31.12.19 - 923

At year end, the Bank fully provisioned its impaired loans for CHF 923. These exposures

mostly relate to inactive accounts from clients from the following risk countries i.e. Lebanon

(44%), UAE (35%), Cayman Islands (15%) and Saudi Arabia for (7%).

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5.3 Breakdown of exposures by geographical area

The geographical distribution for total assets is as follows:

6. CR3: Credit risk mitigation techniques – overview

Credit exposures must be weighted according to their risk – Risk Weighted Exposures and

uses the standardized approach to determine the minimum capital requirements for credit

risks as prescribed by FINMA requirements. The Bank did not change the approach used for

determining capital requirements compared to last year.

CHF 000 Exposures

unsecured

Exposures

secured by

collateral

Exposures

secured by

financial

guarantees or

credit derivatives

Loans included debt securities

32,079 394,587 -

Off balance sheet 360 18,519 -

Total 32,439 413,106 -

Of which: defaulted 1 - -

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7. CR5: Credit Risk - Standardized approach – exposures by

asset classes and risk weights

No significant changes have occurred in the period under review.

Risk weight % / Asset classes CHF 000

0% 10% 20% 35% 50% 75% 100% 150% Others Total credit exposures amount (post CCF and CRM)

Governments - - 158 - - - 41,753 - - 41,911

Public Institutions

- - 228 - - - 85 - - 313

Banks and securities dealers

- - 35,058 - 10,216 - 9,240 - - 54,514

Corporates - - 452 43,085 1,481 294 75,974 3,067 - 124,353

Retail - - 2,030 31,701 - 10,523 30,868 - - 75,122

Equity - - - - - - - 4 - 4

Other assets - - - - - - 28,137 - - 28,137

Total - - 37,926 74,786 11,697 10,817 186,057 3,071 - 324,354

Of which mortgages

- - - 74,786 - 5,328 911 - - -

Of which past due exposures

- - - - - - 334.7 - - -

8. CCR5: Counterparty Credit Risk –Composition of collateral for

CCR exposure

No significant changes have occurred in the period under review.

CHF 000 Collateral used in derivative transactions Collateral used in SFT’s

Fair value of collateral received Fair value of collateral posted Fair value of

collateral

received

Fair value of

collateral

posted

Seggregated Unseggregated Seggregated Unseggregated

Cash - CHF - - - 4,359 - -

Cash – other

currencies

- - - 9,466 - -

Swiss

Confederation

Sovereign

Debt

- - - - - -

Other

Sovereign debt

- - - - - -

Government

Agency debt

- - - - - -

Corporate

Bonds

- - - - - -

Equity

Securities

- - - - - -

Other collateral - - - - - -

Total - - - 13,825 - -

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9. LIQA – Liquidity Risk management

9.1 Governance of liquidity risk Management including policy in

place, risk tolerance, risk mitigation, monitoring and reporting

activities

Liquidity risk is defined as the risk that the Bank is unable to meet its financial obligations as

and when they fall due or that it can only do so at an excessive cost. Liquidity risk arises

from cash flows generated by assets and liabilities, including derivatives and other off-

balance sheet commitments, not being matched in currency, size, and term. The Bank

ensures that all liabilities can be met as they fall due under both business-as-usual and

stress conditions without incurring undue cost.

The Bank has defined the liquidity risk appetite at a level so as to ensure that it has a

controlled liquidity risk position with adequate cash or cash-equivalents to be able to meet its

financial obligations, in all foreseeable circumstances and without incurring substantial

additional costs. The risk appetite is supported by a comprehensive risk management

framework that includes approved limits for key funding and liquidity metrics, stress testing

and a contingency funding plan. The liquidity risk appetite is also defined at a level to ensure

continued compliance with regulatory requirements through the reporting of Liquidity

Coverage Ratio and Net Stable Funding Ratio.

