Quantitative Disclosures as per Schedule III of Banking Act Direction No. 01 of 2016, Capital Requirements under Basel III

Basel III Computation of Liquidity Coverage Ratio – All Currencies

	Amount (LKR ’000)
	31 December 2021		31 December 2020
Item	Total Un-weighted Value	Total Weighted Value	Total Un-weighted Value	Total Weighted Value
Total Stock of High-Quality Liquid Assets (HQLA)	70,028,983	69,396,761	97,633,888	97,078,314
Total Adjusted Level 1A Assets	68,764,540	68,764,540	96,522,740	96,522,740
Level 1 Assets	68,764,540	68,764,540	96,522,740	96,522,740
Total Adjusted Level 2A Assets	–	–	–	–
Level 2A Assets	–	–	–	–
Total Adjusted Level 2B Assets	1,264,443	632,221	1,111,148	555,574
Level 2B Assets	1,264,443	632,221	1,111,148	555,574
Total cash outflows	489,106,855	82,706,774	444,130,094	85,180,176
Deposits	216,527,162	19,537,298	193,543,598	17,022,136
Unsecured Wholesale Funding	101,848,746	44,806,790	117,377,619	59,918,367
Secured Funding Transactions	2,386,304	–	4,208,587	–
Undrawn portion of committed (irrevocable) facilities and other contingent funding obligations	161,230,438	11,248,480	125,612,895	4,852,278
Additional Requirements	7,114,205	7,114,205	3,387,395	3,387,395
Total cash inflows	45,460,680	31,747,827	56,689,326	37,695,671
Maturing secured lending transactions backed by collateral	18,586,621	17,283,217	14,053,020	9,656,405
Committed facilities	–	–	1,000,000	–
Other inflows by counterparty which are maturing within 30 Days	19,302,269	12,796,237	37,772,765	26,597,052
Operational deposits	4,613,190	–	1,679,982	–
Other cash inflows	2,958,599	1,668,373	2,183,559	1,442,214
Liquidity coverage ratio (%) (Stock of high quality liquid assets/total net cash outflows over the next 30 calendar days) *100		136.18		204.44

 

Basel III Computation of Liquidity Coverage Ratio – LKR Only

	Amount (LKR ’000)
	31 December 2021		31 December 2020
Item	Total Un-weighted Value	Total Weighted Value	Total Un-weighted Value	Total Weighted Value
Total Stock of High-Quality Liquid Assets (HQLA)	63,872,699	63,211,781	90,105,873	89,550,299
Total Adjusted Level 1A Assets	62,550,864	62,550,864	88,994,725	88,994,725
Level 1 Assets	62,550,864	62,550,864	88,994,725	88,994,725
Total Adjusted Level 2A Assets	–	–	–	–
Level 2A Assets	–	–	–	–
Total Adjusted Level 2B Assets	1,321,835	660,918	1,111,148	555,574
Level 2B Assets	1,321,835	660,918	1,111,148	555,574
Total cash outflows	423,205,152	68,030,524	363,621,075	65,101,383
Deposits	198,578,248	17,742,407	180,352,595	15,742,884
Unsecured wholesale funding	74,994,769	33,888,212	85,507,685	44,501,115
Secured funding transactions	2,386,304	–	4,208,587	–
Undrawn portion of committed (irrevocable) facilities and other contingent funding obligations	141,111,240	10,265,313	90,298,101	1,603,277
Additional requirements	6,134,592	6,134,592	3,254,107	3,254,107
Total cash inflows	34,756,791	26,797,017	48,982,281	34,036,829
Maturing secured lending transactions backed by collateral	15,156,024	13,852,619	13,657,504	9,260,888
Committed facilities	–	–	1,000,000	–
Other inflows by counterparty which are maturing within 30 Days	17,020,316	11,654,172	32,842,087	24,034,596
Operational deposits	–	–	–	–
Other cash inflows	2,580,452	1,290,226	1,482,690	741,345
Liquidity coverage Ratio (%) (Stock of high quality liquid assets/total net cash outflows over the next 30 calendar days) *100		152.86		288.27

 

