BASEL II PILLAR 3 REPORT FOR THE FINANCIAL PERIOD ENDED … · ALLIANCE INVESTMENT BANK BERHAD 197401004393 (21605-D) BASEL II PILLAR 3 REPORT FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER

BASEL II PILLAR 3 REPORT

FOR THE FINANCIAL PERIOD ENDED 30 SEPTEMBER 2019

ALLIANCE INVESTMENT BANK BERHAD

197401004393 (21605-D)

CONTENTS PAGE

1.0 Scope of Application 1

2.0 Capital 2 - 7

2.1 Capital Adequacy Ratios 3

2.2 Capital Structure 3

2.3 Risk-Weighted Assets and Capital Requirements 4 - 7

3.0 Credit Risk 8 - 32

3.1 Distribution of Credit Exposures 8 - 13

3.2 Loans, Advances and Financing Analysis 14 - 15

3.3 Past Due but Not Impaired Loans, Advances and Financing Analysis 16

3.4 Impaired Loans, Advances and Financing and

Allowance for Expected Credit Losses Analysis 17 - 19

3.5 Assignment of Risk Weights for Portfolios

Under the Standardised Approach 20 - 27

3.6 Credit Risk Mitigation 28 - 31

3.7 Off-Balance Sheet Exposures and Counterparty Credit Risk 32

4.0 Market Risk 33

5.0 Equity Exposures in Banking Book 34

6.0 Interest Rate Risk/Rate of Return Risk in the Banking Book 35

7.0 Shariah Governance Disclosures 36 - 37


197401004393 (21605-D)

BASEL II PILLAR 3 REPORT

FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER 2019

Overview

1.0 Scope of Application

The Group's Pillar 3 Disclosure is governed by the Bank's Pillar 3 Disclosure. This policy outlines the minimum disclosure standards, approach for determining the appropriateness of information disclosed and internal controls over the disclosure process.

The Pillar 3 Disclosure was prepared on a consolidated basis and comprises information on AllianceInvestment Bank Berhad ("the Bank"), its subsidiaries, associate companies and joint venture. The Groupoffers Conventional and Islamic banking services. The latter includes accepting deposits and providingfinancing under Shariah principles via Islamic window. The Islamic Banking portion is not material and theBank does not use Profit-Sharing Investment Account as a risk absorbent mechanism.

The basis of consolidation for the use of regulatory capital purposes is similar to that for financialaccounting purposes. Investments in subsidiaries, associate companies and joint venture are deductedfrom regulatory capital.

There were no significant restrictions or other major impediments on transfer of funds or regulatory capitalwithin the Group.

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

The capital adequacy information was computed in accordance with BNM's Capital Adequacy Framework.The Group has adopted the Standardised Approach for credit risk and market risk; and the Basic IndicatorApproach for operational risk.

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2.0 Capital

(i)

(ii)

(iii)

The capital management of Alliance Investment Bank and its subsidiaries is under the purview of the Alliance

Bank Group's capital management with the objectives:

To maintain sufficient capital to meet the regulatory capital requirements as set forth by BNM;

To maintain sufficient capital to support the Group’s risk appetite and facilitate future business growth; and

To meet the expectations of key stakeholders, including shareholders, investors, regulators and rating agencies.

In line with this, the Group aims to maintain capital adequacy ratios that are above the regulatory requirements, while

balancing shareholders’ desire for sustainable returns and prudential standards.

The Group carries out stress testing to estimate the potential impact of extreme but plausible events on the Group’s

earnings, balance sheet and capital. The results of the stress tests are to facilitate the formulation of contingency

plan(s) where warranted. The results of the stress tests are tabled to the Group Risk Management Committee for

approval.

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2.0 Capital (cont’d.)

2.1 Capital Adequacy Ratios

The capital adequacy ratios of the Bank and the Group are as follows:

30 September 31 March 30 September 31 March

2019 2019 2019 2019

Before deducting proposed dividends

CET I capital ratio 85.346% 78.200% 85.570% 78.128%

Tier I capital ratio 85.346% 78.200% 85.570% 78.128%

Total capital ratio 86.331% 79.196% 86.556% 79.121%

After deducting proposed dividends

CET I capital ratio 85.346% 78.200% 85.570% 78.128%

Tier I capital ratio 85.346% 78.200% 85.570% 78.128%

Total capital ratio 86.331% 79.196% 86.556% 79.121%

2.2 Capital Structure

30 September 31 March 30 September 31 March

2019 2019 2019 2019

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

CET I Capital

Paid-up share capital 365,962 365,962 365,962 365,962

Retained profits 246,014 251,616 244,987 250,537

FVOCI reserves 29,624 11,672 29,624 11,672

Regulatory reserves 9,311 8,539 9,311 8,539

650,911 637,789 649,884 636,710

Less: Regulatory adjustments

- Goodwill and other intangibles (31,149) (36,730) (28,059) (33,639)

- 55% of FVOCI reserves (16,293) (6,420) (16,293) (6,420)

- Investment in subsidiaries - Investment in subsidiaries, and associates associate and joint venture (624) (624) (1,133) (1,082)

- Regulatory reserves (9,311) (8,539) (9,311) (8,539) - Additional Tier 1 Sukuk Wakalah (60,000) (100,000) (60,000) (100,000)

Total CET I Capital /

Total Tier I Capital 533,534 485,476 535,088 487,030

Tier II Capital

Expected credit losses*

and regulatory reserves 6,159 6,183 6,164 6,188

Total Tier II Capital 6,159 6,183 6,164 6,188

Total Capital 539,693 491,659 541,252 493,218

* Expected credit loss for stage 1 and stage 2 only.

