pillar 3 disclosures€¦ · 30/6/2015 · as at 30 june 2015 gross exposures net exposures risk...

Company No: 14389-U

Affin Hwang Investment Bank Berhad(formerly known as HwangDBS Investment Bank Berhad)(Incorporated in Malaysia)

PILLAR 3 DISCLOSURES

for the financial period ended 30 June 2015

Affin Hwang Investment Bank Berhad(formerly known as HwangDBS Investment Bank Berhad)

(Incorporated in Malaysia)


The Group

As at 30 June 2015Gross

exposures

Net

exposures

Risk Weighted

Assets

Capital

requirements

(i) Credit risk RM’000 RM’000 RM’000 RM’000

Exposure Class

On-Balance Sheet Exposures

Sovereigns/Central Banks 1,812,880 1,812,880 3,753 300

Banks, Development Financial

Institutions ("DFIs") & Multilateral

Development Banks ("MDBs")723,260 723,260 175,396 14,032

Insurance Companies, Securities

Firms & Fund Managers 426 426 426 34

Corporates 2,992,634 2,992,634 1,822,487 145,799

Regulatory Retail 175,837 175,837 173,783 13,903

Other Assets 480,108 480,108 478,162 38,253

Defaulted Exposures 20,750 20,750 15,447 1,236

Total for on-balance sheet

exposures6,205,895 6,205,895 2,669,454 213,557

Off-Balance Sheet Exposures

Over-the-counter (“OTC”) derivatives 191,079 191,079 118,015 9,441

Off-balance sheet exposures other than

OTC or Credit Derivatives 145,516 145,516 145,501 11,640

Total for off-balance sheet

exposures 336,595 336,595 263,516 21,081

Total credit risk exposures 6,542,490 6,542,490 2,932,970 234,638

- - - -

(iii) Market riskNet

exposures

Risk Weighted

Assets

Capital

requirements

RM’000 RM’000 RM’000

Long

Position

Short

Position

RM'000 RM'000

Interest rate risk 3,538,736 3,563,708 (24,972) 72,570 5,806

Foreign currency risk 2,345,274 2,386,220 (40,946) 64,056 5,124

Equity risk 26,765 - 26,765 92,322 7,386

Option - - - - -

Total market risk exposures 5,910,775 5,949,928 (39,153) 228,948 18,316

(iv) Operational risk Risk Weighted

Assets

Capital

requirements

RM’000 RM’000

Operational risk 563,469 45,078

3,725,387 298,032

The following table depicts the risk weighted assets (“RWA”) and regulatory capital requirements:

Table 1: Risk-Weighted Assets and Capital Requirements

(ii) Large exposures risk requirements

Gross exposures

RM’000

Total risk-weighted assets and capital requirements

1




The Bank

As at 30 June 2015Gross

exposures

Net

exposures

Risk Weighted

Assets

Capital

requirements


Exposure Class





Development Banks ("MDBs") 614,486 614,486 153,396 12,272


Firms & Fund Managers 426 426 426 34

Corporates 2,992,634 2,992,634 1,822,487 145,799


Other Assets 323,716 323,716 321,769 25,742

Defaulted Exposures 20,750 20,750 15,447 1,236 Total for on-balance sheet

exposures 5,940,729 5,940,729 2,491,061 199,286


191,079 191,079 118,015 9,441

OTC or Credit Derivatives 145,516 145,516 145,501 11,640 Total for off-balance sheet

exposures 336,595 336,595 263,516 21,081


- - - -


exposures

Risk Weighted

Assets

Capital

requirements

RM’000 RM’000 RM’000Long

Position

Short

Position

RM'000 RM'000



Equity risk 26,765 - 26,765 72,541 5,803

Option - - - - -



Assets

Capital

requirements

RM’000 RM’000


3,290,265 263,223

RM’000


Table 1: Risk-Weighted Assets and Capital Requirements (Continued)

Over-the-counter (“OTC”) derivatives



Gross exposures

2




The Group

As at 31 December 2014Gross

exposures

Net

exposures

Risk Weighted

Assets

Capital

requirements


Exposure Class





Development Banks ("MDBs") 1,461,310 1,461,310 370,062 29,605


Firms & Fund Managers 3,457 3,457 3,457 277

Corporates 2,860,093 2,813,610 1,677,664 134,213


Other Assets 472,481 472,481 433,683 34,695

Securitisation - - - -

Defaulted Exposures 11,918 11,918 10,795 864

Total for on-balance sheet

exposures6,241,637 6,179,191 2,632,169 210,575


Over-the-counter (“OTC”) derivatives 182,562 182,562 102,769 8,222

Off-balance sheet exposures other thanOTC or Credit Derivatives 203,504 203,504 203,504 16,280

