Basel III Computation of Liquidity Coverage Ratio – All Currencies

Amount (LKR ’000)
31 December 2023 31 December 2022
Item Total
un-weighted
value
Total
weighted
value
Total
un-weighted
value
Total
weighted
value
Total stock of High-Quality Liquid Assets (HQLA) 152,762,344 151,562,260 102,328,523 101,602,039
Total adjusted level 1A assets 148,747,554 148,747,554 99,703,368 99,703,368
Level 1 assets 148,747,554 148,747,554 99,703,368 99,703,368
Total adjusted level 2A assets 2,306,603 1,960,612 1,674,550 1,423,368
Level 2A assets 2,306,603 1,960,612 1,674,550 1,423,368
Total adjusted level 2B assets 1,708,187 854,094 950,605 475,303
Level 2B assets 1,708,187 854,094 950,605 475,303
Total cash outflows 584,446,642 89,080,919 504,176,302 89,429,232
Deposits 300,166,130 26,997,638 272,209,694 24,203,659
Unsecured wholesale funding 109,168,821 53,262,615 106,359,474 53,600,766
Secured funding transactions 43,752,861 4,092,627
Undrawn portion of committed (irrevocable)
facilities and other contingent funding obligations
130,623,427 8,085,263 117,507,661 7,617,961
Additional requirements 735,403 735,403 4,006,846 4,006,846
Total cash inflows 77,169,785 63,713,421 54,047,087 39,216,667
Maturing secured lending transactions backed by collateral 26,780,604 25,793,392 22,184,855 21,240,548
Committed facilities
Other inflows by counterparty which are maturing within 30 Days 46,800,877 37,755,736 24,533,688 17,898,106
Operational deposits 3,259,718 7,172,519
Other cash inflows 328,586 164,293 156,025 78,013
Liquidity coverage Ratio (%) (Stock of high quality liquid assets/ total net cash outflows over the next 30 calendar days) *100 597.47 202.34

Basel III Computation of Liquidity Coverage Ratio – LKR only

Amount (LKR’000)
31 December 2023 31 December 2022
Item Total
un-weighted
value
Total
weighted
value
Total
un-weighted
value
Total
weighted
value
Total stock of High-Quality Liquid Assets (HQLA) 150,243,525 149,389,432 100,501,922 100,026,620
Total adjusted level 1A assets 148,535,338 148,535,338 99,551,317 99,551,317
Level 1 assets 148,535,338 148,535,338 99,551,317 99,551,317
Total adjusted Level 2A assets
Level 2A assets
Total adjusted level 2B assets 1,708,187 854,094 950,605 475,303
Level 2B assets 1,708,187 854,094 950,605 475,303
Total cash outflows 464,356,185 58,215,737 407,234,696 61,192,077
Deposits 264,288,518 23,433,959 242,096,752 21,192,364
Unsecured wholesale funding 55,509,591 28,093,184 62,200,762 30,953,525
Secured funding transactions 43,752,860 4,092,627
Undrawn portion of committed (irrevocable) facilities and other
contingent funding obligations
100,069,813 5,953,191 95,675,249 5,876,882
Additional requirements 735,403 735,403 3,169,306 3,169,306
Total cash inflows 46,552,914 37,336,837 32,372,540 26,682,615
Maturing secured lending transactions backed by collateral 24,551,225 23,564,013 20,794,949 19,850,642
Committed facilities
Other inflows by counterparty which are maturing within 30 Days 21,673,103 13,608,531 11,421,566 6,753,960
Operational deposits
Other cash inflows 328,586 164,293 156,025 78,013
Liquidity coverage Ratio (%) (Stock of high quality liquid assets/ total net cash outflows over the next 30 calendar days) *100 715.50 289.85

