BASEL II PILLAR 3 DISCLOSURES As at 30th June 2018 · 1.2 Scope of Application The Capital Adequacy Framework (Basel II – Risk-Weighted Assets) issued by Bank Negara Malaysia ('BNM'),

Company No: 25046 T

AFFIN Bank Berhad(Incorporated in Malaysia)

BASEL II

PILLAR 3 DISCLOSURES

As at 30th June 2018

We, JOHARI LOW BIN ABDULLAH @ LOW HAN HING and TOSHIO ANZAI, being two of the Directors of YAOHAN HOLDINGSthe state of affairs of the Company and of the Group as of 29 February 1996 and of the results of the Company and of the Group the changes in financial position of the Group for the year ended 29 February 1996. I, TOSHIO ANZAI, the Director primarily responsible for the financial management of YAOHAN HOLDINGS (M) BERHAD, do

Company No: 25046 T


BASEL II Pillar 3 Quantitative Disclosures

Table of Contents Pages

1. Introduction

1.1 Background 1

1.2 Scope of Application 1

2. Capital Management

2.1 Internal Capital Adequacy Assessment Process ('ICAAP') 2

2.2 Capital Structure 2 - 3

2.3 Capital Adequacy 4

3. Application of Standardised Approach for credit risk 4 - 5

4. Application of Standardised Approach for market risk 6

5. Application of Basic Indicator Approach for operational risk 6

Appendix I. Disclosure on Capital Adequacy under the Standardised Approach 7 - 11

Appendix II. Disclosure on Credit Risk: Disclosures on Risk Weights under the Standardised Approach 12 - 15

Appendix III. Disclosures on Rated Exposures according to Ratings by ECAIs 16 - 23

Appendix IV (a). Disclosures on Credit Risk Mitigation 24 - 27

Appendix IV (b). Disclosure on Off Balance Sheet and Counterparty Credit Risk 28 - 31

Appendix IV (c). Disclosures on Market Risk - Interest/profit Rate Risk/Rate of Return Risk in the Banking Book 32 - 33

Company No: 25046 T


BASEL II Pillar 3 Quantitative Disclosures

1 Introduction

1.1 Background

-

-

-

- Standardised Approach for Credit Risk

- Standardised Approach for Market Risk

- Basic Indicator Approach for Operational Risk

1.2 Scope of Application

The Capital Adequacy Framework (Basel II – Risk-Weighted Assets) issued by Bank Negara Malaysia ('BNM'),

which is the equivalent of the Basel II issued by the Basel Committee of Banking Supervision and the Islamic

Financial Services Board is structured around three fundamental pillars:

Pillar 3 disclosure is required under the BNM Risk Weighted Capital Adequacy Framework (Basel II) -

Disclosure Requirements (Pillar 3).

Affin Bank Berhad ('the Bank') and its subsidiaries ('the Group') adopt the following approaches under Pillar 1

requirements:

Pillar 1 defines the minimum capital requirement to ensure that financial institutions hold sufficient capital

to cover their exposure to credit, market and operational risks.

Pillar 2 requires financial institutions to have a process for assessing their overall capital adequacy in

relation to their risk profile and a strategy for maintaining their capital levels.

Pillar 3 requires financial institutions to establish and implement an appropriate disclosure policy that

promotes transparency regarding their risk management practices and capital adequacy positions.

This document contains the disclosure requirements under Pillar 3 for the Group and the Bank for the period

ended 30 June 2018. The disclosures are made in line with the Pillar 3 disclosure requirements under the Basel II

framework as laid out by BNM.

The disclosures should be read in conjunction with the Group and the Bank’s 2017 Annual Report for the year

ended 31 December 2017.

The capital requirements of the Group and the Bank are generally based on the principles of consolidation

adopted in the preparation of its financial statements.

1

Company No: 25046 T


BASEL II Pillar 3 Quantitative Disclosures (continued)

2 Capital Management

2.1 Internal Capital Adequacy Assessment Process ('ICAAP')

2.2 Capital structure

The total capital and capital adequacy ratios of the Group and the Bank are computed in accordance with BNM's

Capital Adequacy Framework (Capital Components).

The Group and the Bank are currently adopting the Standardised Approach for Credit Risk and Market Risk and

the Basic Indicator Approach for Operational Risk. In line with the transitional arrangements under the BNM

Capital Adequacy Framework (Capital Components), the minimum capital adequacy requirement for Common

Equity Tier 1 Capital Ratio ('CET 1') and Tier 1 Capital Ratio are 6.375% and 7.875% respectively (31.12.2017:

5.750% and 7.250%) respectively for year 2018. The minimum regulatory capital adequacy requirement is

9.875% (31.12.2017: 9.250%) for total capital ratio.

The following table sets forth further details on the capital resources and capital adequacy ratios for the Group

and the Bank as at 30 June 2018.

In line with the BNM guidelines on Risk-Weighted Capital Adequacy Framework - Internal Capital Adequacy

Assessment Process (Pillar 2), the Bank has put in place the ICAAP Framework to assess the capital adequacy to

ensure that the level of capital maintained by the Bank is adequate at all times, taking into consideration the

Bank's risk profile and business strategies.

