Risk Management Table
B. Leverage Ratio Calculation Report
32. Market Risk Disclosure Using Standard Methods - 2022
(in million rupiah)
No. Type of Risk
December 2022
Bank Only Consolidated
Capital Charge RWA Capital Charge RWA
1 Interest Rate Risk 48,314 603,922 62,054 775,677
a. Spesific Risk - - 1,852 23,149
b. General Risk 48,314 603,922 60,202 752,528
2 Exchange Rate Risk 20,385 254,818 73,527 919,082 3 Capital Risk - - 29,115 363,939 4 Commodities Risk - - - - 5 Option Risk - - - -
No. Type of Risk Bank Only Consolidated
Capital Charge RWA Capital Charge RWA
1 Interest Rate Risk 268,299 3,353,742 274,917 3,436,465
a. Spesific Risk 723 9,041 5,362 67,027
b. General Risk 267,576 3,344,700 269,555 3,369,438
2 Exchange Rate Risk 12,592 157,406 40,527 506,593 3 Capital Risk - - 27,521 344,010 4 Commodities Risk - - - - 5 Option Risk - - - -
34.a.1. Disclosure of Interest Rate Risk in Banking Book (IRRBB) Exposure - Bank as Individual - as of December 31, 2022
No. Qualitative Disclosure
1. Interest rate risk in the banking book (IRRBB) refers to the current or prospective risk to the bank’s capital and earnings arising from interest rates movements in the market as opposed to the banking book positions. The IRRBB calculation uses two perspectives, namely the economic value perspective and earnings-based perspective. The intention is to identify risks more accurately and to carry out appropriate corrective actions.
2. Presently, Bank does not have sufficient long-term financial resources to fund fixed-rate loans and banking book securities.
Regarding these conditions, funding sources of fixed-rate loans and banking book securities is calculated from the Core Deposit.
To mitigate risks, Bank has set nominal limits on fixed-rate loans and banking book securities, limits on IRRBB and pricing strategies.
3. Measurements of IRRBB individual are carried out on a monthly basis by using two (2) methods as follows:
a. measurement based on changes in economic value of equity, which measures the impact of changes in interest rates on the economic value of the Bank’s equity (economic value perspective), and
b. measurement based on changes in net interest income, which measures the impact of interest rate changes on earnings of the Bank (earnings-based perspective).
4. Interest rate shock scenarios used by Bank in measuring IRRBB is in accordance with the standard interest rate shock scenarios, which is stated in the Financial Services Authority Circular Letter No.12 /SEOJK.03/2018 concerning the Implementation of Risk Management and Risk Measurement Standard Approach for Interest Rate Risk in the Banking Book for Commercial Banks.
Economic Value of Equity (EVE) Methods use six (6) interest rate shock scenarios, as follows:
1) parallel shock up, 2) parallel shock down,
3) steepener shock (short rates down and long rates up), 4) flattener shock (short rates up and long rates down), 5) short rates shock up,
6) short rates shock down.
Net Interest Income (NII) Methods use two (2) interest rate shock scenarios, as follows:
1) parallel shock up, 2) parallel shock down.
5. EVE method calculates the cash flows of the principal amount and interest payments on the balance sheet positions that are sensitive to interest rates, which then discounted at the relevant interest rates.
The Bank does not calculate a commercial margin and spread components in the cash flows. EVE calculation uses notional cash flows multiplied by the reference rate (base rate) on the transaction date and then discounted by the risk-free rate at the reporting date.
The IRRBB calculation uses a Core deposit, which is part of a stable Non Maturity Deposit with a very small change in interest rates despite significant changes in interest rates in the market.
Bank identifies core deposit and non-core deposits from stable funds (retail transactional, retail non-transactional and wholesale).
Placement of core deposit cash flows carried out using uniform slotting on time-bucket over 1 (one) year with the length of period for each category refers to FSA Circular Letter No. 12/SEOJK.03/2018 concerning the Implementation of Risk Management and Risk Measurement Standard Approach for Interest Rate Risk in the Banking Book (Interest Rate Risk in the Banking Book) for Commercial Banks.
The methodology to estimate prepayment rate for loans and early withdrawal rate for time deposits uses historical data within a year.