Maturity of Assets and Liabilities

As at 31 December 2021	Up to 1 Months LKR ’000	1-3 Months LKR ’000	3-6 Months LKR ’000	6-12 Months LKR ’000	1-3 Years LKR ’000	3-5 Years LKR ’000	Over 5 Years LKR ’000	Total LKR ’000
Financial assets
Cash and cash equivalents	10,688,255	–	–	–	–	–	–	10,688,255
Balances with Central Bank of Sri Lanka	9,359,241	–	–	–	–	–	–	9,359,241
Placement with banks	6,288,006	–	–	–	–	–	–	6,288,006
Derivative financial assets	280,235	–	–	–	–	–	–	280,235
Financial assets measured at fair value through profit or loss	–	218,875	–	–	–	–	–	218,875
Financial assets at amortised cost – Loans to and receivables from banks	–	–	–	–	–	–	–	–
Financial assets at amortised cost – Loans to and receivables from other customers	19,762,579	40,601,431	20,955,765	44,920,936	90,002,792	56,926,693	92,730,344	365,900,540
Financial assets at amortised cost – Debt and other instruments	21,840	2,297,571	13,032,325	2,323,072	6,334,236	2,665,918	–	26,674,962
Financial assets measured at fair value through other comprehensive income	4,162,207	12,116,150	5,478,870	4,536,581	7,286,765	4,520,387	16,228,476	54,329,436
Other assets	1,276,976	1,295,646	2,199	93,330	45,210	85,755	56,138	2,855,254
Total financial assets	51,839,339	56,529,673	39,469,159	51,873,919	103,669,003	64,198,753	109,014,958	476,594,804
Financial liabilities
Due to banks	651,098	1,344,705	–	1,354,033	–	–	–	3,349,836
Derivative financial liabilities	814,219	–	–	–	–	–	–	814,219
Financial liabilities at amortised cost – Due to depositors	19,848,588	60,836,584	67,139,390	58,139,727	24,144,409	22,426,559	67,325,756	319,861,013
Financial liabilities at amortised cost – Due to other borrowers	5,256,334	6,702,141	5,158,220	3,604,713	16,211,212	14,959,466	17,697,043	69,589,129
Debt securities in issue	462,419	–	696,868	160,197	3,789,061	6,777,540	4,411,171	16,297,256
Other liabilities	2,290,428	313,056	69,543	110,640	466,470	392,836	827,524	4,470,497
Subordinated term debt	–	–	446,151	–	9,334,999	8,401,222	204,904	18,387,276
Total financial liabilities	29,323,086	69,196,486	73,510,172	63,369,310	53,946,151	52,957,623	90,466,398	432,769,226
Total net financial assets/(liabilities)	22,516,253	(12,666,813)	(34,041,013)	(11,495,391)	49,722,852	11,241,130	18,548,560	43,825,578
Contingencies
Guarantees	20,401,153	–	–	–	–	–	–	20,401,153
Acceptance	–	5,783,312	4,804,345	544,644	38,326	–	–	11,170,627
Performance bonds	7,888,729	–	–	–	–	–	–	7,888,729
Forward contracts	(3,753,104)	1,421,553	(3,100,086)	–	6,758,895	12,229,512	12,324,971	25,881,741
Documentary credit	4,876,000	3,894,000	1,175,000	134,000	–	–	–	10,079,000
Bills for collection	3,853,903	–	–	–	–	–	–	3,853,903
Total contingencies	33,266,681	11,098,865	2,879,259	678,644	6,797,221	12,229,512	12,324,971	79,275,153
Commitments
Commitments for unutilised credit facilities	68,069,669	–	–	–	–	–	–	68,069,669
Capital commitments	627,175	8,868	118,891	31,935	–	–	–	786,869
Total Commitments	68,696,844	8,868	118,891	31,935	–	–	–	68,856,538
Total commitments and contingencies	101,963,525	11,107,733	2,998,150	710,579	6,797,221	12,229,512	12,324,971	148,131,691

 

