citibank berhad pillar 3 disclosure june 2019 contents page no · contents page no 1. introduction...

Citibank Berhad

(Company No. 297089-M)

(Incorporated in Malaysia)

1

Citibank Berhad

Pillar 3 Disclosure

June 2019

Contents Page No 1. Introduction 3

2. Capital Adequacy 4

3. Capital Structure 11

4. Credit Risk 12

5. Securitisation 37

6. Equity Exposures in the Banking Book 37

7. Interest Rate Risk/Rate of Return Risk in the

Banking Book (IRR/RORBB)

37

Citibank Berhad



2

Attestation by CEO regarding Basel II – Pillar 3 Disclosure as at 30 June 2019

To the best of my knowledge I confirm that the Basel II – Pillar 3 disclosure for the financial year ended 30 June 2019 has

been prepared and submitted to Bank Negara Malaysia in accordance with the Guideline on Risk Weighted Capital Adequacy

Framework (Basel II) – Disclosure Requirements (Pillar 3).

________________________________

Lee Lung Nien, FCB

Chief Executive Officer

Citibank Berhad

Date: 31 July 2019

Citibank Berhad



3

1. Introduction

Citibank Berhad was incorporated in Malaysia on 22 April 1994 and has its registered office at 165 Jalan Ampang, 50450

Kuala Lumpur, Malaysia. The Bank is licensed under the Financial Services Act 2013 (“FSA”). The Bank also operates an

Islamic window under the Islamic Banking Scheme licensed under the Islamic Financial Services Act 2013 (“IFSA”).

The group organisation structure of Citibank Berhad is detailed below:-

*Principal activity is as a nominee company

The Group is comprised of the Bank (Citibank Berhad) and its subsidiary companies. The subsidiaries of Citibank Berhad are

consolidated using the purchase method of accounting. The basis of consolidation for financial accounting purposes is the

same as that used for regulatory purposes.

The Capital Requirements Directive (CRD), often referred to as Basel II, introduced the need for banks operating under this

new legislative framework to publish certain information relating to their risk management and capital adequacy. The

disclosure of this information is known as Pillar 3 and is designed to complement the other two pillars of the Basel II, namely

the minimum capital requirements (Pillar 1) and the supervisory review process (Pillar 2). The disclosure has been prepared

in accordance with the Guidelines for Risk Weighted Capital Adequacy Framework (Basel II) – Disclosure Requirements

(Pillar 3) (BNM/RH/GL 001-32) and Capital Adequacy Framework for Islamic Banks (CAFIB) – Disclosure Requirements

(Pillar 3) (BNM/RH/GL 007-18) issued by Bank Negara Malaysia (“BNM”).

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

Framework (Capital Components and Basel II - Risk-Weighted Assets) reissued on 2 February 2018 which became effective

immediately. The Group and the Bank have adopted the Standardised Approach for Credit Risk and Market Risk, and the

Basic Indicator Approach for Operational Risk. The minimum regulatory capital adequacy ratios before including capital

conservation buffer and countercyclical capital buffer ("CCyB") for CET 1 Capital ratio, Tier 1 Capital ratio and Total Capital

ratio are 4.5%, 6.0% and 8.0% respectively.

Banking institutions are also required to maintain a capital conservation buffer of up to 2.5% and a CCyB above the minimum

regulatory capital adequacy ratios above. Under the transition arrangements, capital conservation buffer will be phased-in as

follows:

Calendar Year Capital Conservation Buffer

2016 0.625%

2017 1.250%

2018 1.875%

2019 onwards 2.500%

Citibank Berhad

Citigroup Nominee (Malaysia) Sdn. Bhd.*

Citigroup Nominees (Tempatan) Sdn. Bhd.* Citigroup Nominees (Asing) Sdn. Bhd.*

100%

100%

100%

Citibank Berhad



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A CCyB is required to be maintained if this buffer is applied by regulators in countries which the Group and the Bank have

exposures to, determined based on the weighted average of prevailing CCyB rates applied in those jurisdictions.

There are no significant restrictions or major impediments on transfer of funds or regulatory capital within the Group.

There were no capital deficiencies in any of the subsidiaries of the Group as at the financial year end.

This Pillar 3 disclosure should be read in conjunction with Citibank Berhad’s Financial Statements for the corresponding

financial period.

2. Capital Adequacy

Capital Management & Internal Capital Adequacy Assessment Process

BNM's Risk-Weighted Capital Adequacy Framework (Basel II) - ICAAP (Pillar 2) guideline requires a banking institution to

have an Internal Capital Adequacy Assessment Process ("ICAAP"). ICAAP is the Bank's internal assessment of capital

adequacy, with due attention to material risks. The Bank has designed an ICAAP policy, which is an essential risk management

tool to assess the Bank's potential vulnerabilities during stressed conditions. The policy describes procedures of risk

assessment, mitigation and capital required under base and stressed scenarios.

The Bank's capital management is designed to ensure that it maintains sufficient capital consistent with the Bank's risk profile

and all applicable regulatory standards and guidelines. The Bank adopts a balanced approach in risk taking, balancing senior

management and Board of Directors oversight with well-defined independent risk management functions. The Board engages

senior management regularly in key activities that may impact capital assessment and adequacy.

As part of the internal capital management process, the Bank has put in place the following:

(i) 3-year capital plan, whereby the Bank's capital requirements are determined by taking into account its business and

strategic plans and financial budget.

(ii) Internal Capital Targets ("ICT") that factors the following:

Minimum capital as required under Basel III to meet the Bank's business plans;

Material and quantifiable Pillar 2 risks where capital has not been set aside under Pillar 1; and

The difference between capital ratios under stressed circumstances and normal circumstances.

(iii) Identified sources of internal capital available to meet the Bank's capital requirements.

Corporate Governance Structure for ICAAP

The Board of Directors and senior management of the Bank are responsible for understanding the nature and level of risks

being taken by the Bank, ensuring that the Bank maintains adequate capital beyond the regulatory minimum to support such

risk. ICAAP is driven by the ICAAP working group and oversees by the ICAAP steering committee. The working group would

initiate the annual ICAAP process by applying the stress test scenarios developed to assess against the impact towards capital

adequacy. The ICAAP steering committee comprise of seniors from risk managers, finance, treasury and compliance. The

ICAAP Steering Committee approves key decisions, reviews results, monitors progress on issue resolution, and participates

in the discussion of contingent plans if the capital is found to be insufficient.

In addition, The Bank's capital levels are monitored against the trigger limits for ICT and are reported to the Asset and Liability

Committee (ALCO) and Board. In addition, the Bank's capital contingency plan is also put in place to set out the actions

required if the ICT is triggered.

Citibank Berhad



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Risk identification

The Bank is primarily engaged in providing commercial and retail banking services, ranging from mass segment to more

affluent segment. The Bank's considers the risks in both the day-to-day running and strategic planning of the business. The

identification and management of material risks is a key component of an effective control environment. The Bank's risk

identification processes are robust, comprehensive, rigorous and dynamic to the changing macro and micro factors affecting

the Bank's business environment. The process is shown as below:

Under the Bank’s risk identification process, Pillar 1 risks such as credit risk, market risk and operational risks are assessed

and thoroughly discussed along with external factors, including changes in demographic and economic landscape. The Bank

will also consider other risks that are not captured under Pillar 1, such as Pillar 2 risks, which include strategic risk, reputational

risk, liquidity risk, compliance risk, Shariah risk, and interest rate on banking book risk. The bank is to determine how the

material risks affect the Bank’s overall capital adequacy and develop a strategy for maintaining adequate capital levels

consistent with the Bank’s risk profile, and taking into account its strategic focus and business plans as well as its control

environment.