The Bank's capital management approach is focused on maintaining an appropriate level of capital to meet its

business needs and regulatory requirements as capital adequacy and risk management are closely aligned. The

Bank operates within an agreed risk appetite whilst optimising the use of shareholders’ funds to deliver

sustainable returns.

2

Company No: 25046 T



2 Capital Management (continued)

2.2 Capital structure (continued)

The Group The Bank

30.6.2018 31.12.2017 30.6.2018 31.12.2017

RM'000 RM'000 RM'000 RM'000

Paid-up share capital 4,684,752 4,684,752 4,684,752 4,684,752

Retained profits 2,785,538 2,670,888 2,237,123 1,987,315

(22,254) 97,596 35,153 121,638

Translation reserve 151 151 - -

7,448,187 7,453,387 6,957,028 6,793,705

Less:

Regulatory adjustments:

- Goodwill and other intangibles (904,130) (903,962) (174,222) (171,980)

- Deferred tax assets (87,427) - (45,836) -

- (53,678) (19,334) (66,901)

- Investment in subsidiaries/joint venture/associate (749,309) (581,498) (3,766,021) (3,020,467)

CET1 capital 5,707,321 5,914,249 2,951,615 3,534,357

Non-controlling interest 17,620 9,213 - -

Tier I capital 5,724,941 5,923,462 2,951,615 3,534,357

Subordinated medium term notes 1,918,274 2,000,000 1,918,274 2,000,000

Loss provisions 570,583 129,725 377,133 94,643

Regulatory adjustments - 436,217 - 314,759

Less:

Investment in subsidiaries/joint venture/associate - (145,374) - (755,117)

Tier II capital 2,488,857 2,420,568 2,295,407 1,654,285

Total capital 8,213,798 8,344,030 5,247,022 5,188,642

CET1 capital ratio 11.683% 12.213% 9.142% 10.124%

Tier 1 capital ratio 11.719% 12.232% 9.142% 10.124%

Total capital ratio 16.814% 17.231% 16.251% 14.862%

CET1 capital ratio (net of proposed dividends) 11.683% 12.213% 9.142% 10.124%

Tier 1 capital ratio (net of proposed dividends) 11.719% 12.232% 9.142% 10.124%

Total capital ratio (net of proposed dividends) 16.814% 17.231% 16.251% 14.862%

Risk-weighted assets for:

Credit risk 45,646,637 45,275,347 30,170,624 32,752,159

Market risk 427,711 604,034 201,783 242,490

Operational risk 2,777,063 2,544,825 1,914,896 1,916,984

Total risk-weighted assets 48,851,411 48,424,206 32,287,303 34,911,633

Unrealised gains/(losses) of FVOCI

instruments/AFS instruments

- 55% of cumulative gains of FVOCI

instruments/AFS instruments

3

Company No: 25046 T



2.3 Capital adequacy

3 Application of Standardised Approach for credit risk

The Group and the Bank have in place an internal limit for its CET1 capital ratio, Tier I capital ratio and Total

capital ratio, which is guided by the need to maintain a prudent relationship between available capital and the

risks of its underlying businesses. The capital management process is monitored by senior management through

periodic reviews.

Refer to Appendix I.

The Group and the Bank use the following External Credit Assessment Institutions ('ECAIs') to determine the

risk weights for the rated credit exposures:-

• RAM Rating Services Berhad

• Malaysian Rating Corporation Berhad

• Standard & Poor’s Rating Services

• Moody’s Investors Service

• Fitch Ratings

The external ratings of the ECAIs are used to determine the risk weights of the following types of exposure:

sovereigns, banks, public sector entities and corporates.

The mapping of the rating categories of different ECAIs to the risk weights is in accordance with BNM

guidelines. In cases where there is no issuer or issue rating, the exposures are treated as unrated and accorded a

risk weight appropriate for unrated exposure in the respective category.

Refer to Appendix II and Appendices III (i) to III (ii).

4

Company No: 25046 T



3 Application of Standardised Approach for credit risk (continued)

The Bank employs various policies and practices to control and mitigate credit risk.

Lending/financing limits

The Group and the Bank establishes internal limits and related lending guidelines to manage large exposures and

avoid undue concentration of credit risk in its credit portfolio. The limits include single customer groupings,

connected parties, geographical and industry segments. These risks are monitored regularly and the limits

reviewed annually or sooner depending on changing market and economic conditions.

The credit risk exposure for derivative and loans, advances and financing books is managed as part of the overall

lending limits with customers together with potential exposure from market movements.

Collateral

Credits are established against borrower's capacity to repay rather than rely solely on security. However,

collateral may be taken to mitigate credit risk. The main collateral types accepted and given value are:

• Mortgages over residential properties;

• Charges over commercial real estate or vehicles financed;

• Charges over business assets such as business premises, inventory and account receivables; and

• Charges over financial instruments such as marketable securities

Credit related commitments

Commitment to extend credit represents unutilised portion of approved credit in the form of loans, advances and

financing, guarantees or letters of credit. In terms of credit risk, the Bank is potentially exposed to loss in an

amount equal to the total unutilised commitments. However, the potential amount of loss is less than the total

unutilised commitments, as most commitments to extend credit are contingent upon customers maintaining

specific minimum credit standards.

The Bank monitors the term to maturity of credit commitments because longer-term commitments generally have

a greater degree of credit risk than short-term commitments.