Defaulted Exposures - - - -

Total for off-balance sheet

exposures 386,066 386,066 306,273 24,502


- - - -

(iii) Market risk

Net

exposures

Risk Weighted

Assets

Capital

requirements


Position

Short

Position

RM'000 RM'000



Equity risk 26,188 - 26,188 66,270 5,302

Option - - - 17,124 1,370

Total market risk exposures 5,798,015 5,788,480 9,535 196,759 15,741


Assets

Capital

requirements

RM’000 RM’000


3,562,987 285,041



Gross exposures

RM’000


3




The Bank

As at 31 December 2014Gross

exposures

Net

exposures

Risk Weighted

Assets

Capital

requirements


Exposure Class





Development Banks ("MDBs") 1,196,980 1,196,980 305,129 24,410


Firms & Fund Managers 3,457 3,457 3,457 277

Corporates 2,859,510 2,813,027 1,677,080 134,166


Other Assets 386,989 386,989 352,736 28,219

Securitisation - - - -

Defaulted Exposures 11,918 11,918 10,795 864 Total for on-balance sheet

exposures 5,891,175 5,828,729 2,485,705 198,857


182,562 182,562 102,769 8,222

OTC or Credit Derivatives 203,504 203,504 203,504 16,280

Defaulted Exposures - - - - Total for off-balance sheet

exposures 386,066 386,066 306,273 24,502


- - - -


exposures

Risk Weighted

Assets

Capital

requirements


Position

Short

Position

RM'000 RM'000



Equity risk 18,903 - 18,903 51,701 4,136

Option - - - 17,124 1,370



Assets

Capital

requirements

RM’000 RM’000


3,309,268 264,742 Total risk-weighted assets and capital requirements


Over-the-counter (“OTC”) derivatives



Gross exposures

RM’000

4

Affin Hwang Investment Bank Berhad(formerly known as HwangDBS Investment Bank Berhad)(Incorporated in Malaysia)


Table 2: Constituents of Eligible Capital and Capital Adequacy Ratios

30.06.2014 31.12.2014 30.06.2014 31.12.2014

RM'000 RM'000 RM'000 RM'000

Common Equity Tier (CET) 1 Capital :

Paid-up share capital 780,000 780,000 780,000 780,000

Share premium 219,800 219,800 219,800 219,800

Statutory reserve 199,071 199,071 199,071 199,071

Retained profit 210,721 210,721 264,248 264,248

Unrealised gains on AFS instruments 6,093 5,479 5,789 5,347

1,415,685 1,415,071 1,468,908 1,468,466

Less : Regulatory adjustment

Goodwill and other Intangible assets (320,648) (320,806) (314,491) (314,772)

Investment in subsidiaries - - (118,321) (124,563)

Collective allowance reserve (4,234) (3,556) (4,234) (3,556)

55% of unrealised gains on AFS instruments (3,351) (3,013) (3,184) (2,941)

Deferred tax assets (10,397) (10,836) (7,411) (5,990)

1,077,055 1,076,860 1,021,267 1,016,644

Additional Tier 1 Capital

Non-controlling interests 3,000 3,000 - -

Tier 1 Capital 1,080,055 1,079,860 1,021,267 1,016,644

Tier 2 capital

Non-controlling interests - - - -

Collective allowance 13,799 12,557 13,799 12,557

Less : Regulatory adjustment

Investment in subsidiaries - - (13,799) (12,557)

Total Tier 2 capital 13,799 12,557 - -

Total Capital 1,093,854 1,092,417 1,021,267 1,016,644

Proposed dividends - - - -

Capital Ratio

CET 1 capital ratio 28.911% 30.224% 31.039% 30.721%

Tier 1 capital ratio 28.992% 30.308% 31.039% 30.721%

Total capital ratio 29.362% 30.660% 31.039% 30.721%

CET 1 capital ratio (net of proposed dividends) 28.911% 30.224% 31.039% 30.721%

Tier 1 capital ratio (net of proposed dividends) 28.992% 30.308% 31.039% 30.721%

Total capital ratio (net of proposed dividends) 29.362% 30.660% 31.039% 30.721%

The Group The Bank

5




4.1 Distribution of Credit Exposures

(i)

Table 3: Gross Credit Exposures by Geographic Distribution

The Group

As at 30 June 2015 Malaysia Other Countries Total

Exposure Class RM'000 RM'000 RM'000


Sovereign / Central Banks 1,812,880 - 1,812,880

Banks, DFIs & MDBs 692,840 30,420 723,260


Firms & Fund Managers

- 426 426

Corporates 2,810,735 181,899 2,992,634

Regulatory Retail 172,844 2,993 175,837

Other assets 480,105 3 480,108

Defaulted Exposures 20,722 28 20,750

Total for On-Balance Sheet Exposure 5,990,126 215,769 6,205,895

Off-Balance Sheet Exposure

OTC Derivatives 157,577 33,502 191,079

Non OTC Derivatives 145,516 - 145,516

Total Off-Balance Sheet Exposure 303,093 33,502 336,595

Total Gross Credit Exposures 6,293,219 249,271 6,542,490

The Bank

As at 30 June 2015 Malaysia Other Countries Total




Banks, DFIs & MDBs 584,066 30,420 614,486



- 426 426

Corporates 2,810,735 181,899 2,992,634


Other assets 323,713 3 323,716

Defaulted Exposures 20,722 28 20,750



OTC Derivatives 157,577 33,502 191,079




The following table depicts the geographical distribution of the Bank’s gross credit exposures,

based on the country of incorporation or residence:

6




Table 3: Gross Credit Exposures by Geographic Distribution (Continued)

The Group

As at 31 December 2014 Malaysia Other Countries Total




Banks, DFIs & MDBs 1,331,499 129,811 1,461,310



2,359 1,098 3,457

Corporates 2,602,161 257,932 2,860,093


Other assets 435,114 37,367 472,481

Securitisation - - -

Defaulted Exposures 11,918 - 11,918



OTC Derivatives 146,848 35,714 182,562




The Bank

As at 31 December 2014 Malaysia Other Countries Total




Banks, DFIs & MDBs 1,067,169 129,811 1,196,980



2,359 1,098 3,457

Corporates 2,601,578 257,932 2,859,510


Other assets 349,622 37,367 386,989

Securitisation - - -

Defaulted Exposures 11,918 - 11,918



OTC Derivatives 146,848 35,714 182,562




7




(ii) The following table depicts the Bank’s gross credit exposures by sector analysis or industrial distribution:

Table 4: Gross Credit Exposures by Sectorial Analysis or Industrial Distribution

The Group

As at 30 June 2015

Primary

Agriculture

Mining and

Quarrying

Manufacturing

(including Agro-

based)