The Bank’s ICAAP is expected to be dynamic and forward-looking in relation to the Bank’s risk profile. Therefore, the Bank

has to ensure its capital levels remain above the total minimum regulatory capital requirements as well as the capital required

to support its overall risk profile. A rigorous and forward-looking stress testing is included in the Bank’s ICAAP, enabling it

to assess the impact to its capital adequacy arising from adverse events or changes in market conditions.

Stress Tests

The stress tests performed by the Bank cover both financial statements as well as the material risks. Stress tests cover both the

wholesale and retail portfolios through the application of downside scenarios to the base case established. The stress scenarios

are developed by the Country Risk Manager in consultation with the Country Economist. The scenarios assumed a set of

economic and geopolitical pressures, which has significant impact on Malaysia’s macro-economic performance. The Bank

then assesses the stress impact on the financial, capital and liquidity position.

Integration of the risk management and capital management procedures

The results of the stress testing on balance sheets and material risk will then be considered to determine if the Bank will

continue to have sufficient capital under the stress scenario and if the Bank’s capital should be further strengthen under tail-

end adverse scenarios under reverse stress test.

Based on the current internal capital adequacy assessment, the Bank has adequate capital to support its current and future

activities for the next three years.

Other than paid up capital of the Bank, the bank’s capital is historically generated via retained profits from the business.

Collect and

aggregate material

risk information

Material risk

identification and

recommendation

Review and

approve material

risk types

Citibank Berhad



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The Risk-Weighted Assets and Capital Adequacy Ratios of Citibank Berhad are as follows:-

Jun 2019 Dec 2018

RM'000 RM'000

Computation of Total Risk-Weighted Assets (“RWA”)

Credit Risk RWA 21,796,291 21,899,709

Credit Risk RWA Absorbed by PSIA1 - -

Market Risk RWA 2,719,541 1,782,855

Market Risk RWA Absorbed by PSIA1 - -

Operational Risk RWA 3,882,736 3,836,381

Total Risk-Weighted Assets 28,398,568 27,518,945

Computation of Capital Ratios

Common Equity Tier 1 ("CET 1") Capital 4,170,620 4,926,985

Tier 1 Capital 4,170,620 4,926,985

Total Capital 4,443,073 5,200,731

Before deducting proposed dividends

Common Equity Tier 1 ("CET 1") Capital ratio N/A 17.904%

Tier 1 Capital ratio N/A 17.904%

Total Capital ratio N/A 18.899%

After deducting proposed dividends / dividend payment

Common Equity Tier 1 ("CET 1") Capital ratio 14.686% 15.040%

Tier 1 Capital ratio 14.686% 15.040%

Total Capital ratio 15.645% 16.035%

The Risk-Weighted Assets and Capital Adequacy Ratios for the Islamic Banking Window are as follows:-

Jun 2019 Dec 2018

RM'000 RM'000

Computation of Total Risk-Weighted Assets (“RWA”)

Credit Risk RWA 242,397 351,904

Credit Risk RWA Absorbed by PSIA1 (87,843) (201,994)

Market Risk RWA - -

Market Risk RWA Absorbed by PSIA1 - -

Operational Risk RWA 153,868 115,264

Total Risk-Weighted Assets 308,422 265,174

Computation of Capital Ratios

Common Equity Tier 1 ("CET 1") Capital 452,018 451,828

Tier 1 Capital 452,018 451,828

Total Capital 452,990 452,756

Common Equity Tier 1 ("CET 1") Capital ratio 146.558% 170.389%

Tier 1 Capital ratio 146.558% 170.389%

Total Capital ratio 146.873% 170.739%

No dividend is proposed under the Islamic Banking Window.

The above ratios are well above the regulatory requirements for total capital adequacy ratios of 8%. 1 Profit Sharing Investment Account

Citibank Berhad



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The following table details the classes of RWA and the types of exposure of the Group and the Bank as at 30 June 2019:-

Item Exposure Class Gross Exposures

Net

Exposures

Risk-

Weighted

Assets

Risk-

Weighted

Assets

Absorbed

by PSIA

Total

Risk-

Weighted

Assets

after

effects of

PSIA

Minimum

Capital

Requirem

ent at 8%

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

1.0

Credit risk (Standardised

Approach)

On-Balance Sheet

Exposures

Sovereigns/Central Banks 9,662,530 9,662,530 - - - -

Public Service Entities (2) (2) - - - -

Banks, Development

Financial Institutions and

MDBs 2,524,303 2,524,303 609,150 - 609,150 48,732

Corporates, insurance cos

and securities firms 5,905,487 5,826,368 5,783,744 - 5,783,744 462,700

Regulatory Retail 7,270,876 7,270,876 5,455,638 - 5,455,638 436,451

Residential Mortgages 9,590,922 9,590,922 3,478,567 - 3,478,567 278,285

Higher Risk Assets 1,800 1,800 2,700 - 2,700 216

Other Assets 760,800 760,800 277,147 - 277,147 22,172

Defaulted Exposures 399,805 399,805 403,905 - 403,905 32,312

Total for On-Balance

Sheet Exposures 36,116,521 36,037,402 16,010,851 - 16,010,851 1,280,868

Off-Balance Sheet

Exposures

OTC Derivatives 2,683,874 2,683,874 1,437,644 - 1,437,644 115,012

Credit Derivatives - - - - - -

Off-balance sheet

exposures other than OTC

derivatives or credit

derivatives 5,359,117 5,334,653 4,328,769 - 4,328,769 346,302


Total for Off- Balance

Sheet Exposures 8,055,695 8,031,231 5,785,440 - 5,785,440 462,836

Total On and Off-Balance

Sheet Exposures 44,172,216 44,068,633 21,796,291 - 21,796,291 1,743,704

2.0

Large exposure risk

requirement - - - - - -

3.0

Market risk

(Standardised Approach)

Long

position

Short

position

Net

position

Interest rate risk 468,197 321,698 146,499 2,357,851 - 2,357,851 188,628

Foreign currency risk 44,775 225,618 (180,843) 225,618 - 225,618 18,049

Equity risk - - - - - - -

Commodity risk - - - - - - -

Options risk 12,809 2,755 10,054 136,072 - 136,072 10,886

Inventory risk - - - - - - -

4.0

Operational risk (Basic

Indicator Approach) 3,882,736 - 3,882,736 310,619

Total RWA and Capital

Requirements 28,398,568 - 28,398,568 2,271,886

Citibank Berhad



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The following tables details the classes of RWA and the types of exposure of the Islamic Banking Window as at 30 June 2019:-