Refer to Appendix IV (a) to (b).

5

Company No: 25046 T



4 Application of Standardised Approach for market risk

5 Application of Basic Indicator Approach for operational risk

The Group and the Bank adopt the Standardised Approach for the purpose of calculating the capital requirement

for market risk.


The Group and the Bank adopt the Basic Indicator Approach for the purpose of calculating the capital

requirement for operational risk. The capital requirement is calculated by taking 15% of the average annual gross

income over the previous three years.


6

Company No: 25046 T Appendix I



Disclosure on Capital Adequacy under the Standardised Approach (RM'000)

Group

30.6.2018

Exposure Class

Gross

Exposures/EAD

before CRM

Net

Exposures/EAD

after CRM

Risk Weighted

Assets

Total Risk

Weighted Assets

after Effects of

PSIA

Minimum Capital

Requirements at

8%

1 CREDIT RISK

On Balance Sheet Exposures

Corporates 29,222,852 28,566,896 22,458,911 22,458,911 1,796,712

Regulatory Retail 14,792,792 14,092,197 10,625,704 10,625,704 850,057

Other Assets 3,746,126 3,746,126 1,230,440 1,230,440 98,434

Sovereigns/Central Banks 9,408,334 9,408,335 3,873 3,873 309

Public Sector Entities - - - - -

Banks, Development Financial Institutions & MDBs 2,263,125 2,245,880 319,012 319,012 25,521

Insurance Companies, Securities Firms & Fund Managers 226,608 226,608 202,729 202,729 16,218

Residential Mortgages 8,436,311 8,405,161 4,624,341 4,624,341 369,948

Higher Risk Assets 154,629 150,984 220,169 220,169 17,614

Specialised Financing/Investment - - - - -

Equity Exposure 19,902 19,902 19,902 19,902 1,592

Securitisation Exposure - - - - -

Defaulted Exposures 1,334,870 1,300,445 1,831,991 1,831,991 146,561

Total for On-Balance Sheet Exposures 69,605,549 68,162,534 41,537,072 41,537,072 3,322,966

Off Balance Sheet Exposures

Off Balance Sheet Exposures other than OTC derivatives or credit

derivatives 5,204,320 4,834,871 4,003,060 4,003,060 320,245

Defaulted Exposures 99,276 95,537 106,505 106,505 8,520

Total for Off-Balance Sheet Exposures 5,303,596 4,930,408 4,109,565 4,109,565 328,765

Total for On and Off-Balance Sheet Exposures 74,909,145 73,092,942 45,646,637 45,646,637 3,651,731

2 MARKET RISK Long Position Short Position

Interest Rate Risk 16,350,475 16,245,991 104,485 244,934 - 19,595

Equity Position Risk 29,617 65 29,552 81,448 - 6,516

Foreign Currency Risk 3,655,317 3,594,267 61,050 95,025 - 7,602

Option Risk - 12,045,000 (12,045,000) 6,304 - 504

3 OPERATIONAL RISK

Operational Risk 2,777,063 222,165

48,851,411 45,646,637 3,908,113

PSIA "Profit Sharing Investment Account"

OTC "Over The Counter"

Total RWA and Capital Requirements

The Group and the Bank have adopted Basel II - Risk Weighted Assets computation under the BNM's Risk-Weighted Capital Adequacy Framework with effect from 1 January 2008. The Group and the Bank have

adopted the Standardised Approach for credit risk and market risk, and Basic Indicator Approach for operation risk computation.

The following information concerning the Group and the Bank's risk exposures are disclosed as accompanying information to the annual report, and does not form part of the audited accounts.

7




Disclosure on Capital Adequacy under the Standardised Approach (RM'000)

Group

31.12.2017

Exposure Class

Gross

Exposures/EAD

before CRM

Net

Exposures/EAD

after CRM Risk Weighted Assets

Total Risk

Weighted Assets

after Effects of

PSIA

Minimum Capital

Requirements at

8%

1 CREDIT RISK


Corporates 28,576,002 27,630,803 21,935,287 21,935,287 1,754,823


Other Assets 3,583,287 3,952,097 1,305,763 1,305,763 104,461

Sovereigns/Central Banks 8,956,404 8,956,404 4,089 4,089 327





Higher Risk Assets 156,983 153,368 221,719 221,719 17,737


Equity Exposure 19,902 19,902 19,902 19,902 1,592






derivatives 5,499,135 5,186,859 4,354,651 4,354,651 348,373





Interest Rate Risk 14,710,576 14,794,357 (83,781) 307,912 - 24,633

Equity Position Risk 47,544 - 47,544 125,607 - 10,049

Foreign Currency Risk 4,073,979 3,942,827 131,152 170,515 - 13,641

3 OPERATIONAL RISK


48,424,206 45,275,347 3,873,938




8




Disclosure on Capital Adequacy under the Standardised Approach (RM'000) (continued)

