Securitization gain on sale (as set out in section 562 of the Basel II framework) Gains and losses resulting from changes in own credit risk on liabilities valued at fair value Net assets of defined benefit pension funds. General allowance for loss on earning assets, to be calculated at a maximum of 1.25% of RWA for credit risk. Adjustment to entrusted asset recognized as balance sheet based on accounting standard, but excluded from the total exposure in the calculation of the leverage ratio.
On-balance sheet exposure including collateral but excluding derivatives and securities financing transactions (SFTs). gross value before deduction of impairment provisions). 15 (Genetto amounts of cash payable and cash receivable of gross SFT . assets) - - 16 Counterparty credit risk exposure for SFT assets refers to current. Leverage ratio (including the impact of any applicable temporary release of central bank reserves) including average values of row 28 of gross SFT assets.
15 (Netted amounts of cash payables and cash receivables from gross SFT assets) - - 16 Counterparty credit risk exposure for SFT assets refers to the current exposure calculations of agent transaction exposures. Conversion factor and credit risk RWA and risk weight average. in million rupiah) Portfolio category. Other Net claim after credit conversion factor and credit risk. in million rupiah) Portfolio category.
Balance sheet net debt Off-balance sheet net debt (before . credit conversion factor) credit conversion factor average net debt (after credit conversion factor and credit risk reduction techniques).
- Disclosure of Interest Rate Risk in The Banking Book (IRRBB) Exposure - Bank Individual
- Measurements of IRRBB individual are carried out on a monthly basis by using two (2) methods as follows
- parallel shock up, 2) parallel shock down,
- steepener shock (short rates down and long rates up), 4) flattener shock (short rates up and long rates down),
- short rates shock down
- parallel shock up, 2) parallel shock down
- Average repricing maturity applied for NMD is 4 years
- The longest repricing maturity applied for NMD is 7 Years
As of June 2023, BCA as a bank and consolidated has no exposure to net credit derivatives. From June 2023, BCA as a bank and group has no exposure to securitization exposure in the bank book. From June 2023, BCA as a bank and group has no exposure to securitization exposure in the trading portfolio.
Credit Risk - Securi za on Exposure in the Bank Book and related to its Capital Requirements - Bank Ac ng as Originator or Guarantor (SEC3) From June 2023, BCA as a bank and consolidated does not act as the originator or guarantor of Securitization Exposure. Credit risk - Securitization exposure in the Bank book and related to its Capital requirements - Bank acts as investor (SEC4). From June 2023, BCA as a bank and consolidated does not act as the investor of Securitization Exposure.
Interest rate risk in the bank portfolio (IRRBB) refers to the current or future risk to the bank's capital and earnings as a result of interest rate movements in the market as opposed to the bank book positions. The IRRBB calculation uses two perspectives, interest rate movements in the market as opposed to the bank book positions. The bank currently does not have sufficient long-term financial resources to finance fixed-rate loans and securities on the bank books.
With regard to these conditions, sources of financing are calculated for fixed-rate loans and securities in bank books from the Kernedepotet. To mitigate risks, the Bank has set nominal limits for fixed-rate loans and securities in bank books, limits for IRRBB and pricing strategies. Economic Value of Equity (EVE) methods use six (6) interest rate shock scenarios as follows: .. 3) steeper shock (short rates down and long rates up), 4) flattening shock (short rates up and long rates down) , 4 ) flattening shock (short courses up and long courses down), 5) short courses shock up,.
Net Interest Income (NII) Methods use two (2) interest rate shock scenarios, as follows: .. 1) parallel upward shock, 2) parallel downward shock. The IRRBB calculation uses a base deposit, which is part of a fixed deposit without maturity with a very small change in interest rates despite significant changes in market interest rates. 12 / SEOJK.03 / 2018 regarding the Implementation of the Standard Approach to Risk Management and Risk Measurement for Interest Rate Risk in the Banking Book (Interest Rate Risk in the Banking Book) for Commercial Banks.
RISK MANAGEMENT IMPLEMENTATION REPORT FOR INTEREST RATE RISK IN THE BANKING BOOK
Disclosure of Interest Rate Risk in The Banking Book (IRRBB) Exposure - Bank Consolidated
The IRRBB calculation uses two perspectives, namely the economic value perspective and the earnings-based perspective.
