Basel II Pilar 30 June 2019
Basel II Pilar 30 June 2019
Basel II Pilar 30 June 2019
OVERVIEW .....................................................................................................................................................4
CAPITAL MANAGEMENT................................................................................................................................4
CREDITRISK ..................................................................................................................................................10
SECURITISATION ..........................................................................................................................................33
OPERATIONAL RISK......................................................................................................................................33
OVERVIEW
The information herein is disclosed pursuant to the requirements of Bank Negara Malaysia’s RWCAF –
Disclosure Requirements (Pillar 3) and is published for the period ended 30 June 2019.
Any discrepancies between the totals and sum of the components in the tables contained in this disclosure
are due to actual summation method and then rounded up to the nearest thousands.
These disclosures have been reviewed and verified by internal auditors and approved by the Board Risk
Committee of CIMB Group, as delegated by the Board of Directors of CIMBGH Group.
CAPITAL MANAGEMENT
Capital Structure and Adequacy
On 13 October 2015, BNM issued revised guidelines on the Capital Adequacy Framework (Capital
Components), which took effect beginning 1 January 2016 and 1 January 2019 for banking institutions and
financial holding company respectively. BNM also issued updated guidelines on the Capital Adequacy
Framework (Basel II – Risk-Weighted Assets) which are applicable to all banking institutions with
immediate effect and all financial holding companies with effect from 1 January 2019.
On 1 August 2016, BNM issued an updated framework which revised capital treatment for credit
derivatives transactions in the trading book. In addition, the framework also clarifies on the following;
(i) Application of a 20% risk weight for the portion of residential mortgages guaranteed by Cagamas
SRP Berhad under Cagamas MGP, Skim Rumah Pertamaku and Skim Perumahan Belia;
(ii) Application of a 100% risk weight to all residential mortgages with a loan/financing-to-value ratio of
more than 90% approved and disbursed by banking institutions on or after 1 February 2011; and
(iii) Removal of the treatment for CGC’s SME Assistance Guarantee Scheme as the scheme is no longer
available.
Effective 1 August 2016, Commodity Finance and Object Finance portfolios are treated under
Standardised Approach.
On 2 March 2017, BNM issued an updated framework whereby Banking institutions are provided the
option to adopt the internal estimate method in computing effective maturity for non-retail exposures
under F-IRB upon notifying the Bank. In addition, the framework also lists additional requirements to
determine effective maturity for each facility under Advanced IRB approach.
On 2 February 2018, BNM issued an updated Capital Adequacy Framework (Basel II – Risk-Weighted
Assets) and Capital Adequacy Framework (Capital Components). The framework has been updated to
incorporate the revised definition of General Provisions and Specific Provisions arising from the
implementation of MFRS 9 Financial Instruments.
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
On 3 May 2019, BNM issued an updated Capital Adequacy Framework (Basel II – Risk-Weighted Assets).
The framework has been updated to outline requirements for the recognition of trade credit insurance
and trade credit takaful as credit risk mitigation.
The risk-weighted assets of CIMB Investment Bank are computed in accordance with the Standardised
approach (SA approach) for Credit Risk and Market Risk and the Basic Indicator Approach for Operational
Risk based on the Capital Adequacy Framework (Basel II - Risk-Weighted Assets). The components of
eligible regulatory capital are based on the Capital Adequacy Framework (Capital Components).