GROUPBANK

BANK GROUP

The following tables present the components of Common Equity Tier I ("CET I"), Tier I and Tier II capital.

The Bank's and Group's capital ratios have complied with the prescribed capital adequacy ratio under BNM's

Capital Adequacy Framework.

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2.3 Risk-Weighted Assets ("RWA") and Capital Requirements

Regulatory Capital Requirements

The following tables present the minimum regulatory capital requirement of the Bank and the Group:

Risk-

BANK Gross Net Weighted Capital

30 September 2019 Exposures Exposures Assets Requirements

Exposure Class RM'000 RM'000 RM'000 RM'000

(i) Credit Risk

On-balance sheet exposures:

Sovereigns/Central banks 713,603 713,603 - -

Public Sector Entities 30,804 30,804 6,161 493

Banks, Development Financial

Institutions ("DFIs") and

Multilateral Development Banks 125,895 125,895 23,819 1,906

Corporates 1,046,090 780,030 285,421 22,834

Regulatory retail 6,876 1,679 1,260 101

Other assets 66,146 66,146 53,471 4,278

Equity exposures 64,392 64,392 64,392 5,151

Defaulted exposures 4,459 4,459 2,317 185

Total on-balance sheet exposures 2,058,265 1,787,008 436,841 34,948

Off-balance sheet exposures:

Credit-related off-balance

sheet exposures 85,349 56,585 55,905 4,472

Defaulted exposures - - - -

Total off-balance sheet exposures 85,349 56,585 55,905 4,472

Total on and off-balance sheet exposures 2,143,614 1,843,593 492,746 39,420

(ii) Market Risk (Note 4.0)

Interest rate risk - -

Foreign currency risk - -

Option risk - -

Total - -

(iii) Operational Risk - - 132,396 10,592

Total 2,143,614 1,843,593 625,142 50,012

Long Short

Position Position

- -

- -

- -

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2.3 RWA and Capital Requirements (cont’d.)

Regulatory Capital Requirements (cont’d.)

Risk-

GROUP Gross Net Weighted Capital



(i) Credit Risk







Corporates 1,046,090 780,030 285,421 22,834


Other assets 66,272 66,272 53,597 4,288


Defaulted exposures 4,460 4,460 2,317 185




sheet exposures 85,349 56,585 55,905 4,472







Option risk - -

Total - -


Total 2,144,603 1,844,581 625,323 50,026

The following tables present the minimum regulatory capital requirement of the Bank and the Group (contd.):

Long Short

Position Position

- -

- -

- -

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Risk-

BANK Gross Net Weighted Capital

31 March 2019 Exposures Exposures Assets Requirements


(i) Credit Risk







Corporates 975,134 698,207 270,556 21,644


Other assets 86,259 86,259 85,727 6,858


Defaulted exposures 2 2 2 -




sheet exposures 98,475 65,990 40,387 3,231







Option risk - -

Total - -


Total 2,089,566 1,774,728 620,814 49,665


Long Short

Position Position

- -

- -

- -

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Risk-

GROUP Gross Net Weighted Capital



(i) Credit Risk







Corporates 975,134 698,207 270,556 21,645


Other assets 86,385 86,385 85,853 6,868


Defaulted exposures 2 2 2 -

Total off-balance sheet exposures 1,992,079 1,709,726 454,691 36,375



sheet exposures 98,475 65,990 40,387 3,231







Option risk - -

Total - -


Total 2,090,554 1,775,716 623,372 49,870

Note:


Under Islamic Banking, the Group does not use Profit-sharing Investment Account ("PSIA") as a risk absorbent

mechanism.

The Bank and the Group do not have exposure to any Large Exposure Risk for equity holdings as specified under

BNM's Guidelines on Investment in Shares, Interest-in-Shares and Collective Investment Schemes.

Long Short

Position Position

- -

- -

- -

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3.0 Credit Risk

3.1 Distribution of Credit Exposures

(a) Geographical Distribution

BANK Northern Central Southern Total

30 September 2019 RM'000 RM'000 RM'000 RM'000

Cash and short-term funds - 29,519 - 29,519

Amounts due from clients and brokers 12,088 39,057 3,030 54,175

Financial assets at fair value through

profit or loss - - - -

Financial investments at fair value

through other comprehensive income - 1,400,906 - 1,400,906

Financial investments at amortised cost - 24,715 - 24,715

Loans, advances and financing 37,779 415,235 27,295 480,309

Statutory deposits with

Bank Negara Malaysia - 47,416 - 47,416

Total on-balance sheet 49,867 1,956,848 30,325 2,037,040

Credit related commitments

and contingencies 35,169 233,675 33,530 302,374

Total off-balance sheet 35,169 233,675 33,530 302,374

Total credit exposure 85,036 2,190,523 63,855 2,339,414

GROUP Northern Central Southern Total





profit or loss - - - -












Geographical region

Geographical region

The following tables represent the Bank's and the Group's major types of gross credit exposure by geographical

distribution. Exposures are allocated to the region in which the branch is located and are disclosed before taking

into account of any collateral held or other credit enhancements and after allowance for impairment, where

appropriate.