Electricity,

Gas and

Water

Supply Construction

Wholesale

and Retail

Trade

Transport,

Storage and

Communication

Finance,

Insurance, Real

Estate and

Business

Activities

Education,

Health and

Others Household Others Total

Exposure class RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000


Sovereign/Central Banks - - - - 49,395 - 106,808 183,302 281,715 - 1,191,660 1,812,880

Banks, DFSs & MDBs - - - - - - - 723,260 - - - 723,260

Insurance Companies,

Securities Firms & Fund

Managers - - - - - - - 426 - - - 426

Corporates 61,980 83,279 69,894 569,830 338,749 134,473 261,445 1,011,630 130,625 - 330,729 2,992,634

Regulatory Retail - - - - - - - - - 175,837 - 175,837

Other assets - - - - - - - 106 - - 480,002 480,108

Defaulted Exposures - - 8,734 - - 1,100 - - - - 10,916 20,750

Total for On-Balance Sheet

Exposure 61,980 83,279 78,628 569,830 388,144 135,573 368,253 1,918,724 412,340 175,837 2,013,307 6,205,895

Off Balance Sheet Exposure

OTC Derivatives - - 8 - 5 - - 191,065 - - 1 191,079

Non OTC Derivatives - 1,944 - 361 47,850 - 66,862 11,796 3,633 5,070 8,000 145,516

Total Off-Balance Sheet

Exposure - 1,944 8 361 47,855 - 66,862 202,861 3,633 5,070 8,001 336,595

Total Gross Credit Exposure 61,980 85,223 78,636 570,191 435,999 135,573 435,115 2,121,585 415,973 180,907 2,021,308 6,542,490

8




Table 4: Gross Credit Exposures by Sectorial Analysis or Industrial Distribution (Continued)

The Bank

As at 30 June 2015

Primary

Agriculture

Mining and

Quarrying

Manufacturing

(including Agro-

based)

Electricity,

Gas and

Water

Supply Construction

Wholesale

and Retail

Trade

Transport,

Storage and

Communication

Finance,

Insurance, Real

Estate and

Business

Activities

Education,

Health and




Sovereign/Central Banks - - - - 49,395 - 106,808 183,302 281,715 - 1,191,660 1,812,880

Banks, DFSs & MDBs - - - - - - - 614,486 - - - 614,486



Managers - - - - - - - 426 - - - 426

Corporates 61,980 83,279 69,894 569,830 338,749 134,473 261,445 1,011,630 130,625 - 330,729 2,992,634


Other assets - - - - - - - 106 - - 323,610 323,716

Defaulted Exposures - - 8,734 - - 1,100 - - - - 10,916 20,750


Exposure 61,980 83,279 78,628 569,830 388,144 135,573 368,253 1,809,950 412,340 175,837 1,856,915 5,940,729


OTC Derivatives - - 8 - 5 - - 191,065 - - 1 191,079

Non OTC Derivatives - 1,944 - 361 47,850 - 66,862 11,796 3,633 5,070 8,000 145,516


Exposure - 1,944 8 361 47,855 - 66,862 202,861 3,633 5,070 8,001 336,595


9





The Group

As at 31 December 2014

Primary

Agriculture

Mining and

Quarrying

Manufacturing

(including Agro-

based)

Electricity,

Gas and

Water

Supply Construction

Wholesale

and Retail

Trade

Transport,

Storage and

Communication

Finance,

Insurance, Real

Estate and

Business

Activities

Education,

Health and




Sovereign/Central Banks - - - - - - 15,435 143,149 45,701 - 1,075,851 1,280,136

Banks, DFSs & MDBs - - - - - - - 1,461,310 - - - 1,461,310



Managers - - - - - - - 3,457 - - - 3,457

Corporates 40,049 186,896 125,938 542,289 367,122 94,680 243,517 634,494 310,561 153,238 161,309 2,860,093


Other assets 2,550 348 2,442 499 191 - 554 362,127 - - 103,770 472,481

Defaulted Exposures - - 8,735 - - 2,037 - 9 - 626 511 11,918


Exposure 42,599 187,244 137,115 542,788 367,313 96,717 259,506 2,604,546 356,262 306,106 1,341,441 6,241,637


OTC Derivatives - - - - 14 - - 182,523 - - 25 182,562

Non OTC Derivatives - 3,000 8,000 720 51,850 1,884 115,000 5,163 4,600 5,287 8,000 203,504


Exposure - 3,000 8,000 720 51,864 1,884 115,000 187,686 4,600 5,287 8,025 386,066


10





The Bank


Primary

Agriculture

Mining and

Quarrying

Manufacturing

(including Agro-

based)

Electricity,

Gas and

Water

Supply Construction

Wholesale

and Retail

Trade

Transport,

Storage and

Communication

Finance,

Insurance, Real

Estate and

Business

Activities

Education,

Health and




Sovereign/Central Banks - - - - - - 15,435 143,092 45,701 - 1,075,851 1,280,079

Banks, DFSs & MDBs - - - - - - - 1,196,980 - - - 1,196,980



Managers - - - - - - - 3,457 - - - 3,457

Corporates 40,049 186,896 125,938 542,289 367,122 94,680 243,517 634,495 310,561 153,238 160,725 2,859,510


Other assets 2,550 348 2,442 385 191 - 528 331,046 - - 49,499 386,989

Defaulted Exposures - - 8,735 - - 2,037 - 9 - 626 511 11,918


Exposure 42,599 187,244 137,115 542,674 367,313 96,717 259,480 2,309,079 356,262 306,106 1,286,586 5,891,175


OTC Derivatives - - - - 14 - - 182,523 - - 25 182,562

Non OTC Derivatives - 3,000 8,000 720 51,850 1,884 115,000 5,163 4,600 5,287 8,000 203,504


