वित्तीय रिपोर्ट द्वितीय तिमाही 2023-24
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वित्तीय परिणामों की घोषणा सितम्बर 23-24
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Liquidity Coverage Ratio (LCR) Disclosure - Sept 2023
Liquidity Coverage Ratio (LCR) Disclosure - Sept 2023 (Rs in crs) Name of the Bank : Bank of Baroda Daily Averages of Q2 Ending Sept 2023 (Solo basis) Daily Averages of Q2 Ending Sept 2023 (Consolidated basis) Total Unweighted Value Total Weighted Value Total Unweighted Value Total Weighted Value High Quality Liquid Assets 1 Total High Quality Liquid Assets (HQLA) 2,55,246 2,57,911 Cash Outflows 2 Retail deposit and deposits from small business customers, of which: 7,17,718 67,793 7,39,455 69,758 (i) Stable Deposits 79,570 3,979 83,748 4,187 (ii) Less Stable Deposits 6,38,148 63,815 6,55,707 65,571 3 Unsecured wholesale funding, of which: 1,77,630 99,790 1,84,226 1,04,298 (i) Operational deposits (all counterparties) - - - - (ii) Non-operational deposits (all counterparties) 1,77,630 99,790 1,84,226 1,04,298 (iii) Unsecured debt - - - - 4 Secured wholesale Funding 55,514 - 55,514 - 5 Additional requirements, of which 2,00,848 22,748 2,03,310 22,957 (i) Outflows related to derivative exposures and other collateral requirements 14 14 14 14 (ii) Outflows related to loss of funding on debt products - - - - (iii) Credit and liquidity facilities 2,00,834 22,734 2,03,296 22,943 6 Other contractual funding obligations 2,296 2,296 2,513 2,513 7 Other contingent funding obligations 91,256 2,738 92,478 2,774 8 TOTAL CASH OUTFLOWS 12,45,262 1,95,366 12,77,496 2,02,300 Cash Inflows 9 Secured lending (e.g. reverse repos) 17 - 18 - 10 Inflows from fully performing exposures 26,262 19,411 31,543 23,616 11 Other cash inflows 2,676 2,676 2,799 2,741 12 TOTAL CASH INFLOWS 28,955 22,087 34,360 26,357 Total Adjusted Value Total Adjusted Value 13 TOTAL HQLA 2,55,246 2,57,911 14 TOTAL NET CASH OUTFLOWS 1,73,279 1,75,943 15 LIQUIDITY COVERAGE RATIO (%) 147.30% 146.59% Note: The Liquidity Coverage Ratio mentioned above is the daily average of 68 working days for the quarter July-Sept 2023
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NSFR disclosure file for Q2 FY2023-24
The RBI guidelines stipulated the implementation of NSFR effective from 1st October 2021 at a consolidated level with disclosure from quarter ended December 2021. Accordingly, the bank is computing the Consolidated NSFR. The NSFR is defined as the amount of Available Stable Funding relative to the amount of Required Stable Funding
NSFR= (Available Stable Funding (ASF))/(Required Stable Funding (RSF))
Available Stable Funding (ASF) is measured based on the broad characteristics of relative stability of funding sources, including contractual maturity of its liabilities and the differences in the tendency of different types of funding providers to withdraw their funding. Required Stable Funding (RSF) is a function of the liquidity characteristics and residual maturities of the various assets held by the bank including Off-Balance Sheet (OBS) exposures.
The table attached herewith sets out the un-weighted and weighted value of the NSFR components as on 30th September 2023 based on audited financials.
At a consolidated level, the NSFR of the bank comes out to 123.73 % as on 30th September 2023 against the requirement of 100% as per RBI guidelines.
Significant / Key Drivers:
The significant drivers of Available Stable Funding (ASF) are Capital, Retail & small business customer deposits & wholesale funding. The capital constitutes 12%, Retail deposits & small business customer deposits constitute 67% & wholesale deposits constitute 21% of Available Stable Funding after applying associated weights.