As at 31 December 2020	Up to 1 Months LKR ’000	1-3 Months LKR ’000	3-6 Months LKR ’000	6-12 Months LKR ’000	1-3 Years LKR ’000	3-5 Years LKR ’000	Over 5 Years LKR ’000	Total LKR ’000
Financial assets
Cash and cash equivalents	7,724,364	–	–	–	–	–	–	7,724,364
Balances with Central Bank of Sri Lanka	4,901,753	–	–	–	–	–	–	4,901,753
Placement with banks	15,414,287	–	–	–	–	–	–	15,414,287
Derivative financial assets	835,464	–	–	–	–	–	–	835,464
Financial assets measured at fair value through profit or loss	564,837	–	–	–	–	–	44,880	609,717
Financial assets at amortised cost – Loans to and receivables from banks	4,099,700	34,092	18,925	–	–	–	–	4,152,717
Financial assets at amortised cost – Loans to and receivables from other customers	24,618,107	28,884,720	15,260,639	19,887,798	58,850,180	57,608,042	96,799,851	301,909,337
Financial assets at amortised cost – Debt and other instruments	1,088,642	4,901,488	244,559	13,114,452	10,314,056	1,940,978	–	31,604,175
Financial assets measured at fair value through other comprehensive income	3,493,167	12,312,501	4,849,806	21,022,827	17,342,423	7,691,826	22,005,452	88,718,002
Other assets	1,920,666	383	843	12,707	11,747	31,747	21,312	1,999,405
Total financial assets	64,660,987	46,133,184	20,374,772	54,037,784	86,518,406	67,272,593	118,871,495	457,869,221
Financial liabilities
Due to banks	2,090,584	1,540,503	1,255,012	2,510,680	7,513,158	–	–	14,909,937
Derivative financial liabilities	267,883	–	–	–	–	–	–	267,883
Financial liabilities at amortised cost – Due to depositors	37,003,073	61,849,504	70,816,977	34,289,767	28,970,585	16,457,256	60,639,730	310,026,892
Financial liabilities at amortised cost – Due to other borrowers	5,127,704	7,514,200	6,466,310	3,657,978	12,393,268	3,553,834	8,133,782	46,847,076
Debt securities in issue	–	1,025,771	305,890	–	–	8,764,378	6,195,240	16,291,279
Other liabilities	1,805,293	493,565	340,002	384,697	383,163	421,465	955,692	4,783,877
Subordinated term debt	–	617,850	–	1,173,507	8,956,610	8,404,530	205,000	19,357,497
Total financial liabilities	46,294,537	73,041,393	79,184,191	42,016,629	58,216,784	37,601,463	76,129,444	412,484,441
Total net financial assets/(Liabilities)	18,366,450	(26,908,209)	(58,809,419)	12,021,155	28,301,622	29,671,130	42,742,051	45,384,780
Contingencies
Guarantees	15,952,324	–	–	–	–	–	–	15,952,324
Acceptance	–	5,783,242	756,207	4,869	4,906,411	–	–	11,450,729
Forward contracts	(3,471,492)	(825,822)	672,032	932,930	3,015,758	–	–	323,406
Cross CCY SWAP	–	586,913	4,692	262,847	9,384	–	–	863,836
Documentary credit	–	8,096,276	671,414	381,827	740,055	–	–	9,889,572
Bills for collection	3,922,026	–	–	–	–	–	–	3,922,026
Total contingencies	16,402,858	13,640,609	2,104,345	1,582,473	8,671,608	–	–	42,401,893
Commitments
Undrawn overdrafts	22,087,069	–	–	–	–	–	–	22,087,069
Undrawn loans	29,603,852	–	–	–	–	–	–	29,603,852
Undrawn credit card limits	3,679,317	–	–	–	–	–	–	3,679,317
Undrawn indirect credit facilities	31,243,712	–	–	–	–	–	–	31,243,712
Capital commitments	–	142,386	613,549	286,051	–	–	–	1,041,986
Undrawn leases	706,318	–	–	–	–	–	–	706,318
Total commitments	87,320,268	142,386	613,549	286,051	–	–	–	88,362,254
Total commitments and contingencies	103,723,126	13,782,995	2,717,894	1,868,524	8,671,608	–	–	130,764,147

 

Maturity Gap Analysis of Foreign Currency denaominated Financial Assets and Financial Liabilities – USD

As at 31 December 2021	Up to 1 Months USD ’000	1-3 Months USD ’000	3-6 Months USD ’000	6-12 Months USD ’000	1-3 Years USD ’000	3-5 Years USD ’000	Over 5 Years USD ’000	Total USD ’000
Total assets	35,472	36,214	28,742	52,844	38,269	59,706	53,548	304,795
Total liabilities	45,665	30,808	35,744	50,561	89,108	88,319	67,018	407,223
Total net financial assets/(liabilities)	(10,193)	5,406	(7,002)	2,283	(50,839)	(28,613)	(13,470)	(102,428)

 