Exposure - 3,000 8,000 720 51,864 1,884 115,000 187,686 4,600 5,287 8,025 386,066


11




(iii)

Table 5: Gross Credit Exposures by Residual Contractual Maturity Analysis

The Group

As at 30 June 2015 < 1 year > 1 - 5 years Over 5 years

No specific

maturity Total

Exposure class RM'000 RM'000 RM'000 RM'000 RM'000


Sovereign/Central Banks 180,106 679,350 953,424 - 1,812,880

Banks, DFIs & MDBs 444,022 152,892 126,346 - 723,260



Managers 426 - - - 426

Corporates 847,041 1,279,916 865,677 - 2,992,634

Regulatory Retail 168,068 4,487 3,282 - 175,837

Other assets 5,809 105,419 - 368,880 480,108

Defaulted Exposures 10,917 9,833 - - 20,750


Exposure 1,656,389 2,231,897 1,948,729 368,880 6,205,895


OTC Derivatives 78,114 112,965 - - 191,079

Non OTC Derivatives 145,506 10 - - 145,516

Total Off-Balance Sheet Exposure 223,620 112,975 - - 336,595

Total Gross Credit Exposure 1,880,009 2,344,872 1,948,729 368,880 6,542,490

The Bank

As at 30 June 2015 < 1 year > 1 - 5 years Over 5 years

No specific

maturity Total



Sovereign/Central Banks 180,106 679,350 953,424 - 1,812,880

Banks, DFIs & MDBs 335,248 152,892 126,346 - 614,486



Managers 426 - - - 426

Corporates 847,041 1,279,916 865,677 - 2,992,634

Regulatory Retail 168,068 4,487 3,282 - 175,837

Other assets 5,809 105,419 - 212,488 323,716



Exposure 1,547,615 2,231,897 1,948,729 212,488 5,940,729


OTC Derivatives 78,114 112,965 - - 191,079



Total Gross Credit Exposure 1,771,235 2,344,872 1,948,729 212,488 6,277,324

The following table depicts the Bank’s gross credit exposures analysed by residual contractual maturity

analysis:

12




Table 5: Gross Credit Exposures by Residual Contractual Maturity Analysis (Continued)

The Group

As at 31 December 2014 < 1 year > 1 - 5 years Over 5 years

No specific

maturity Total



Sovereign/Central Banks 168,247 737,999 229,972 143,918 1,280,136

Banks, DFIs & MDBs 1,038,372 392,814 30,124 - 1,461,310



Managers 3,457 - - - 3,457

Corporates 595,719 1,547,749 716,625 - 2,860,093

Regulatory Retail 152,242 - - - 152,242

Other assets 46,906 - - 425,575 472,481



Exposure 2,006,080 2,689,343 976,721 569,493 6,241,637


OTC Derivatives 84,690 97,872 - - 182,562



Total Gross Credit Exposure 2,293,989 2,787,500 976,721 569,493 6,627,703

The Bank

As at 31 December 2014 < 1 year > 1 - 5 years Over 5 years

No specific

maturity Total



Sovereign/Central Banks 168,247 737,999 229,972 143,861 1,280,079

Banks, DFIs & MDBs 774,042 392,814 30,124 - 1,196,980



Managers 3,457 - - - 3,457

Corporates 595,136 1,547,749 716,625 - 2,859,510

Regulatory Retail 152,242 - - - 152,242

Other assets 46,901 - - 340,088 386,989



Exposure 1,741,162 2,689,343 976,721 483,949 5,891,175


OTC Derivatives 84,690 97,872 - - 182,562



Total Gross Credit Exposure 2,029,071 2,787,500 976,721 483,949 6,277,241

13




(i)

Table 6: Past Due and Impaired Loans, Advances and Financing by Sectorial Analysis

The Group and The Bank

As at 30 June 2015

Impaired loans,

advances and

financing*

Individual

assessment

allowance

Collective

assessment

allowance

Total Impairment

Allowance for

Loans, Advances

and Financing

By Sector RM'000 RM'000 RM'000 RM'000

Mining and Quarrying - - 514 514

Manufacturing (including Agro-based) 22,500 13,766 426 14,192

Electricity, Gas and Water Supply - - 751 751

Construction - - 1,159 1,159

Wholesale and Retail Trade 11,451 10,351 1,016 11,367

Transport, Storage and Communication - - 1,197 1,197

Finance, Insurance, Real Estate and Business Activities - - 1,329 1,329

Education, Health and Others - - 476 476

Household - - 2,680 2,680

Total 33,951 24,117 9,548 33,665

* Impaired and past due loans, advances and financing form a subset of gross credit exposures.

The sectorial analysis of past due and impaired loans, advances and financing and the individual and collective impairment

loan provisions by sectors are depicted below:

14




Table 6: Past Due and Impaired Loans, Advances and Financing by Sectorial Analysis (Continued)

The Group and The Bank


Impaired loans,

advances and

financing*

Individual

assessment

allowance

Collective

assessment

allowance

Total Impairment

Allowance for

Loans, Advances

and Financing

By Sector RM'000 RM'000 RM'000 RM'000

Mining and Quarrying - - 371 371

Manufacturing (including Agro-based) 22,500 13,766 189 13,955

Electricity, Gas and Water Supply - - 1,035 1,035

Construction - - 1,024 1,024

Wholesale and Retail Trade 11,506 10,351 551 10,902

Transport, Storage and Communication - - 584 584

Finance, Insurance, Real Estate and Business Activities - - 1,233 1,233

Education, Health and Others - - 1,278 1,278

Household 122 122 2,717 2,839

Total 34,128 24,239 8,982 33,221


15




(ii)

Table 7: Past Due And Impaired Loans, Advances And Financing By Geographic Distribution