The Total Required Stable Funding is mainly driven by performing loans and securities which include financing various stake holders such as retail and small Business customers, non-financial corporate clients, performing residential mortgages and Investment in securities that do not qualify as HQLA. These together constitute for 68% of total RSF after applying the associated weights.
Intra Period Changes:
There was no significant change in NSFR at consolidated level as on September 2023 position at 123.73% as against June 2023 position of 124.12%. During the period, weighted ASF increased by approximately Rs. 28,000 Crs & weighted RSF increased by Rs. 25,000 Crs.
( Rs.in Crore) Unweighted value by residual maturity Weighted value No maturity less than 6 months 6 months to less than 1yr greater that and equal to 1yr ASF Item 1 Capital: (2+3) 1,18,288.48 0.00 0.00 7,226.50 1,25,514.98 2 Regulatory capital 1,18,288.48 0.00 0.00 5,916.50 1,24,204.98 3 Other capital instruments 0.00 0.00 0.00 1,310.00 1,310.00 4 Retail deposits and deposits from small business customers: (5+6) 3,82,162.09 1,89,099.47 1,70,445.83 66,051.36 7,31,533.74 5 Stable deposits 38,721.11 21,424.66 23,280.11 7,591.33 86,466.35 6 Less stable deposits 3,43,440.99 1,67,674.81 1,47,165.72 58,460.03 6,45,067.39 7 Wholesale funding: (8+9) 83,377.38 1,22,165.07 1,39,702.30 65,211.78 2,34,691.53 8 Operational deposits 0.00 0.00 0.00 0.00 0.00 9 Other wholesale funding 83,377.38 1,22,165.07 1,39,702.30 65,211.78 2,34,691.53 10 Other liabilities: (11+12) 44,528.70 1,61,832.68 1,778.96 2,533.16 0.00 11 NSFR derivative liabilities 0.00 0.00 0.00 12 All other liabilities and equity not included in the above categories 44,528.70 1,61,832.68 1,778.96 2,533.16 0.00 13 Total ASF (1+4+7+10) 10,91,740.26 RSF Item 14 Total NSFR high-quality liquid assets (HQLA) 13,461.72 15 Deposits held at other financial institutions for operational purposes 0.00 3,055.63 0.00 0.00 1,527.82 16 Performing loans and securities: (17+18+19+21+23) 1,759.75 1,71,353.68 1,28,773.25 6,15,265.85 6,00,591.77 17 Performing loans to financial institutions secured by Level 1 HQLA 0.00 0.00 0.00 0.00 0.00 18 Performing loans to financial institutions secured by non-Level 1 HQLA and unsecured performing loans to financial institutions 954.35 74,035.71 29,764.56 0.00 26,130.79 19 Performing loans to non- financial corporate clients, loans to retail and small business customers, and loans to sovereigns, central banks and PSEs, of which: 0.00 86,155.70 89,288.36 4,36,577.88 4,27,885.75 20 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk 0.00 54,033.20 54,659.16 1,54,637.41 1,54,860.49 21 Performing residential mortgages, of which: 0.00 6,102.39 6,078.00 1,23,324.28 94,480.40 22 With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk 0.00 5,986.70 5,961.93 79,372.95 57,566.73 23 Securities that are not in default and do not qualify as HQLA, including exchange-traded equities 805.39 5,059.87 3,642.33 55,363.70 52,094.83 24 Other assets: (sum of rows 25 to 29) 55167.18 3889.30 676.11 195072.92 254585.28 25 Physical traded commodities, including gold 0.00 0.00 0.00 0.00 26 Assets posted as initial margin for derivative contracts and contributions to default funds of CCPs 1468.18 0.00 0.00 1247.95 27 NSFR derivative assets 1,594.40 0.00 0.00 1,594.40 28 NSFR derivative liabilities before deduction of variation margin posted 73.62 0.00 0.00 73.62 29 All other assets not included in the above categories 55,167.18 753.10 676.11 1,95,072.92 2,51,669.31 30 Off-balance sheet items 2,77,592.75 0.00 0.00 12,179.62 31 Total RSF (14+15+16+24+30) 8,82,346.20 32 Net Stable Funding Ratio (%) 123.73%