Bank

30.6.2018

Exposure Class

Gross

Exposures/EAD

before CRM

Net

Exposures/EAD

after CRM

Risk Weighted

Assets

Total Risk

Weighted Assets

after Effects of

PSIA

Minimum Capital

Requirements at

8%

1 CREDIT RISK


Corporates 20,023,553 19,110,509 15,395,969 15,395,969 1,231,678


Other Assets 3,032,071 3,032,071 917,584 917,584 73,407

Sovereigns/Central Banks 3,321,154 3,321,154 - - -





Higher Risk Assets 6,170 6,169 9,254 9,254 740


Equity Exposure 19,902 19,902 19,902 19,902 1,592






derivatives 3,211,722 3,183,388 2,640,649 2,640,649 211,252






Foreign Currency Risk 797,266 806,122 (8,855) 26,247 - 2,100

Option Risk - 12,045,000 (12,045,000) 6,304 - 504

3 OPERATIONAL RISK


32,287,303 30,170,624 2,582,985




9




Disclosure on Capital Adequacy under the Standardised Approach (RM'000) (continued)

Bank

31.12.2017

Exposure Class

Gross

Exposures/EAD

before CRM

Net

Exposures/EAD

after CRM Risk Weighted Assets

Total Risk

Weighted Assets

after Effects of

PSIA

Minimum Capital

Requirements at

8%

1 CREDIT RISK


Corporates 20,741,917 19,916,489 16,464,505 16,464,505 1,317,160


Other Assets 3,053,336 3,053,336 920,921 920,921 73,674

Sovereigns/Central Banks 3,545,364 3,545,364 - - -





Higher Risk Assets 7,670 7,670 11,505 11,505 920


Equity Exposure 19,902 19,902 19,902 19,902 1,592






derivatives 3,785,108 3,619,260 3,241,237 3,241,237 259,299






Foreign Currency Risk 28,789 30,323 (1,534) 30,323 - 2,426

3 OPERATIONAL RISK


34,911,633 32,752,159 2,792,931




10




Disclosure on Capital Adequacy under the Standardised Approach (continued)

Market risk is defined as changes in the market value of a trading or investment position arising from movements in market factors such as interest/profit rate, foreign exchange rates and implied volatility rates.

The Group and the Bank’s Capital-at-Risk ('CaR') is defined as the amount of the Group and the Bank’s capital that is exposed to the risk of unexpected losses arising particularly from movements in interest/profit

and foreign exchange rates. A CaR reference threshold is set as a management trigger to ensure that the Group and the Bank’s capital adequacy are not impinged upon in the event of adverse market movements.

The Group and the Bank currently adopt BNM’s Standardised Approach for the computation of market risk capital charges. The market risk capital charge addresses among others, capital requirement for market

risk which includes the interest/profit rate risk in the Group and the Bank's Trading Book as well as foreign exchange risk in the Trading and Banking Books.

The computation of market risk capital charge covers the following outstanding financial instruments:

a) Foreign Exchange ('FX')

b) Interest Rate Swap ('IRS')

c) Cross Currency Swap ('CCS')

d) Fixed Income Instruments (i.e. Corporate Bonds / Sukuk and Government Securities)

e) FX Options

The Bank’s Trading Book Policy Statement stipulates the policies and procedures for including or excluding exposures from the Trading Book for the purpose of calculating regulatory market risk capital.

11

Company No: 25046 T Appendix II



Disclosure on Credit Risk: Disclosures on Risk Weights under the Standardised Approach (RM'000)

Group

30.6.2018

Risk Weights Sovereigns &

Central Banks PSEs

Banks, MDBs

and FDIs

Insurance

Companies,

Securities

Firms & Fund

Managers

Corporates Regulatory

Retail

Residential

Mortgages

Higher Risk

Assets Other Assets

Specialised

Financing

/Investment

Securitisation Equity

Total

Exposure after

Netting &

Credit Risk

Mitigation

Total Risk

Weighted

Assets

0% 9,442,555 - 194,202 - 3,276,453 - - - 2,149,879 - - - 15,063,089 -

10% - - - - - - - - - - - - - -

20% 110,651 13 2,126,339 29,849 3,667,705 663 - - 457,258 - - - 6,392,478 1,278,496

35% - - - - - - 5,672,520 - - - - - 5,672,520 1,985,382

50% - - 184,845 - 149,148 8,092 963,082 8,629 - - - - 1,313,796 656,898

75% - - - - - 14,185,840 39,470 - - - - - 14,225,310 10,668,982

90% - - - - - - - - - - - - - -

100% - - 14,888 226,281 25,109,594 210,997 2,442,839 - 1,138,988 - - 19,902 29,163,489 29,163,489

110% - - - - - - - - - - - - - -

125% - - - - - - - - - - - - - -

135% - - - - - - - - - - - - - -

150% - - - - 883,193 81,554 145,050 152,463 - - - - 1,262,260 1,893,390

270% - - - - - - - - - - - - - -

350% - - - - - - - - - - - - - -

400% - - - - - - - - - - - - - -

625% - - - - - - - - - - - - - -

938% - - - - - - - - - - - - - -

1250% - - - - - - - - - - - - - -

Average Risk

Weight - - -

Deduction

from Capital

Base - - - - - - - - - - - - -

PSE "Public Sector Entities"

MDB "Multilateral Development Banks"

FDI "Financial Development Institutions"

Exposures after Netting and Credit Risk Mitigation

12




Disclosure on Credit Risk: Disclosures on Risk Weights under the Standardised Approach (RM'000) (continued)

