Affin Bank Berhad | Annual Report 2020

476 ORGANISATION EXECUTIVE SUMMARY CORPORATE GOVERNANCE FINANCIAL STATEMENTS OTHER INFORMATION b) Disclosure on Off-Balance Sheet and Counterparty Credit Risk (RM’000) Counterparty Credit Risk is the risk that the counterparty to a transaction could default before the final settlement of the transaction’s cashflows. An economic loss could occur if the transactions with the counterparty has a positive economic value for the Bank at the time of default. In contrast to the exposure to credit risk through a loan, where the exposure to credit risk is unilateral and only the lending bank faces the risk of loss, Counterparty Credit Risk creates a bilateral risk of loss where the market value for many types of transactions can be positive or negative to either counterparty. In respect of off-balance sheet items, the credit risk inherent in each off-balance sheet instrument is translated into an on- balance sheet exposure equivalent (credit equivalent) by multiplying the nominal principal amount with a credit conversion factor (‘CCF’) as prescribed by the Standardised Approach under the Risk Weighted Capital Adequacy Framework. The resulting amount is then weighted against the risk weight of the counterparty. In addition, counterparty risk weights for over-the-counter (‘OTC’) derivative transactions will be determined based on the external rating of the counterparty and will not be subject to any specific ceiling. The Group 2020 Positive Fair Value Credit Risk Principal of Derivative Equivalent Weighted Description Amount Contracts Amount Amount Direct Credit Substitutes 501,472 - 501,472 469,006 Transaction related contingent items 1,640,080 - 807,065 748,646 Short Term Self Liquidating trade related contingencies 450,212 - 90,042 43,141 Foreign exchange related contracts One year or less 18,864,614 275,590 527,308 198,080 Over one year to five years 1,019,409 19,996 90,550 44,601 Interest/Profit rate related contracts One year or less 447,000 1,600 2,256 471 Over one year to five years 4,063,000 81,933 169,886 45,911 Over five years 755,000 9,175 57,095 15,567 Other commitments, such as formal standby facilities and credit lines, with an original maturity of over one year 1,749,812 - 873,762 664,511 Other commitments, such as formal standby facilities and credit lines, with an original maturity of up to one year 5,114,530 - 1,022,712 877,512 Any commitments that are unconditionally cancelled at any time by the bank without prior notice or that effectively provide for automatic cancellation due to deterioration in a borrower’s creditworthiness 783,018 - - - Unutilised credit card lines 844,254 - 168,851 125,143 Total 36,232,401 388,294 4,310,999 3,232,589 BASEL I I PILLAR 3 DISCLOSURES AS AT 31ST DECEMBER 2020 APPENDIX IV