The Group and the Bank

As at 30 June 2015

Impaired loans,

advances and

financing*

Individual

Impairment

Provision on

impaired loans,

advances and

financing

Collective

assessment

allowance

Total

Impairment

Allowance for

Loans,

Advances and

Financing

By Geographic Distribution RM'000 RM'000 RM'000 RM'000

Malaysia 33,951 24,117 9,548 33,665

Other Countries - - - -

Total 33,951 24,117 9,548 33,665




Impaired loans,

advances and

financing*

Individual

Impairment

Provision on

impaired loans,

advances and

financing

Collective

assessment

allowance

Total

Impairment

Allowance for

Loans,

Advances and

Financing

By Geographic Distribution RM'000 RM'000 RM'000 RM'000

Malaysia 34,128 24,239 8,982 33,221

Other Countries - - - -

Total 34,128 24,239 8,982 33,221


The geographic analysis of past due and impaired loans, advances and financing and the individual and

collective impairment loan provisions by geographical distribution can be analysed as follows:

16




(iii) The table below depicts the movement of impairment provisions:

Table 8: Reconciliation of Changes In Loan Impairment Provisions

30.06.2015 31.12.2014

RM'000 RM'000

Individual Impairment Provision

As at beginning of the financial period/year 24,239 -

Vested from AIBB - 20,269

Allowance made during the financial period/year - 3,970

Amount written off (122) -

As at financial period/year 24,117 24,239

Collective Impairment Provision

As at beginning of the financial period/year 8,982 5,476

Vested from AIBB - 7,388

Allowance made during the financial period/year 1,892 -

Amount written back (1,326) (3,882)

As at financial period/year 9,548 8,982

Direct Income Statement Impacts

Direct write offs - -

Direct recoveries 1,326 3,882


17




(i) Credit Exposure By Risk Weights

The following table depicts the credit risk exposure of the Bank by risk weight:

Table 9: Credit Risk Exposure by Risk Weight

The Group

As at 30 June

2015

Sovereign /

Central Banks

Banks, DFIs

& MDBs

Insurance

Companies,

Securities Firms

& Fund Manager Corporates

Regulatory

Retail

Other

Assets

Default

(On

Balance

Sheet)

OTC

Derivatives

Non-OTC

Derivatives

Total

Exposures

after Netting &

Credit Risk

Mitigation

Total Risk

Weighted

Assets

Risk Weights RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000

0% 1,794,116 - - - - 2,187 116 - - 1,796,419 -

20% 18,764 620,860 - 1,425,801 - - - 67,714 - 2,133,139 426,628

50% - 102,351 - 59,010 - - 9,833 37,786 - 208,980 104,490

75% - - - - 8,402 - - - - 8,402 6,302

100% - 49 426 1,507,823 167,435 477,921 10,801 85,579 145,516 2,395,550 2,395,550

Total 1,812,880 723,260 426 2,992,634 175,837 480,108 20,750 191,079 145,516 6,542,490 2,932,970

Deduction from

total capital - - - - - 144,012 - - - 144,012 -

Average risk weight 44.83%

Exposure after netting and credit risk mitigation

18




Table 9: Credit Risk Exposure by Risk Weight (Continued)

The Bank

As at 30 June

2015

Sovereign /

Central Banks

Banks, DFIs

& MDBs

Insurance

Companies,

Securities Firms


Regulatory

Retail

Other

Assets

Default

(On

Balance

Sheet)

OTC

Derivatives

Non-OTC

Derivatives

Total

Exposures

after Netting &

Credit Risk

Mitigation

Total Risk

Weighted

Assets


0% 1,794,116 - - - - 2,186 116 - - 1,796,418 -

20% 18,764 512,907 - 1,425,801 - - - 67,714 - 2,025,186 405,037

50% - 101,530 - 59,010 - - 9,833 37,786 - 208,159 104,079

75% - - - - 8,402 - - - - 8,402 6,302

100% - 49 426 1,507,823 167,435 321,530 10,801 85,579 145,516 2,239,159 2,239,159

Total 1,812,880 614,486 426 2,992,634 175,837 323,716 20,750 191,079 145,516 6,277,324 2,754,577

Deduction from

total capital - - - - - 144,012 - - - 144,012 -



19





The Group

As at 31

December 2014

Sovereign /

Central Banks

Banks, DFIs

& MDBs

Insurance

Companies,

Securities Firms


Regulatory

Retail

Other

Assets

Default

(On

Balance

Sheet)

OTC

Derivatives

Non-OTC

Derivatives

Total

Exposures

after Netting &

Credit Risk

Mitigation

Total Risk

Weighted

Assets


0% 1,273,040 - - - - 350 485 - - 1,273,875 -

20% 7,096 1,201,976 - 1,389,353 - 48,060 - 75,871 - 2,722,356 544,471

50% - 259,334 - 48,931 - - 1,163 38,191 - 347,619 173,810

75% - - - - 4,984 - - - - 4,984 3,738

100% - - 3,457 1,375,326 131,295 424,071 10,270 68,500 203,504 2,216,423 2,216,423

Total 1,280,136 1,461,310 3,457 2,813,610 136,279 472,481 11,918 182,562 203,504 6,565,257 2,938,442

Deduction from

total capital - - - - - 137,120 - - - 137,120 -



20





The Bank

As at 31

December 2014

Sovereign /

Central Banks

Banks, DFIs

& MDBs

Insurance

Companies,

Securities Firms


Regulatory

Retail

Other

Assets

Default

(On

Balance

Sheet)

OTC

Derivatives

Non-OTC

Derivatives

Total

Exposures

after Netting &

Credit Risk

Mitigation

Total Risk

Weighted

Assets


0% 1,272,983 - - - - 346 485 - - 1,273,814 -

20% 7,096 977,869 - 1,389,353 - 42,385 - 75,871 - 2,492,574 498,515

50% - 219,111 - 48,931 - - 1,163 38,191 - 307,396 153,698

75% - - - - 4,984 - - - - 4,984 3,738

100% - - 3,457 1,374,743 131,295 344,258 10,270 68,500 203,504 2,136,027 2,136,027