Net

Exposures

Risk-

Weighted

Assets

Risk-

Weighted

Assets

Absorbed

by PSIA

Total

Risk-

Weighted

Assets

after

effects of

PSIA

Minimum

Capital

Requirem

ent at 8%

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

1.0 Credit Risk

On-Balance Sheet

Exposures


Banks, Development


MDBs 11,525 11,525 5,762 - 5,762 461


and securities firms 170,764 170,764 170,764 (87,843) 82,921 6,634

Residential Mortgages 147,484 147,484 51,619 - 51,619 4,130

Other Assets 5,523 5,523 3,660 - 3,660 292

Defaulted Exposures 4,223 4,223 4,223 - 4,223 338


Sheet Exposures 3,476,633 3,476,633 236,028 (87,843) 148,185 11,855

Off-Balance Sheet

Exposures

OTC Derivatives - - - - - -

Off-balance sheet exposures

other than OTC derivatives

or credit derivatives 6,373 6,373 6,369 - 6,369 509

Defaulted Exposures - - - - - -


Sheet Exposures 6,373 6,373 6,369 - 6,369 509

Total On and Off- Balance

Sheet Exposures 3,483,006 3,483,006 242,397 (87,843) 154,554 12,364

2.0

Large exposure risk


3.0

Market risk


Long

position

Short

position

Net

position

Benchmark rate risk - - - - - - -

Foreign currency risk - - - - - - -



Options risk - - - - - - -


4.0


Indicator Approach) 153,868 - 153,868 12,310


Requirements 396,265 (87,843) 308,422 24,674

Citibank Berhad



9

The following table details the classes of RWA and the types of exposure of the Group and the Bank as at 31 December 2018:-


Net

Exposures

Risk-

Weighted

Assets

Risk-

Weighted

Assets

Absorbed

by PSIA

Total

Risk-

Weighted

Assets

after

effects of

PSIA

Minimum

Capital

Requirem

ent at 8%

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

1.0

Credit risk (Standardised

Approach)

On-Balance Sheet

Exposures


Public Service Entities 1,054 1,054 211 - 211 17

Banks, Development


MDBs 2,271,869 2,271,869 614,727 - 614,727 49,178


and securities firms 6,295,797 6,169,533 5,875,939 - 5,875,939 470,075

Regulatory Retail 7,484,268 7,389,756 5,544,873 - 5,544,873 443,590

Residential Mortgages 9,883,935 9,883,935 3,600,743 - 3,600,743 288,059

Higher Risk Assets 11,902 11,902 17,853 - 17,853 1,428

Other Assets 449,106 449,106 314,123 - 314,123 25,130



Sheet Exposures 36,053,701 35,832,925 16,345,415 - 16,345,415 1,307,633

Off-Balance Sheet

Exposures

OTC Derivatives 2,093,171 2,093,171 1,000,542 - 1,000,542 80,043

Credit Derivatives - - - - - -

Off-balance sheet

exposures other than OTC

derivatives or credit

derivatives 5,581,171 5,536,975 4,542,819 - 4,542,819 363,426



Sheet Exposures 7,684,077 7,639,881 5,554,294 - 5,554,294 444,344

Total On and Off-Balance

Sheet Exposures 43,737,778 43,472,806 21,899,709 - 21,899,709 1,751,977

2.0

Large exposure risk


3.0

Market risk


Long

position

Short

position

Net

position

Interest rate risk 277,633 185,441 92,192 1,502,151 - 1,502,151 120,172

Foreign currency risk 34,254 158,155 (123,901) 158,155 - 158,155 12,652



Options risk 4,266 1,509 2,757 122,549 - 122,549 9,804


4.0


Indicator Approach) 3,836,381 - 3,836,381 306,910


Requirements 27,518,945 - 27,518,945 2,201,515

Citibank Berhad



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The following tables details the classes of RWA and the types of exposure of the Islamic Banking Window as at 31

December 2018:-


Net

Exposures

Risk-

Weighted

Assets

Risk-

Weighted

Assets

Absorbed

by PSIA

Total

Risk-

Weighted

Assets

after

effects of

PSIA

Minimum

Capital

Requirem

ent at 8%

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

1.0 Credit Risk

On-Balance Sheet

Exposures


Banks, Development


MDBs 10,397 10,397 5,199 - 5,199 416


and securities firms 284,087 248,760 284,087 (201,994) 82,093 6,567

Residential Mortgages 157,577 157,712 55,153 - 55,153 4,412

Other Assets 4,210 4,210 2,088 - 2,088 167



Sheet Exposures 3,099,416 3,066,528 351,902 (201,994) 149,908 11,992

Off-Balance Sheet

Exposures

OTC Derivatives - - - - - -

Off-balance sheet exposures

other than OTC derivatives

or credit derivatives 7 7 2 - 2 -

Defaulted Exposures - - - - - -


Sheet Exposures 7 7 2 - 2 -

Total On and Off- Balance

Sheet Exposures 3,099,423 3,066,535 351,904 (201,994) 149,910 11,992

2.0

Large exposure risk


3.0

Market risk


Long

position

Short

position

Net

position

Benchmark rate risk - - - - - - -

Foreign currency risk - - - - - - -



Options risk - - - - - - -


4.0


Indicator Approach) 115,264 - 115,264 9,221


Requirements 467,168 (201,994) 265,174 21,213

Citibank Berhad



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3. Capital Structure

The following details the capital structure for the Group and Bank:

Group and Bank

Jun 2019 Dec 2018

RM'000 RM'000

CET 1 Capital

Paid up ordinary share capital 502,000 502,000

Retained profits 3,799,593 4,587,247

Other reserves 665 (23,029)

Less: Deferred tax assets, net (130,826) (139,233)

Less: Defined benefit pension fund assets - -

Less: 55% of cumulative gains of investment securities (other than financing and receivables) (812) -

Total CET 1 Capital / Total Tier 1 Capital 4,170,620 4,926,985

Tier 2 Capital

Loss allowance and regulatory reserves 272,453 273,746

Total Tier 2 Capital 272,453 273,746

Total Capital 4,443,073 5,200,731

The following details the capital structure for the Islamic Banking Window:

Jun 2019 Dec 2018

RM'000 RM'000

CET 1 Capital

Fund allocated 20,000 20,000

Retained profits 431,343 431,343

Other reserves 1,501 1,078

Less: Deferred tax assets, net - -

Less: 55% of cumulative gains of investment securities (other than financing and receivables) (826) (593)

Total CET 1 Capital / Total Tier 1 Capital 452,018 451,828

Tier 2 Capital

Loss allowance and regulatory reserves 972 928

Total Capital 452,990 452,756

The capital structure of the Group and the Bank as disclosed above does not have any specific terms and conditions attached

to them.

Citibank Berhad



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4. Credit Risk

4.1 Credit Risk management policy

While business managers and independent risk management are jointly responsible for managing the risk/return trade-offs as

well as establishing limits and risk management practices, the origination and approval roles are clearly defined and segregated.

In addition to conforming to established corporate standards, independent credit risk management is responsible for

establishing local policies that comply with local regulations and any other relevant legal requirements.

These standards will cover credit origination, measurement and documentation as well as problem recognition, classification

and remedial actions. In addition, specific write-off criterion is set according to Citigroup’s corporate requirements.

Independent credit risk management is also responsible for implementing portfolio limits, including obligor limits through risk

rating, maturity and business segments to ensure diversification of portfolio. The Risk management team also evaluates the

immediate to long term risks for all products and segments thus providing for profitability on a long term sustainable basis.

Continuous monitoring of credit behaviour aided by sophisticated debt rating modules, plus portfolio delinquency performance

allows independent credit risk management to constantly assess the health of the credit portfolio.

4.2 Definition of past due and impaired loans

Definition of past due loans are disclosed in Note 2(g) of the financial statements.

A loan is impaired when there is objective evidence that demonstrates that a loss event has occurred after the initial recognition

of the loan, and that the loss event has an impact on the future cash flows of the loan.

