INDIA
4. Disclosures for Credit Risk: Portfolios subject to Standardised approach
Qualitative Disclosures
Currently based on our clientele, ratings of the following agencies have been used i.e. CARE, CRISIL, India Ratings and Research Private Ltd., ICRA, Brickwork, SME Rating Agency Pvt Ltd SMERA, Standards Poors, Moody’s and Fitch for all exposures. The
Bank assigns Long term credit ratings accorded by the chosen credit rating agencies for assets which have a contractual maturity of more than one year. However, in accordance with RBI guidelines, the Bank classiies all cash credit exposures as long term exposures
and accordingly the long term ratings accorded by the chosen credit rating agencies are assigned. Currently the Bank uses issuer ratings. In accordance with RBI guidelines, for risk-weighting purposes, short-term ratings are deemed to be issue-speciic.
Quantitative Disclosures
Categorization of Advances outstanding net of provisions classiied on the basis of Risk Weightage is provided below:
Particulars 31st March 14
100 Risk Weight 72,656,090
100 Risk Weight 43,711,701
100 Risk Weight 35,180,578
Total 151,548,369
5. Disclosures for Credit Risk Mitigation on Standardised approach
Qualitative Disclosures
This is detailed in our policy on Credit Risk Mitigation techniques and Collateral Management.
Quantitative Disclosures
As of 31st March 2014, the Bank has not availed of Credit Mitigation techniques.
6. Disclosure on Securitisation for Standardised approach
Objective:
DBS Bank’s primary objective of investment in securitisation transactions is to meet its Priority Sector Lending requirement.
Key Risks Involved Credit Risk
● Rise in default rates in the underlying portfolios. ● Adequacy of credit enhancement to cover default risk in the pool portfolio.
● Deteriorating inancial performance of the originator or default by originator.
Prepayment Risk
● Rise in prepayment rates due to fall in rate of interest rates or rise in income levels of the borrowers.
Market Risk
● Fall in credit rating of the PTC issue will result in decline in the market value of the PTC security. ● Downgrade in rating of ServicerOriginator will result in decline in the market value of the PTC security.
● High utilisation of credit enhancements will result in decline in the market value of the PTC security.
Liquidity Risk
● Drying up of liquidity in the PTC market will make it dificult for the bank to sell the investments in case of high credit, market or comingling risk. In such a situation, there would be a high cost involved, if we were to exit the position.
Comingling Risk
● The loan payments are paid directly by the obligors to the servicer at the end of each month. The servicer keeps the payments before the payout date of the PTC notes which exposes the monthly collections to comingling risk.
● There are also other risks which include performance risk of the collection and processing agent, and regulatory and legal risk.
Roles played by the Bank
As part of the securitsation programme, DBS Bank has played the role of an investor i.e. acquiring investment grade securitised debt instruments backed by inancial assets originated by third parties.
Basel III: Pillar 3 Disclosures as at 31 March 2014
Currency: Indian rupees in thousands
INDIA
Basel III: Pillar 3 Disclosures as at 31 March 2014
Currency: Indian rupees in thousands
6. Disclosure on Securitisation for Standardised approach Continued