Maturity of Assets and Liabilities

As at 31 December 2023 Up to 1 month 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 14,478,468 14,478,468
Balances with Central Bank of Sri Lanka 2,107,776 2,107,776
Placement with banks 29,138,098 29,138,098
Derivative financial assets 98,653 810,321 796,764 1,651,425 7,010,475 6,131,533 16,499,171
Financial assets measured at fair value through profit or loss 532,135 798 1,207,995 1,740,928
Financial assets at amortised cost – Loans to and receivables from other customers 48,084,553 54,748,269 40,674,588 21,241,905 122,647,623 25,580,497 35,790,031 348,767,466
Financial assets at amortised cost – Debt and other instruments 1,979,930 52,045 23,853,009 25,680,592 16,465,737 68,031,313
Financial assets measured at fair value through other comprehensive income 16,726,256 29,092,254 36,568,960 7,571,404 11,945,976 16,442,286 16,555,629 134,902,765
Other assets 2,825,314 548,088 232,347 20,066 22,622 19,002 6,902,111 10,569,550
Total financial assets 113,459,118 87,710,997 78,324,704 30,485,598 165,479,705 73,853,910 76,921,503 626,235,535
Financial liabilities
Due to banks 43,372,338 6,471,052 2,950,074 52,793,464
Derivative financial liabilities 147,240 234,413 381,653
Financial liabilities at amortised cost – Due to depositors 44,666,732 81,884,008 82,358,004 88,754,856 29,537,126 55,818,311 24,206,276 407,225,313
Financial liabilities at amortised cost – Due to other borrowers 3,229,347 9,886,030 3,949,723 7,610,382 22,284,106 21,277,149 3,785,997 72,022,734
Debt securities in issue 4,832,618 290,688 6,777,101 4,411,170 16,311,577
Other liabilities 2,714,034 884,053 68,956 141,728 519,793 370,474 867,269 5,566,307
Subordinated term debt 396,257 69,537 8,401,546 204,925 9,072,265
Total financial liabilities 94,129,691 104,588,431 89,617,445 96,576,503 67,519,672 77,670,859 33,270,712 563,373,313
Total net financial assets/(liabilities) 19,329,427 (16,877,434) (11,292,741) (66,090,905) 97,960,033 (3,816,949) 43,650,791 62,862,222
Contingencies
Guarantees 18,942 27,161 151,660 6,889 6,506 5,018,307 2,797 5,232,262
Acceptance 2,615,760 2,403,046 607,234 53,625 77,310 7,500,795 13,257,770
Performance bonds 1,563,866 2,573,281 709,602 1,385,011 950,284 19,534 7,201,578
Forward contracts 7,243,553 16,137,790 2,068,220 4,221,152 17,717,145 16,546,837 63,934,697
Documentary credit 2,621,469 3,951,661 825,789 816,964 162,845 5,796,714 14,175,442
Total contingencies 14,063,590 25,092,939 4,362,505 6,483,641 18,914,090 34,882,187 2,797 103,801,749
Commitments
Commitments in ordinary course of business – Commitments for unutilised credit facilities 89,301,635 89,301,635
Capital commitments 889,386 889,386
Total commitments 90,191,021 90,191,021
Total commitments and contingencies 104,254,611 25,092,939 4,362,505 6,483,641 18,914,090 34,882,187 2,797 193,992,770
As at 31 December 2022 Up to 1 month 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 16,122,565 16,122,565
Balances with Central Bank of Sri Lanka 9,030,868 9,030,868
Placement with banks 11,202,407 4,022,285 15,224,692
Derivative financial assets 20,473,544 20,473,544
Financial assets measured at fair value through profit or loss 795,434 633,715 1,429,149
Financial assets at amortised cost – Loans to and receivables from other customers 23,967,594 44,360,180 31,882,504 46,264,751 96,627,094 56,313,580 69,656,327 369,072,030
Financial assets at amortised cost – Debt and other instruments 1,745,661 9,759,633 2,371,958 1,650,524 18,844,407 11,992,192 4,583,551 50,947,926
Financial assets measured at fair value through other comprehensive income 3,717,657 11,490,644 13,510,430 18,263,819 5,798,500 2,079,021 8,458,989 63,319,060
Other assets 2,070,333 19,592 91,545 111,576 5,274,666 104,057 133,195 7,804,964
Total financial assets 88,330,629 69,652,334 48,651,871 66,290,670 126,544,667 71,122,565 82,832,062 553,424,798
Financial liabilities
Due to banks 11,954,501 3,903,493 15,857,994
Derivative financial liabilities 84,670 84,670
Financial liabilities at amortised cost – Due to depositors 33,038,328 69,852,202 82,296,428 95,814,357 31,704,690 40,565,243 17,042,778 370,314,026
Financial liabilities at amortised cost – Due to other borrowers 1,862,870 2,700,393 2,555,979 7,533,527 27,331,823 25,833,178 13,327,922 81,145,692
Debt securities in issue 1,028,128 294,729 8,786,545 1,783,541 4,411,172 16,304,115
Other liabilities 5,783,555 362,616 75,273 129,041 518,832 425,091 820,236 8,114,644
Subordinated term debt 3,583,075 6,215,834 8,396,255 204,827 18,399,991
Total financial liabilities 52,723,924 81,429,907 85,222,409 109,692,759 76,738,145 68,811,880 35,602,108 510,221,132
Total net financial assets/(liabilities) 35,606,705 (11,777,573) (36,570,538) (43,402,089) 49,806,522 2,310,685 47,229,954 43,203,666
Contingencies
Guarantees 16,387,487 16,387,487
Acceptance 1,229,460 632,593 31,110 1,893,163
Performance bonds 7,748,815 7,748,815
Forward contracts 2,740,603 (5,688,538) (755,520) 2,472,326 20,540,444 21,712,235 8,458,978 49,480,528
Documentary credit 2,041,986 449,934 3,137,249 5,629,169
Total contingencies 26,876,905 (2,417,092) 327,007 5,640,685 20,540,444 21,712,235 8,458,978 81,139,162
Commitments
Commitments in ordinary course of business – Commitments for unutilised credit facilities 87,696,786 87,696,786
Capital commitments 293,579 1,000 1,980 296,559
Total commitments 87,990,365 1,000 1,980 87,993,345
Total commitments and contingencies 114,867,270 (2,416,092) 327,007 5,642,665 20,540,444 21,712,235 8,458,978 169,132,507

