March 12 - Standard Chartered Bank

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Risk review and disclosures under Basel II Framework for the year ended 31 March 2012 Regulatory capital approach As per the provisions of the Basel II framework, all banks have to mandatorily adopt SA for capital treatment of securitisation transactions. This approach requires use of external rating agencies for risk weighting securitisation exposures. The credit rating agencies used by the Bank for these types of exposures are those recognised by the RBI (refer section 6.9 above). Quantitative Disclosures 6.11.1. Banking Book a) The outstanding exposures securitised by the Bank as on 31 March 2012: Rs. 3,625,171 (Previous Year: Rs. 4,971,141). b) Securitisation losses recognised by the Bank during 2011-12 (Rs. in 000s) Exposure Type Underlying Security Losses Outstanding Corporate Loans - - Year 2010-11 (Rs. in 000s) Exposure Type Underlying Security Losses Outstanding Personal Loans (sale without recourse) 246,690 541 c) Assets intended to be securitised within a year – NIL (Previous Year: NIL). The securitisation transactions are undertaken on a need basis to meet the objectives as disclosed above. d) The total amount of exposures securitised with unrecognised gain / (loss) As at 31 March 2012 (Rs. in 000s) Exposure Type Outstanding Unrecognised gain /(loss) Housing Loans 3,534,271 60,045 Corporate Loans 90,900 45 As at 31 March 2011 (Rs. in 000s) Exposure Type Outstanding Unrecognised gain /(loss) Housing Loans 4,724,451 77,513 Corporate Loans 246,690 289 e) Securitisation exposures retained or purchased As at 31 March 2012 (Rs. in 000s) Exposure Type On Balance Sheet Off Balance Sheet Housing Loans 755,104 1,328,508 Vehicle Loans - - 755,104 1,328,508 24
Risk review and disclosures under Basel II Framework for the year ended 31 March 2012 As at 31 March 2011 (Rs. in 000s) Exposure Type On Balance Sheet Off Balance Sheet Housing Loans 755,104 1,328,508 Vehicle Loans 194,277 Total 755,104 1,522,785 f) Aggregate amount of securitisation exposures retained or purchased and the associated capital charges As at 31 March 2012 (Rs. in 000s) Exposure Type 100% risk Total weight weight weight Vehicle Loans - - - - Capital Charge - - - - As at 31 March 2011 (Rs. in 000s) Exposure Type 100% risk Total weight weight weight Vehicle Loans 194,277 - - 194,277 Capital Charge 8,742 - - 8,742 g) Securitisation exposures deducted from capital As at 31 March 2012 (Rs. in 000s) Exposure Type Exposures deducted entirely from Tier-1 capital Credit enhancing I/Os deducted from total capital Other exposures deducted from total capital Housing Loans - - 2,083,612 As at 31 March 2011 (Rs. in 000s) Exposure Type Exposures deducted entirely from Tier-1 capital Credit enhancing I/Os deducted from total capital Other exposures deducted from total capital Housing Loans - - 2,083,612 6.11.2. Trading Book a) There are no outstanding exposures securitised for which the Bank has retained any exposure which is subject to Market Risk. b) Securitisation exposures retained or purchased – On Balance Sheet and Off Balance Sheet. As at 31 March 2012 (Rs. in 000s) Exposure Type On Balance Sheet Off Balance Sheet Vehicle Loans 20,103,014 - SME Loans 5,436,505 - Total 25,539,519 - 25
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March 12 - Standard Chartered Bank

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