Bank performs add-on calculations for automatic interest rate options on a floating rate mortgage loan with embedded caps and a fixed rate loan commitment by using Black model.
Bank measures IRRBB for significant currencies, IDR and USD. In total IRRBB, the maximum negative (absolute) value of the two currencies is aggregated.
6. As of December 31, 2022, IRRBB (EVE method) for BCA as individual increased by 0.21% compared to June 30, 2022, from 8.92%
to 9.13%. And for NII Method increased by 1.62%, from 8.09% to 9.71%. This was caused by the increase in Repriced Assets over 1 year (11.98%), and the decrease in Core Deposit over 1 year (1.32%). Meanwhile, Tier 1 Capital increase by 9.56%.
No. Qualitative Analysis
1. Average repricing maturity applied for NMD is 4 years.
2. The longest repricing maturity applied for NMD is 7 Years.
EVE NII
Period T T-1 T T-1
1 Parallel up (15,867,651) (14,343,050) (6,286,377) (3,787,246)
2 Parallel down 16,417,414 14,502,073 6,154,439 3,664,518
3 Steepener 4,299,479 1,808,951
4 Flattener (7,615,115) (4,894,219)
5 Short rate up (13,131,138) (10,363,834)
6 Short rate down 13,406,983 9,642,645
7 Negative Maximum Value (absolute) 15,867,651 14,343,050 6,286,377 3,787,246
8 Tier 1 Capital (for EVE) or Projected Income
(for NII) 196,799,387 179,630,223 71,537,819 59,829,966
9 Maximum Value dividend by Tier 1 Capital
(for EVE) or Projected Income (for NII) 8.06% 7.98% 8.79% 6.33%
34.a.2. Disclosure of Interest Rate Risk in Banking Book Exposure (IRRBB) - Bank Individual
(Currency: USD)
No. (in million Rupiah)
Period of December 31, 2022
EVE NII
Period T T-1 T T-1
1 Parallel up 1,890,364 1,505,592 659,955 1,055,878
2 Parallel down (2,097,464) (1,677,659) (660,006) (1,055,936)
3 Steepener 406,089 388,610
4 Flattener 31,606 (40,095)
5 Short rate up 826,631 599,669
6 Short rate down (863,868) (659,339)
7 Negative Maximum Value (absolute) 2,097,464 1,677,659 660,006 1,055,936
8 Tier 1 Capital (for EVE) or Projected Income
(for NII) 196,799,387 179,630,223 71,537,819 59,829,966
9 Maximum Value dividend by Tier 1 Capital
(for EVE) or Projected Income (for NII) 1.07% 0.93% 0.92% 1.76%
34.b.1 Disclosure of Interest Rate Risk in Banking Book (IRRBB) Exposure - Bank Consolidated - as of December 31, 2022
No. Qualitative Disclosure
1. Interest rate risk in the banking book (IRRBB) refers to the current or prospective risk to the bank’s capital and earnings arising from interest rates movements in the market as opposed to the banking book positions. The IRRBB calculation uses two perspectives, namely the economic value perspective and earnings-based perspective. The intention is to identify risks more accurately and to carry out appropriate corrective actions.
2. Presently, Bank does not have sufficient long-term financial resources to fund fixed-rate loans and banking book securities.
Regarding these conditions, funding sources of fixed-rate loans and banking book securities is calculated from the Core Deposit.
To mitigate risks, Bank has set nominal limits on fixed-rate loans and banking book securities, limits on IRRBB and pricing strategies.
3. Measurements of IRRBB consolidated are carried out on a semiannually basis by using two (2) methods as follows:
a. measurement based on changes in economic value of equity, which measures the impact of changes in interest rates on the economic value of the Bank's equity (economic value perspective), and
b. measurement based on changes in net interest income, which measures the impact of interest rate changes on earnings of the Bank (earnings-based perspective).
4. Interest rate shock scenarios used by Bank in measuring IRRBB is in accordance with the standard interest rate shock scenarios, which is stated in the Financial Services Authority Circular Letter No.12 /SEOJK.03/2018 concerning the Implementation of Risk Management and Risk Measurement Standard Approach for Interest Rate Risk in the Banking Book for Commercial Banks.