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3.0 Credit Risk (cont’d.)

3.1 Distribution of Credit Exposures (cont’d.)

(a) Geographical Distribution (cont’d.)

BANK Northern Central Southern Total

31 March 2019 RM'000 RM'000 RM'000 RM'000


Deposits and placements with banks

and other financial institutions - 500 - 500






Statutory deposits with -







GROUP Northern Central Southern Total

31 March 2019 RM'000 RM'000 RM'000 RM'000



and other financial institutions - 500 - 500


Financial investments at fair value -











Geographical region

Geographical region

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(b) Industry Distribution

Financial, Agriculture,

Government Insurance, Transport, Manufacturing,

& Central Business Services Storage & Wholesale &

Bank & Real Estate Communication Retail Trade Construction Household Others Total

BANK RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000

30 September 2019

Cash and short-term funds 42 29,477 - - - - - 29,519


and other financial institutions - - - - - - - -

Amounts due from clients and brokers - 15,844 - - - - 38,331 54,175


profit or loss - - - - - - - -

Financial investments at fair value through

other comprehensive income 531,456 526,481 206,675 79,580 56,714 - - 1,400,906

Financial investments at amortised cost 20,307 4,408 - - - - - 24,715

Loans, advances and financing - 143,641 - 44,431 53,062 191,523 47,652 480,309

Statutory deposits with Bank Negara Malaysia 47,416 - - - - - - 47,416

Total on-balance sheet 599,221 719,851 206,675 124,011 109,776 191,523 85,983 2,037,040


and contingencies - 105,735 - 1,600 20,621 170,153 4,265 302,374

Total off-balance sheet - 105,735 - 1,600 20,621 170,153 4,265 302,374

Total credit exposure 599,221 825,586 206,675 125,611 130,397 361,676 90,248 2,339,414

GROUP

30 September 2019



and other financial institutions - - - - - - - -

Amounts due from clients and brokers - 15,844 - - - - 38,331 54,175


profit or loss - - - - - - - -



Financial investments at amortised cost 20,307 4,408 - - - - - 24,715








The following tables represent the Bank's and the Group's major types of gross credit exposure by sector. The analysis is based on the sector in which the customers are engaged.

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(b) Industry Distribution (cont’d.)

Financial, Agriculture,

Government Insurance, Transport, Manufacturing,

& Central Business Services Storage & Wholesale &

Bank & Real Estate Communication Retail Trade Construction Household Others Total

BANK RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000

31 March 2019



and other financial institutions - 500 - - - - - 500

Amounts due from clients and brokers - 665 - - - - 76,343 77,008



Financial investments at amortised cost 20,343 8,214 - 25,273 - - - 53,830








GROUP

31 March 2019



and other financial institutions - 500 - - - - - 500

Amounts due from clients and brokers - 665 - - - - 76,343 77,008



Financial investments at amortised cost 20,343 8,214 - 25,273 - - - 53,830








The following tables represent the Bank's and the Group's major types of gross credit exposure by sector. The analysis is based on the sector in which the customers are engaged. (cont'd.)

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(c) Residual Contractual Maturity

Bank Up to 1 month >1-3 months >3-6 months >6-12 months >1 year Total

30 September 2019 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000

Cash and short-term funds 29,519 - - - - 29,519

Deposits and placements of banks

and other financial institutions - - - - - -

Amounts due from clients and brokers 54,175 - - - - 54,175


profit or loss - - - - - -


other comprehensive income 5,473 19,295 93,606 125,576 1,156,956 1,400,906

Financial investments at amortised cost - 20,307 16 - 4,392 24,715

Loans, advances and financing 87,895 163,823 - - 228,591 480,309

Statutory deposits with Bank Negara Malaysia - - - - 47,416 47,416

Total on-balance sheet 177,062 203,425 93,622 125,576 1,437,355 2,037,040

Group

30 September 2019



and other financial institutions - - - - - -



profit or loss - - - - - -



Financial investments at amortised cost - 20,307 16 - 4,392 24,715

Loans, advances and financing 87,895 163,823 - - 228,591 480,309


16a Total on-balance sheet 177,445 203,425 93,622 125,576 1,437,355 2,037,423

The following tables represent the residual contractual maturity for major types of gross credit exposure for on-balance sheet financial assets of the

Bank and the Group:

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(c) Residual Contractual Maturity (cont’d.)

Bank Up to 1 month >1-3 months >3-6 months >6-12 months >1 year Total

31 March 2019 RM'000 RM'000 RM'000 RM'000 RM'000 RM'000



and other financial institutions 500 - - - - 500




Financial investments at amortised cost 273 4,103 2,500 20,046 26,908 53,830

Loans, advances and financing 70,740 177,730 9,966 - 191,431 449,867



Group

31 March 2019



and other financial institutions 500 - - - - 500




Financial investments at amortised cost 273 4,103 2,500 20,046 26,908 53,830

Loans, advances and financing 70,740 177,730 9,966 - 191,431 449,867



The following tables represent the residual contractual maturity for major types of gross credit exposure for on-balance sheet financial assets of the

Bank and the Group (cont'd.):

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197401004393 (21605-D)