Total 1,280,079 1,196,980 3,457 2,813,027 136,279 386,989 11,918 182,562 203,504 6,214,795 2,791,978

Deduction from

total capital - - - - - 144,012 - - - 144,012 -



21




(ii) Credit Exposure By Risk Weight (Long Term Rating)

S&P Moody's Fitch RAM MARC

1 AAA to AA- Aaa to Aa3 AAA to AA- AAA to AA3 AAA to AA-

2 A+ to A- A1 to A3 A+ to A- A1 to A3 A+ to A-

3 BBB+ to BBB- Baa1 to Baa3 BBB+ to BBB- BBB1 to BBB3 BBB+ to BBB-

4 BB+ to BB- Ba1 to Ba3 BB+ to BB- BB1 to BB3 BB+ to BB-

5 B+ to B- B1 to B3 B+ to B- B1 to B3 B+ to B-

6 CCC+ to D Caa1 to C CCC+ to D C1 to D CCC+ to D

7

Banking

Institutions Corporate

Sovereign &

Central Bank

1 20% 20% 0%

2 50% 50% 20%

3 50% 100% 50%

4 100% 100% 100%

5 100% 150% 100%

6 150% 150% 150%

7 50% 100% 100%

Rating Category

Rating Category

Risk weights based on Credit Ratings of the

Counterparty Exposure Class

Table 10B: Long term Credit Rating Risk Weight Category by External Credit Assessment Institution under standardised Approach for

Banking Institution, Corporate and Sovereign & Central Bank

The following is summary of rules governing the Standardised Approach for rated, unrated and preferential / special risk weight of the

counterparties.

Table 10A: Long Term Credit Rating Category by External Credit Assessment Institution under Standardised Approach

External Credit Assessment Institutions (ECAI)

Unrated

22




Table 11: Preferential / Special Risk Weight Allocation under Standardised Approach (for Long Term & Short Term)

Risk Weight

1 0%

2 0%

3 0%

4 0%

5 0%

6 20%

7 20%

8 100%

9 100%

10 100%

11 1250%

Exposure Category

Investment in the ABF Malaysia Bond Index Fund

Exposure to local Stock Exchange & Clearing House

Unit Trust & Property Trust Fund

Publicly Traded Equity Investment in Banking Book

Equity held for socio-economic purpose

Investment in Subsidiaries (other than commercial entities)

Exposures including debts securities issued by or guaranteed by Federal Government of Malaysia and/or Bank Negara

Malaysia denominated and funded in Ringgit Malaysia

Exposure on Bank for International Settlements, International Monetary Fund, European Central Bank & European

Exposure to Multilateral Development Banks specified by Basel Committee of Banking Supervision

Exposures including debts securities issued by or guaranteed by Federal Government and/or Central Bank denominated and

funded in foreign currency

Cash & Gold

23




Table 12: Rated and Unrated Gross Credit Risk Exposure (Long Term)

The Group

As at 30 June 2015

Risk Weights 0% 20% 50% 100% 150% 0% 20% 100% 50% 75% 100% Total

RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000

Categories of Exposure

On and Off Balance-Sheet Exposures

Sovereign and Central Banks - - - - - 1,794,116 18,764 - - - - 1,812,880

Banks, DFIs and MDBs - 688,574 140,137 - - - - - - - 49 828,760


Firms & Fund Managers - - - - - - - - - - 4,792 4,792

Corporates - 1,391,070 59,010 58,117 - - - - - - 1,676,137 3,184,334

Regulatory Retail - - - - - - - - - 8,402 167,494 175,896

Other Assets - - - - - 2,187 - - - - 478,160 480,347

Defaulted Exposures - - - - - 116 - - 9,833 - 10,801 20,750

Total - 2,079,644 199,147 58,117 - 1,796,419 18,764 - 9,833 8,402 2,337,433 6,507,759

Unrated

Credit Exposures (using

Corporate Risk Weights)

The following table shows rated and unrated exposure to Banking Institution, Corporate and Sovereign and Central Banks using of long term ratings by the

external credit assessment institutions (ECAIs) and Preferential / Special Risk Weight.

Risk Weighted Allocation

Rated Preferential / Special Risk

24




Table 12: Rated and Unrated Gross Credit Risk Exposure (Long Term) (Continued)

The Bank

As at 30 June 2015






Banks, DFIs and MDBs - 580,621 139,316 - - - - - - - 49 719,986



Corporates - 1,391,070 59,010 58,117 - - - - - - 1,676,137 3,184,334


Other Assets - - - - - 2,186 - - - - 321,769 323,955

Defaulted Exposures - - - - - 116 - - 9,833 - 10,801 20,750

Total - 1,971,691 198,326 58,117 - 1,796,418 18,764 - 9,833 8,402 2,181,042 6,242,593





Unrated

25





The Group







Banks, DFIs and MDBs - 1,318,071 198,020 - - - - - 59,280 - - 1,575,371



Corporates - 1,334,849 48,931 197,460 - - - - - - 1,491,519 3,072,759


Other Assets - - - - - 52 48,060 336,468 - - 87,901 472,481

Defaulted Exposures - - - - - - - - 2,037 1,137 8,744 11,918

Total - 2,652,920 246,951 197,460 - 1,273,092 55,156 336,468 61,317 22,085 1,727,749 6,573,198