Maturity Gap Analysis of Foreign Currency Denominated Assets and Liabilities – USD

As at 31 December 2023 Up to 1 month 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 88,182 51,823 22,253 30,111 51,801 34,200 26,899 305,269
Total liabilities 21,800 66,700 57,338 113,435 85,318 74,311 21,607 440,509
Total net financial assets/(liabilities) 66,382 (14,877) (35,085) (83,324) (33,517) (40,111) 5,292 (135,240)
As at 31 December 2022 Up to 1
month
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 63,622 52,837 25,752 19,989 50,798 26,250 26,108 265,356
Total liabilities 28,949 40,466 31,110 84,920 76,282 74,921 37,952 374,600
Total net financial assets/(liabilities) 34,673 12,371 (5,358) (64,931) (25,484) (48,671) (11,844) (109,244)

Sensitivity of Financial Assets and Financial Liabilities

BANK
As at 31 December 2023
Up to 1
month
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 828,589 13,649,879 14,478,468
Balances with Central Bank of Sri Lanka 2,107,776 2,107,776
Placements with banks 28,583,114 74,161 480,823 29,138,098
Derivative financial assets 16,499,171 16,499,171
Financial assets measured at fair value through profit or loss 532,186 748 1,207,994 1,740,928
Financial assets at amortised cost – Loans to and receivables from other customers 117,771,062 49,406,263 22,906,727 27,649,675 23,576,099 38,290,720 43,767,384 25,399,536 348,767,466
Financial assets at amortised cost – Debt and other Instruments 4,276,077 244,290 21,364,617 25,680,592 16,465,737 68,031,313
Financial assets measured at fair value through other comprehensive income 16,776,751 28,142,777 37,518,437 7,571,405 11,945,975 16,442,286 16,505,134 134,902,765
Other assets 10,569,550 10,569,550
Total financial assets 163,959,516 81,899,278 61,201,640 35,221,828 56,886,691 80,413,598 60,233,121 86,419,863 626,235,535
Financial Liabilities
Due to banks 48,337,235 1,506,155 2,950,074 52,793,464
Derivative financial liabilities 381,653 381,653
Financial liabilities at amortised cost – Due to depositors 124,662,425 72,215,659 75,780,831 78,566,344 8,432,074 34,722,025 88,852 12,757,103 407,225,313
Financial liabilities at amortised cost – Due to other borrowers 13,739,264 4,496,986 6,580,264 22,336,315 21,288,244 3,581,661 72,022,734
Debt securities in issue 4,819,254 297,082 6,784,070 4,411,171 16,311,577
Other liabilities 5,566,306 5,566,306
Subordinated term debt 397,839 73,578 8,395,848 205,000 9,072,265
Total financial liabilities 172,999,660 92,678,171 83,524,973 85,220,186 45,948,307 56,215,269 8,081,684 18,705,062 563,373,312
Interest rate sensitivity gap (9,040,144) (10,778,893) (22,323,333) (49,998,358) 10,938,384 24,198,329 52,151,437 67,714,801
BANK
As at 31 December 2022
Up to 1 month 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 1,566,636 14,555,929 16,122,565
Balances with Central Bank of Sri Lanka 9,030,868 9,030,868
Placements with banks 13,018,678 2,206,014 15,224,692
Derivative financial assets 20,473,544 20,473,544
Financial assets measured at fair value through profit or loss 795,433 633,716 1,429,149
Financial assets at amortised cost – Loans to and receivables from banks