3.2 Loans, Advances and Financing Analysis

Total

12 months ECL Lifetime ECL

BANK/GROUP (Stage 1) (Stage 2)


Financial, insurance & business

services and real estate 143,641 - - 143,641

Agriculture, manufacturing, wholesale

& retail trade 44,430 - - 44,430

Construction 53,062 - 127 53,189

Household 191,279 157 453 191,889

Others 47,652 - - 47,652

480,064 157 580 480,801

Total



31 March 2019 RM'000 RM'000 RM'000 RM'000


services and real estate 145,509 - - 145,509

Agriculture, manufacturing, wholesale

& retail trade 49,485 - - 49,485

Construction 7,015 - 123 7,138

Household 199,888 95 430 200,413

Others 47,873 - - 47,873

449,770 95 553 450,418

(Stage 3)

(Stage 3)

Not-credit Impaired Credit Impaired

Lifetime ECL


Lifetime ECL

Loans, advances and financing by sector:

The following tables represent the Bank's and the Group's gross credit exposures by MFRS9 credit impairment

classification. Stage 1 exposures consist of performing accounts whilst Stage 2 exposures are performing accounts with

significantly increased in credit risk. When the exposures are credit impaired, the exposures will be transferred to Stage

3.

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3.2 Loans, Advances and Financing Analysis (cont'd)

Total




Northern region 37,779 - - 37,779

Central region 414,990 157 580 415,727

Southern region 27,295 - - 27,295

480,064 157 580 480,801

Total



31 March 2019 RM'000 RM'000 RM'000 RM'000

Northern region 46,993 - - 46,993

Central region 372,356 95 553 373,004

Southern region 30,421 - - 30,421

449,770 95 553 450,418

Not-credit impaired Credit impaired

Not-credit impaired Credit impaired

Lifetime ECL

(Stage 3)

Lifetime ECL

(Stage 3)

Loans, advances and financing by geographical region,:

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3.3 Past Due but Not Impaired Loans, Advances and Financing Analysis

BANK/GROUP BANK/GROUP

30 September 31 March

2019 2019

RM'000 RM'000

Household 157 95

Past due but not impaired loans, advances and financing analysed by significant geographical areas:

BANK/GROUP BANK/GROUP


2019 2019

RM'000 RM'000

Central region 157 95

Past due but not impaired loans, advances and financing are loans where the customers have failed to makea principal and/or interest payment when contractually due, and include loans which are due one or moredays after the contractual due date but not more than 3 months. For loans that are structured to pay principaland / or interest at quarterly interval or longer, a default of payment will trigger an impairment immediately.Under MFRS9, exposures more than 30 days past due are transferred to Stage 2.

The following tables represent the past due but not impaired loans, advances and financing analysed bysector:

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3.4 Impaired Loans, Advances and Financing and Allowance for Expected Credit Losses Analysis

Impaired loans, advances and financing analysed by sectors:


2019 2019

RM'000 RM'000

3.3d Construction 127 123

3.3e Household 453 430

580 553

Allowance for expected credit losses on loans, advances and financing analysed by sectors:

3.3g

3.3k

BANK/GROUP

ECL

Credit Impaired charged/

12 months Lifetime Lifetime (write-back) Stage 3

ECL ECL ECL for the write-off

(Stage 1) (Stage 2) (Stage 3) period (net) for the period

BANK/GROUP RM'000 RM'000 RM'000 RM'000 RM'000

30 September 2019


services and real estate 110 - - - -

Agriculture, manufacturing,

wholesale & retail trade 66 - - - -

Construction 71 - 127 4 -

Household 47 - 365 (63) (1)

Others 105 - - - -

399 - 492 (59) (1)

ECLCredit Impaired charged/

12 months Lifetime Lifetime (write-back) Stage 3

ECL ECL ECL for the write-off

(Stage 1) (Stage 2) (Stage 3) year (net) for the year

BANK/GROUP RM'000 RM'000 RM'000 RM'000 RM'000

31 March 2019


services and real estate 207 - - - -

Agriculture, manufacturing,

wholesale & retail trade 111 - - - -

Construction - - 123 (46) -

Household 32 - 429 (478) (8)

Others 162 - - - -

512 - 552 (524) (8)

Not-credit Impaired

Not-credit Impaired

Impaired loans, advances and financing are exposures where the customers have failed to make a

principal and/ or interest payment for more than 3 months. In addition, where customers are deemed

incapable of continuing repayment obligations, the exposures will be judgmentally impaired. Where

exposures are restructured or rescheduled due to increase in credit risk, the exposures are also classified

as impaired.

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3.4 Impaired Loans, Advances and Financing and Allowance for Expected Credit Losses Analysis

(cont’d.)

Credit Impaired

Impaired 12 months Lifetime Lifetime

loans, advances ECL ECL ECL

BANK/GROUP and financing (Stage 1) (Stage 2) (Stage 3)


Northern region - 46 - -

Central region 580 353 - 492

3.3n 580 399 - 492

Credit Impaired

Impaired 12 months Lifetime Lifetime

loans, advances ECL ECL ECLBANK/GROUP and financing (Stage 1) (Stage 2) (Stage 3)

31 March 2019 RM'000 RM'000 RM'000 RM'000

Northern region - 32 - -

Central region 553 480 - 552

553 512 - 552

Not-credit Impaired

Not-credit Impaired

Allowance for expected credit losses analysed by significant geographical areas:

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3.4 Impaired Loans, Advances and Financing and Allowance for Expected Credit Losses Analysis (cont'd.)