Unrated





26





The Bank







Banks, DFIs and MDBs - 1,053,741 198,020 - - - - - 59,280 - - 1,311,041



Corporates - 1,334,849 48,931 197,460 - - - - - - 1,490,936 3,072,176


Other Assets - - - - - 48 42,385 311,065 - - 33,491 386,989

Defaulted Exposures - - - - - - - - 2,037 1,137 8,744 11,918

Total - 2,388,590 246,951 197,460 - 1,273,031 49,481 311,065 61,317 22,085 1,672,756 6,222,736



Rated Preferential / Special Risk Unrated


27




(iii) Credit Exposure By Risk Weight (Short Term Rating)

S&P Moody's Fitch RAM MARC

1 A-1 P-1 F1+. F1 P-1 MARC-1

2 A-2 P-2 F2 P-2 MARC-2

3 A-3 P-3 F3 P-3 MARC-3

4 Others Others B to D Others MARC-4

Banking

Institutions Corporate

1 20% 20%

2 50% 50%

3 100% 100%

4 150% 150%

Rating Category

External Credit Assessment Institutions (ECAI)

Rating Category

Risk weights based on Credit

Ratings of the Counterparty

Exposure Class

The following is summary of rules governing the Standardised Approach for rated and unrated counterparties. Each exposure must be

assigned to one of the five credit quality steps and then used determine the risk weight percentage.

Table 13: Short term Credit Rating Category by External Credit Assessment Institution under Standardised Approach

Table 14: Short term Credit Rating Risk Weight Category by External Credit Assessment Institution under Standardised Approach for

Banking Institution and Corporate

28




Table 15: Rated and Unrated Gross Credit Risk Exposure (Short Term Rating)


As at 30 June 2015

Risk Weights 0% 20% 50% 100% 150% 0% 20% 100% 50% 100% Total

RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000



Sovereign and Central Banks - - - - - - - - - - -

Banks, DFIs and MDBs - - - - - - - - - - -

-

- - - - - - - - - - -

-

- - - - - - - - - - -

- 34,731 - - - - - - - - 34,731

- - - - - - - - - - -

- - - - - - - - - - -

- - - - - - - - - -

- - - - - - - - - - -

Total - 34,731 - - - - - - - - 34,731

Credit Exposures (using Corporate Risk Weights)

Public Sector Entities

Insurance Companies, Securities Firms & Fund

Corporates

The following table shows rated and unrated exposure to Banking Institution, Corporate and Sovereign and Central Banks using of short term ratings by

the external credit assessment institutions (ECAIs) and Preferential / Special Risk Weight.


Rated

Preferential / Special Risk

Weight Unrated

Managers

Other Assets

Securitisation

Defaulted Exposures

Regulatory Retail

29




Table 15: Rated and Unrated Gross Credit Risk Exposure (Short Term Rating) (Continued)



Risk Weights 0% 20% 50% 100% 150% 0% 20% 100% 50% 100% Total

RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000



Sovereign and Central Banks - - - - - - - - - - -

Banks, DFIs and MDBs - - - - - - - - - - -

-

- - - - - - - - - - -

-

- - - - - - - - - - -

- 54,505 - - - - - - - - 54,505

- - - - - - - - - - -

- - - - - - - - - - -

- - - - - - - - - -

- - - - - - - - - - -

Total - 54,505 - - - - - - - - 54,505

Unrated

Managers


Rated

Preferential / Special Risk

Weight

Defaulted Exposures

Credit Exposures (using Corporate Risk Weights)

Public Sector Entities


Corporates

Regulatory Retail

Other Assets

Securitisation

30




. The following table depicts the Bank’s exposures covered by guarantees and collaterals:

Table 16: Exposures Covered by Credit Risk Mitigation

The Group

As at 30 June 2015

Exposures

before CRM

Exposures

Covered by

Guarantees

Exposures

Covered by

Eligible

Financial

Collateral

Exposures

Covered by

Other Eligible

Collateral

RM’000 RM’000 RM’000 RM’000

Exposure Class


Sovereigns/Central Banks 1,812,880 - - -

Banks, DFIs and MDBs 723,260 - - -


Managers 426 - - -

Corporates 2,992,634 - - -

Regulatory Retail 175,837 - - 5,858

Other assets 480,108 - - -

Defaulted exposures 20,750 - - -

Total for On-Balance Sheet Exposures 6,205,895 - - 5,858


Over-the-counter (“OTC”) derivatives 191,079 - - 271

Off-balance sheet exposures other than OTC or

credit derivatives 145,516 - - -

Total for Off-Balance Sheet Exposures 336,595 - - 271

Total Gross Credit Exposures 6,542,490 - - 6,129

The Bank

As at 30 June 2015

Exposures

before CRM

Exposures

Covered by

Guarantees

Exposures

Covered by

Eligible

Financial

Collateral

Exposures

Covered by

Other Eligible

Collateral

RM’000 RM’000 RM’000 RM’000

Exposure Class



Banks, DFIs and MDBs 614,486 - - -


Managers 426 - - -

Corporates 2,992,634 - - -

Regulatory Retail 175,837 - - 5,858



Total for On-Balance Sheet Exposures 5,940,729 - - 5,858


Over-the-counter (“OTC”) derivatives 191,079 - - 271



Total for Off-Balance Sheet Exposures 336,595 - - 271

Total Gross Credit Exposures 6,277,324 - - 6,129

31




Table 16: Exposures Covered by Credit Risk Mitigation (Continued)