As at 31 December 2020	Up to 1 Months USD ’000	1-3 Months USD ’000	3-6 Months USD ’000	6-12 Months USD ’000	1-3 Years USD ’000	3-5 Years USD ’000	Over 5 Years USD ’000	Total USD ’000
Total assets	100,754	24,435	8,868	31,926	47,159	36,630	90,170	339,942
Total liabilities	73,022	27,858	43,022	59,953	81,443	38,345	43,201	366,844
Total net financial assets/(liabilities)	27,732	(3,423)	(34,154)	(28,027)	(34,284)	(1,715)	46,969	(26,902)

 

Sensitivity of Financial Assets and Financial Liabilities

Bank As at 31 December 2021	Up to 1 Months LKR ’000	1-3 Months LKR ’000	3-6 Months LKR ’000	6-12 Months LKR ’000	1-3 Years LKR ’000	3-5 Years LKR ’000	Over 5 Years LKR ’000	Non-interest Bearing LKR ’000	Total LKR ’000
Financial assets
Cash and cash equivalents	844,731	–	–	–	–	–	–	9,843,524	10,688,255
Balances with Central Bank of Sri Lanka	–	–	–	–	–	–	–	9,359,241	9,359,241
Placements with banks	6,288,006	–	–	–	–	–	–		6,288,006
Derivative financial assets	–	–	–	–	–	–	–	280,235	280,235
Financial assets measured at fair value through profit or loss	–	–	–	–	–	–	–	218,875	218,875
Financial assets at amortised cost – Loans to and receivables from banks	–	–	–	–	–	–	–	–	–
Financial assets at amortised cost – Loans to and receivables from other customers	246,322,818	18,918,758	23,714,679	14,306,803	22,814,215	20,240,169	11,272,135	8,310,963	365,900,540
Financial assets at amortised cost – Debt and other Instruments	265,131	2,605,943	13,018,250	2,345,808	6,854,024	1,585,806	–	–	26,674,962
Financial assets measured at fair value through other comprehensive income	4,411,761	12,358,532	5,798,879	4,572,520	7,370,764	4,244,869	3,018,322	12,553,789	54,329,436
Other assets	–	–	–	–	–	–	–	2,855,254	2,855,254
Total financial assets	258,132,447	33,883,233	42,531,808	21,225,131	37,039,003	26,070,844	14,290,457	43,421,881	476,594,804
Financial liabilities
Due to banks	–	1,105,860	–	1,105,860	–	–	–	1,138,116	3,349,836
Derivative financial liabilities	–	–	–	–	–	–	–	814,219	814,219
Financial liabilities at amortised cost – due to depositors	111,704,790	51,549,556	57,791,338	74,085,686	10,929,857	1,586,363	40,503	12,172,920	319,861,013
Financial liabilities at amortised cost – due to other borrowers	5,117,887	6,606,257	5,116,823	3,621,298	18,045,813	16,614,127	14,466,924	–	69,589,129
Debt Securities in issue	–	–	–	–	–	11,886,086	4,411,170	–	16,297,256
Other liabilities	–	–	–	–	–	–	–	4,470,497	4,470,497
Subordinated term debt	–	–	–	–	9,777,746	8,609,530	–	–	18,387,276
Total financial liabilities	116,822,677	59,261,673	62,908,161	78,812,844	38,753,416	38,696,106	18,918,597	18,595,752	432,769,226
Interest rate sensitivity gap	141,309,770	(25,378,440)	(20,376,353)	(57,587,713)	(1,714,413)	(12,625,262)	(4,628,140)	24,826,129

 