Movements in the allowance for expected credit losses on loans, advances and financing are as follows:

Total


(Stage 1) (Stage 2)

BANK/GROUP RM'000 RM'000 RM'000 RM'000

At 1 April 2019 512 - 552 1,064

Transfer to Stage 1 - - - -

Transfer to Stage 2 - 1 (103) (102)

Transfer to Stage 3 - (1) - (1)

New financial assets originated or purchased 97 - - 97

Financial assets derecognised other than write-off - - - -

Changes due to change in credit risk (210) - 44 (166)

Total write-back to income statement (113) - (59) (172)

Write off - - (1) (1)

At the end of financial period 399 - 492 891

Total


(Stage 1) (Stage 2)

BANK/GROUP RM'000 RM'000 RM'000 RM'000

At 1 April 2018 619 11 1,084 1,714


Transfer to Stage 2 - 1 (2) (1)


New financial assets originated or purchased 558 - - 558

Financial assets derecognised other than write-off (218) - (6) (224)

Changes due to change in credit risk (447) (10) (516) (973)

Total write-back to income statement (107) (11) (524) (642)

Write off - - (8) (8)

At the end of financial year 512 - 552 1,064

Lifetime ECL

(Stage 3)

(Stage 3)

30 September 2019

31 March 2019


Lifetime ECL


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3.5 Assignment of Risk-Weights for Portfolios Under the Standardised Approach

Total

Banks, Exposures

BANK DFIs and after Total

30 September 2019 Sovereigns Public Multilateral Netting and Risk-

Risk- /Central Sector Development Regulatory Other Equity Credit Risk WeightedWeights Banks Entities Banks Corporates Retail Assets Exposures Mitigation Assets

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

0% 713,603 - 40,218 205,511 - - - 959,332 -

20% - 30,804 63,397 351,737 - 15,844 - 461,782 92,357

35% - - - - - - - - -

50% - - 22,279 19,790 - - - 42,069 21,035

75% - - - - 4,400 - - 4,400 3,300

100% - - - 261,228 - 50,302 64,392 375,922 375,922

150% - - - - 88 - - 88 132

Total exposures 713,603 30,804 125,894 838,266 4,488 66,146 64,392 1,843,593 492,746

Risk-weighted assets

by exposures - 6,161 23,819 341,471 3,432 53,471 64,392 492,746

Average risk-weight - 20% 19% 41% 76% 81% 100% 27%

Deduction from Capital

base - - - - - - - -

Exposures after netting and Credit risk mitigation

The following tables represent the credit exposures by risk-weights and after credit risk mitigation:

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3.5 Assignment of Risk-Weights for Portfolios Under the Standardised Approach (cont’d.)

Total

Banks, Exposures

GROUP DFIs and after Total

30 September 2019 Sovereigns Public Multilateral Netting and Risk-



0% 713,603 - 40,218 205,511 - - - 959,332 -

20% - 31,283 63,398 351,736 - 15,844 - 462,261 92,453

35% - - - - - - - - -

50% - - 22,662 19,790 - - - 42,452 21,227

75% - - - - 4,400 - - 4,400 3,300

100% - - - 261,228 - 50,428 64,392 376,048 376,048

150% - - - - 88 - - 88 131

Total exposures 713,603 31,283 126,278 838,265 4,488 66,272 64,392 1,844,581 493,159


by exposures - 6,257 24,011 341,470 3,432 53,597 64,392 493,159



base - - - - - - - -


The following tables represent the credit exposures by risk-weights and after credit risk mitigation (cont'd.):

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Total

Banks, Exposures

BANK DFIs and after Total

31 March 2019 Sovereigns Public Multilateral Netting and Risk-



0% 693,543 - 40,193 190,864 - - - 924,600 -

20% - 26,653 66,822 317,946 - 665 - 412,086 82,418

35% - - - - - - - - -

50% - - 34,768 14,861 - - - 49,629 24,815

75% - - - - 3,923 - - 3,923 2,942

100% - - - 238,110 2 85,594 60,784 384,490 384,490

150% - - - - - - - - -

Total exposures 693,543 26,653 141,783 761,781 3,925 86,259 60,784 1,774,728 494,665


by exposures - 5,331 30,748 309,131 2,944 85,727 60,784 494,665



base - - - - - - - -



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Total

Banks, Exposures

GROUP DFIs and after Total

31 March 2019 Sovereigns Public Multilateral Netting and Risk-



0% 693,543 - 40,193 190,864 - - - 924,600 -

20% - 27,132 66,822 317,946 - 665 - 412,565 82,513

35% - - - - - - - - -

50% - - 35,151 14,861 - - - 50,012 25,006

75% - - - - 3,923 - - 3,923 2,943

100% - - - 238,110 2 85,720 60,784 384,616 384,616

150% - - - - - - - - -

Total exposures 693,543 27,132 142,166 761,781 3,925 86,385 60,784 1,775,716 495,078


by exposures - 5,426 30,940 309,131 2,944 85,853 60,784 495,078



base - - - - - - - -



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BANK

30 September 2019

1,798

For the purpose of determining counterparty risk-weights, the Group uses external credit assessments from Rating

Agency Malaysia ("RAM"), Malaysian Rating Corporation ("MARC"), Standard and Poor's ("S&P"), Moody's, Fitch, and

Rating and Investment ("R&I" [See Note 1]). In the context of the Group's portfolio, external credit assessments are

mainly applicable to banks/financial institutions and rated corporations. The Group follows the process prescribed

under BNM's Capital Adequacy Framework to map the ratings to the relevant risk-weights. The ratings are monitored

and updated regularly to ensure that the latest and most appropriate risk-weights are applied in the capital computation.

