BASEL III - PILLAR III DISCLOSURES 30 JUNE 2018

Transcription

1 BASEL III - PILLAR III DISCLOSURES 30 JUNE 2018

2 Template 1 Key Regulatory Ratios - Capital and Liquidity GROUP As at 30 June 2018 As at 31 March 2018 As at 30 June 2018 As at 31 March 2018 Regulatory Capital (LKR 000) Common Equity Tier 1 25,237,776 25,267,135 30,161,638 30,229,288 Tier 1 Capital 25,237,776 25,267,135 30,161,638 30,229,288 Total Capital 38,103,439 38,631,892 42,480,729 43,042,845 Regulatory Capital Ratios (%) Common Equity Tier 1 Capital Ratio (Minimum Requirement %) 8.48% 8.73% 9.85% 10.14% Tier 1 Capital Ratio (Minimum Requirement %) 8.48% 8.73% 9.85% 10.14% Total Capital Ratio (Minimum Requirement %) 12.80% 13.35% 13.87% 14.44% Regulatory Liquidity Statutory Liquid Assets (LKR 000) 80,097,092 79,840,018 80,097,092 79,840,018 Statutory Liquid Assets Ratio (Minimum Requirement -20%) Domestic Banking Unit (%) Off-Shore Banking Unit (%) Liquidity Coverage Ratio (%) Rupee (Minimum Requirement -90%) Liquidity Coverage Ratio (%) All Currency ( Minimum Requirement - 90%)

3 Template 2 Basel III Computation of Capital Ratios Amount (LKR 000) GROUP As at 30 June 2018 As at 31 March 2018 As at 30 June 2018 As at 31 March 2018 Common Equity Tier 1 (CET1) Capital after Adjustments 25,237,776 25,267,135 30,161,638 30,229,288 Common Equity Tier 1 (CET1) Capital 28,618,114 28,649,661 32,330,700 32,359,338 Equity Capital (Stated Capital)/Assigned Capital 3,019,648 3,019,648 3,019,648 3,019,648 Reserve Fund 1,336,479 1,336,479 1,336,479 1,336,479 Published Retained Earnings/(Accumulated Retained Losses) 17,391,741 17,391,740 21,581,926 21,581,926 Published Accumulated Other Comprehensive Income (OCI) (496,755) (465,206) (467,429) (438,791) General and other Disclosed Reserves 5,805,707 5,805,707 5,805,707 5,805,707 Unpublished Current Year's Profit/Loss and Gains reflected in OCI 1,561,294 1,561,294 1,054,369 1,054,369 Ordinary Shares issued by Consolidated Banking and Financial Subsidiaries of the Bank and held by Third Parties Total Adjustments to CET1 Capital 3,380,338 3,382,527 2,169,062 2,130,052 Goodwill (net) Intangible Assets (net) 363, , , ,630 Defined benefit pension fund assets 209, , , ,065 Investments in the capital of banking and financial institutions where the bank does not own more than 10 per cent of the issued ordinary share capital of the entity Significant investments in the capital of financial institutions where the bank owns more than 10 per cent of the issued ordinary share capital of the entity 1,048,569 1,140,520 1,362,269 1,464,357 1,588,886 1,594, Shortfall of capital in financial subsidiaries 170, ,765 - Additional Tier 1 (AT1) Capital after Adjustments Additional Tier 1 (AT1) Capital Qualifying Additional Tier 1 Capital Instruments Instruments issued by Consolidated Banking and Financial Subsidiaries of the Bank and held by Third Parties Total Adjustments to AT1 Capital Investment in Own Shares Others Tier 2 Capital after Adjustments 12,865,663 13,364,757 12,319,092 12,813,558 Tier 2 Capital 12,865,663 13,364,757 12,865,663 13,364,757 Qualifying Tier 2 Capital Instruments 11,071,332 11,655,632 11,071,332 11,655,632 Revaluation Gains 542, , , ,092 Loan Loss Provisions 1,252,239 1,167,034 1,252,239 1,167,034 Instruments issued by Consolidated Banking and Financial Subsidiaries of the Bank and held by Third Parties Total Adjustments to Tier , ,200 Investment in Own Shares Investments in the capital of financial institutions and where the bank does not own more than 10 per cent of the issued capital carrying voting rights of the issuing entity , ,200 CET1 Capital 25,237,776 25,267,135 30,161,638 30,229,288 Total Tier 1 Capital 25,237,776 25,267,135 30,161,638 30,229,288 Total Capital 38,103,439 38,631,892 42,480,729 43,042,845 Total Risk Weighted Assets (RWA) 297,731, ,297, ,295, ,133,512 RWAs for Credit Risk 274,921, ,265, ,416, ,848,772 RWAs for Market Risk 4,122,855 10,188,682 7,266,445 13,484,362 RWAs for Operational Risk 18,687,054 17,843,858 19,612,322 18,800,378 CET1 Capital Ratio(including Capital Conservation Buffer, Countercyclical Capital Buffer & Surcharge on D-SIBs) (%) 8.48% 8.73% 9.85% 10.14% of which: Capital Conservation Buffer (%) 1.875% 1.875% 1.875% 1.875% of which: Countercyclical Buffer (%) of which: Capital Surcharge on D-SIBs (%) Total Tier 1 Capital Ratio (%) 8.48% 8.73% 9.85% 10.14% Total Capital Ratio (including Capital Conservation Buffer, Countercyclical Capital Buffer & Surcharge on D-SIBs) (%) 12.80% 13.35% 13.87% 14.44% of which: Capital Conservation Buffer (%) 1.875% 1.875% 1.875% 1.875% of which: Countercyclical Buffer (%) of which: Capital Surcharge on D-SIBs (%)