Bank As at 31 December 2020	Up to 1 Months LKR ’000	1-3 Months LKR ’000	3-6 Months LKR ’000	6-12 Months LKR ’000	1-3 Years LKR ’000	3-5 Years LKR ’000	Over 5 Years LKR ’000	Non-interest Bearing LKR ’000	Total LKR ’000
Financial assets
Cash and cash equivalents	317,034	–	–	–	–	–	–	7,407,330	7,724,364
Balances with Central Bank of Sri Lanka	–	–	–	–	–	–	–	4,901,753	4,901,753
Placements with banks	15,414,287	–	–	–	–	–	–	–	15,414,287
Derivative financial assets	–	–	–	–	–	–	–	835,464	835,464
Financial assets measured at fair value through profit or loss	–	–	–	–	–	–	–	609,717	609,717
Financial assets at amortised cost – Loans to and receivables from banks	4,152,717	–	–	–	–	–	–	–	4,152,717
Financial assets at amortised cost – Loans to and receivables from other customers	151,094,075	24,374,012	12,864,586	16,170,593	44,565,904	23,242,601	21,834,937	7,762,629	301,909,337
Financial assets at amortised cost – Debt and other Instruments	1,305,463	4,323,283	263,484	12,984,162	10,786,805	1,940,978	–	–	31,604,175
Financial assets measured at fair value through other comprehensive income	3,555,765	12,312,501	4,849,806	21,167,642	17,197,609	7,691,826	9,428,991	12,513,862	88,718,002
Other assets								1,999,405	1,999,405
Total financial assets	175,839,341	41,009,796	17,977,876	50,322,397	72,550,318	32,875,405	31,263,928	36,030,160	457,869,221
Financial liabilities
Due to banks	1,792,092	7,927,554	–	–	5,000,000	–	–	190,291	14,909,937
Derivative financial liabilities	–	–	–	–	–	–	–	267,883	267,883
Financial liabilities at amortised cost – due to depositors	89,795,761	58,804,855	68,468,382	53,354,008	29,458,362	1,421,012	83,265	8,641,247	310,026,892
Financial liabilities at amortised cost – due to other borrowers	7,492,850	12,453,461	10,591,793	1,239,278	4,739,431	2,189,723	8,140,540	–	46,847,076
Debt Securities in issue	–	–	–	–	–	10,096,039	6,195,240	–	16,291,279
Other liabilities	–	–	–	–	–	–	–	4,783,877	4,783,877
Subordinated term debt	–	–	–	1,791,357	8,956,610	8,404,530	205,000	–	19,357,497
Total financial liabilities	99,080,703	79,185,870	79,060,175	56,384,643	48,154,403	22,111,304	14,624,045	13,883,298	412,484,441
Interest rate sensitivity gap	76,758,638	(38,176,074)	(61,082,299)	(6,062,246)	24,395,915	10,764,101	16,639,883	22,146,862

 

Key Regulatory Ratios

Item	31 December 2021		31 December 2020
	Bank	Group	Bank	Group
Regulatory capital (LKR ’000)
Common Equity Tier 1	34,259,288	34,265,838	35,041,771	35,113,117
Tier 1 capital	34,259,288	34,265,838	35,041,771	35,113,117
Total capital	47,968,017	47,974,567	51,055,165	51,126,511
Regulatory capital ratios (%)
Common equity Tier 1 capital ratio [Minimum requirement – 6.50%	9.31%	9.28%	10.82%	10.82%
Tier 1 capital ratio [Minimum requirement – 8.00%	9.31%	9.28%	10.82%	10.82%
Total capital ratio [Minimum requirement – 12.00%	13.03%	13.00%	15.76%	15.75%
Computation of leverage ratio
Tier 1 capital	34,259,288	34,265,838	35,041,771	35,113,117
Total exposures	518,666,776	517,675,471	515,899,771	514,844,311
On-Balance sheet items (excluding derivatives and securities financing transactions, but including collateral)	469,824,183	468,832,878	452,474,474	451,419,014
Derivative exposures	17,703,013	17,703,013	35,494,568	35,494,568
Securities financing transaction exposures	2,972,983	2,972,983	1,385,974	1,385,974
Other off-balance sheet exposures	28,166,597	28,166,597	26,544,755	26,544,755
Basel III leverage ratio (%) (Tier 1/Total exposure)	6.61%	6.62%	6.79%	6.82%
Computation of net stable funding ratio
Total available stable funding	377,765,097	N/A	339,622,389	N/A
Required stable funding – On balance sheet assets	301,861,759	N/A	273,846,147	N/A
Required stable funding – Off balance sheet items	6,692,019	N/A	2,266,209	N/A
Total required stable funding	308,553,778	N/A	276,112,356	N/A
Net stable funding ratio (%)	122.43%	N/A	123.00%	N/A

 

