CITI Bank Bangkok branch. Set B Capital Item1 Capital Structure Table 2 Capital of Foreign Banks Branchs Unit : THB. Item June 30, 2009

Transcription

1 CITI Bank Bangkok branch Set B Capital Item1 Capital Structure Table 2 Capital of Foreign Banks Branchs Unit : THB Item June 30, 20 1 Assets required to be maintained under Section 32 17,753,449, Sum of net capital for maintenance of assets under Section 32 and net balance of inter-office accounts ( ) 2.1 Capital for maintenance of assets under Section 32 17,753,449, Net balance of inter -office accounts which the branch is the debtor (the creditor ) to the head office and other branches located in other countries, the parent company and subsidiaries of the head office 1,421,822, Total regulatory capital ( ) 3.1 Total regulatory capital before deductions (The lowest amount among item 1 item 2 and item 2.1) 17,753,449, Deductions -

2 CITI Bank Bangkok Branch Set B Capital Item 2 Capital adequacy (Table 3-8) Table 3 Minimum capital requirement for credit risk classified by type of assets under the SA Unit : THB Minimum capital requirement for credit risk classified by type of assets under the SA June 30, 20 Performing claims 1 Claims on sovereigns and central banks, multilateral development banks (MDBs), and non-central government public sector entities (PSEs) treated as claims on sovereigns 142,552, Claims on financial institutions, non-central government public sector entities (PSEs) treated as claims on financial institutions, and securities firms - 3 Claims on corporates, non-central government public sector entities (PSEs) treated as claims on corporate 2,800,157, Claims on retail portfolios 2,375,878, Claim on housing loans 1,481, Other assets 134,443, Non-performing claims 51,505, First - to - default credit derivatives และ Securitisation - Total minimum capital requirement for credit risk under the SA 5,506,019,206.73

3 Table 6 Minimum capital requirement for market risk for positions in the trading book (Standardized measurement approach/ Internal model approach) Unit : THB Minimum capital requirement for market risk (positions in the trading book) June 30, 20 1 Standardised approach - 2 Internal model approach 940,573, Total minimum capital requirement for market risk 940,573,558.97

4 Table 7 Minimum capital requirement for operational risk (BIA / SA / ASA) Unit :THB Minimum capital requirement for operational risk June 30,20 1 Calculate by Basic Indicator Approach - 2 Calculate by Standardised Approach 1,850,115, Calculate by Alternative Standardised Approach - Total minimum capital requirement for operational risk 1,850,115,228.39

5 Table 8 Total risk-weighted capital ratio and Tier 1 risk-weighted capital ratio Unit : % Ratio June 30, 20 1 Total capital to risk-weighted assets Tier 1 capital to risk-weighted assets * - *Disclosed only in case of locally incorporated commercial banks

6 Item 4 Market risk exposures 4.2 Market risk under the Internal Model Approach Table 31A Disclosure on each type of market risk under the Internal Model Approach Unit : THB Type of Market Risk June 30,20 Interest rate risk Maximum VaR during the reporting period 177,958,395. Average VaR during the reporting period 137,466, Minimum VaR during the reporting period 74,860, VaR at the end of the period 115,211, Equitiy position risk Maximum VaR during the reporting period Average VaR during the reporting period Minimum VaR during the reporting period VaR at the end of the period Foreign exchange rate risk Maximum VaR during the reporting period 23,904, Average VaR during the reporting period 13,070, Minimum VaR during the reporting period 2,897, VaR at the end of the period 9,070, Commodity risk Maximum VaR during the reporting period Average VaR during the reporting period Minimum VaR during the reporting period VaR at the end of the period Total market risk Maximum VaR during the reporting period 98,566, Average VaR during the reporting period 82,627, Minimum VaR during the reporting period 56,772, VaR at the end of the period 73,716,050.07

7 Item 4 Market risk exposures 4.2 Market risk under the Internal Model Approach Table31B VaR estimated by model comparing with actual gains / losses from hypothetical changes Date 8- Jul- 24- Jul- +1d VaR -1d VaR Total P&L (Hypo) 8- Aug- 26- Aug- 10- Sep- 25- Sep- 10- Oct- 28- Oct- 12- Nov- 27- Nov- 16- Dec- 5- Jan- 20- Jan- 4- Feb- 20- Feb- 9- Mar- 24- Mar- 9- Apr- 29- Apr- 19- May- 3- Jun- 18- Jun-

8 Item 4 Market risk exposures 4.2 Market risk under the Internal Model Approach Backtesting Outliners P&L date VaR Hypo P&L Explanation (T) (T - 1) (T) 18-Jul- (41,830,747.40) (70,412,718.51) Trading loss was mainly due to the lower THB interest rates by 20-30bps for which the desks was longing DV01 and contributed to the daily loss of around THB 70MM. -Aug- (47,926,691.89) (55,470,231.18) The Business was longing DV01 and the rate moved down by 10-20bps which resulted a loss of around THB 55MM. -Oct- (50,6,573.76) (78,699,712.87) Mainly due to accounting breakage between the underlying positions and the hedging deal. Total economic P&L was insignificant. 10-Oct- (49,937,586.34) (69,4,706.57) Mainly from interest rate risk exposure for which the interest rate swaps curve was steepening with 1 year and above tenors moved up by 25-35bps and resulted the hypo P&L of THB 51MM. FX related hypo loss of around THB 15MM contributed to the total loss of THB69 MM 15-Oct- (48,4,238.89) (59,873,068.75) Mainly due to accounting breakage between the underlying positions and the hedging deal. Total economic P&L was insignificant. 07-Jan- (84,315,717.63) (105,990,771.71) The business was shorting DV01 whereas the interest rates surged by around 10 to 29bps across tenors and resulted a loss of around THB 105MM..