The following tables show the rated credit exposures according to ratings by approved Eligible Credit Assessment

Institutions ("ECAIs"):

Total

Moody'sAaa to Aa3 /

P-1

A1 to A3 /

P-2

Baa1 to Ba3 /

P-3

B1 to C /

OthersUnrated

S&PAAA to AA- /

A-1

A+ to A- /

A-2

BBB+ to BB- /

A-3

B+ to D /

OthersUnrated

FitchAAA to AA- /

F1+, F1

A+ to A- /

A-2

BBB+ to BB- /

F3B+ to D Unrated

RAMAAA to AA3 /

P-1

A+ to A3 /

P-2

BBB1+ to BB3 /

P-3

B to D /

NPUnrated

MARCAAA to AA- /

MARC-1

A+ to A- /

MARC-2

BBB+ to BB- /

MARC-3

B+ to D /

MARC-4Unrated

R&IAAA to AA- /

a-1+, a-1

A+ to A- /

a-2

BBB+ to BB- /

a-3

B+ to D /

b, cUnrated

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

On and Off Balance-Sheet Exposures

(i) Exposures risk weighted using Sovereigns and

Central Banks rating

Sovereigns and Central Banks (See Note 2) - 713,604 - - - 713,604

Corporates - 205,511 - - - 205,511

Banks, DFIs and Multilateral Development Banks - 40,218 - - - 40,218

- 959,333 - - - 959,333

(ii) Exposures risk weighted using Banking

Institutions long term rating

Banks, DFIs and Multilateral Development Banks 15,583 29,326 1,311 - - 46,220

Exposures risk weighted using Banking

Institutions short term rating

Banks, DFIs and Multilateral Development Banks 39,458 - - - - 39,458

55,041 29,326 1,311 - - 85,678

(iii) Exposures risk weighted using Corporate

long term rating

Public Sector Entities 26,030 - - - 4,774 30,804

Corporates 351,736 15,419 - - 557,622 924,777

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

Exposures risk weighted using Corporate

short term rating

Public Sector Entities - - - - - -

Corporates - - - - - -


377,766 15,419 - - 562,396 955,581

Exposure Class

Ratings by Approved ECAIs*

24


197401004393 (21605-D)

GROUP

30 September 2019

Total

Moody'sAaa to Aa3 /

P-1

A1 to A3 /

P-2

Baa1 to Ba3 /

P-3

B1 to C /

OthersUnrated

S&PAAA to AA- /

A-1

A+ to A- /

A-2

BBB+ to BB- /

A-3

B+ to D /

OthersUnrated

FitchAAA to AA- /

F1+, F1

A+ to A- /

A-2

BBB+ to BB- /

F3B+ to D Unrated

RAMAAA to AA3 /

P-1

A+ to A3 /

P-2

BBB1+ to BB3 /

P-3

B to D /

NPUnrated

MARCAAA to AA- /

MARC-1

A+ to A- /

MARC-2

BBB+ to BB- /

MARC-3

B+ to D /

MARC-4Unrated

R&IAAA to AA- /

a-1+, a-1

A+ to A- /

a-2

BBB+ to BB- /

a-3

B+ to D /

b, cUnrated

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





Corporates - 205,511 - - - 205,511


- 959,333 - - - 959,333



Banks, DFIs and Multilateral Development Banks 15,583 29,709 1,311 - - 46,603




55,041 29,709 1,311 - - 86,061


long term rating


Corporates 351,736 15,419 - - 557,622 924,777



short term rating




377,766 15,419 - - 562,875 956,060

Exposure Class


25


197401004393 (21605-D)



The following tables show the rated credit exposures according to ratings by approved ECAIs (cont’d.):

BANK

31 March 2019

Total

Moody'sAaa to Aa3 /

P-1

A1 to A3 /

P-2

Baa1 to Ba3 /

P-3

B1 to C /

OthersUnrated

S&PAAA to AA- /

A-1

A+ to A- /

A-2

BBB+ to BB- /

A-3

B+ to D /

OthersUnrated

FitchAAA to AA- /

F1+, F1

A+ to A- /

A-2

BBB+ to BB- /

F3B+ to D Unrated

RAMAAA to AA3 /

P-1

A+ to A3 /

P-2

BBB1+ to BB3 /

P-3

B to D /

NPUnrated

MARCAAA to AA- /

MARC-1

A+ to A- /

MARC-2

BBB+ to BB- /

MARC-3

B+ to D /

MARC-4Unrated

R&IAAA to AA- /

a-1+, a-1

A+ to A- /

a-2

BBB+ to BB- /

a-3

B+ to D /

b, cUnrated

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





Corporates - 190,864 - - - 190,864


- 924,600 - - - 924,600



Banks, DFIs and Multilateral Development Banks 16,915 45,991 - - - 62,906




55,598 45,991 - - - 101,589


long term rating


Corporates 317,946 14,861 - - 544,714 877,521



short term rating




343,560 14,861 - - 545,754 904,175

Exposure Class


26


197401004393 (21605-D)