Economic Value of Equity (EVE) Methods use six (6) interest rate shock scenarios, as follows:
1) parallel shock up, 2) parallel shock down,
3) steepener shock (short rates down and long rates up), 4) flattener shock (short rates up and long rates down), 5) short rates shock up,
6) short rates shock down.
Net Interest Income (NII) Methods use two (2) interest rate shock scenarios, as follows:
1) parallel shock up, 2) parallel shock down.
5. EVE method calculates the cash flows of the principal amount and interest payments on the balance sheet positions that are sensitive to interest rates, which then discounted at the relevant interest rates.
The Bank does not calculate a commercial margin and spread components in the cash flows. EVE calculation uses notional cash flows multiplied by the reference rate (base rate) on the transaction date and then discounted by the risk-free rate at the reporting date.
The IRRBB calculation uses a Core deposit, which is part of a stable Non Maturity Deposit with a very small change in interest rates despite significant changes in interest rates in the market.
Bank identifies core deposit and non-core deposits from stable funds (retail transactional, retail non-transactional and wholesale).
Placement of core deposit cash flows carried out using uniform slotting on time-bucket over 1 (one) year with the length of period for each category refers to FSA Circular Letter No.12/SEOJK.03/2018 concerning the Implementation of Risk Management and Risk Measurement Standard Approach for Interest Rate Risk in the Banking Book (Interest Rate Risk in the Banking Book) for Commercial Banks.
The methodology to estimate prepayment rate for loans and early withdrawal rate for time deposits uses historical data within a year.
Bank performs add-on calculations for automatic interest rate options on a floating rate mortgage loan with embedded caps and a fixed rate loan commitment by using Black model.
Bank measures IRRBB for significant currencies, IDR and USD. In total IRRBB, the maximum negative (absolute) value of the two currencies is aggregated.
6. As of December 31, 2022, IRRBB (EVE method) for BCA as consolidated increased by 0.31% compared to June 30, 2022, from 8.89% to 9.20%. And for NII Method increased by 1.82%, from 7.87% to 9.69%.This was caused by the increase in Repriced Assets over 1 year (12.34%) and the decrease in Core Deposit over 1 year (1.25%). Meanwhile, Tier 1 Capital increase by 8.89%.
No Qualitative Analysis
1. Average repricing maturity applied for NMD is 4 years.
2. The longest repricing maturity applied for NMD is 7 Years.
EVE NII
Period T T-1 T T-1
1 Parallel up (17,461,804) (15,693,444) (6,485,948) (3,807,376)
2 Parallel down 18,331,402 16,115,679 6,347,511 3,680,798
3 Steepener 4,149,540 1,642,828
4 Flattener (7,807,394) (5,015,171)
5 Short rate up (14,027,729) (11,095,106)
6 Short rate down 14,356,541 10,382,364
7 Negative Maximum Value (absolute) 17,461,804 15,693,444 6,485,948 3,807,376
8 Tier 1 Capital (for EVE) or Projected Income
(for NII) 212,445,689 195,096,147 73,744,704 61,862,490
9 Maximum Value dividend by Tier 1 Capital
(for EVE) or Projected Income (for NII) 8.22% 8.04% 8.80% 6.15%
34.b.2. Disclosure of Interest Rate Risk in Banking Book Exposure (IRRBB) - Bank Consolidated
(Currency: USD)
No (in million Rupiah)
Period of December 31, 2022
EVE NII
Period T T-1 T T-1
1 Parallel up 1,870,486 1,484,491 662,518 1,058,802
2 Parallel down (2,075,823) (1,654,653) (662,569) (1,058,859)
3 Steepener 405,456 387,980
4 Flattener 27,595 (44,332)
5 Short rate up 814,613 586,944
6 Short rate down (851,618) (646,366)
7 Negative Maximum Value (absolute) 2,075,823 1,654,653 662,569 1,058,859
8 Tier 1 Capital (for EVE) or Projected Income
(for NII) 212,445,689 195,096,147 73,744,704 61,862,490
9 Maximum Value dividend by Tier 1 Capital
(for EVE) or Projected Income (for NII) 0.98% 0.85% 0.90% 1.71%