All liquidity policies and procedures are subject to review and approval by the relevant

stakeholders. Liquidity positions (based on contractual and behavioural maturity

assumptions) and limits are regularly monitored and are subject to formal internal reporting

and external communications.

9.2 Funding strategy including diversification of funding sources

The Bank currently has a surplus of capital, and is not relying on external financing sources

other than the FAB Group. Surplus capital is placed at a diversified range of well-rated

Banks, and into treasury bills and highly rated bonds with varying maturities to enable quick

access to funds should need arise. In the event of forced liquidation of the Bank's financial

investments, some of these would be sold on the secondary market at a discount, due to

formal monthly redemption requirements.

The liquidity of both treasury and own account positions is monitored regularly, to ensure

sufficient liquid assets are always maintained. The Bank has to comply with a number of

regulatory liquidity requirements, and these were all met throughout the year.

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9.3 Stress testing policy and approach

Annually, the bank reviews and approves the results of stress tests to identify, quantify and

analyze the impact of possible extreme liquidity stress events on cash inflows, outflows and

the Bank’s liquidity position. Test parameters may include variables such as adherence with

regulatory requirements, the time horizons, stickiness of cash flows, availability of HQLA,

external event etc. As part of FAB Group, the Bank also takes into account the enhanced

liquidity stress testing performed at Group level.

9.4 Contingency funding plan

The Bank has put in place a contingency funding plan (CFP) to address its financial obligations during periods of extreme stress. The CFP represents a detailed action plan to be followed in the event that certain Early Warning Indicators (EWI’s) are triggered. The EWI’s are re-assessed for its appropriateness and effectiveness on a regular basis and have been parameterized in the form of a Severity Impact Assessment Matrix (SIAM) which helps measure the potential seriousness of any impending crisis. The impact measurement is reflected in the form of varying levels of severity and associated escalation levels. Annually, the CFP is reviewed and approved by the relevant stakeholders and also forms an integral part of the global CFP performed at FAB Group level.

9.5 High Quality Liquid Assets and Liquidity Coverage Ratio

High Quality Liquid Assets (HQLA) represent low risk, unencumbered instruments which can

be easily and rapidly converted into cash. HQLA are under the control of the Bank’s

Treasury unit and mainly serve to address Liquidity Coverage Ratio (LCR) requirements. As

at 31 December 2019, HQLA amounted to CHF 97 million mainly composed of US Treasury

bills and Swiss National Bank balances and the LCR ratio was 144% versus the requirement

of 100% requirement.

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9.6 Balance sheet items by contractual maturity

CHF 000 Assets / Liabilities

At sight Within 3 months

Within 3 and 12 months

Within 12 months and 5 years

After 5 years

No maturity Total

Liquid assets 31,156 - - - - - 31,156

Amounts due from banks

151,531 15,292 - - - - 166,823

Amounts due from clients

96,894 178,135 3,347 62,598 25,049 - 366,023

Mortgage loans - 3,460 11,035 42,548 3,600 - 60,643

Positive replacement values of derivative financial instruments

5,337 - - - - - 5,337

Financial investments

3 57,553 8,739 4,871 - - 71,166

Accrued income and prepaid expenses

- 4,280 - - - - 4,280

Tangible fixed assets

- - - - - 28,137 28,137

Other assets - 373 - - - - 373

Total Assets (A) 284,921 259,093 23,121 110,017 28,649 28,137 733,938

Amounts due to banks

11,813 190,418 57,343 27,121 25,243 - 311,938

Amounts due in respect of client deposits

315,299 - - - - - 315,299

Negative replacement values of derivative financial instruments

5,597 - - - - - 5,597

Accrued expenses and deferred income

- 3,042 - - - - 3,042

Other liabilities - 122 - - - - 122

Provisions - 290 - - - - 290

Bank’s equity - - - - - 97,650 97,650

Total Liabilities (B)

332,709 193,872 57,343 27,121 25,243 97,650 733,938

Gap (A) minus (B) (47,788) 65,221 (34,222) 82,896 3,406 (69,513) -

Cumulative gap (A) minus (B)