Objective evidence that a loan or a loan portfolio is impaired includes observable data that could include the following loss

events:-

- significant financial difficulty of the issuer or obligor;

- a breach of contract, such as a default or delinquency in interest or principal payments;

- it becomes probable that the borrower will enter bankruptcy or other financial reorganisation;

- observable data relating to a portfolio of financial assets such as:

i) adverse changes in the payment status of borrowers in the portfolio; and

ii) national or local economic conditions that correlate with defaults on the assets in the portfolio.

Under the revised policy issued by BNM on Financial Reporting (BNM/RH/PD 032-13), if the repayment conduct of the loan

is past due for more than 90 days or 3 months of either principal, interest or both, the loan shall be classified as impaired. The

Bank applies this policy in addition to the above when determining if a loan is impaired.

4.3 Impairment

The Group and the Bank has adopted MFRS 9 Financial Instruments with effective 1 January 2018. The requirements of MFRS

9 represent a change from MFRS 139 Financial Instruments: Recognition and Measurement. The new standard includes a new

model for classification and measurement of financial assets and a forward-looking ‘expected loss’ impairment model. The

standard replaces the existing guidance in MFRS 139 Financial Instruments: Recognition and Measurement.

MFRS 9 replaces the ‘incurred loss’ model in MFRS 139 with an ‘expected credit loss’ (ECL) model. The new impairment

model applies to financial assets measured at amortised cost, investment securities measured at fair value through other

comprehensive income (FVOCI) and to certain loan commitments and financial guarantee contracts. Under MFRS 9, credit

loss allowances will be measured on each reporting date according to a three-Stage expected credit loss impairment model

under which each financial asset is classified in one of the stages below:

Citibank Berhad



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Stage 1: 12-months ECL

From initial recognition of a financial asset to the date on which the asset has experienced a significant increase in credit risk

relative to its initial recognition, a loss allowance is recognised equal to the credit losses expected to result from defaults

expected over the next 12 months.

Stage 2: Lifetime ECL - not credit impaired

Following a significant increase in credit risk relative to the risk at initial recognition of the financial asset, a loss allowance is

recognised equal to the full credit losses expected over the remaining life of the asset.

Stage 3: Lifetime ECL - credit impaired

When a financial asset is considered to be credit-impaired, a loss allowance equal to the full lifetime expected credit losses

will be recognised.

4.4 Distribution of loans, advances and financing

The following information on loans, advances and financing are disclosed in Note 6 in the financial statement as at 31

December 2018:-

1) Geographical distribution

2) Sector

3) Residual contractual maturity

MFRS 9

Citibank Berhad



14

4.5 Impaired loans, past due loans, Lifetime ECL credit impaired, 12-months ECL and Lifetime ECL

not credit impaired, charges for Lifetime ECL credit impaired and write offs by sector

The following tables detail past due loans, lifetime ECL credit impaired, 12-months ECL and lifetime ECL not credit impaired,

charges and write offs for lifetime ECL credit impaired by sector as at 30 June 2019.

The information on impaired loans by sector and by geographic area and reconciliation of changes in loan allowance are

disclosed in Note 6 in the financial statements as at 30 June 2019.

4.5.1 Past due loans but not impaired

The following table details past due loans but not impaired by sector of the Group and the Bank as at 30 June 2019:

RM'000

Primary agriculture 1,402

Mining and quarrying 919

Manufacturing 5,494

Electricity, gas, water 23

Construction 618

Wholesale, retail trade, restaurant and hotels 21,198

Transport, storage and communication 11

Finance, insurance, real estate, and business services 19,988

Education, health, household & others 1,703,329

Total 1,752,982

The following table details past due loans but not impaired by sector of the Islamic Banking Window as at 30 June 2019:

RM'000

Primary agriculture -

Mining and quarrying -

Manufacturing -

Electricity, gas, water -

Construction -

Wholesale, retail trade, restaurant and hotels -

Transport, storage and communication -

Finance, insurance, real estate, and business services -

Education, health, household & others 31,851

Total 31,851

The following table details past due loans but not impaired by sector of the Group and the Bank as at 31 December 2018:

RM'000

Primary agriculture 552


Manufacturing 2,473


Construction 160

Wholesale, retail trade, restaurant and hotels 349



Education, health, household & others 1,500,486

Total 1,521,974

Citibank Berhad



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The following table details past due loans but not impaired by sector of the Islamic Banking Window as at 31 December 2018:

RM'000



Manufacturing -


Construction -





Total 29,184

4.5.2 Lifetime ECL credit impaired

The following table details lifetime ECL credit impaired by sector of the Group and the Bank as at 30 June 2019:

RM'000



Manufacturing 9,261


Construction -



Finance, insurance, real estate, and business services 1


Community, social and personal services -

Total 52,640

The following table details lifetime ECL credit impaired by sector of the Islamic Banking Window as at 30 June 2019:

RM'000



Manufacturing -


Construction -




Education, health, household & others 23


Total 23

Citibank Berhad



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The following table details individual impairment provision by sector of the Group and the Bank as at 31 December 2018:

RM'000



Manufacturing 1,714


Construction -






Total 48,650

The following table details individual impairment provision by sector of the Islamic Banking Window as at 31 December

2018:

RM'000



Manufacturing -


Construction -






Total 23

4.5.3 12-months ECL and Lifetime ECL not credit impaired

The following table details 12-months ECL and lifetime ECL not credit impaired (including ECL on impaired loans restricted

from Tier 2 Capital by BNM of RM89.0 million) by sector of the Group and the Bank as at 30 June 2019:

RM'000



Manufacturing 2,475


Construction 108


Transport, storage and communication 1,004



Community, social and personal services 1

Total 359,659

Citibank Berhad



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The following table details 12-months ECL and lifetime ECL not credit impaired (including ECL on impaired loans restricted

from Tier 2 Capital by BNM of RM Nil) by sector of the Islamic Banking Window as at 30 June 2019:

RM'000



Manufacturing 199


Construction -






Total 775

The following table details collective impairment provision (including collective impairment provision on impaired loans

restricted from Tier 2 Capital by BNM of RM106.8 million) by sector of the Group and the Bank as at 31 December 2018:

RM'000



Manufacturing 1,819


Construction 71






Total 379,451

The following table details collective impairment provision (including collective impairment provision on impaired loans

restricted from Tier 2 Capital by BNM of RM Nil) by sector of the Islamic Banking Window as at 31 December 2018:

RM'000



Manufacturing 108


Construction -






Total 711

Citibank Berhad



18

4.5.4 Charges for Lifetime ECL credit impaired

The following table details charges for lifetime ECL credit impaired by sector of the Group and the Bank as at 30 June 2019:

RM'000



Manufacturing 7,611


Construction -






Total 28,122

The following table details charges for individual impairment provision by sector of the Islamic Banking Window as at 30

June 2019:

RM'000



Manufacturing -


Construction -






Total 1

The following table details charges for individual impairment provision by sector of the Group and the Bank as at 31

December 2018:

RM'000



Manufacturing 2,272


Construction 27


Transport, storage and communication




Total 10,380

Citibank Berhad



19

The following table details charges for individual impairment provision by sector of the Islamic Banking Window as at 31

December 2018:

RM'000



Manufacturing -


Construction -






Total 14

4.5.5 Write offs

The following table details write offs by sector of the Group and the Bank as at 30 June 2019:

RM'000



Manufacturing -


Construction -






Total 69,988

The following table details write offs by sector of the Islamic Banking Window as at 30 June 2019:

RM'000



Manufacturing -


Construction -




Education, health, household & others -


Total -

Citibank Berhad



20

The following table details write offs by sector of the Group and the Bank as at 31 December 2018:

RM'000



Manufacturing 1,971


Construction -






Total 172,709

The following table details write offs by sector of the Islamic Banking Window as at 31 December 2018:

RM'000



Manufacturing -


Construction -




Education, health, household & others -


Total -

Citibank Berhad



21

4.6 External Credit Assessment Institutions (ECAIs)

In terms of assessing Counterparty Credit Risk, Citibank Berhad uses ratings by global agencies Fitch Ratings, Moody’s

Investor Services, and Standard & Poor’s. Citibank Berhad also uses ratings from local agencies Rating Agency Malaysia

(RAM) Berhad and Malaysian Rating Corporation (MARC) Berhad. These ECAIs are used to rate Corporates, Banking

Institutions, Sovereigns and Central Banks.