GROUP

31 March 2019

* Upper Range = Long Term Rating, Lower Range = Short Term Rating

Note:

Ratings by Approved ECAIs* Total

Moody'sAaa to Aa3 /

P-1

A1 to A3 /

P-2

Baa1 to Ba3 /

P-3

B1 to C /

OthersUnrated

S&PAAA to AA- /

A-1

A+ to A- /

A-2

BBB+ to BB- /

A-3

B+ to D /

OthersUnrated

FitchAAA to AA- /

F1+, F1

A+ to A- /

A-2

BBB+ to BB- /

F3B+ to D Unrated

RAMAAA to AA3 /

P-1

A+ to A3 /

P-2

BBB1+ to BB3 /

P-3

B to D /

NPUnrated

MARCAAA to AA- /

MARC-1

A+ to A- /

MARC-2

BBB+ to BB- /

MARC-3

B+ to D /

MARC-4Unrated

R&IAAA to AA- /

a-1+, a-1

A+ to A- /

a-2

BBB+ to BB- /

a-3

B+ to D /

b, cUnrated

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





Corporates - 190,864 - - - 190,864


- 924,600 - - - 924,600



Banks, DFIs and Multilateral Development Banks 16,915 46,374 - - - 63,289




55,598 46,374 - - - 101,972


long term rating


Corporates 317,946 14,861 - - 544,714 877,521



short term rating




343,560 14,861 - - 546,233 904,654

Exposure Class

Note 1: "R&I" rating is not recognised for Islamic debt securities.

Note 2 : The Federal Government and Central Bank of Malaysia are accorded 0% risk weight as provided under the

Capital Adequancy Framework.

There is no outstanding securitisation contract in the Bank and the Group that requires disclosure of ratings and short

term rating of securitisation by approved ECAIs.

27


197401004393 (21605-D)


3.6 Credit Risk Mitigation ("CRM")

Exposures Exposures

covered by covered by Exposures

guarantees/ eligible covered by

BANK Exposures credit financial other eligible

30 September 2019 before CRM derivatives collateral collateral


Credit Risk


Sovereigns/Central banks 713,603 - - -

Public Sector Entities 30,804 - - -

Banks, DFIs and Multilateral

Development Bank ("MDBs") 125,895 - - -

Corporates 1,046,090 - 266,059 -

Regulatory retail 6,876 - 5,197 -

Residential mortgages - - - -

Other assets 66,146 - - -

Equity exposures 64,392 - - -

Defaulted exposures 4,459 - - -

Total on-balance sheet exposures 2,058,265 - 271,256 -


Off-balance sheet exposures other

than OTC derivatives or credit

derivatives 85,349 - 28,764 -


Total off-balance sheet exposures 85,349 - 28,764 -

Total on and off-balance sheet

exposures 2,143,614 - 300,020 -

As a practical approach towards mitigating credit risk, the Group accepts a wide range of collaterals. Main types of

collateral acceptable to the Group include cash, guarantees, commercial and residential real estates, and physical

collateral/ financial collateral, e.g. motor vehicles or shares. Guarantees are accepted only when the financial standing

of the guarantors have been ascertained.

28


197401004393 (21605-D)


3.6 Credit Risk Mitigation ("CRM") (cont’d.)

Exposures Exposures



GROUP Exposures credit financial other eligible

30 September 2019 before CRM derivatives collateral collateral


Credit Risk





Development Banks 126,278 - - -

Corporates 1,046,090 - 266,059 -





Defaulted exposures 4,460 - - -





derivatives 85,349 - 28,764 -




exposures 2,144,603 - 300,020 -

29


197401004393 (21605-D)



Exposures Exposures



BANK Exposures credit financial other eligible

31 March 2019 before CRM derivatives collateral collateral


Credit Risk






Corporates 975,134 - 276,927 -





Defaulted exposures 2 - - -





derivatives 98,475 - 32,484 -




exposures 2,089,566 - 314,837 -

30


197401004393 (21605-D)



Exposures Exposures



GROUP Exposures credit financial other eligible

31 March 2019 before CRM derivatives collateral collateral


Credit Risk






Corporates 975,134 - 276,927 -





Defaulted exposures 2 - - -





derivatives 98,475 - 32,484 -




exposures 2,090,554 - 314,837 -

31


197401004393 (21605-D)


3.7 Off-Balance Sheet Exposures and Counterparty Credit Risk

Credit Risk-

Principal Equivalent Weighted

Amount Amount Assets

BANK/GROUP RM'000 RM'000 RM'000

30 September 2019

Credit-related exposures

Transaction-related contingent items 1,575 788 788

Irrevocable commitments to extend credit:

● maturity not exceeding 1 year 219,458 43,891 14,447

● maturity exceeding 1 year 1,341 670 670

Forward asset purchases - - -

Obligations under an on going underwriting agreement 80,000 40,000 40,000

302,374 85,349 55,905

BANK/GROUP

31 March 2019

Credit-related exposures

Transaction-related contingent items 1,575 788 788 Irrevocable commitments to extend credit:

● maturity not exceeding 1 year 248,047 49,610 16,522

● maturity exceeding 1 year - - -

Forward asset purchases 25,000 25,000 -

Obligations under an on going underwriting agreement 46,154 23,077 23,077

320,776 98,475 40,387

The off-balance sheet exposures and their related counterparty credit risk of the Bank and the Group are as follows:

Off-balance sheet exposures of the Bank and the Group are mainly from the commitments to extend credit including

the unutilised or undrawn portions of credit facilities.