Basel III Computation of Capital Ratios

Item	31 December 2021		31 December 2020
	Bank LKR ’000	Group LKR ’000	Bank LKR ’000	Group LKR ’000
Common equity Tier 1 (CET1) capital after adjustments	34,259,288	34,265,838	35,041,771	35,113,117
Common equity Tier 1 (CET1) capital	46,687,119	50,436,550	45,423,144	48,839,196
Equity capital (stated capital)/assigned capital	8,600,457	8,600,457	7,682,465	7,682,465
Reserve fund	2,746,968	2,746,968	2,583,968	2,583,968
Published retained earnings/(accumulated retained losses)	22,091,649	25,831,589	19,652,168	23,061,080
Published accumulated Other Comprehensive Income (OCI)	(531,794)	(522,303)	1,724,704	1,731,844
General and other disclosed reserves	13,779,839	13,779,839	13,779,839	13,779,839
Unpublished current year's profit/loss and gains reflected in OCI	–	–	–	–
Ordinary shares issued by consolidated banking and financial subsidiaries of the Bank and held by third parties	–	–	–	–
Total adjustments to CET1 capital	12,427,831	16,170,712	10,381,373	13,726,079
Goodwill (net)	–	156,226	–	156,226
Intangible assets (net)	2,227,577	2,252,589	1,713,052	1,728,580
Investment in capital of banks and financial institutions	8,841,360	12,403,003	8,571,286	11,838,354
Others	1,358,894	1,358,894	97,035	2,919
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 (specify)	–	–	–	–
Tier 2 capital after adjustments	13,708,729	13,708,729	16,013,394	16,013,394
Tier 2 capital	13,708,729	13,708,729	16,013,394	16,013,394
Qualifying Tier 2 capital instruments	10,511,268	10,511,268	14,174,868	14,174,868
Revaluation gains	–	–	–	–
Loan loss provisions	3,197,461	3,197,461	1,838,526	1,838,526
Instruments issued by consolidated banking and financial subsidiaries of the Bank and held by third parties	–	–	–	–
Total adjustments to Tier 2
Investment in own shares	–	–	–	–
Others (specify)	–	–	–	–
CET1 capital	34,259,288	34,265,838	35,041,771	35,113,117
Total Tier 1 capital	34,259,288	34,265,838	35,041,771	35,113,117
Total capital	47,968,017	47,974,567	51,055,165	51,126,511

 

Item	31 December 2021		31 December 2020
	Bank LKR ’000	Group LKR ’000	Bank LKR ’000	Group LKR ’000
Total risk weighted assets (RWA) (LKR ’000)
RWAs for credit risk	339,260,886	339,722,423	293,505,729	293,920,302
RWAs for market risk	10,005,925	10,005,925	12,956,450	12,956,450
RWAs for operational risk	18,909,993	19,380,488	17,400,093	17,751,642
CET1 capital ratio (including capital conservation buffer, countercyclical capital buffer and surcharge on d-sibs) (%)	9.31%	9.28%	10.82%	10.82%
of which: capital conservation buffer (%)	1.20%	1.20%	1.20%	1.20%
of which: countercyclical buffer (%)	N/A	N/A	N/A	N/A
of which: capital surcharge on d-sibs (%)	N/A	N/A	N/A	N/A
Total Tier 1 capital ratio (%)	9.31%	9.28%	10.82%	10.82%
Total capital ratio (including capital conservation buffer, countercyclical capital buffer and surcharge on d-sibs) (%)	13.03%	13.00%	15.76%	15.75%
of which: capital conservation buffer (%)	1.20%	1.20%	1.20%	1.20%
of which: countercyclical buffer (%)	N/A	N/A	N/A	N/A
of which: capital surcharge on d-sibs (%)	N/A	N/A	N/A	N/A

 

Credit Risk under Standardised Approach – Credit Risk Exposures and Credit Risk Mitigation (CRM) Effects

	As at 31 December 2021 – Bank
Asset Class	Exposures before Credit Conversion Factor (Ccf) and CRM		Exposures post CCF and CRM		RWA and RWA density (%)
	On-balance sheet amount LKR ’000	Off-balance sheet amount LKR ’000	On-balance sheet amount LKR ’000	Off-balance sheet amount LKR ’000	RWA LKR ’000	RWA density(ii) %
Claims on Central Government and CBSL	80,314,386	31,313,379	80,314,386	2,505,070	1,036,236	1
Claims on foreign sovereigns and their Central Banks	–	–	–	–	–	–
Claims on public sector entities	12,306,605	3,739	–	1,870	1,870	100
Claims on official entities and multilateral development banks	–	–	–	–	–	–
Claims on banks exposures	10,818,109	20,549,930	10,818,109	622,458	4,184,956	37
Claims on financial institutions	12,651,385	2,150	12,651,385	1,075	8,431,765	67
Claims on corporates	168,749,508	43,554,669	145,149,643	18,701,508	159,697,725	97
Retail claims	127,444,120	–	127,444,120	–	104,052,644	82
Claims secured by residential property	14,904,979	–	14,904,979	–	9,092,670	61
Claims secured by commercial real estate	21,212,417	5,654,780	21,212,417	5,654,780	26,867,197	100
Non-performing assets (NPAs) (i)	10,148,067	–	10,148,067	–	11,732,630	116
Higher-risk categories	430,420	–	430,420	–	1,076,051	250
Cash items and other assets	15,277,519	114,848,957	15,277,519	3,916,699	13,087,142	68
Total	474,257,515	215,927,604	438,351,045	31,403,460	339,260,886