Group

31.12.2017


Central Banks PSEs

Banks, MDBs

and FDIs

Insurance

Companies,

Securities

Firms & Fund

Managers


Retail

Residential

Mortgages

Higher Risk

Assets Other Assets

Specialised

Financing

/Investment


Total Exposure

after Netting &

Credit Risk

Mitigation

Total Risk

Weighted

Assets

0% 8,992,659 - 195,548 - 2,471,302 - - - 2,054,515 - - - 13,714,024 -

10% - - - - - - - - - - - - - -

20% 80,822 10 1,823,673 29,852 4,176,522 468 - - 739,775 - - - 6,851,122 1,370,224

35% - - - - - - 6,297,954 - - - - - 6,297,954 2,204,284

50% - - 1,274,670 - 162,676 4,033 954,954 7,297 - - - - 2,403,630 1,201,815

75% - - - - - 14,013,355 10,356 - - - - - 14,023,711 10,517,784

90% - - - - - - - - - - - - - -

100% - - 12,596 307,625 24,773,971 179,489 809,753 2,072 1,157,808 - - 19,902 27,263,216 27,263,216

110% - - - - - - - - - - - - - -

125% - - - - - - - - - - - - - -

135% - - - - - - - - - - - - - -

150% - - - - 1,422,972 110,104 126,997 151,944 - - - - 1,812,017 2,718,023

270% - - - - - - - - - - - - - -

350% - - - - - - - - - - - - - -

400% - - - - - - - - - - - - - -

625% - - - - - - - - - - - - - -

938% - - - - - - - - - - - - - -

1250% - - - - - - - - - - - - - -

Average Risk

Weight - - -

Deduction

from Capital

Base - - - - - - - - - - - - -





13





Bank

30.6.2018


Central Banks PSEs

Banks, MDBs

and FDIs

Insurance

Companies,

Securities

Firms & Fund

Managers


Retail

Residential

Mortgages

Higher Risk

Assets Other Assets

Specialised

Financing

/Investment


Total

Exposure after

Netting &

Credit Risk

Mitigation

Total Risk

Weighted

Assets

0% 3,321,154 - 174,468 - 2,548,619 - - - 1,606,012 - - - 7,650,253 -

10% - - - - - - - - - - - - - -

20% 52,272 13 1,527,674 29,849 1,749,988 663 - - 635,594 - - - 3,996,053 799,211

35% - - - - - - 2,367,209 - - - - - 2,367,209 828,523

50% - - 1,171,764 - 40,689 7,652 267,356 - - - - - 1,487,461 743,730

75% - - - - - 9,555,238 33,753 - - - - - 9,588,991 7,191,743

90% - - - - - - - - - - - - - -

100% - - 13,219 224,715 17,510,551 201,844 534,160 - 790,466 - - 19,902 19,294,857 19,294,857

110% - - - - - - - - - - - - - -

125% - - - - - - - - - - - - - -

135% - - - - - - - - - - - - - -

150% - - - - 703,888 74,180 84,185 12,787 - - - - 875,040 1,312,560

270% - - - - - - - - - - - - - -

350% - - - - - - - - - - - - - -

400% - - - - - - - - - - - - - -

625% - - - - - - - - - - - - - -

938% - - - - - - - - - - - - - -

1250% - - - - - - - - - - - - - -

Average Risk

Weight - - -

Deduction

from Capital

Base - - - - - - - - - - - - -





14





Bank

31.12.2017


Central Banks PSEs

Banks, MDBs

and FDIs

Insurance

Companies,

Securities

Firms & Fund

Managers


Retail

Residential

Mortgages

Higher Risk

Assets Other Assets

Specialised

Financing

/Investment


Total Exposure

after Netting &

Credit Risk

Mitigation

Total Risk

Weighted

Assets

0% 3,549,934 - 175,762 - 1,838,464 - - - 1,608,481 - - - 7,172,641 -

10% - - - - - - - - - - - - - -

20% 12,765 10 2,001,807 29,852 2,051,055 468 - - 654,918 - - - 4,750,875 950,175

35% - - - - - - 2,854,066 - - - - - 2,854,066 998,923

50% - - 1,254,192 - 42,403 1,478 218,024 - - - - - 1,516,097 758,048

75% - - - - - 9,736,246 10,211 - - - - - 9,746,457 7,309,843

90% - - - - - - - - - - - - - -

100% - - 12,596 301,112 19,026,131 172,432 179,939 - 789,937 - - 19,902 20,502,049 20,502,049

110% - - - - - - - - - - - - - -

125% - - - - - - - - - - - - - -

135% - - - - - - - - - - - - - -

150% - - - - 1,294,951 102,455 76,890 14,451 - - - - 1,488,747 2,233,120

270% - - - - - - - - - - - - - -

350% - - - - - - - - - - - - - -

400% - - - - - - - - - - - - - -

625% - - - - - - - - - - - - - -

938% - - - - - - - - - - - - - -

1250% - - - - - - - - - - - - - -

Average Risk

Weight - - -

Deduction

from Capital

Base - - - - - - - - - - - - -





15

Company No: 25046 T Appendix III



(i) Disclosures on Rated Exposures according to Ratings by ECAIs (RM'000)