The off-balance sheet exposures and their related counterparty credit risk of the Bank and the Group are as follows:

32


197401004393 (21605-D)

4.0 Market Risk

Regulatory capital requirements

30 September 2019 Risk-

Weighted Capital

Assets Requirements

RM'000 RM'000

Interest rate risk

● General interest rate risk - -

● Specific interest rate risk - -

- -

Option risk - -

31 March 2019

Interest rate risk

● General interest rate risk - -

● Specific interest rate risk - -

- -

Option risk - -

BANK/GROUP

The risk-weighted assets and capital requirements for the various categories of risk under market risk are as follows:

The Group enters into securitisation contract as an effort to transfer credit risk and for portfolio management. As at the

33


197401004393 (21605-D)

5.0 Equity Exposures in Banking Book

The following table shows the equity exposures in banking book:

BANK/GROUP Gross credit Risk-weighted Gross credit Risk-weighted

exposures assets exposures assets

Privately held

For socio-economic purposes 64,392 64,392 60,784 60,784

Gains and losses on equity exposures in the banking book

The table below present the gains and losses on equity exposures in banking book:

BANK/GROUP


2019 2019

Unrealised gains recognised in revaluation reserve

● Privately held equity investments 3,608 3,572

30 September 2019 31 March 2019

34


197401004393 (21605-D)

6.0 Interest Rate Risk/Rate of Return Risk in the Banking Book

30 September 2019 Bank Group

+ 100 bps + 100 bps

RM'000 RM'000

Impact on net interest income

Ringgit Malaysia (11,604) (11,600)

Impact on Economic Value


31 March 2019

Impact on net interest income


Impact on Economic Value


The following tables present the Bank's projected sensitivity to a 100 basis point parallel shock to interest rates across all

maturities applied on the Bank's interest sensitivity gap as at reporting date.

35


197401004393 (21605-D)

7.0 Shariah Governance Disclosures

Islamic Banking Business (Islamic window)

(a) Capital Adequacy Ratios

The capital adequacy ratios of the Islamic window are as follows:


2019 2019

Before deducting proposed dividends

CET I capital ratio 259.953% 90.655%

Tier I capital ratio 259.953% 90.655%

Total capital ratio 260.585% 90.655%

After deducting proposed dividends

CET I capital ratio 259.953% 90.655%

Tier I capital ratio 259.953% 90.655%

Total capital ratio 260.585% 90.655%


2019 2019

RM'000 RM'000

CET I Capital

Fund allocated from Head Office 56,000 56,000

Retained profits 57,490 57,489

FVOCI reserves 1,512 (4)

115,002 113,485

Less: Regulatory adjustment

- 55% of FVOCI reserves (832) -

- Deferred tax assets - (1)

- Additional Tier 1 Sukuk Wakalah (60,000) (100,000)

Total CET I Capital / Total Tier I Capital 54,170 13,484

Tier II Capital

Expected credit losses* 132 -

Total Capital Base 54,302 13,484

* Expected credit loss for stage 1 and stage 2 only.

BANK/GROUP

BANK/GROUP

The following tables present the components of Common Equity Tier I ("CET I"), Tier I and Tier II capital.

36


197401004393 (21605-D)

7.0 Shariah Governance Disclosures (cont’d.)

Islamic Banking Business (Islamic window) (cont’d.)

(b) Regulatory Capital Requirements

The following tables present the minimum regulatory capital requirement of the Bank:

Risk-

BANK/GROUP Gross Net Weighted Capital



(i) Credit Risk




Development Banks 9,622 9,622 2,318 185

Corporate 36,153 36,153 5,248 420

Other assets 4,768 4,768 4,768 381

Total on-balance sheet exposures 61,613 61,613 12,334 986



sheet exposures - - - -

Total off-balance sheet exposures - - - -

Total on and off-balance sheet exposures 61,613 61,613 12,334 986

(ii) Operational Risk - - 8,504 680

Total RWA and capital requirements 61,613 61,613 20,838 1,666

Risk-

BANK/GROUP Gross Net Weighted Capital



(i) Credit Risk


Sovereigns/Central banks 27 27 - -


Development Banks 10,995 10,995 2,213 177

Corporate - - - -

Other assets 4,757 4,757 4,757 381

Total on-balance sheet exposures 15,779 15,779 6,970 558


Credit-related off-balance sheet exposures - - - -

Total off-balance sheet exposures - - - -

Total on and off-balance sheet exposures 15,779 15,779 6,970 558

(ii) Operational Risk - - 7,904 632

Total RWA and capital requirements 15,779 15,779 14,874 1,190

37

Documents

BASEL II PILLAR 3 REPORT FOR THE FINANCIAL PERIOD ENDED … · ALLIANCE INVESTMENT BANK BERHAD 197401004393 (21605-D) BASEL II PILLAR 3 REPORT FOR THE FINANCIAL YEAR ENDED 30 SEPTEMBER