Note:

(i) NPAs – As per Banking Act Directions on Classification of loans and advances, income recognition and provisioning

(ii) RWA density – Total RWA/exposures post CCF and CRM.

 

Credit Risk under Standardised Approach – Credit Risk Exposures and Credit Risk Mitigation (CRM) Effects

	As at 31 December 2021 – GROUP
Asset Class	Exposures before Credit Conversion Factor (Ccf) and CRM		Exposures post CCF and CRM		RWA and RWA density (%)
	On-balance sheet amount LKR ’000	Off-balance sheet amount LKR ’000	On-balance sheet amount LKR ’000	Off-balance sheet amount LKR ’000	RWA LKR ’000	RWA density(ii) %
Claims on Central Government and CBSL	80,314,386	31,313,379	80,314,386	2,505,070	1,036,236	1
Claims on foreign sovereigns and their Central Banks	–	–	–	–	–	–
Claims on public sector entities	12,306,605	3,739	–	1,870	1,870	100
Claims on official entities and multilateral development banks	–	–	–	–	–	–
Claims on banks exposures	10,898,318	20,549,930	10,898,318	622,458	4,211,702	37
Claims on financial institutions	12,651,385	2,150	12,651,385	1,075	8,431,765	67
Claims on corporates	168,536,066	43,554,669	144,936,201	18,701,508	159,484,283	97
Retail claims	127,444,120	–	127,444,120	–	104,052,644	82
Claims secured by residential property	14,904,979	–	14,904,979	–	9,092,670	61
Claims secured by commercial real estate	21,212,417	5,654,780	21,212,417	5,654,780	26,867,197	100
Non-performing assets (NPAs) (i)	10,148,067	–	10,148,067	–	11,732,630	116
Higher-risk categories	466,459	–	466,459	–	1,116,148	250
Cash items and other assets	15,838,272	114,848,957	15,838,272	3,916,699	13,645,278	69
Total	474,721,074	215,927,604	438,814,604	31,403,460	339,722,423

Note:

(i) NPAs – As per Banking Act Directions on Classification of loans and advances, income recognition and provisioning

(ii) RWA Density – Total RWA/Exposures post CCF and CRM.

 

Credit Risk under Standardised Approach: Exposures by Asset Classes and Risk Weights

Description	Amount (LKR ’000) as at 31 December 2021 (Post CCF and CRM) Bank level
Risk weight asset classes	0%	20%	35%	50%	75%	100%	150%	>150%	Total credit exposures amount
Claims on Central Government and CBSL	72,457,094	10,362,362	–	–	–	–	–	–	82,819,456
Claims on foreign sovereigns and their Central Banks	–	–	–	–	–	–	–	–	–
Claims on public sector entities	–	–	–	–	–	1,870	–	–	1,870
Claims on official entities and multilateral development banks	–	–	–	–	–	–	–	–	–
Claims on banks exposures	–	6,257,152	–	4,499,780	–	683,635		–	11,440,567
Claims on financial institutions	–	–	–	8,441,391	–	4,211,069	–	–	12,652,460
Claims on corporates	–	2,412,449	–	4,446,933	–	156,991,769		–	163,851,151
Retail claims	5,192,376	771,596	–	–	70,327,291	51,152,857	–	–	127,444,120
Claims secured by residential property	–	–	8,942,014	–	–	5,962,965	–	–	14,904,979
Claims secured by commercial real estate	–	–	–	–	–	26,867,197	–	–	26,867,197
Non-performing assets (NPAs)	–	–	–	130,892	–	6,717,158	3,300,017	–	10,148,067
Higher-risk categories	–	–	–	–	–	–	–	430,420	430,420
Cash items and other assets	6,102,019	6,320	–	–	–	13,085,879	–	–	19,194,218
Total	83,751,489	19,809,879	8,942,014	17,518,996	70,327,291	265,674,399	3,300,017	430,420	469,754,505

 