Group

30.6.2018

Moodys Aaa to Aa3 A1 to A3 Baa1 to Ba3 B1 to C Unrated

S&P AAA to AA- A+ to A- BBB+ to BB- B+ to D Unrated

Exposure Class Fitch AAA to AA- A+ to A- BBB+ to BB- B+ to D Unrated

RAM AAA to AA3 A to A3 BBB1 to BB3 B to D Unrated

MARC AAA to AA- A+ to A- BBB+ to BB- B+ to D Unrated

Rating &

Investment Inc AAA to AA- A+ to A- BBB+ to BB- B+ to D Unrated

On and Off-Balance-Sheet Exposures

Credit Exposures (using Corporate Risk Weights)

Public Sector Entities (applicable for entities risk weighted

based on their external ratings as corporates) - - - - 28

Insurance Cos, Securities Firms & Fund Managers - - - - 256,322

Corporates 1,285,176 1,504,933 55,869 - 31,292,364

Total 1,285,176 1,504,933 55,869 - 31,548,714

Moodys P-1 P-2 P-3 Others Unrated

S&P A-1 A-2 A-3 Others Unrated

Exposure Class Fitch F1+, F1 F2 F3 B to D Unrated

RAM P-1 P-2 P-3 NP Unrated

MARC MARC-1 MARC-2 MARC-3- MARC-4 Unrated

Rating &

Investment Inc a-1+, a-1 a-2 a-3 b, c Unrated


Banks, MDBs and FDIs - - - - -

Rated Credit Exposures (using Corporate Risk Weights)


based on their external ratings as corporates) - - - - -

Insurance Cos, Securities Firms & Fund Managers - - - - -

Corporates - - - - -

Total - - - - -

Ratings of Corporate by Approved ECAIs

Short term Ratings of Banking Institutions and Corporate by Approved ECAIs

16




(i) Disclosures on Rated Exposures according to Ratings by ECAIs (RM'000)(continued)

Group

31.12.2017






Rating & Investment

Inc AAA to AA- A+ to A- BBB+ to BB- B+ to D Unrated






Corporates 3,188,098 92,068 130,461 - 30,670,285

Total 3,188,098 92,068 130,461 - 31,007,978






Rating & Investment

Inc a-1+, a-1 a-2 a-3 b, c Unrated








Total - - - - -



17




(i) Disclosures on Rated Exposures according to Ratings by ECAIs (RM'000) (continued)

Bank

30.6.2018






Rating &

Investment Inc AAA to AA- A+ to A- BBB+ to BB- B+ to D Unrated






Corporates 1,074,340 29,828 48,321 - 22,355,900

Total 1,074,340 29,828 48,321 - 22,610,684






Rating &

Investment Inc a-1+, a-1 a-2 a-3 b, c Unrated








Total - - - - -



18




(i) Disclosures on Rated Exposures according to Ratings by ECAIs (RM'000) (continued)

Bank

31.12.2017






Rating & Investment

Inc AAA to AA- A+ to A- BBB+ to BB- B+ to D Unrated






Corporates 1,363,196 33,660 28,819 - 23,837,140

Total 1,363,196 33,660 28,819 - 24,168,319






Rating & Investment

Inc a-1+, a-1 a-2 a-3 b, c Unrated








Total - - - - -



19




(ii) Disclosures on Rated Exposures according to Ratings by ECAIs (RM'000) (continued)

Group

30.6.2018

Moodys Aaa to Aa3 A1 to A3 Baa1 to Baa3 Ba1 to B3 Caa1 to C Unrated

S&P AAA to AA- A+ to A- BBB+ to BBB- BB+ to B- CCC+ to D Unrated

Exposure Class Fitch AAA to AA- A+ to A- BBB+ to BBB- BB+ to B- CCC+ to D Unrated

Rating &

Investment Inc AAA to AA- A+ to A- BBB+ to BBB- BB+ to B- CCC+ to C Unrated


Sovereigns and Central Banks 3,118,083 6,435,122 - - - -

Total 3,118,083 6,435,122 - - - -




RAM AAA to AA3- A1 to A3 BBB1+ to BBB3 BB1 to B3 C1+ to D Unrated

MARC AAA to AA- A+ to A- BBB+ to BBB- BB+ to B- C+ to D Unrated

Rating &



Banks, MDBs and FDIs 1,847,419 38,457 13,063 14,459 - 606,878

Total 1,847,419 38,457 13,063 14,459 - 606,878

Ratings of Sovereigns and Central Banks by Approved ECAIs

Ratings of Banking Institutions by Approved ECAIs

20





Group

31.12.2017




Rating & Investment

Inc AAA to AA- A+ to A- BBB+ to BBB- BB+ to B- CCC+ to C Unrated


Sovereigns and Central Banks 2,756,528 6,294,245 - - - 22,707

Total 2,756,528 6,294,245 - - - 22,707






Rating & Investment



Banks, MDBs and FDIs 1,589,991 36,479 17,335 12,596 - 1,650,047

Total 1,589,991 36,479 17,335 12,596 - 1,650,047



21





Bank

30.6.2018




Rating &



Sovereigns and Central Banks - 3,373,426 - - - -

Total - 3,373,426 - - - -






Rating &




Total 1,241,343 23,363 12,234 14,459 - 1,595,726



22





Bank

31.12.2017




Rating & Investment



Sovereigns and Central Banks - 3,562,700 - - - -

Total - 3,562,700 - - - -






Rating & Investment




Total 1,577,899 36,479 17,335 12,597 - 1,800,047



23

Company No: 25046 T Appendix IV



a) Disclosures on Credit Risk Mitigation (RM'000)