Measurements of IRRBB consolidated are carried out on a semiannually basis by using two (2) methods as follows
Disclosure of Interest Rate Risk in the Banking Book (IRRBB) Exposure - Bank Individual
IRRBB REPORT
Disclosure of Interest Rate Risk in the Banking Book (IRRBB) Exposure - Bank Consolidated
HQLA after deduction of outstanding liabilities and payables times outflow rate or contract receivables times inflows. 1 Adjusted values are calculated after the introduction of depreciation (deduction), outflow rate and inflow rate and caps for HQLA components, for example the caps for HQLA Level 2B and HQLA Level 2 and the cap on cash inflows can be taken into account in the LCR. The above calculation of the liquidity coverage ratio is based on POJK no. 42/POJK.03/2015 on the obligation to meet the liquidity coverage ratio for commercial banks and POJK no. 37/POJK.03/2019 on transparency and publication of bank reports and presented in accordance with SE OJK no. 9/SEOJK.03/2020 on transparency and publication of the first quarter of 2023.
QUARTERLY LIQUIDITY COVERAGE RATIO (LCR) REPORT
The calculation of BCA's Liquidity Coverage Ratio (Consolidated) for Quarter II 2023 is based on the average daily position from April 2023 to June 2023. Meanwhile, the calculation for Quarter I 2023 is based on the average daily position from January 2023 to March 2023. Such decrease in proportion was mainly due to the decrease in weighted value of HQLA of 1.33% (Rp7.10 trillion) and the increase in net cash outflow (NCO) after completion by 2.90% (Rp3.89 trillion).
The decrease in HQLA was mainly driven by the decrease in HQLA securities of Rp 16.59 trillion, the increase in placement with BI amounted to Rp 6.92 trillion, and the increase in coins and notes amounted to Rp 1.93 trillion. Meanwhile, the increase in NCO after outflow was mainly caused by the increase in unused loan facilities of Rp 2.22 trillion, the decrease in inflows from fully paid exposures ≤ 30 days equal to Rp 1.23 trillion, increase in financing from retail trade, micro and small enterprises as well as business customers of Rp. 1.16 trillion. and decreased in other contractual cash flows (eg dividends and borrowing) of Rp.0.43 trillion. Of the total HQLA Level 1, the share was dominated by marketable securities issued by the Indonesian government and BI at 70.38% and placement with Bank Indonesia at 24.95% respectively.
The composition of BCA's third-party deposits during the second quarter of 2023 was mainly contributed by CASA, with a share of approximately 81.01%. BCA's derivatives exposure was primarily from FX Swap Buy-Sell USD transactions with an average value of USD 896.04 million. In managing its liquidity, the Bank has properly identified, measured, monitored and managed its liquidity risk.
Apart from the LCR ratio, the bank also monitors liquidity condition and adequacy through cash flow projection report, NSFR report and other liquidity ratios. The bank has established a limit, early warning indicators, contingency plan and recovery plan related to liquidity risk. Cash, securities and other assets booked as initial margin for derivative contracts or contributions to central counterparty default funds (CCPs).
QUALITATIVE ASSESMENT ON NSFR
Micro and Small Business Customers 25%
QUALITATIVE ASSESMENT ON NSFR Analysis on Consolidated Financial Statement
Micro and Small Business Customers 27%
Encumbered assets are bank assets that are restricted both legally and contractually by the Bank to support liquidity under stressed conditions. Encumbered assets do not include assets placed with or pledged to Bank Indonesia, but which have yet to be used to create liquidity, as determined by the POJK on the obligation to fulfill the liquidity coverage ratio for commercial banks. Unencumbered assets are assets that qualify as High Quality Liquid Asset (HQLA) as determined by the POJK on the obligation to fulfill the liquidity coverage ratio for commercial banks.
With reference to the explanation of POJK No 42/POJK.03/2015 on obligation to fulfill the liquidity coverage ratio for commercial banks, section 9, sub-section (3) letter a, an example of encumbered assets placed with or pledged to Bank Indonesia , but what has yet to be used to create liquidity are the secondary statutory reserves (now known as the Macroprudential Liquidity Buffer). BCA's HQLA position categorized as encumbered assets on a consolidated basis on June 30, 2023 is Rp230.14 billion. If line 11 answer is 'No', the internal loss data is not used due to a difference in the minimum standards for loss data.