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
RWA
Credit risk 910,214 861,459
Market risk 50,903 42,754
Operational risk 565,018 590,469
Total RWA 1,526,135 1,494,682
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CREDITRISK
Summary of Credit Exposures
i) Gross Credit Exposures by Geographic Distribution
The geographic distribution is based on the country in which the portfolio is geographically
managed. The tables show the credit exposures by geographic region:
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
Finance,
Wholesale
Electricity Insurance, Education
Mining and Retail Transport,
(RM’000) Primary , Gas and Real Estate , Health
and Manufacturing Construction Trade, and Storage and Household Others* Total
Exposure Class Agriculture Water and and
Quarrying Restaurants Communication
Supply Business Others
and Hotels
Activities
Sovereign - - - - - - - 860,551 - - - 860,551
PSE - - - - - - - - - - - -
Bank - - - - - - - 231,704 - - - 231,704
Corporate - - - - - - - 134,427 863 60 9,974 145,325
Mortgage - - - - - - - - - - - -
HPE - - - - - - - - - - - -
QRRE - - - - - - - - - - - -
Other Retail - - - - - - - - - - - -
Other Exposures - - - - - - - - - - 682,825 682,825
Total Gross
- - - - - - - 1,226,682 863 60 692,799 1,920,405
Credit Exposure
*Others are exposures which are not elsewhere classified.
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
Finance,
Wholesale
Electricity Insurance, Education
Mining and Retail Transport,
(RM’000) Primary , Gas and Real Estate , Health
and Manufacturing Construction Trade, and Storage and Household Others* Total
Exposure Class Agriculture Water and and
Quarrying Restaurants Communication
Supply Business Others
and Hotels
Activities
Sovereign - - - - - - - 637,284 - - - 637,284
Bank - - - - - - - 1,022,862 - - - 1,022,862
Corporate - - - - 0.02 - - 942 197 13,116 11,262 25,516
Mortgage - - - - - - - - - 150,925 - 150,925
HPE - - - - - - - - - - - -
QRRE - - - - - - - - - - - -
Other Retail - - - - - - - - - 57 - 57
Other Exposures - - - - - - - - - 443 266,774 267,217
Total Gross
- - - - 0.02 - - 1,661,088 197 164,541 278,036 2,103,861
Credit Exposure
*Others are exposures which are not elsewhere classified.
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Table 6: Past Due but Not Impaired Loans, Advances and Financing by Sector
CIMB IB
(RM'000)
30 June 2019 31 December 2018
Primary Agriculture - -
Mining and Quarrying - -
Manufacturing - -
Electricity, Gas and Water Supply - -
Construction - -
Wholesale and Retail Trade, and Restaurants and Hotels - -
Transport, Storage and Communications - -
Finance, Insurance, Real Estate and Business Activities - -
Education, Health and Others - -
Household - -
Others* - -
Total - -
*Others are exposures which are not elsewhere classified.
Table 7: Past Due but Not Impaired Loans, Advances and Financing by Geographic Distribution
CIMB IB
(RM'000)
30 June 2019 31 December 2018
Malaysia - -
Singapore - -
Thailand - -
Other Countries - -
Total - -
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
Table 10: Expected credit losses (Stage 1, 2 and 3, and Purchased Credit Impaired) by Sector for the
period ended 30 June 2019
CIMB IB
30 June 2019
Lifetime Lifetime
12-month
(RM’000) expected expected
expected
credit losses credit losses Purchased
credit
– not credit – credit credit
losses
impaired impaired impaired Total
(Stage 1)
(Stage 2) (Stage 3)
Primary Agriculture - - - - -
Mining and Quarrying - - - - -
Manufacturing - - - - -
Electricity, Gas and Water Supply - - - - -
Construction - - - - -
Wholesale and Retail Trade, and -
- - - -
Restaurants and Hotels
Transport, Storage and Communications - - - - -
Finance, Insurance/Takaful, Real Estate -
- - - -
and Business Activities
Education, Health and Others - - - - -
Household - - - - -
Others* - - - - -
Total - - - - -
*Others are exposures which are not elsewhere classified.