The Group


Exposures

before CRM

Exposures

Covered by

Guarantees

Exposures

Covered by

Eligible

Financial

Collateral

Exposures

Covered by

Other Eligible

Collateral

RM’000 RM’000 RM’000 RM’000

Exposure Class



Banks, DFIs and MDBs 1,461,310 - - -


Managers 3,457 - - -

Corporates 2,860,093 - 49,840 -

Regulatory Retail 152,242 - 23,385 -



Total for On-Balance Sheet Exposures 6,241,637 - 73,225 -


Over-the-counter (“OTC”) derivatives 182,562 - - -



Total for Off-Balance Sheet Exposures 386,067 - - -

Total Gross Credit Exposures 6,627,704 - 73,225 -

The Bank


Exposures

before CRM

Exposures

Covered by

Guarantees

Exposures

Covered by

Eligible

Financial

Collateral

Exposures

Covered by

Other Eligible

Collateral

RM’000 RM’000 RM’000 RM’000

Exposure Class



Banks, DFIs and MDBs 1,196,980 - - -


Managers 3,457 - - -

Corporates 2,859,510 - 49,840 -

Regulatory Retail 152,242 - 23,385 -



Total for On-Balance Sheet Exposures 5,891,175 - 73,225 -


Over-the-counter (“OTC”) derivatives 182,562 - - -



Total for Off-Balance Sheet Exposures 386,067 - - -

Total Gross Credit Exposures 6,277,242 - 73,225 -

32




The following table depicts disclosure of off-balance sheet and counterparty credit risk:

Table 17: Off-Balance Sheet and Counterparty Credit Risk


As at 30 June 2015

Principal

Amount

Positive Fair

Value of

Derivative

Contracts

Credit

Equivalent

Amount

Risk

Weighted

Assets

Description RM’000 RM’000 RM’000 RM’000

Direct Credit Substitutes 98,850 - 98,850 98,850

Foreign exchange related contracts

One year or less 2,387,037 83,559 77,942 60,213

Over one year to five years 844,956 92,792 108,439 55,960

Interest rate related contracts

One year or less 100,000 397 173 35


Other commitments, such as formal standby facilities

and credit lines, with an original maturity of over

one year 21 - 10 10


and credit lines, with an original maturity of up

to one year 233,280 - 46,656 46,641

Any commitments that are unconditionally cancelled at

any time by the bank without prior notice or that

effectively provide for automatic cancellation due

to deterioration in a borrower's creditworthiness 383,432 - - -

Total 4,197,576 178,812 336,595 263,516



Principal

Amount

Positive Fair

Value of

Derivative

Contracts

Credit

Equivalent

Amount

Risk

Weighted

Assets

Description RM’000 RM’000 RM’000 RM’000

Direct Credit Substitutes 133,850 - 133,850 133,850

Foreign exchange related contracts

One year or less 2,292,301 83,559 83,559 55,457


Interest rate related contracts

One year or less 100,000 397 647 129



and credit lines, with an original maturity of over

one year 571 - 285 285


and credit lines, with an original maturity of up

to one year 346,843 - 69,369 69,369

Any commitments that are unconditionally cancelled at

any time by the bank without prior notice or that

effectively provide for automatic cancellation due

to deterioration in a borrower's creditworthiness 322,761 - - -

Total 4,154,806 178,812 386,066 306,273

33




Table 18: Equities under Banking Book


As at 30 June 2015 Fair Value

Type of Equity Investments RM'000 RM'000

Publicly traded 19,465 19,465

Privately held 16,808 16,808

Total 36,273 36,273

RM'000

Cumulative realised gains/(losses) from sales

and liquidations of equity investments (647)

Total unrealised gains/(losses) in other

comprehensive income (1,897)


As at 31 December 2014 Fair Value

Type of Equity Investments RM'000 RM'000

Publicly traded 18,964 18,964

Privately held 16,808 16,808

Total 35,772 35,772

RM'000

Cumulative realised gains/(losses) from sales

and liquidations of equity investments 27

Total unrealised gains/(losses) in other

comprehensive income (2,086)

Risk Weighted

Assets

Risk Weighted

Assets

The following table depicts the fair value and risk weighted assets of and gains and losses on equity/

CIS investments under banking book:

34




Table 19: Sensitivity of the banking book to interest rate changes

As at 30 June 2015 +100 bps -100 bps +100 bps -100 bps

*Impact on Earnings

MYR (13,857) 13,857 (13,857) 13,857

USD (1,323) 1,323 (1,323) 1,323

SGD 327 (327) 327 (327)

Others (19) 19 (19) 19

Total (14,872) 14,872 (14,872) 14,872

~Impact on Economic Value

MYR (108,065) 108,065 (108,065) 108,065

USD (6,411) 6,411 (6,411) 6,411

SGD (4,468) 4,468 (4,468) 4,468

Others (1,642) 1,642 (1,642) 1,642

Total (120,586) 120,586 (120,586) 120,586

As at 31 December 2014 +100 bps -100 bps +100 bps -100 bps

*Impact on Earnings

MYR (10,095) 10,095 (10,095) 10,095

USD (4,146) 4,146 (4,146) 4,146

SGD 67 (67) 67 (67)

Others (32) 32 (32) 32

Total (14,206) 14,206 (14,206) 14,206

~Impact on Economic Value

MYR (69,387) 69,387 (69,387) 69,387

USD (3,468) 3,468 (3,468) 3,468

SGD (4,890) 4,890 (4,890) 4,890

Others (1,807) 1,807 (1,807) 1,807

Total (79,552) 79,552 (79,552) 79,552

~ The economic value approach provides a more comprehensive view of the impact of

interest rate movement on the economic value of the Bank’s overall positions.

* The earnings approach focuses on the impact of interest rate movement on the Bank’s

near term earnings (within 1 year).

The Group The Bank

Increase / (Decrease) in

RM'000


RM'000

The Bank


RM'000

The Group


RM'000

The following table depicts the sensitivity shocks on earnings and economic value of the

Bank’s positions in banking book, to a parallel interest rate shock of +/- 100 basis points

(“bps”):

35

pillar 3 disclosures€¦ · 30/6/2015 · as at 30 june 2015 gross exposures net exposures risk...

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