ICICI Bank 2009 Annual Report Download - page 162

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F88
b. Capital requirements for various risk areas (March 31, 2009)
Rupees in billion
Risk area Amount1
Credit risk
Capital required
– Portfolio subject to standardised approach 325.78
– Securitisation exposure 2.36
Market risk
Capital required
– for interest rate risk 41.38
– for foreign exchange (including gold) risk 1.06
– for equity position risk 3.69
Operational risk
Capital required 21.14
Total capital requirement at 9% 395.42
Total capital funds of the Bank 647.04
Total risk weighted assets 4,393.50
Capital adequacy ratio 14.73%
1. Includes all entities considered for Basel II capital adequacy computation.
Capital adequacy ratio
Capital ratios Consolidated1ICICI Bank
Ltd.1
ICICI Bank
UK PLC2
ICICI Bank
Canada2
ICICI Bank
Eurasia LLC2,3
Tier-1 capital ratio 10.34% 11.84% 12.06% 18.55% N.A.
Total capital ratio 14.73% 15.53% 18.38% 19.89% 15.07%
1. Computed as per RBI guidelines on Basel II.
2. Computed as per capital adequacy framework guidelines issued by regulators of respective jurisdictions.
3. Total capital ratio is required to be reported in line with regulatory norms stipulated by Central Bank of Russia.
4. RISK MANAGEMENT FRAMEWORK
As a financial intermediary, the Bank is exposed to various types of risks including credit, market, liquidity,
operational, legal, compliance and reputation risks. The objective of the risk management framework at the Bank
is to ensure that various risks are understood, measured and monitored and that the policies and procedures
established to address these risks are strictly adhered to.
The key principles underlying the risk management framework at the Bank are as follows:
1. The Board of Directors has oversight on all the risks assumed by the Bank. Specific Committees of the Board
have been constituted to facilitate focused oversight of various risks. Risk Committee reviews risk management
policies in relation to various risks including portfolio, liquidity, interest rate, investment policies and strategy,
and regulatory and compliance issues in relation thereto. Credit Committee reviews developments in key
industrial sectors and the Bank’s exposure to these sectors as well as to large borrower accounts. Audit
Committee provides direction to and also monitors the quality of the internal audit function. Asset Liability
Management Committee is responsible for managing the balance sheet and reviewing the Bank’s asset-liability
position.
2. Policies approved from time to time by the Board of Directors/Committees of the Board form the governing
framework for each type of risk. The business activities are undertaken within this policy framework.
3. Independent groups and sub-groups have been constituted across the Bank to facilitate independent evaluation,
monitoring and reporting of various risks. These control groups function independently of the business groups/
sub-groups.
The risk management framework forms the basis of developing consistent risk principles across the Bank, overseas
branches and overseas banking subsidiaries.
Material risks are identified, measured, monitored and reported to the Board of Directors/Board level committees/
Committee of Directors through the following:
BASEL II – Pillar 3 Disclosures (Consolidated)