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
Table 10: Expected credit losses (Stage 1, 2 and 3, and Purchased Credit Impaired) by Sector for the period
ended 31 December 2018 (continued)
CIMB IB
31 December 2018
Lifetime Lifetime
12-month
(RM’000) expected expected
expected
credit losses credit losses Purchased
credit
– not credit – credit credit
losses
impaired impaired impaired Total
(Stage 1)
(Stage 2) (Stage 3)
Primary Agriculture - - - - -
Mining and Quarrying - - - - -
Manufacturing - - - - -
Electricity, Gas and Water Supply - - - - -
Construction - - - - -
Wholesale and Retail Trade, and -
- - - -
Restaurants and Hotels
Transport, Storage and Communications - - - - -
Finance, Insurance/Takaful, Real Estate -
- - - -
and Business Activities
Education, Health and Others - - - - -
Household - - - - -
Others* - - - - -
Total - - - - -
*Others are exposures which are not elsewhere classified.
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
Table 11: Expected credit losses (Stage 1, 2 and 3, and Purchased Credit Impaired) by Geographic
Distribution for the period ended 30 June 2019
CIMB IB
30 June 2019
Lifetime Lifetime
(RM’000) 12-month expected expected
expected credit losses credit losses
credit losses – not credit –credit Purchased
(Stage 1) impaired impaired credit
(Stage 2) (Stage 3 impaired Total
Malaysia - - - - -
Singapore - - - - -
Thailand - - - - -
Other Countries - - - - -
Total - - - - -
Table 11: Expected credit losses (Stage 1, 2 and 3, and Purchased Credit Impaired) by Geographic
Distribution for the period ended 31 December 2018
CIMB IB
31 December 2018
Lifetime Lifetime
(RM’000) 12-month expected expected
expected credit losses credit losses
credit losses – not credit –credit Purchased
(Stage 1) impaired impaired credit
(Stage 2) (Stage 3 impaired Total
Malaysia - - - - -
Singapore - - - - -
Thailand - - - - -
Other Countries - - - - -
Total - - - - -
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
Table 12: Expected credit losses charges/(write back) and write-off for Stage 3 and purchased credit
impaired for the period ended 30 June 2019
CIMB IB
30 June 2019
Charges/(write back) Write-off
Lifetime
(RM’000) Lifetime expected
expected Purchased credit Purchased
credit losses - credit losses - credit
Credit impaired Credit impaired
impaired impaired
(Stage 3) (Stage 3)
Primary Agriculture - - - -
Mining and Quarrying - - - -
Manufacturing - - - -
Electricity, Gas and Water Supply - - - -
Construction - - - -
Wholesale and Retail Trade, and Restaurants and
- - - -
Hotels
Transport, Storage and Communications - - - -
Finance, Insurance/Takaful, Real Estate and Business
- - - -
Activities
Education, Health and Others - - - -
Household - - - -
Others* - - - -
Total - - - -
*Others are exposures which are not elsewhere classified.
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
Table 12: Expected credit losses charges/(write back) and write-off for Stage 3 and purchased credit
impaired for the period ended 30 June 2018 (continued)
CIMB IB
30 June 2018
Charges/(write back) Write-off
Lifetime
(RM’000) Lifetime expected
expected Purchased credit Purchased
credit losses - credit losses - credit
Credit impaired Credit impaired
impaired impaired
(Stage 3) (Stage 3)
Primary Agriculture - - - -
Mining and Quarrying - - - -
Manufacturing - - - -
Electricity, Gas and Water Supply - - - -
Construction - - - -
Wholesale and Retail Trade, and Restaurants and
- - - -
Hotels
Transport, Storage and Communications - - - -
Finance, Insurance/Takaful, Real Estate and Business
- - - -
Activities
Education, Health and Others - - - -
Household 106 - - -
Others* - - - -
Total 106 - - -
*Others are exposures which are not elsewhere classified.