The Bank uses a regional system called Optima to calculate its Risk-Weighted Assets and this system receives its external

ratings from a credit system that has a feed for external ratings from approved ECAIs. The mapping of external ratings to the

respective counterparties and exposures is automated in the system.

The Bank uses issue-specific ratings for securities. In general, where no issue-specific rating exists, the credit rating assigned

to the counterparty of a particular credit exposure is used. Where an exposure has neither an issue-specific rating nor

counterparty rating, it is deemed as unrated.

The alignment of the alphanumerical scale of each recognised ECAIs used by Citibank Berhad is detailed in the table below:

CREDIT QUALITY GRADES AND ELIGIBLE ECAIs

Credit Quality Grade 1 2 3 4 5 6 Unrated

Optima (Basel Credit Ratings)

AAA A+ BBB+ BB+ B+ CCC+ Unrated

Rating

Source Rating Agencies

Central Fitch Ratings

AAA

AA+

AA

AA-

A+

A

A-

BBB+

BBB

BBB-

BB+

BB

BB-

B+

B

B-

CCC+

CCC

CCC-

CC

C

D

Central Moody's Investor Services Aaa

Aa1

Aa2

Aa3

A1

A2

A3

Baa1

Baa2

Baa3

Ba1

Ba2

Ba3

B1

B2

B3

Caa1

Caa2

Caa3

Ca

C

Central Standard & Poor's AAA

AA+

AA

AA-

A+

A

A-

BBB+

BBB

BBB-

BB+

BB

BB-

B+

B

B-

CCC+

CCC

CCC-

CC

C

D

Local Rating Agency Malaysia Berhad (RAM)

AAA

Aa1

Aa2

Aa3

A1

A2

A3

BBB1

BBB2

BBB3

BB1

BB2

BB3

B1

B2

B3

C1

C2

C3

D

Local Malaysian Rating Corporation Berhad

(MARC)

AAA

AA+

AA

AA-

A+

A

A-

BBB+

BBB

BBB-

BB+

BB

BB-

B+

B

B-

C

D

Citibank Berhad



22

The following tables show Citibank Berhad’s rated and unrated exposures, by class, according to ratings by ECAIs:-

4.6.1 Ratings of Corporates by Approved ECAIs

30 June 2019

Group and Bank

Exposure Class

Ratings of Corporate by Approved ECAIs

Moodys Aaa to Aa3 A1 to A3 Baa1 to

Ba3 B1 to C Unrated

Total

S&P AAA to AA- A+ to A- BBB+ to

BB- B+ to D Unrated

Fitch AAA to AA- A+ to A- BBB+ to

BB- B+ to D Unrated

RAM AAA to

AA3 A to A3

BBB1 to

BB3 B1 to C Unrated

MARC AAA to AA- A+ to A- BBB+ to

BB- B+ to D Unrated

Public Sector Entities

(applicable for

entities Risk-

Weighted

based on their

external

ratings as corporates)

- - - - 27,388 27,388

Insurance Cos,

securities Firms and

Fund Managers

125,495 295 400 - 22,292 148,482

Corporates 36,089 534,181 814,930 - 6,814,001 8,199,201

Islamic Banking Window

Exposure Class



Ba3 B1 to C Unrated

Total


BB- B+ to D Unrated


BB- B+ to D Unrated

RAM AAA to

AA3 A to A3

BBB1 to

BB3 B1 to C Unrated


BB- B+ to D Unrated


(applicable for

entities Risk-

Weighted based on

their external ratings

as corporates)

- - - - - -

Insurance Cos,

Securities Firms and

Fund Managers

- - - - - -

Corporates - - - - 177,130 177,130

Citibank Berhad



23

31 December 2018

Group and Bank

Exposure Class


Moodys Aaa to Aa3 Moodys Baa1 to

Ba3 Moodys Unrated

Total

S&P AAA to AA- S&P BBB+ to

BB- S&P Unrated

Fitch AAA to AA- Fitch BBB+ to

BB- Fitch Unrated

RAM AAA to

AA3 RAM

BBB1 to

BB3 RAM Unrated

MARC AAA to AA- MARC BBB+ to

BB- MARC Unrated


(applicable for

entities Risk-

Weighted

based on their

external

ratings as corporates)

- - - - 61,917 61,917

Insurance Cos,

securities Firms and

Fund Managers

- 15,792 398 - 4,692 20,882

Corporates 15,337 212,671 502,674 - 7,967,647 8,698,329


Exposure Class


Moodys Aaa to Aa3 Moodys Baa1 to

Ba3 Moodys Unrated

Total

S&P AAA to AA- S&P BBB+ to

BB- S&P Unrated

Fitch AAA to AA- Fitch BBB+ to

BB- Fitch Unrated

RAM AAA to

AA3 RAM

BBB1 to

BB3 RAM Unrated

MARC AAA to AA- MARC BBB+ to

BB- MARC Unrated


(applicable for

entities Risk-

Weighted based on

their external ratings

as corporates)

- - - - - -

Insurance Cos,

Securities Firms and

Fund Managers

- - - - - -

Corporates - - - - 284,087 284,087

Citibank Berhad



24

4.6.2 Short term Ratings of Banking Institutions and Corporates by Approved ECAIs

This disclosure does not apply to Citibank Berhad as it uses long term ratings for all exposures.

4.6.3 Ratings of Sovereigns and Central Banks by Approved ECAIs

30 June 2019

Group and Bank

Exposure

Class

Ratings of sovereigns/central banks by approved ECAIs (amounts in RM'000)


Ba3 Ba1 to B3 Caa1 to C Unrated

Total S&P AAA to AA- A+ to A- BBB+ to

BB- BB+ to B- CCC+ to D Unrated



Sovereigns/

Central Banks 164,052 9,499,666 - - - - 9,663,718

Islamic Banking window

Exposure

Class








Sovereigns/

Central Banks - 3,137,114 - - - - 3,137,114

31 December 2018

Group and Bank

Exposure

Class








Sovereigns/

Central Banks 160,930 9,141,182 - - - - 9,302,112

Islamic Banking window

Exposure

Class








Sovereigns/

Central Banks - 2,637,770 - - - - 2,637,770

Citibank Berhad



25

4.6.4 Rating of Banking Institutions by Approved ECAIs

30 June 2019

Group and Bank

Exposure

Class

Ratings of banks, Development Financial Institutions and MDBs by approved ECAIs (amounts in

RM'000)



Total





RAM AAA to

AA3 A to A3

BBB1 to

BB3 BB1 to B3 C1 to D Unrated


BB- BB+ to B- C+ to D Unrated

Banks,

Development

Financial

Institutions

and MDBs

729,238 3,109,868 337,266 3,898 - 416,500 4,596,770


Exposure

Class


RM'000)



Total





RAM AAA to

AA3 A to A3

BBB1 to




Banks,

Development

Financial

Institutions

and MDBs

- 11,525 - - - - 11,525

Citibank Berhad



26

31 December 2018

Group and Bank

Exposure

Class


RM'000)



Total





RAM AAA to

AA3 A to A3

BBB1 to




Banks,

Development

Financial

Institutions

and MDBs

753,229 1,335,625 1,088,231 1,915 - 628,535 3,807,535


Exposure

Class


RM'000)



Total





RAM AAA to

AA3 A to A3

BBB1 to




Banks,

Development

Financial

Institutions

and MDBs

- 10,397 - - - - 10,397

4.7 Credit Risk Mitigation

As at June 2019, the Bank’s gross credit exposure is RM 44,172 million, of which RM 273 million was offset by CRM. After

applying required risk weights, the Bank’s Credit RWA is RM 21,796 million. Given the immateriality of CRM, which is

0.6% of total credit exposure, asset class breakdowns are not provided and for the same reason, there is no CRM risk

concentration exposure to the Bank.