(47,788) 17,433 (16,789) 66,107 69,513 - -

9.7 Off- Balance sheet items by contractual maturity

Off Balance sheet CHF 000

At sight Within 3 months

Within 3 and 12 months

Within 12 months and 5 years

After 5 years

Total

Contingent liabilities

1,977 - 7,613 8,920 9 18,519

Irrevocable commitments

360 - - - - 360

Total 2,337 - 7,613 8,920 9 18,879

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10. IRRBBA – Qualitative disclosure requirements

Qualitative Information

a Interest rate risk in the Banking Book (IRRBB) arises from the possibility that changes in interest rates will affect balance sheet positions, off-balance sheet items and future cash flows. The Bank is exposed to interest rate risk as a result of mismatches or gaps in the amounts of interest rate sensitive assets and interest rate sensitive liabilities and off balance sheet instruments that mature or re-price in a given period. The new approach for measuring interest rate risk is governed by the requirements set forth in FINMA Circular 2019/02 “Interest rate risk - banks” that came into force in January 2019. FINMA authorized the application of the so called principle of proportionality for banks classified in category IV & V. The general risk management principles including those related to interest rate risk are described in the Banks annual report. In addition to the periodic monitoring of interest rate risk in conformity with FINMA Circular 2019/02, a wider framework comprising Risk Governance and Risk Appetite is applied at FAB Group level using a combination of duration gap analysis and scenario analysis pertaining to the impact of changes in interest rates on Net Interest Income and Value of Equity as well as to the impact of defined movements in interest yield curves on the Bank's net interest income.

b A limit system is the foundation of FAB Private Bank (Suisse) SA interest rate risk control system. The Risk department controls that the limits are complied with. The IRRBB risk appetite and limit framework are documented in the Enterprise Risk Management Policy approved and reviewed annually by the Board of Directors. Interest Rate risk reports are circulated to in the Risk & Compliance Committee as well as the Asset & Liability Management committee on a monthly basis and in a summary form to the Board Risk & Compliance Committee on a quarterly basis.

c The IRRBB metrics are calculated quarterly as part of the regulatory reporting to the Swiss National Bank.

d The revised FINMA Circular 2019/02 requires banks to measure IRRBB through 1) Economic Value of Equity (EVE) and 2) Net Interest Income (NII) for significant currencies with granular time bands and 6 standard stress shock scenarios under prescribed scenarios. The Bank adopts these metrics as standard interest rate risk scenarios.

e In addition to the EVE and NII, the Bank also monitors on a weekly basis the DV01 (the price impact of a parallel shift of 1 basis point on the interest rate curve) based on the Group DV01 methodology and limits.

f The Bank does not intend to take any significant interest rate risk deliberately within the framework of the structure of its activities. In connection with this principle, the Bank intends to finance systematically its assets, whenever possible, in the same terms, tenors and currencies.

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Qualitative Information

g The main modelling assumption are:

- The calculation of interest rate related cash flows used for the calculation of the

EVE variation includes a client’s interest rate margins;

- The cash flows for the calculation of the EVE variation are based on contractual

interest rate maturities;

- LIBOR and Swap rates are used for cash flow discounting;

- Net Interest Income variation for the next 12 months includes behavioral

assumptions such as a static balance sheet and expiring positions being

renewed based on the initial maturity of the trades;

- Positions without a fixed maturity are placed in maturity buckets based on

behavioral assumptions mainly in overnight bucket;

- The Bank does not have any early repayment options in the banking book;

- The Bank does not have any withdrawal options in the banking book;

- The Bank does not have any interest rate options in the banking book

- The use of Interest Rate Swaps is not material;

- The vast majority of positions are in CHF, EUR, USD and GBP. The total caption

in each scenario of IRRBBA1 is a simple sum of the results for each currency.

There are no correlation assumptions applied.