Financial assets at amortised cost – Loans to and receivables from other customers 139,846,895 95,477,247 31,372,076 35,969,173 26,025,656 20,603,728 8,175,011 11,602,244 369,072,030
Financial assets at amortised cost – Debt and other Instruments 1,745,943 9,889,773 2,339,275 1,650,345 18,746,848 11,992,192 4,583,550 50,947,926
Financial assets measured at fair value through other comprehensive income 3,797,959 11,490,644 13,510,430 18,263,819 5,783,110 2,080,095 8,393,003 63,319,060
Other assets 7,804,964 7,804,964
Total financial assets 159,976,111 119,063,678 48,017,214 55,883,337 50,555,614 34,676,015 12,758,561 72,494,268 553,424,798
Financial liabilities
Due to banks 13,763,582 2,094,412 15,857,994
Derivative financial liabilities 84,670 84,670
Financial liabilities at amortised cost – Due to depositors 88,920,831 62,265,263 77,026,884 89,260,266 17,039,675 25,900,229 59,916 9,840,962 370,314,026
Financial liabilities at amortised cost – Due to other borrowers 2,735,001 5,933,047 3,394,560 5,221,804 24,879,605 25,933,748 13,047,927 81,145,692
Debt securities in issue 1,007,125 296,990 8,804,760 1,784,070 4,411,170 16,304,115
Other liabilities 8,144,644 8,144,644
Subordinated term debt 3,567,232 6,223,229 8,404,530 205,000 18,399,991
Total financial liabilities 105,419,414 74,867,079 80,718,434 100,705,299 59,128,570 53,823,047 17,519,013 18,040,276 510,221,132
Interest rate sensitivity gap 54,556,697 44,196,599 (32,701,220) (44,821,962) (8,572,956) (19,147,032) (4,760,452) 54,453,992

Key Regulatory Ratios – Capital and Liquidity

Item 31 December 2023 31 December 2022
Bank Group Bank Group
Regulatory capital (LKR ’000)
Common equity Tier 1 43,632,490 47,491,186 36,818,873 36,381,997
Tier 1 capital 43,632,490 47,491,186 36,818,873 36,381,997
Total capital 51,304,883 55,171,249 48,004,800 47,574,241
Regulatory capital ratios (%)
Common equity Tier 1 capital ratio (Minimum requirement – 7.00%) 11.49 12.46 10.09 9.94
Tier 1 capital ratio (Minimum requirement – 8.50%) 11.49 12.46 10.09 9.94
Total capital ratio (Minimum requirement – 12.50%) 13.51 14.48 13.15 12.99
Computation of leverage ratio
Tier 1 capital 43,632,490 47,491,186 36,818,873 36,581,997
Total exposures 698,237,531 701,271,268 621,004,625 620,033,354
On-Balance sheet items
(excluding securities financing transactions, but including collateral) 604,132,634 607,166,371 527,140,776 526,169,505
Derivative exposures 72,602,003 72,602,003 68,966,546 68,966,546
Securities financing transaction exposures 1,974,425 1,974,425 2,467,643 2,467,643
Other off-balance sheet exposures 19,528,469 19,528,469 22,429,660 22,429,660
Basel III leverage ratio (%) (Tier 1/total exposure) 6.25 6.77 5.93 5.87
Computation of net stable funding ratio
Total available stable funding 448,446,564 N/A 438,464,296 N/A
Required stable funding – On balance sheet assets 358,713,526 N/A 341,855,944 N/A
Required stable funding – Off balance sheet items 1,181,497 N/A 4,629,317 N/A
Total required stable funding 359,895,023 N/A 346,485,261 N/A
Net stable funding ratio (%) 124.60 N/A 126.55 N/A