4 Total Stock of High-Quality Liquid Assets (HQLA) Total Adjusted Level 1A Assets Level 1 Assets Total Adjusted Level 2A Assets Level 2A Assets Total Adjusted Level 2B Assets Level 2B Assets Total Cash Outflows Deposits Unsecured Wholesale Funding Template 4 Basel III Computation of Liquidity Coverage Ratio -All Currency Amount (LKR 000) As at 30 June 2018 As at 31 March 2018 Total Total Total Weighted Value Total Weighted Value Un-weighted Value Un-weighted Value 54,501,504 53,852,939 55,863,358 55,110,793 53,657,748 53,657,748 54,615,264 54,615,264 53,204,374 53,204,374 54,358,228 54,358,228 1,297, ,565 1,505, ,565 1,297, ,565 1,505, , ,383,782 91,211, ,158,099 83,270, ,617,772 12,926, ,011,766 12,446, ,056,204 75,147, ,795,155 65,685,842 Secured Funding Transactions 6,071,921-4,349,446 - Undrawn Portion of Committed (Irrevocable) Facilities and Other Contingent Funding Obligations 122,415,409 2,915, ,399,236 4,535,074 Additional Requirements Total Cash Inflows Maturing Secured Lending Transactions Backed by Collateral Committed Facilities Other Inflows by Counterparty which are Maturing within 30 Days Operational Deposits 222, , , ,496 80,703,869 52,964,713 73,098,154 47,941,315 39,412,709 29,231,986 38,031,539 27,923,847 38,550,289 23,453,677 32,395,362 19,414,972 2,461,821-2,068,756 - Other Cash Inflows 279, , , ,496 Liquidity Coverage Ratio (%)(Stock of High Quality Liquid Assets/Total Net Cash Outflows over the Next 30 Calendar Days) * % %

5 AND GROUP CET 1 Capital Tier 2 Instruments Description of the Capital Instrument Ordinary Shares Debenture Issue 1 (2013) Debenture Issue 2 (2015) Issuer National Development Bank PLC National Development Bank PLC National Development Bank PLC Unique Identifier (e.g., ISIN or Bloomberg Identifier for Private Placement) Governing Law(s) of the Instrument NDB. N0000 ISIN -LK0207N00007 Companies Act No. 07 of 2007, Listing rules of the Colombo Stock Exchange, Securities and Exchange Commission of Sri Lanka Act Type A - LK0207D20998 Type B - LK0207D21012 Type C - LK0207D21038 Type D - LK0207D21053 Companies Act No. 07 of 2007, Listing rules of the Colombo Stock Exchange, Securities and Exchange Commission of Sri Lanka Act Type A - LK0207D23091 Type B - LK0207D23083 Original Date of Issuance Date listed 26-Apr Dec Jun-2015 Par Value of Instrument NA LKR 100/- LKR 100/- Perpetual or Dated Perpetual Dated Dated Original Maturity Date, if Applicable Amount Recognised in Regulatory Capital (in LKR 000 as at 30 June 2018) NA Type A - 19 Dec 2018 Type B - 19 Dec 2018 Type C - 19 Dec 2023 Type D - 19 Dec 2025 Companies Act No. 07 of 2007, Listing rules of the Colombo Stock Exchange, Securities and Exchange Commission of Sri Lanka Act Type A - 24 Jun 2020 Type B - 24 Jun ,019,648 7,505,569 3,565,763 Accounting Classification (Equity/Liability) Equity Liability Liability Issuer Call subject to Prior Supervisory Approval Optional Call Date, Contingent Call Dates and Redemption Amount (LKR 000) NA NA NA Subsequent Call Dates, if Applicable NA NA NA Coupons/Dividends Fixed or Floating Dividend/Coupon Coupon Rate and any Related Index Dividend declared as decided by the Board NA Fixed coupon Type A % p.a Type B % p.a Type C % p.a Type D % p.a Fixed coupon Non-Cumulative or Cumulative NA Non-cumulative Non-cumulative Convertible or Non-Convertible Template 5 Main Features of Regulatory Capital Instruments If Convertible, Conversion Trigger (s) NA NA NA If Convertible, Fully or Partially NA NA NA If Convertible, Mandatory or Optional NA NA NA If Convertible, Conversion Rate NA NA NA Type A - 9.4% p.a Type B - 9.4% annual compounding on the Issue Price of LKR