11. IRRBBA1 - Quantitative information to positions

structure and interest pricing

CHF 000 Average repricing maturity

Total Of which CHF

Of which other currencies representing more than 10% of balance sheet

Total (year) Of which CHF currency (year)

Defined resetting date of interest rate

Due from banks 15,294 - 15,294 0.04 -

Due from customers 270,434 12,677 257,758 0.10 0.10

Money-market mortgages

44,728 44,728 - 0.17 0.17

Fixed-term mortgages

16,981 16,981 - 2.78 2.78

Financial investments 14,439 - 14,439 1.79 -

Other assets - - - - -

Asset legs of interest derivatives

1

163,981 6,722 118,556 0.08 0.16

Due to banks 300,818 22,267 278.551 0.33 2.51

1 Interest rate derivatives are shown twice (asset and liability legs) for technical reasons according to FINMA

Circular 2016/1

14

Due to customers - - - - -

Cash bonds - - - - -

Debt issued - - - - -

Other liabilities - - - - -

Liability legs from interest rate

derivatives1

164,028 6,716 111,745 0.08 0.16

Non-defined resetting date of interest rate

Due from banks 105,407 - 85,825 - -

Due from customers 97,287 253,8 97,030 0.30 0.11

Variable-rate mortgages

- - - - -

Other assets at sight - - - - -

Liabilities at sight (private and current account)

262,592 - 244,927 - -

Other liabilities at sight

11,813 - 11,676 - -

Due to customers, with notice period but not transferable (savings account)

- - - - -

12. IRRBB1 – Quantitative information on EVE and NII

CHF 000 EVE variation NII variation

Period 31.12.19 30.06.19 31.12.19 30.06.19

Parallel up -778 -397 3,713 2,615

Parallel down 816 425 -3,713 -2,615

Steepener 416 123 - -

Flattener -573 -218 - -

Short rate up -817 -367 - -

Short rate down 850 385 - -

Maximum 850 425 3,713 2,615

Period 31.12.19 30.06.19

Tier 1 capital 97,112 96,064

As of 31 December 2019, the EVE variation in any standard interest rate shock scenario is

not significant compared to Tier 1 capital representing maximum 0.9%. A negative NII

variation happens in the context of a fall in interest rates.

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13. ORA – Operational Risk

Operational risk is the risk of direct or indirect loss arising from a wide variety of causes

associated with the Bank’s processes, personnel, technology and infrastructure, and from

external factors other than credit, market and liquidity risks. Operational risks arise from all

of the Bank’s operations and are faced by all departments. The Bank’s objective is to

manage operational risk so as to balance the avoidance of financial losses and damage to

the Bank’s reputation with overall cost effectiveness. This is handled by an established

framework of policies and procedures to identify, assess, monitor, control, manage and

report risks. Where appropriate, risk is mitigated by way of insurance. The framework also

provides the interrelation with other risk categories. The key elements of the operational risk

framework are operating loss incident management, risk self assessment and key risk

indicators.

The Board has oversight responsibility for operational risk management in the Bank. This

responsibility is exercised through the Risk Management department, which acts as the

central point in coordinating various efforts and initiatives that relate to operational risk

management including alignment with other operational risk mitigating strategies such as

Business Continuity Management, etc. Compliance with policies and procedures is

supported by periodic reviews undertaken by the internal and external auditors. The results

of these reviews are discussed with the management of the business unit to which they

relate, with summaries submitted to the Audit Committee and senior management of the

Bank.

The Bank uses the basis indicator approach for the calculation of capital adequacy

requirements. Under this approach, the minimum required capital corresponds to 15% of the

average earnings indicators of the three previous years.

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Contact Details

FAB Private Bank (Suisse) SA

Quai de l’Ile 5,

P.O. Box 5055

1211 Geneva 11

Switzerland

Tel. +41 (0)22 707 50 00

Fax. +41 (0)22 707 50 10

info@fabsuisse.ch

www.fabsuisse.ch

FAB Group

For further information on the Group, please visit www.bankfab.com