Description	Amount (LKR ’000) as at 31 December 2021 (Post CCF and CRM) Group
Risk weight asset classes	0%	20%	35%	50%	75%	100%	150%	>150%	Total credit exposures amount
Claims on central Government and CBSL	72,457,094	10,362,362	–	–	–	–	–	–	82,819,456
Claims on foreign sovereigns and their Central Banks	–	–	–	–	–	–	–	–	–
Claims on public sector entities	–	–	–	–	–	1,870	–	–	1,870
Claims on official entities and multilateral development banks	–	–	–	–	–	–	–	–	–
Claims on banks exposures	–	6,301,679	–	4,535,462	–	683,635		–	11,520,776
Claims on financial institutions	–	–	–	8,441,391	–	4,211,069	–	–	12,652,460
Claims on corporates	–	2,412,449	–	4,446,933	–	156,778,327		–	163,637,709
Retail claims	5,192,376	771,596	–	–	70,327,291	51,152,857	–	–	127,444,120
Claims secured by residential property	–	–	8,942,014	–	–	5,962,965	–	–	14,904,979
Claims secured by commercial real estate	–	–	–	–	–	26,867,197	–	–	26,867,197
Non-performing assets (NPAs)	–	–	–	130,892	–	6,717,158	3,300,017	–	10,148,067
Higher-risk categories	–	–	–	–	–	–	–	466,459	466,459
Cash items and other assets	6,104,637	6,320	–	–	–	13,644,014	–	–	19,754,971
Total	83,754,107	19,854,406	8,942,014	17,554,678	70,327,291	266,019,092	3,300,017	466,459	470,218,064

 

Market Risk under Standardised Measurement Method

Item	31 December 2021 RWA amount
	Bank LKR ’000	Group LKR ’000
(a) RWA for interest rate risk	1,200,711	1,200,711
General interest rate risk	628,215	628,215
(i) Net long or short position	628,215	628,215
(ii) Horizontal disallowance	–	–
(iii) Vertical disallowance	–	–
(iv) Options	–	–
Specific interest rate risk
(b) RWA for equity	9,803	9,803
(i) General equity risk	5,882	5,882
(ii) Specific equity risk	3,921	3,921
(c) RWA for Foreign exchange and gold	562,693	562,693
Capital charge for market risk [(a) + (b) + (c)] * CAR	10,005,925	10,005,925

 

Operational Risk under Basic Indicator Approach/The Standardised Approach/ The Alternative Standardised Approach (Bank)

Business lines	Capital charge factor	Fixed factor	Gross income (LKR ’000) as at 31 December
			1st Year LKR ’000	2nd Year LKR ’000	3rd Year LKR ’000
The basic indicator approach	15%		17,311,682	14,533,979	13,738,321
The standardised approach
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%		–	–	–
The alternative standardised approach
Corporate finance	18%		–	–	–
Trading and sales	18%		–	–	–
Payment and settlement	18%		–	–	–
Agency services	15%		–	–	–
Asset management	12%		–	–	–
Retail brokerage	12%		–	–	–
Retail banking	12%	0.035	–	–	–
Commercial banking	15%	0.035	–	–	–
Capital charges for operational risk (LKR ’000)
The basic indicator approach	2,269,199
The standardised approach
The alternative standardised approach
Risk weighted amount for operational risk (LKR ’000)
The basic indicator approach	18,909,993
The standardised approach
The alternative standardised approach

 

Operational Risk under Basic Indicator Approach/The Standardised Approach/ The Alternative Standardised Approach (Group)

Business lines	Capital charge factor	Fixed factor	Gross income (LKR ’000) as at 31 December
			1st Year LKR ’000	2nd Year LKR ’000	3rd Year LKR ’000
The basic indicator approach	15%		17,519,559	14,869,527	14,124,084
The standardised approach
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%		–	–	–
The alternative standardised approach
Corporate finance	18%		–	–	–
Trading and sales	18%		–	–	–
Payment and settlement	18%		–	–	–
Agency services	15%		–	–	–
Asset management	12%		–	–	–
Retail brokerage	12%		–	–	–
Retail banking	12%	0.035	–	–	–
Commercial banking	15%	0.035	–	–	–
Capital charges for operational risk (LKR ’000)
The basic indicator approach	2,325,659
The standardised approach
The alternative standardised approach
Risk weighted amount for operational risk (LKR ’000)
The basic indicator approach	19,380,488
The standardised approach
The alternative standardised approach