6 Template 7 Credit Risk under Standardised Approach Credit Risk Exposures and Credit Risk Mitigation (CRM) Effects Amount (LKR 000) as at 30 June 2018 Exposures before Asset Class Credit Conversion Factor (CCF) and CRM Exposures post CCF and CRM RWA and RWA Density (%) Claims on Central Government and CBSL Claims on Foreign Sovereigns and their Central Banks On-Balance Sheet Amount Off-Balance Sheet Amount On-Balance Sheet Amount Off-Balance Sheet Amount 70,619,026 5,951,250 70,619,026 1,081,719 3,917, % - - Claims on Public Sector Entities 14,602,261 1,925,388 RWA RWA Density (ii) Claims on Official Entities and Multilateral Development Banks - - Claims on Banks Exposures 4,151,446 69,390,521 4,151,446 3,846,142 3,831, % Claims on Financial Institutions 27,087,121 25,818,887 27,087, ,352 14,298, % Claims on Corporates 153,796, ,526, ,040,276 27,633, ,905, % Retail Claims 91,019,632 14,980,647 82,091,274 1,263,055 63,562, % Claims Secured by Residential Property Claims Secured by Commercial Real Estate 12,607, ,843 12,607, ,511 6,963, % - - Non-Performing Assets (NPAs) (i) 5,443,560-5,334,649-7,449, % Higher-risk Categories 268, , , % Cash s and Other Assets 8,730,914-8,730,914-5,322, % Total 388,326, ,993, ,930,669 34,437, ,921,447 Asset Class Claims on Central Government and CBSL Claims on Foreign Sovereigns and their Central Banks 70,619,026 5,951,250 70,619,026 1,081,719 3,917, % - - Claims on Public Sector Entities 14,602,261 1,925,388 Claims on Official Entities and Multilateral Development Banks - - Claims on Banks Exposures 4,501,974 69,390,521 4,501,974 3,846,142 3,996, % Claims on Financial Institutions 27,544,910 25,818,887 27,544, ,352 14,528, % Claims on Corporates 154,388, ,126, ,632,894 27,587, ,254, % Retail Claims 91,019,632 14,980,647 82,091,274 1,263,055 63,562, % Claims Secured by Residential Property Claims Secured by Commercial Real Estate GROUP Amount (LKR 000) as at 30 June 2018 Exposures before Credit Conversion Factor (CCF) and CRM Exposures post CCF and CRM RWA and RWA Density (%) On-Balance Sheet Amount Off-Balance Sheet Amount On-Balance Sheet Amount Off-Balance Sheet Amount 12,607, ,843 12,607, ,511 6,963, % - - Non-Performing Assets (NPAs) (i) 5,443,560-5,334,649-7,449, % Higher-risk Categories 387,692 1,329, , ,681 1,578, % Cash s and Other Assets 11,574,072-11,574,072-8,165, % Total 392,689, ,922, ,294,189 35,056, ,416,383 RWA RWA Density (ii) Note: (i) (ii) NPAs As per Banking Act Directions on Classification of loans and advances, income recognition and provisioning. RWA Density Total RWA/Exposures post CCF and CRM.