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
Table 13: Analysis of movement in the Expected Credit Losses for Loans, Advances and Financing for the
Period Ended 30 June 2019
CIMB IB
30 June 2019
Lifetime Lifetime
12-month expected expected
(RM’000) Purchase
expected credit losses - credit losses Total
d credit
credit losses not credit - Credit
impaired
(Stage 1) impaired impaired
(Stage 2) (Stage 3)
At 1 January 2019 - - - - -
Changes in expected credit losses due
to transferred within stages - - - - -
Transferred to Stage 1 - - - - -
Transferred to Stage 2 - - - - -
Transferred to Stage 3 - - - - -
Total charge to Income Statement - - - - -
New financial assets originated - - - - -
Financial assets that have been
- - - - -
derecognised
Write back in respect of full
- - - - -
recoveries
Change in credit risk - - - - -
Write-offs - - - - -
Exchange fluctuation - - - - -
Other movements - - - - -
Total - - - - -
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
Table 13: Analysis of movement for Loan/Financing Impairment Allowances for the Period Ended 30 June
2018 (continued)
CIMB IB
30 June 2018
Lifetime Lifetime
12-month expected expected
(RM’000) Purchase
expected credit losses - credit losses Total
d credit
credit losses not credit - Credit
impaired
(Stage 1) impaired impaired
(Stage 2) (Stage 3)
At 1 January 2018 - - - - -
Effect of adopting MFRS 9 132 19 621 - 772
Adjusted 1 January 2018 132 19 621 - 772
Changes in expected credit losses due
to
transferred within stages 26 (102) 76 - -
Transferred to Stage 1 32 (32) - - -
Transferred to Stage 2 (6) 29 (23) - -
Transferred to Stage 3 - (99) 99 - -
Total charge to Income Statement (100) 122 106 - 128
New financial assets originated - - - - -
Financial assets that have been
(2) - - - (2)
derecognised
Write back in respect of full
- - - - -
recoveries
Change in credit risk (98) 122 106 - 130
Write-offs - - - - -
Exchange fluctuation - - - - -
Other movements - - - - -
Total 58 39 803 - 900
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Table 15: Disclosures of Rated and Unrated Non-Retail Exposures under SA according to Ratings by
ECAIs
30 June 2019 CIMB IB
Non-
(RM '000) Investment
Investment No Rating Total
Exposure Class Grade
Grade
On and Off-Balance-Sheet Exposures
Sovereign/Central Banks - - 860,551 860,551
Public Sector Entities - - - -
Banks, MDBs and DFIs 160,967 - 70,737 231,704
Insurance Cos, Securities Firms & Fund
- - 8,874 8,874
Managers
Corporate 130,633 - 5,817 136,450
Total 291,600 - 945,980 1,237,580
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
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Defaulted Exposures 60 - - -
Total Exposures 1,920,405 - 49,532 -
The type of collateral recognised in each asset class is in accordance to the approach adopted in computing the RWA. The CRM
shown is computed after taking into account the haircut as prescribed by the guidelines. For assets under SA, only financial
collateral and guarantee are recognised. For assets under F-IRB Approach, guarantee, financial collateral and other eligible
collateral are recognised. For assets under A-IRB Approach, the collateral has been taken into consideration in the computation
of LGD, hence, excluded from the CRM disclosure.
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
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SECURITISATION
The Bank has no Securitisation exposure under the SA for Banking Book for Securitisation under the SA or
for Trading Book Exposures subject to Market Risk capital charge for 30 June 2019 and 30 June 2018
respectively.
MARKET RISK
Details on RWA and capital requirements related to Market Risk are disclosed for CIMB IB in Table 2.
OPERATIONAL RISK
Details on RWA and capital requirements related to Operational Risk are disclosed for CIMB IB in Table 2.
There were no realised and unrealised gains or losses for equity holdings in banking book for CIMB IB as
at 30 June 2019 and 30 June 2018.
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BASEL II PILLAR 3 DISCLOSURES FOR 30 JUNE 2019
The tables below illustrate CIMB IB IRRBB under a 100 bps parallel upward interest rate shock from
economic value and earnings perspectives.
The sign reflects the nature of the rate sensitivity, with a negative number indicating exposure to increase
in interest rate and vice versa.
- [END OF SECTION] -
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