Annual Report - Ahli United Bank

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Annual Report - Ahli United Bank

Pillar III Disclosures - Basel II (Contd.)3. CREDIT RISK MANAGEMENT (continued)TABLE - 2 GROSS CREDIT RISK EXPOSURES SUBJECT TO CREDIT RISK MITIGANTS (CRM)As atAverage31 December monthly2009 balanceUS$ ’000 US$ ’000Balances with central banks 289,533 262,723Treasury bills and bonds 969,114 1,225,853Deposits with banks and other financial institutions 3,100,446 3,680,275Loans and advances 13,299,999 13,087,787Non-trading investments 3,481,447 3,167,167Other assets 419,247 531,440TOTAL FUNDED EXPOSURES 21,559,786 21,955,245Contingent liabilities 1,689,193 1,603,631Undrawn loan commitments 892,493 920,402TOTAL UNFUNDED EXPOSURES 2,581,686 2,524,033TOTAL CREDIT RISK EXPOSURE 24,141,472 24,479,278The gross credit exposures reported above are as per the consolidated balance sheet as reduced by exposures which do not carrycredit risk.Under the CBB Basel II Guidelines, banks may choose between two options when calculating credit risk mitigation capital relief. Thesimple approach which substitutes the risk weighting of the collateral for the risk weighting of the counterparty or the comprehensiveapproach whereby the exposure amount is adjusted by the actual value ascribed to the collateral. The Bank has selected to use thecomprehensive method where collateral is in the form of cash or bonds or equities. The Bank uses a range of risk mitigation toolsincluding collateral, guarantees, credit derivatives, netting agreements and financial covenants to reduce credit risk.TABLE - 3 ELIGIBLE FINANCIAL COLLATERAL AND GUARANTEESGrossEligibleexposureCRMUS$ ’000 US$ ’000Claims on sovereigns 2,443,370 -Claims on public sector entities 893,358 184,326Claims on banks 5,409,967 75,274Claims on corporates 10,512,542 1,535,934Regulatory retail exposures 2,076,314 48,981Residential retail exposures 719,411 -Equity 192,276 -Investments in funds 224,870 -Other exposures 1,282,131 22,577TOTAL 23,754,239 1,867,092The gross exposure in the above table represents the on and off balance sheet credit exposures before credit risk mitigation,determined in accordance with the CBB issued Pillar III guidelines. The off balance sheet exposures are computed using the relevantconversion factors.110 AUB Annual Report 2009

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