Basel III Computation of Capital Ratios

Item 31 December 2023 31 December 2022
Bank
LKR ’000
Group
LKR ’000
Bank
LKR ’000
Group
LKR ’000
Common equity Tier 1 (CET1) capital after adjustments 43,632,490 47,491,186 36,818,873 36,381,998
Common equity Tier 1 (CET1) capital 61,524,384 66,919,617 52,778,734 56,909,694
Equity capital (stated capital)/assigned capital 13,866,557 13,866,557 13,182,025 13,182,025
Reserve fund 3,239,968 3,239,968 2,874,968 2,874,968
Published retained earnings/(accumulated retained losses) 28,250,357 33,645,590 22,600,898 26,731,858
Published accumulated Other Comprehensive Income (OCI) 2,387,663 2,387,663 341,004 341,004
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 17,891,894 19,428,431 15,959,861 20,527,696
Goodwill (net) 156,226 156,226
Intangible assets (net) 1,926,287 1,945,030 2,198,042 2,218,827
Investment in capital of banks and financial institutions 10,114,730 11,468,498 9,204,363 13,589,480
Others 5,850,877 5,858,677 4,557,456 4,563,163
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 7,672,393 7,680,063 11,185,927 11,192,244
Tier 2 capital 7,672,393 7,680,063 11,185,927 11,192,244
Qualifying Tier 2 capital instruments 3,525,812 3,525,812 7,039,040 7,039,040
Revaluation gains
Loan loss provisions 4,146,581 4,154,251 4,146,887 4,153,204
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 43,632,490 47,491,186 36,818,873 36,381,998
Total Tier 1 capital 43,632,480 47,491,186 36,818,873 36,381,998
Total capital 51,304,883 55,171,249 48,004,800 47,574,242
Item 31 December 2023 31 December 2022
Bank Group Bank Group
Total risk weighted assets (RWA) (LKR ’000)
RWAs for credit risk 331,726,504 332,340,053 331,750,969 332,256,322
RWAs for market risk 14,061,808 14,061,808 8,391,648 8,391,648
RWAs for operational risk 33,950,018 34,615,939 24,960,190 25,491,894
CET1 capital ratio (including capital conservation buffer,
countercyclical capital buffer and surcharge on d-sibs) (%)
11.49 12.46 10.09 9.94
of which: capital conservation buffer (%) 2.50 2.50 2.50 2.50
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 (%) 11.49 12.46 10.09 9.94
Total capital ratio (including capital conservation buffer,
countercyclical capital buffer and surcharge on d-sibs) (%)
13.51 14.48 13.15 12.99
of which: capital conservation buffer (%) 2.50 2.50 2.50 2.50
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 2023
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)
%
Bank
Claims on Central Government and CBSL 216,734,658 54,041,682 216,734,658 3,636,421 975,484 0
Claims on foreign sovereigns and
their Central Banks
949,477 949,477 189,895 20
Claims on public sector entities 11,538,209 0
Claims on official entities and
multilateral development banks
0
Claims on banks exposures 28,526,230 24,111,920 28,526,230 490,765 11,097,901 38
Claims on financial institutions 8,408,608 8,408,608 4,238,544 50
Claims on corporates 159,844,091 31,226,911 132,593,701 13,697,160 143,434,881 98
Retail claims 85,575,300 8,282,737 85,575,300 5,834,983 68,309,130 75
Claims secured by residential property 10,244,972 10,244,972 3,585,740 35
Claims secured by commercial real estate 50,132,495 50,132,495 50,132,495 100
Non-performing assets (NPAs) (i) 36,160,648 36,160,648 42,336,825 117
Higher-risk categories 532,628 532,628 1,331,570 250
Cash items and other assets 17,231,388 87,463,894 17,231,388 6,094,039 35
Total 625,878,704 205,127,144 587,090,105 23,659,329 331,726,504
Group
Claims on Central Government and CBSL 216,797,386 54,041,682 216,797,386 3,636,421 975,484 0
Claims on foreign sovereigns and
their Central Banks
949,477 949,477 189,895 20
Claims on public sector entities 11,538,209 0
Claims on official entities and multilateral development banks 0
Claims on banks exposures 28,614,245 24,111,920 28,614,245 490,765 11,131,142 38
Claims on financial institutions 8,408,608 8,408,608 4,238,544 50
Claims on corporates 159,607,056 31,226,911 132,356,666 13,697,160 143,197,846 98
Retail claims 85,575,300 8,282,737 85,575,300 5,834,983 68,309,130 75
Claims secured by residential property 10,244,972 10,244,972 3,585,740 35
Claims secured by commercial real estate 50,132,495 50,132,495 50,132,495 100
Non-performing assets (NPAs) (i) 36,160,648 36,160,648 42,336,825 117
Higher-risk categories 585,274 585,274 1,463,184 250
Cash items and other assets 17,921,711 87,463,894 17,921,711 6,779,768 38
Total 626,535,381 205,127,144 587,746,782 23,659,329 332,340,053