Group

30.6.2018

Exposures Exposures Exposures Exposures

before Covered by Covered by Covered by

Exposure Class CRM Guarantees Eligible Other

/Credit Financial Eligible

Derivatives Collateral Collateral

Credit Risk

On-Balance Sheet Exposures

Sovereigns/Central Banks 9,408,334 - - -

Banks, Development Financial Institutions & MDBs 2,263,125 - - -

Insurance Cos, Securities Firms & Fund Managers 226,608 - 191 -

Corporates 29,222,852 668,118 1,015,242 -

Regulatory Retail 14,792,792 583 353,141 -

Residential Mortgages 8,436,311 - 31,606 -

Higher Risk Assets 154,629 6,307 3,655 -

Other Assets 3,746,126 - - -

Equity Exposure 19,902 - - -

Defaulted Exposures 1,334,870 80 38,163 -

Total for On-Balance Sheet Exposures 69,605,549 675,088 1,441,998 -

Off-Balance Sheet Exposures

Off-Balance Sheet exposures other than OTC derivatives or credit derivatives 5,204,320 - 15 -

Defaulted Exposures 99,276 - - -

Total for Off-Balance Sheet Exposures 5,303,596 - 15 -

Total On and Off-Balance Sheet Exposures 74,909,145 675,088 1,442,013 -

24




a) Disclosures on Credit Risk Mitigation (RM'000)(continued)

Group

31.12.2017






Credit Risk





Corporates 28,576,002 63,490 1,031,309 -



Higher Risk Assets 156,983 7,297 3,615 -

Other Assets 3,583,287 - - -









25




a) Disclosures on Credit Risk Mitigation (RM'000) (continued)

Bank

30.6.2018






Credit Risk





Corporates 20,023,553 602,592 917,748 -



Higher Risk Assets 6,170 - - -

Other Assets 3,032,071 - - -









26




a) Disclosures on Credit Risk Mitigation (RM'000) (continued)

Bank

31.12.2017






Credit Risk





Corporates 20,741,917 1,625 967,651 -



Higher Risk Assets 7,670 - - -

Other Assets 3,053,336 - - -









27




b) Disclosure on Off-Balance Sheet and Counterparty Credit Risk (RM'000)

Group

30.6.2018

Direct Credit Substitutes 666,057 666,057 597,005

Transaction related contingent Items 2,078,368 1,039,184 974,672

Short Term Self Liquidating trade related contingencies 354,321 70,864 38,926

Foreign exchange related contracts

One year or less 11,058,893 126,941 259,062 106,334

Over one year to five years 239,747 8,670 26,425 14,575

Over five years - - - -

Interest/Profit rate related contracts

One year or less 966,000 1,864 1,840 509

Over one year to five years 2,886,148 5,585 81,655 20,888

Over five years 1,145,000 12,308 69,369 20,602

2,947,061 1,473,531 1,071,473

7,641,531 1,528,306 1,199,382

664,977 - -

436,523 87,304 65,199

Total 31,084,626 155,368 5,303,597 4,109,565

Description Principal Amount

Positive Fair Value

of Derivative

Contracts

Credit Equivalent

Amount

Risk Weighted

Amount

Other commitments, such as formal standby facilities and credit lines, with an original maturity of

over one year


up to one year

Any commitments that are unconditionally cancelled at any time by the bank without prior notice or

that effectively provide for automatic cancellation due to deterioration in a borrower's

creditworthiness

Unutilised credit card lines

Counterparty Credit Risk is the risk that the counterparty to a transaction could default before the final settlement of the transaction's cashflows. An economic loss could occur if the

transactions with the counterparty has a positive economic value for the Bank at the time of default.

In contrast to the exposure to credit risk through a loan, where the exposure to credit risk is unilateral and only the lending bank faces the risk of loss, Counterparty Credit Risk creates a

bilateral risk of loss where the market value for many types of transactions can be positive or negative to either counterparty.

In respect of off-balance sheet items, the credit risk inherent in each off-balance sheet instrument is translated into an on-balance sheet exposure equivalent (credit equivalent) by multiplying

the nominal principal amount with a credit conversion factor ('CCF') as prescribed by the Standardised Approach under the Risk Weighted Capital Adequacy Framework. The resulting

amount is then weighted against the risk weight of the counterparty. In addition, counterparty risk weights for over-the-counter ('OTC') derivative transactions will be determined based on

the external rating of the counterparty and will not be subject to any specific ceiling.