Citibank Berhad



27

The following table shows the total exposure amounts after credit risk mitigation as at 30 June 2019:

Exposures after Netting and Credit Risk Mitigation

Total

exposures

after

netting &

Credit Risk

Mitigation

Total Risk

Weighted

Assets

Risk

Weights

Sovereigns

& Central

Banks PSEs

Banks,

MDBs and

FDIs

Insurance

Cos,

Securities

Firms &

Fund

Managers Corporates

Regulatory

Retail

Residential

Mortgages

Higher

Risk

Assets

Other

Assets

Specialised

Financing

/Investment Securitisation Equity

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

X 0% 9,663,718 - - - 5,015 - - - 479,354 - - - 10,148,087 -

X 10% - - - - - - - - - - - - - -

X 20% - 27,388 2,475,032 195 22,864 - - - 5,660 - - - 2,531,139 506,228

X 35% - - - - - - 8,961,428 - - - - - 8,961,428 3,136,500

X 50% - - 2,165,418 125,565 294,683 - 553,641 - - - - - 3,139,307 1,569,653

X 75% - - - - - 10,726,049 150,336 - - - - - 10,876,385 8,157,289

X 90% - - - - - - - - - - - - - -

X 100% - - (40,596) 22,722 7,769,972 66,607 287,953 - 277,401 - - - 8,384,059 8,384,059

X 110% - - - - - - - - - - - - - -

X 125% - - - - - - - - - - - - - -

X 135% - - - - - - - - - - - - - -

X 150% - - - - - 19,513 2,288 6,407 - - - - 28,208 42,312

X 270% - - - - - - - - - - - - - -

X 350% - - - - - - - - - - - - - -

X 400% - - - - - - - - - - - - - -

X 625% - - - - - - - - - - - - - -

X 937.5% - - - - - - - - - - - - - -

X 1250.0% - - - - - - - - 20 - - - 20 250

Total

Exposures 9,663,718 27,388 4,599,854 148,482 8,092,534 10,812,169 9,955,646 6,407 762,435 - - - 44,068,633 21,796,291

Risk-Weighted

Assets by Exposures - 5,478 1,537,120 85,543 7,921,886 8,140,413 3,817,458 9,611 278,782 - - - 21,796,291

Average

Risk

Weight 0% 20% 33% 58% 98% 75% 38% 150% 37% 0% 0% 0% 49% Deduction

from

Capital Base - - - - - - - - - - - -

Citibank Berhad



28

The following table details the total exposure amounts of the Islamic Banking Window after credit risk mitigation as at 30 June 2019:


Total

exposures

after

netting &

Credit Risk

Mitigation

Total Risk

Weighted

Assets

Risk

Weights

Sovereigns

& Central

Banks PSEs

Banks,

MDBs and

FDIs

Insurance

Cos,

Securities

Firms &

Fund

Managers Corporates

Regulatory

Retail

Residential

Mortgages

Higher

Risk

Assets

Other

Assets

Specialised

Financing



X 0% 3,137,114 - - - - - - - 1,862 - - - 3,138,976 -

X 10% - - - - - - - - - - - - - -

X 20% - - - - - - - - 1 - - - 1 -

X 35% - - - - - - 147,491 - - - - - 147,491 51,622

X 50% - - 11,525 - - - - - - - - - 11,525 5,762

X 75% - - - - - - - - - - - - - -

X 90% - - - - - - - - - - - - - -

X 100% - - - - 177,130 - 4,223 - 3,660 - - - 185,013 185,013

X 110% - - - - - - - - - - - - - -

X 125% - - - - - - - - - - - - - -

X 135% - - - - - - - - - - - - - -

X 150% - - - - - - - - - - - - - -

X 270% - - - - - - - - - - - - - -

X 350% - - - - - - - - - - - - - -

X 400% - - - - - - - - - - - - - -

X 625% - - - - - - - - - - - - - -

X 937.5% - - - - - - - - - - - - - -

X 1250.0% - - - - - - - - - - - - - -

Total

Exposures 3,137,114 - 11,525 - 177,130 - 151,714 - 5,523 - - - 3,483,006 242,397 Risk-

Weighted Assets by

Exposures - - 5,762 - 177,130 - 55,845 - 3,660 - - - 242,397

Average

Risk Weight 0% 0% 50% 0% 100% 0 37% 0% 66% 0% 0% 0% 7%

Deduction

from Capital Base - - - - - - - - - - - -

Citibank Berhad



29

The following table details the total exposure amounts of the Group and the Bank after credit risk mitigation as at 31 December 2018:


Total

exposures

after

netting &

Credit Risk

Mitigation

Total Risk

Weighted

Assets

Risk

Weights

Sovereigns

& Central

Banks PSEs

Banks,

MDBs and

FDIs

Insurance

Cos,

Securities

Firms &

Fund

Managers Corporates

Regulatory

Retail

Residential

Mortgages

Higher

Risk

Assets

Other

Assets

Specialised

Financing



X 0% 9,302,112 - - - - - - - 133,869 - - - 9,435,981 -

X 10% - - - - - - - - - - - - - -

X 20% - 61,917 2,610,115 - 15,612 - - - 430 - - - 2,688,074 537,615

X 35% - - - - - - 9,215,423 - - - - - 9,215,423 3,225,398

X 50% - - 1,157,689 15,792 766,852 - 536,304 - - - - - 2,476,637 1,238,319

X 75% - - - - - 10,879,075 248,380 - - - - - 11,127,455 8,345,591

X 90% - - - - - - - - - - - - - -

X 100% - - 39,731 5,090 7,745,404 63,119 314,444 - 314,787 - - - 8,482,575 8,482,576

X 110% - - - - - - - - - - - - - -

X 125% - - - - - - - - - - - - - -

X 135% - - - - - - - - - - - - - -

X 150% - - - - - 23,522 2,744 20,375 - - - - 46,641 69,960

X 270% - - - - - - - - - - - - - -

X 350% - - - - - - - - - - - - - -

X 400% - - - - - - - - - - - - - -

X 625% - - - - - - - - - - - - - -

X 937.5% - - - - - - - - - - - - - -

X 1250.0% - - - - - - - - 20 - - - 20 250

Total

Exposures 9,302,112 61,917 3,807,535 20,882 8,527,868 10,965,716 10,317,295 20,375 449,106 - - - 43,472,806 21,899,709