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

BANK
Description
Amount (LKR ’000) as at 31 December 2023
(Post CCF and CRM)
Amount (LKR ’000) as at 31 December 2023
(Post CCF and CRM)
Asset classes \ Risk weight
0% 20% 35% 50% 60% 75% 100% 150% >150% Total credit exposures amount
Claims on Central Government and CBSL 215,493,661 4,877,418 220,371,079
Claims on foreign sovereigns and their Central Banks 949,477 949,477
Claims on public sector entities
Claims on official entities and multilateral development banks
Claims on banks exposures 16,329,962 9,710,248 2,976,785 29,016,995
Claims on financial institutions 502,117 7,536,740 369,751 8,408,608
Claims on corporates 1,674,847 3,032,204 141,583,810 146,290,861
Retail claims 10,877,745 2,248,693 393,040 41,068,954 36,821,851 91,410,283
Claims secured by residential property 10,244,972 10,244,972
Claims secured by commercial real estate 50,132,495 50,132,495
Non-performing assets (NPAs) 501,057 22,806,180 12,853,411 36,160,648
Higher-risk categories 532,628 532,628
Cash items and other assets 10,811,747 407,001 6,012,640 17,231,388
Total 237,183,153 26,989,515 10,244,972 20,780,249 393,040 41,068,954 260,703,512 12,853,411 532,628 610,749,434
GROUP
Description
Amount (LKR ’000) as at 31 December 2023
(Post CCF and CRM)
Amount (LKR ’000) as at 31 December 2023
(Post CCF and CRM)
Asset classes \ Risk weight
0% 20% 35% 50% 60% 75% 100% 150% >150% Total credit
exposures amount
Claims on Central Government and CBSL 215,556,389 4,877,418 220,433,807
Claims on foreign sovereigns and their Central Banks 949,477 949,477
Claims on public sector entities
Claims on official entities and multilateral development banks
Claims on banks exposures 16,365,852 9,762,373 2,976,785 29,105,010
Claims on financial institutions 502,117 7,536,740 369,751 8,408,608
Claims on corporates 1,674,847 3,032,204 141,346,775 146,053,826
Retail claims 10,877,745 2,248,693 393,040 41,068,954 36,821,851 91,410,283
Claims secured by residential property 10,244,972 10,244,972
Claims secured by commercial real estate 50,132,495 50,132,495
Non-performing assets (NPAs) 501,057 22,806,180 12,853,411 36,160,648
Higher-risk categories 585,274 585,274
Cash items and other assets 10,816,341 407,001 6,698,369 17,921,711
Total 237,250,475 27,025,405 10,244,972 20,832,374 393,040 41,068,954 261,152,206 12,853,411 585,274 611,406,111