28




b) Disclosure on Off Balance Sheet and Counterparty Credit Risk (RM'000)

Group

31.12.2017


Transaction related contingent Items 2,091,113 1,045,556 978,111



One year or less 12,007,480 140,577 318,668 119,636


Over five years 42,485 2,332 9,965 1,993


One year or less 886,000 2,715 1,781 428

Over one year to five years 2,216,148 4,616 53,760 14,545

Over five years 1,115,000 12,625 73,210 20,171

3,255,925 1,627,962 1,242,686

8,349,806 1,669,961 1,428,380

571,760 - -

364,163 72,833 54,298

Total 32,285,564 173,125 5,568,547 4,449,974

Description Principal Amount


Credit Equivalent

Amount

Positive Fair Value

of Derivative

Contracts



creditworthiness


over one year


up to one year

Risk Weighted

Amount

29




b) Disclosure on Off Balance Sheet and Counterparty Credit Risk (RM'000) (continued)

Bank

30.6.2018


Transaction related contingent Items 1,752,683 876,341 812,438



One year or less 7,358,526 85,437 179,176 60,836

Over one year to five years 96,030 349 8,643 4,321

Over five years - - - -


One year or less 766,000 1,814 1,414 457


Over five years 1,115,000 12,228 69,289 20,586

781,114 390,557 356,541

6,097,997 1,219,599 1,005,356

276,185 - -

397,629 79,526 59,365

Total 19,794,808 103,613 3,276,508 2,696,288


up to one year



creditworthiness


Principal AmountCredit Equivalent

Amount


over one year

Positive Fair Value

of Derivative

Contracts

DescriptionRisk Weighted

Amount

30




b) Disclosure on Off Balance Sheet and Counterparty Credit Risk (RM'000) (continued)

Bank

31.12.2017


Transaction related contingent Items 1,797,759 898,879 834,003



One year or less 7,587,059 99,240 220,154 74,011

Over one year to five years 97,051 321 8,699 4,377

Over five years 42,485 2,332 9,965 1,993


One year or less 736,000 2,715 1,761 488


Over five years 1,115,000 12,625 73,210 20,171

1,598,619 799,309 760,869

6,707,971 1,341,594 1,209,740

136,844 - -

363,825 72,765 54,248

Total 21,411,929 120,819 3,851,772 3,332,950


up to one year

Description


over one year




creditworthiness

Risk Weighted

AmountPrincipal Amount

Credit Equivalent

Amount

Positive Fair Value

of Derivative

Contracts

31




c) Disclosures on Market Risk - Interest/profit Rate Risk/Rate of Return Risk in the Banking Book

30.6.2018

Type of Currency (RM million)

Increase/(Decline) Increase/(Decline) Increase/(Decline) Increase/(Decline)

in Earnings in Economic Value in Earnings in Economic Value

Ringgit Malaysia (14.5) 272.7 (47.5) 312.0

US Dollar 5.3 4.7 4.2 6.1

Euro (0.5) 2.1 (0.5) 2.1

Australian Dollar (0.1) 0.8 (0.1) 0.7

Singapore Dollar - (2.8) - 0.1

Others (#) (0.2) - (0.1) -

Total (10.0) 277.5 (44.0) 321.0

# Others comprise of CNH, NZD, HKD and THB currencies where the amount of each currency is relatively small.

(100 basis points) Parallel Shift

Impact on Positions Impact on Positions

Group Bank


Interest/profit rate risk is the risk to earnings and capital arising from exposure to adverse movements in interest/profit rates mainly due to mismatches in timing repricing of assets and liabilities. These mismatches are actively managed from an earnings and economic value perspective. The objective of interest/profit rate risk management is to achieve a stable and sustainable net interest/profit income from the following perspectives: (1) Next 12 months' Earnings - Interest/profit rate risk from the earnings perspective is the impact based on changes to the net interest/profit income ('NII') over the next 12 months. This risk is measured through sensitivity analysis including the application of an instantaneous 100 basis point parallel shock in interest/profit rates across the yield curve. (2) Economic Value - Measuring the change in the economic value of equity ('EVE') is an assessment of the long term impact to the Group and the Bank's capital. This is assessed through the application of relevant duration factors to capture the net economic value impact over the long term or total life of all balance sheet assets and liabilities to adverse changes in interest/profit rates. Interest/profit rate risk thresholds are established in line with the Group and the Bank's strategy and risk appetite. These thresholds are reviewed regularly to ensure relevance in the context of prevailing market conditions.

32




c) Disclosures on Market Risk - Interest Rate Risk/Rate of Return Risk in the Banking Book (continued)

31.12.2017

Type of Currency (RM million)

Increase/(Decline) Increase/(Decline) Increase/(Decline) Increase/(Decline)

in Earnings in Economic Value in Earnings in Economic Value

Ringgit Malaysia (45.6) 676.2 (12.6) 368.9

US Dollar (4.5) 36.1 (3.1) 33.3

Euro (1.1) 9.0 (1.1) 9.0

Great Britain Pound (0.2) - (0.2) -

Australian Dollar (1.8) (0.2) (1.8) (0.2)

Singapore Dollar (0.2) 3.4 (0.2) 0.1

Others (#) (1.3) - (0.8) (0.1)

Total (54.7) 724.5 (19.8) 411.0

# Others comprise of CNH, NZD, HKD and AED currencies where the amount of each currency is relatively small.


Group


Bank

Impact on Positions Impact on Positions

33

Documents

BASEL II PILLAR 3 DISCLOSURES As at 30th June 2018 · 1.2 Scope of Application The Capital Adequacy Framework (Basel II – Risk-Weighted Assets) issued by Bank Negara Malaysia ('BNM'),