Risk-Weighted

Assets by

Exposures - 12,383 1,140,598 12,986 8,131,953 8,257,708 3,998,394 30,563 315,124 - - - 21,899,709

Average

Risk

Weight 0% 20% 30% 62% 95% 75% 39% 150% 70% 0% 0% 0% 50%

Deduction from

Capital

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

Citibank Berhad



30

The following table details the total exposure amounts of the Islamic Banking Window after credit risk mitigation as at 31 December 2018:


Total

exposures

after

netting &

Credit Risk

Mitigation

Total Risk

Weighted

Assets

Risk

Weights

Sovereigns

& Central

Banks PSEs

Banks,

MDBs and

FDIs

Insurance

Cos,

Securities

Firms &

Fund

Managers Corporates

Regulatory

Retail

Residential

Mortgages

Higher

Risk

Assets

Other

Assets

Specialised

Financing



X 0% 2,637,770 - - - - - - - 2,064 - - - 2,639,834 -

X 10% - - - - - - - - - - - - - -

X 20% - - - - - - - - 72 - - - 72 15

X 35% - - - - - - 157,584 - - - - - 157,584 55,154

X 50% - - 10,397 - - - - - - - - - 10,397 5,199

X 75% - - - - - - - - - - - - - -

X 90% - - - - - - - - - - - - - -

X 100% - - - - 284,087 - 5,375 - 2,074 - - - 291,536 291,536

X 110% - - - - - - - - - - - - - -

X 125% - - - - - - - - - - - - - -

X 135% - - - - - - - - - - - - - -

X 150% - - - - - - - - - - - - - -

X 270% - - - - - - - - - - - - - -

X 350% - - - - - - - - - - - - - -

X 400% - - - - - - - - - - - - - -

X 625% - - - - - - - - - - - - - -

X 937.5% - - - - - - - - - - - - - -

X 1250.0% - - - - - - - - - - - - - -

Total

Exposures 2,637,770 - 10,397 - 284,087 - 162,959 - 4,210 - - - 3,099,423 351,904

Risk-

Weighted Assets by

Exposures - - 5,199 - 284,087 - 60,530 - 2,088 - - - 351,904

Average

Risk Weight 0% 0% 50% 0% 100% 0 37% 0% 50% 0% 0% 0% 11%

Deduction

from Capital Base - - - - - - - - - - - -

Citibank Berhad



31

The following table details the total exposures which is covered by eligible guarantees and financial collaterals as at 30 June

2019:

Exposure Class

Exposures

before CRM

Exposures

covered by

guarantees

Exposures

covered

by eligible

financial

collateral

Exposures

covered

by other

eligible

collateral

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

Credit Risk

On-Balance Sheet Exposures

Sovereigns/Central Banks 9,662,530 - - -

Public Service Entities (2) - - -

Banks, Development Financial Institutions and MDBs 2,524,303 - - -

Corporates, insurance cos and securities firms 5,905,487 61,412 79,119 -

Regulatory Retail 7,270,876 - - -

Residential Mortgages 9,590,922 - - -

Higher Risk Assets 1,800 - - -

Other Assets 760,800 - - -

Defaulted Exposures 399,805 - - -

Total for On-Balance Sheet Exposures 36,116,521 61,412 79,119 -

Off-Balance Sheet Exposures

OTC Derivatives 2,683,874 8,876 - -

Off-balance sheet exposures other than OTC

derivatives or credit derivatives 5,359,117 98,961 24,464

-


Total for Off- Balance Sheet Exposures 8,055,695 107,837 24,464 -

Total On and Off- Balance Sheet Exposures 44,172,216 169,249 103,583 -

The following table details the total exposures which is covered by eligible guarantees and financial collaterals of the Islamic

Banking Window as at 30 June 2019:

Exposure Class

Exposures

before CRM

Exposures

covered by

guarantees

Exposures

covered

by eligible

financial

collateral

Exposures

covered

by other

eligible

collateral

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

Credit Risk



Banks, Development Financial Institutions and MDBs 11,525 - - -

Corporates, insurance cos and securities firms 170,764 - - -

Residential Mortgages 147,484 - - -



Total for On-Balance Sheet Exposures 3,476,633 - - -


OTC Derivatives - - - -

Off balance sheet exposures other than

OTC derivatives or credit derivatives 6,373 - - -

Defaulted Exposures - - - -

Total for Off- Balance Sheet Exposures 6,373 - - -

Total On and Off- Balance Sheet Exposures 3,483,006 - - -

Citibank Berhad



32

The following table details the total exposures which is covered by eligible guarantees and financial collaterals as at 31

December 2018:

Exposure Class

Exposures

before CRM

Exposures

covered by

guarantees

Exposures

covered

by eligible

financial

collateral

Exposures

covered

by other

eligible

collateral

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

Credit Risk



Public Service Entities 1,054 - - -

Banks, Development Financial Institutions and MDBs 2,271,869 - - -

Corporates, insurance cos and securities firms 6,295,797 539,305 126,264 -

Regulatory Retail 7,484,268 - 120,728 -

Residential Mortgages 9,883,935 - - -

Higher Risk Assets 11,902 - - -



Total for On-Balance Sheet Exposures 36,053,701 539,305 246,992 -


OTC Derivatives 2,093,171 8 - -

Off-balance sheet exposures other than OTC

derivatives or credit derivatives 5,581,171 14,542 44,196

-


Total for Off- Balance Sheet Exposures 7,684,077 14,550 44,196 -

Total On and Off- Balance Sheet Exposures 43,737,778 553,855 291,188 -

The following table details the total exposures which is covered by eligible guarantees and financial collaterals for the Islamic

Banking Window as at 31 December 2018:

Exposure Class

Exposures

before CRM

Exposures

covered by

guarantees

Exposures

covered

by eligible

financial

collateral

Exposures

covered

by other

eligible

collateral

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

Credit Risk



Banks, Development Financial Institutions and MDBs 10,397 - - -

Corporates, insurance cos and securities firms 284,087 - - -

Residential Mortgages 157,577 - - -



Total for On-Balance Sheet Exposures 3,099,416 - - -


OTC Derivatives - - - -

Off balance sheet exposures other than

OTC derivatives or credit derivatives 7 - - -

Defaulted Exposures - - - -

Total for Off- Balance Sheet Exposures 7 - - -

Total On and Off- Balance Sheet Exposures 3,099,423 - - -

Citibank Berhad



33

4.8 Off-Balance Sheet Exposures and Counterparty Credit Risk (CCR)

The following table shows the Group and Bank’s off-balance sheet exposures and Risk-Weighted Assets as at 30 June 2019:

Item Description

Principal

amount

Positive fair

value

of derivative

contracts

Credit

equivalent

amount

Risk

Weighted

Assets

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

(1) Direct Credit Substitutes 1,235,737 1,235,737 1,118,649

(2) Transaction related contingent Items 502,540 251,270 238,693

(3) Short Term Self Liquidating trade related contingencies 104,073 20,815 17,085

(4) Assets sold with recourse - - -

(5) Forward Asset Purchases - - -

(6) Obligations under an on-going underwriting agreement - - -

(7)

