Sale and Transfer to/from HTM
Category
One time transfer of securities to / from HTM category with the approval of Board of Directors permitted to be undertaken by banks at the beginning of the accounting year : ' 689.11 cr
Sales to the Reserve Bank of India under pre announced
OMO auctions : ' 957.71cr Repurchase of Government Securities by Government of India from banks : ' 559.40 cr Sale of securities or transfer to AFS / HFT consequent to the reduction of ceiling on SLR securities under HTM at the beginning of January, July and September 2015, in addition to the shifting permitted at the beginning of the accounting year, i.e. April 2015 : NIL
3. DERIVATIVES
3.1 Forward Rate Agreement/Interest Rate Swap (' in crores)
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Particulars
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2015-16
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i)
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The notional principal of swap agreements
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Nil
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ii)
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Losses which would be incurred if counter parties failed to fulfill their obligations under the agreements
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Nil
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iii)
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Collateral required by the bank upon entering into swaps
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Nil
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iv)
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Concentration of credit risk arising from the swaps
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Nil
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v)
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The fair value of the swap book
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Nil
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PRICING OF INTER-SEGMENTAL TRANSFERS:
Corporate / Wholesale banking and Retail Banking Operations Segment are the primary resource mobilising units. The Treasury segment is a recipient of funds from these operations apart from resource mobilised by treasury segment from REPO, CBLO, Call Money, IBTM and Export credit refinance. The cost of funds mobilised by treasury from corporate / wholesale banking and retail banking is computed at the cost
of deposits of Corporate / Wholesale Banking and Retail banking. Pricing of Inter Segmental transfer in Treasury is reduced from the operating profit of Treasury Segment and added to the Operating Profit of Corporate / Wholesale banking in the ratio of deposits allocated to these segments.
REVENUE:
All income relating to T reasury Operations are considered under Treasury operations segment. All interest for all borrowal accounts with exposures above '5crore are classified as Corporate/ Wholesale Banking segment. The balance interest is treated as relating to retail banking segment. The other interest income/other income is allocated under Corporate/Wholesale and Retail Banking segments in the ratio of total
income of these segments (excluding other interest income/other income and
interest segment revenue).
ALLOCATION OF EXPENSES:
Expenses incurred at Corporate Centre establishment directly attributable to Treasury Operations are allocated accordingly. As regards Corporate/ Wholesale and retail banking segment interest paid on deposits is segregated to these segments in the ratio of deposits to these segments (deposits are allocated on the basis of outstanding advances pertaining to these segments). Employees’ expenses are allocated
to the Treasury segment in proportion to the number of employees of that segment to the total employees of the Bank. Other interest paid, provisions relating to employees and other operative expenditure for Corporate/Wholesale and Retail Banking segment are allocated based on the income earned by these segments (excluding inter segmental revenue). Interest paid on Tier I/ Tier II/ Subordinated bonds are classified as
‘Unallocated’.
SEGMENT ASSETS:
All assets which are directly attributable to treasury operations are considered for Treasury Operations Segment. All outstandings in advance accounts for borrowers with exposures above '5crores is considered as assets pertaining to Corporate/Wholesale Banking segment. Other outstanding in advances segments is shown as pertaining to Retail Banking Segment. All other assets are segregated and added to the segment advances pertaining to Corporate/Wholesale and Retail Banking segment in the ratio of outstanding balances of advances in these segments.
SEGMENT LIABILITIES:
All liabilities which are directly attributable to Treasury Operations segment are allocated accordingly. Other deposits are allocated and segregated for Corporate/ Wholesale segment in the ratio of outstanding balances of advances for the respective segments. With regard to other liabilities, provisions and contingencies, the allocation to Corporate/Wholesale and Retail Banking segments are made on the basis of the outstanding balances of advances under these segments. Tier I/Tier I I/Subordinated bonds are classified as 'Unallocated'.
Qualitative disclosure around
LCR:
Reserve Bank of India had issued LCR reporting and monitoring guidelines on June 9, 2014 vide circular No.DBOD. BP. B.C.No.120/21. 04.098/201 3-14, giving new guidelines on LCR, Risk Monitoring Tools and LCR Disclosure standards effective from Jan 1, 2015.
These guidelines are issued under Basel-III framework.RBI wants 'Banks to maintain an adequate level of unencumbered high quality liquid assets (HQLAs) that can be converted into cash to meet its liquidity needs for a 30 calendar day time horizon under severe liquidity stress scenario.
The HQLAs are categorized into Level and Level 2 assets and sub-divided into Level 2A and Level 2B assets on the basis of their price-volatility as under. Level 1 assets of banks would comprise of the following and these assets can be included in the stock of liquid assets
without any limit as also without applying any haircut:
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Cash including cash reserves in excess of required CRR.
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Government securities in excess of the minimum SLR requirement. Within the mandatory SLR requirement, Government securities
to the extent allowed by RBI, under Marginal Standing Facility (MSF) @ 2% on NDTL and facility to avail another 8% of NDTL under FALLCR as per RBI circular DBR.BP.BC. No.77/21.04.098/2015-16 dated 11.02.2016.
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Marketable securities issued or guaranteed by foreign sovereigns, satisfying all the conditions referred in RBI circular.
Level 2 assets (comprising Level 2A assets and Level 2B assets) can be included in the stock of liquid assets, subject to the requirement that they comprise no more than 40% of the overall stock of HQLAs after haircuts have been applied. The portfolio of Level assets held by the bank should be well diversified in terms of type of assets, type of issuers and specific counterparty or issuer.
Total net cash outflows:
The total net cash outflows is defined as the total expected cash outflows minus total expected cash inflows for the next 30 calendar days LCR is the ratio of stock of high quality liquid assets (HQLAs) to Total Net Cash Outflows (TNCO) over next 30 days period expressed in percentage. 13. The figures of the previous years have been regrouped/re-arranged, wherever considered necessary.
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