Market Risk under Standardised Measurement Method

31 December 2023
RWA amount
Item Bank
LKR ’000
Group
LKR ’000
(a) RWA for interest rate risk 1,498,057 1,498,057
General interest rate risk 1,498,057 1,498,057
(i) Net long or short position 1,498,057 1,498,057
(ii) Horizontal disallowance
(iii) Vertical disallowance
(iv) Options
Specific interest rate risk
(b) RWA for equity 171,566 171,566
(i) General equity risk 91,971 91,971
(ii) Specific equity risk 79,595 79,595
(c) RWA for foreign exchange and gold 88,103 88,103
Capital charge for market risk [(a) + (b) + (c)] * CAR 14,061,808 14,061,808

Operational Risk Under Basic Indicator Approach/The Standardised Approach/The Alternative Standardised Approach

Business lines Capital charge factor Fixed factor Gross Income (LKR ’000)
as at 31 December
2023 2022 2021
BANK
The basic indicator approach 15% 37,008,546 30,754,817 17,111,682
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 4,243,752
The standardised approach
The alternative standardised approach
Risk weighted amount for operational risk (LKR ’000)
The basic indicator approach 33,950,018
The standardised approach
The alternative standardised approach
Group
The basic indicator approach 15% 37,679,641 31,340,647 17,519,559
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 4,326,992
The standardised approach
The alternative standardised approach
Risk weighted amount for operational risk (LKR ’000)
The basic indicator approach 34,615,939
The standardised approach
The alternative standardised approach

Main features of regulatory capital instruments

Description of the Capital Instrument (Bank Only) Stated Capital Subordinated Term-debt (2018 – Type B) Subordinated Term-debt (2020 – Type A) Subordinated Term-debt (2020 - Type B)
Issuer DFCC Bank PLC DFCC Bank PLC DFCC Bank PLC DFCC Bank PLC
Unique Identifier
(e.g., ISIN or Bloomberg identifier for private placement)
LK0055N00000 C-2394 C-2458 C-2457
Governing Law(s) of the Instrument Companies Act, No. 07 of 2007, Colombo Stock Exchange Regulations
Original date of issuance N/A 26 March 2018 23 October 2020 23 October 2020
Par value of instrument (LKR) 100 100 100
Perpetual or dated Perpetual Dated Dated Dated
Original maturity date, if applicable N/A 29th March 2025 23 October 2025 23 October 2027
Amount recognised in regulatory capital
(in LKR ’000 as at 31 December 2023)
13,866,557 1,634,612 1,727,200 164,000
Accounting classification (Equity/liability) Equity Liability Liability Liability
Issuer call subject to prior supervisory approval
Optional call date, contingent call dates and redemption
amount (LKR ’000)
N/A N/A N/A N/A
Subsequent call dates, if applicable N/A N/A N/A N/A
Coupons/dividends
Fixed or floating dividend/coupon Floating dividend Fixed coupon Fixed coupon Fixed coupon
Coupon rate and any related index (%) N/A 13.00% p.a 9.00% p.a 9.25% p.a
Non-cumulative or cumulative Non-cumulative Non-Cumulative Non-Cumulative Non-Cumulative
Convertible or non-convertible Non-convertible Convertible Convertible Convertible
If Convertible, conversion trigger (s) N/A Determined by and at the sole discretion of the Monetary Board of the Central Bank of Sri Lanka, and is defined in the Banking Act Direction No. 1 of 2016 Determined by and at the sole discretion of the Monetary Board of the Central Bank of Sri Lanka, and is defined in the Banking Act Direction No. 1 of 2016 Determined by and at the sole discretion of the Monetary Board of the Central Bank of Sri Lanka, and is defined in the Banking Act Direction No. 1 of 2016
If Convertible, fully or partially N/A Fully Fully Fully
If Convertible, mandatory or optional N/A Mandatory Mandatory Mandatory
If Convertible, conversion rate N/A Based on the simple average of the daily Volume Weighted Average Price (VWAP) of an ordinary voting shares during the three months (0-3) period, immediately preceding the date of the Trigger Event. Based on the simple average of the daily Volume Weighted Average Price (VWAP) of an ordinary voting shares during the three months (0-3) period, immediately preceding the date of the Trigger Event. Based on the simple average of the daily Volume Weighted Average Price (VWAP) of an ordinary voting shares during the three months (0-3) period, immediately preceding the date of the Trigger Event.