7 Template 9 Market Risk under Standardised Measurement Method RWA Amount (LKR'000) as at 30 June 2018 GROUP (a) RWA for Interest Rate Risk 329, ,755 General Interest Rate Risk 329, ,755 (i) Net Long or Short Position 329, ,755 (ii) Horizontal Disallowance (iii) Vertical Disallowance (iv) Options Specific Interest Rate Risk - - (b) RWA for Equity - 373,301 (i) General Equity Risk - 187,190 (ii) Specific Equity Risk - 186,111 (c) RWA for Foreign Exchange & Gold 159, ,835 Capital Charge for Market Risk [(a) + (b) + (c)]* CAR 4,122,855 7,266,445

8 Template 10 Operational Risk under Basic Indicator Approach Gross Income (LKR 000) as at 30 June 2018 Business Lines Capital Charge Factor Fixed Factor 1 st Year 2 nd Year 3 rd Year The Basic Indicator Approach 15% 12,200,974 14,499,063 17,681,716 Corporate Finance 18% Trading and Sales 18% Payment and Settlement 18% Agency Services 15% Asset Management 12% Retail Brokerage 12% Retail Banking 12% Commercial Banking 15% Corporate Finance 18% Trading and Sales 18% Payment and Settlement 18% Agency Services 15% Asset Management 12% Retail Brokerage 12% Retail Banking 12% Commercial Banking 15% Capital Charges for Operational Risk (LKR 000) The Basic Indicator Approach 2,219,088 Risk Weighted Amount for Operational Risk (LKR 000) The Basic Indicator Approach 18,687,054 GROUP Gross Income (LKR 000) as at 30 June 2018 Business Lines Capital Charge Factor Fixed Factor 1 st Year 2 nd Year 3 rd Year The Basic Indicator Approach 15% 13,180,062 14,718,319 18,680,884 Corporate Finance 18% Trading and Sales 18% Payment and Settlement 18% Agency Services 15% Asset Management 12% Retail Brokerage 12% Retail Banking 12% Commercial Banking 15% Corporate Finance 18% Trading and Sales 18% Payment and Settlement 18% Agency Services 15% Asset Management 12% Retail Brokerage 12% Retail Banking 12% Commercial Banking 15% Capital Charges for Operational Risk (LKR 000) The Basic Indicator Approach 2,328,963 Risk Weighted Amount for Operational Risk (LKR 000) The Basic Indicator Approach 19,612,322

9 Template 11 Differences between Accounting and Regulatory Scopes and Mapping of Financial Statement Categories with Regulatory Risk Categories Bank Only Amount (LKR 000) as at 30 June 2018 a b c d e Carrying Values as reported in Published Financial Statements Carrying Values under Scope of Regulatory Reporting Subject to Credit Risk Framework Subject to Market Risk Framework Not subject to Capital Requirements or Subject to Deduction from Capital Assets 416,665, ,474, ,930,669 26,190,875 33,353,014 Cash and Cash Equivalents 5,813,958 5,908,308 5,908, Balances with Central Banks 17,339,148 17,339,148 17,339, Placements with Banks - Derivative Financial Instruments 1,894,238 Other Financial Assets Held-For-Trading 3,830,309 26,190,875-26,190,875 - Loans and Receivables to Banks 7,423 7,423 7, Loans and Receivables to Other Customers 301,406, ,088, ,945,519-30,143,332 Financial Investments - Available-For-Sale 55,454,809 Financial Investments - Held-To-Maturity 3,147,057 56,997,996 55,949,427-1,048,569 Financial Investments - Loans and receivables 20,586, Investments in Subsidiaries 2,085,303 2,085, ,417-1,588,886 Property, Plant and Equipment 2,412,035 2,412,035 2,412,035 - Goodwill and Intangible Assets 363, , ,162 Other Assets 2,324,078 3,081,458 2,872, ,065 Liabilities 385,761, ,852,232 Due to Banks 21,474,275 Derivative Financial Instruments 515,464 Due to Other Customers 297,177, ,683,397 Debt Securities Issued other borrowed funds 35,270,944 56,317,881 Current Tax Liabilities 2,125,244 1,930,764 Deferred Tax Liabilities 1,163,279 1,384,721 Employee benefit liabilities and other liabilities 7,678,256 16,009,053 Subordinated Term Debts 20,356,867 19,526,416 Off-Balance Sheet Liabilities 269,048, ,985, ,690,409 Guarantees 22,782,166 22,782,166 21,022, ,867 Performance Bonds 9,288,080 9,288,080 9,258,665 29,415 Letters of Credit 12,182,333 12,182,333 12,154,675 27,659 Other Contingent s 8,957,584 8,957,584 8,957,584 - Undrawn Commitments 111,578, ,578, ,578,630 - Other Commitments 104,259,726 59,196,301 98,718,499 - Shareholders' Equity Equity Capital (Stated Capital)/Assigned Capital 3,019,648 3,019,648 of which Amount Eligible for CET1 3,019,648 3,019,648 of which Amount Eligible for AT1 - - Retained Earnings 20,161,571 19,419,232 Accumulated Other Comprehensive Income 580,032 - Other Reserves 7,142,186 8,183,447 Total Shareholders' Equity 30,903,437 30,622,327