Lending of banks’ securities or the posting of securities

as collateral by banks, including instances where these

arise out of repo-style transactions. (i.e. repurchase /

reverse repurchase and securities lending / borrowing

transactions) - - -

(8) Foreign exchange related contracts

One year or less 41,345,181 262,390 760,191 440,439

Over one year to five years 1,337,462 8,479 89,682 56,697

Over five years - - - -

(9) Interest/Profit rate related contracts

One year or less 13,171,103 30,775 55,347 28,013

Over one year to five years 37,134,834 399,659 1,209,193 577,843

Over five years 2,305,124 49,124 175,994 67,851

(10) Equity related contracts

One year or less 793,438 100 47,698 23,849

Over one year to five years - - - -


(11) Gold and other precious metal contracts

One year or less - - - -



(12) Other commodity contracts

One year or less 1,342,489 72,835 228,254 155,593

Over one year to five years 957,002 3,039 117,515 87,360


(13) Credit Derivative Contracts




(14) OTC Derivative transactions and credit derivative

contracts subject to valid bilateral netting agreements - - - -

(15) Other commitments, such as formal standby facilities

and credit lines, with an original maturity of over one

year 624,033 - 312,016 287,244


and credit lines, with an original maturity of up to one

year - - - -

(17)

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 borrowers creditworthiness 13,406,896 - - -

(18) Unutilised credit card lines 17,759,922 - 3,551,983 2,686,124

(19) Off-balance sheet items for securitisation exposures - - - -

(20) Total 132,019,834 826,401 8,055,695 5,785,440

Citibank Berhad



34

The following table shows the Islamic Banking Window’s off-balance sheet exposures and Risk-Weighted Assets as at 30

June 2019:

Item Description

Principal

amount

Positive fair

value

of derivative

contracts

Credit

equivalent

amount

Risk

Weighted

Assets

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

(1) Direct credit substitutes - - - -

(2) Transaction related contingent Items - - - -

(3) Short Term Self Liquidating trade related contingencies - - - -

(4) Assets sold with recourse - - - -

(5) Forward asset purchases - - - -

(6) Obligations under an on-going underwriting agreement - - - -

(7) Commitment to buy back Islamic securities under sales

and buy back agreement transactions - - - -





(9) Benchmark rate related contracts


















(14)

Other commitments, such as formal standby facilities


year 12,746 - 6,373 6,369

(15)



year - - - -

(16)

Any commitments that are unconditionally cancelled at any

time by the bank without prior notice or that


deterioration in a borrowers creditworthiness - - - -

(17) Unutilised credit card lines - - - -

(18) Off-balance sheet items for securitisation exposures - - - -

Total 12,746 - 6,373 6,369

Citibank Berhad



35

The following table shows the Group and Bank’s off-balance sheet exposures and Risk-Weighted Assets as at 31 December

2018:

Item Description

Principal

amount

Positive fair

value

of derivative

contracts

Credit

equivalent

amount

Risk

Weighted

Assets

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

(1) Direct Credit Substitutes 1,478,949 1,478,949 1,367,221

(2) Transaction related contingent Items 568,008 284,004 269,300

(3) Short Term Self Liquidating trade related contingencies 189,206 37,841 34,754

(4) Assets sold with recourse - - -

(5) Forward Asset Purchases - - -

(6) Obligations under an on-going underwriting agreement - - -

(7)

Lending of banks’ securities or the posting of securities

as collateral by banks, including instances where these

arise out of repo-style transactions. (i.e. repurchase /

reverse repurchase and securities lending / borrowing

transactions) - - -


One year or less 34,069,427 374,063 424,234 260,961


Over five years 17,953 114 1,795 1,838

(9) Interest/Profit rate related contracts

One year or less 7,561,375 26,549 13,706 4,088

Over one year to five years 34,121,519 68,179 777,713 280,706

Over five years 1,545,000 3,274 83,300 28,075


One year or less 793,509 632 47,611 23,806








One year or less 1,332,975 52,644 536,034 276,606



(13) Credit Derivative Contracts








year 419,225 209,613 176,447



year 18,464 3,693 3,693

(17)

Any commitments that are unconditionally cancelled at

any time by the bank without prior notice or that


deterioration in a borrowers creditworthiness 13,706,370 - -

(18) Unutilised credit card lines 17,884,032 3,576,806 2,702,336

(19) Off-balance sheet items for securitisation exposures - - -

(20) Total 115,057,474 549,093 7,684,077 5,554,293

Citibank Berhad



36

The following table shows the Islamic Banking Window’s off-balance sheet exposures and Risk-Weighted Assets as at 31

December 2018:

Item Description

Principal

amount

Positive fair

value

of derivative

contracts

Credit

equivalent

amount

Risk

Weighted

Assets

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

(1) Direct credit substitutes - - - -

(2) Transaction related contingent Items - - - -

(3) Short Term Self Liquidating trade related contingencies - - - -

(4) Assets sold with recourse - - - -

(5) Forward asset purchases - - - -

(6) Obligations under an on-going underwriting agreement - - - -

(7) Commitment to buy back Islamic securities under sales

and buy back agreement transactions - - - -





(9) Benchmark rate related contracts


















(14)



year 14 7 2

(15)



year - - -

(16)

Any commitments that are unconditionally cancelled at any

time by the bank without prior notice or that


deterioration in a borrowers creditworthiness - - -

(17) Unutilised credit card lines - - -

(18) Off-balance sheet items for securitisation exposures - - -

Total 14 - 7 2

Citibank Berhad



37

5. Securitisation

At present, Citibank Berhad does not have any exposures to securitisation transactions. Hence, this disclosure is not applicable.

6. Equity Exposures in the Banking Book

Investments in equity instruments are categorised as investments securities in the financial statements. These equity

instruments are measured at fair value through profit or loss (“FVTPL”) with effective 1 January 2018.

Realised gains arising from sales and liquidations of equities in the reporting period is as follows:

There are no unrealised gains or losses in the reporting period.

The following table shows an analysis of equity investments by appropriate equity groupings and Risk-Weighted Assets as at

the period end:

7. Interest Rate Risk/Rate of Return Risk in the Banking Book (IRR/RORBB)

Interest rate risk in banking book arises from both interest bearing and non-interest bearing assets and liabilities. Interest rate

risk is monitored on a daily basis within the approved limits framework set by the Regional Market Risk Management and

considers changes of economic value per 1% interest rate increase for each currency as an index for internal control.

Assets and liabilities, which are contractual in nature, are monitored up to the re-pricing tenors. Consumer loans having long

term re-pricing exposures are subjected to prepayment assumptions based on historical studies on customer early payout

behavior. Non-interest bearing and perpetual products, e.g. current/saving accounts, credit cards, ready credit, are monitored

for interest rate risk on core balances. The core balances are computed based on statistical regression analysis.

Potential interest rate risk in banking book is monitored through interest rate exposure from movement in interest rates. An

increase in interest rate exposure at each major currency level for the banking book is as tabled below. A decrease in interest

rate across these currencies with all other variables held constant would have an equal but opposite effect.

Impact on Positions as at 30 Jun 2019 Impact on Positions as at 31 Dec 2018

± 100 bps (Parallel Shift) ± 100 bps (Parallel Shift)

Currency

Increase / (Decline)

in Earnings


in Economic Value


in Earnings


in Economic Value

RM’000 RM’000 RM’000 RM’000

MYR 40,150 100,638 37,683 126,468

USD (11,986) (43,952) (11,489) (43,858)

Others 7,788 (8,203) 4,422 (8,074)

Jun 2019

RM’000

Dec 2018

RM’000

Realised gain / (loss) 2 -

31 Dec 2019 31 Dec 2018

Credit Risk

Exposures

RM’000

Credit Risk

Exposures

RM’000

Credit Risk

Exposures

RM’000

RWA

RM’000

Privately held

- For socio-economic purposes 13,032 13,032 13,102 13,102

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