Balance Sheet, 2011

Book Value

Coupon

Property & Assets

Cash
Blance with other banks
On demand
One month maturiy
Three month maturiy
One year maturiy
Five year maturiy

Money at call on short notice

investment (Govt.)
Prizebond
182 days T-Bill
5-Year T-Bond
10-Year T-Bond
15-Year T-Bond
20-Year T-Bond

6
7

investment (others.)
Debentures
Shares
Orascom bond
Fixed capital investment (FDR)

Loans & advances

On demand
One month maturiy
Three month maturiy
One year maturiy
Five year maturiy
Ten year maturiy

Fixed assets
Other assets
Nonbanking assets

9
10
2.6.5

10353.47
4955.36
2827.23
222.68
1331.06
500
74.39

719.4
21148.38
6.23
4.98
4675.48
12653.89
2070.3
1737.5

5.50%
8%
10%
12%
15%

8845.65
85
8196.56
560
4.09

5.50%
10%
1%

116063.03
5769.44
8077.22
10%
9231.11
10.50%
34616.67
12%
39232.22
15%
19136.36
18%
1977.18
4137.36
355.65

168555.48
Liabilities & Capital

Borrowing from other Banks

On demand
One month borrowing
Three month borrowing
One year borrowing
Current deposits
Bills payable
Savings bank deposit
Fixed deposits
Term deposits
Subordinate bond
Other liabilities

11

5%
7%
10%

16034.78
2017.62
21930.64
58519.63
28972.49
2500.00
11178.83

0.115
-

Total liabilities
Eqity

146992.84
21562.55

Total liabilities & Equity

168555.50

Duration of Assaets (DA)

Duration of Liabilities (DL)

12.2
12.3

5838.85
1950.00
606.09
1212.19
2070.56

12.4
2.18
13

2.204
0.443

Assume, base interest rate

Magnitude of Shock

(MVL/MVA)*DL

0.378

Duration Gap

1.826

Fall in MVE(onbalance sheet)

Maturity Yield to maturity

0.083333
0.25
1
5

Market value

Duration

10353.47

2827.23
222.68
1331.06
500.00
74.39

0.08
0.25
1.00
5.00

719.40

0.5
5
10
15
20

5.50%
8%
9%
11%
13%

6.23
4.98
4770.06
13465.97
2219.17
1981.61

0.50
4.32
6.86
7.86
7.80

3
5
5

6%
10%
1.20%

83.86
8196.56
560
4.05

2.85
4.17
4.90

0.08
0.25
1
5
10

10%
10.50%
12%
15%
18%

5769.44
8077.22
9231.11
34616.67
39232.22
19136.36

0.08
0.25
1
2.72
4.19

1977.18
4137.36
355.65

169853.9428

0.08
0.25
1.00

5%
7%
10%

606.09
1212.19
2070.56

0.08
0.25
1.00

0.25
0.50
0.50
7.00
-

0.12
-

16034.78
2017.62
21930.64
58519.63
28972.49
2442.95
11178.83

0.25
0.50
0.50
5.15
-

144985.783
24868.15976

169853.9428

Assume, base interest rate

f Shock

onbalance sheet)

10%
1%
2,820

2%
5,639

3%
8,459

5-Year T-Bond
Face value
4675.48
Time
5
Coupon
8%
YTM
8%
t
1
2
3
4
5
Total

CF
374.0384
374.0384
374.0384
374.0384
5049.5184

Duration:

DF
0.930233
0.865333
0.804961
0.748801
0.696559

CF*DF
347.9427
323.6676
301.0862
280.0802
3517.286
4770.062

CF*DF*t
347.9427
647.3353
903.2585
1120.321
17586.43
20605.29

CF*DF
1160.907
1065.053
977.1125
896.4335
822.416
754.5101
692.2111
635.0561
582.6202
5879.654
13465.97

CF*DF*t
1160.907
2130.105
2931.337
3585.734
4112.08
4527.061
4845.478
5080.449
5243.582
58796.54
92413.27

4.31971

10-Year T-Bond
Face value
12653.89
Time
10
Coupon
10%
YTM
9%
t
1
2
3
4
5
6
7
8
9
10
Total

CF
1265.389
1265.389
1265.389
1265.389
1265.389
1265.389
1265.389
1265.389
1265.389
13919.279

Duration:

DF
0.917431
0.84168
0.772183
0.708425
0.649931
0.596267
0.547034
0.501866
0.460428
0.422411

6.862725

t
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
Total

t
0.5
Total

1 month borrowings
Present value
606.09
Time
0.08
Interst rate
5%
YTM
5%
t
0.083333
Total

CF
$608.62

Duration:

DF
0.995851

0.083333

CF*DF
606.09
606.09

CF*DF*t
50.5075
50.5075

t
0.25
Total

15-Year T-Bond
Face value
2070.3
Time
15
Coupon
12%
YTM
11%
CF
248.436
248.436
248.436
248.436
248.436
248.436
248.436
248.436
248.436
248.436
248.436
248.436
248.436
248.436
2318.736

Duration:

DF
0.900901
0.811622
0.731191
0.658731
0.593451
0.534641
0.481658
0.433926
0.390925
0.352184
0.317283
0.285841
0.257514
0.231995
0.209004

20-Year T-Bond
Face value
1737.5
Time
20
Coupon
15%
YTM
13%
CF*DF
223.8162
201.6362
181.6543
163.6525
147.4347
132.824
119.6613
107.803
97.11979
87.4953
78.8246
71.01315
63.97581
57.63587
484.6259
2219.173

CF*DF*t
223.8162
403.2725
544.9628
654.61
737.1734
796.9442
837.629
862.4237
874.0781
874.953
867.0706
852.1578
831.6856
806.9021
7269.389
17437.07

7.857463

182-Days T-Bill
Face value
4.98
Time
0.5
Coupon
6%
YTM
5.5%
CF
5.11695

Duration:

DF
0.973236

0.5

t
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
Total

CF
260.625
260.625
260.625
260.625
260.625
260.625
260.625
260.625
260.625
260.625
260.625
260.625
260.625
260.625
260.625
260.625
260.625
260.625
260.625
1998.125

Duration:

CF*DF
4.98
4.98

CF*DF*t
2.49
2.49

DF
0.884956
0.783147
0.69305
0.613319
0.54276
0.480319
0.425061
0.37616
0.332885
0.294588
0.260698
0.230706
0.204165
0.180677
0.159891
0.141496
0.125218
0.110812
0.098064
0.086782

7.796766

3 month borrowings
Present value
1212.19
Time
0.25
Interst rate
7%
YTM
7%
CF
$1,219.26

Duration:

DF
0.9942

0.25

1 year borrowings
Present value
2070.56
Time
1.00
Interst rate
10%
YTM
10%
CF*DF
1212.19
1212.19

CF*DF*t
303.0475
303.0475

t
1
Total

CF
$2,277.62

Duration:

DF
0.909091

Debentures
Face value
85
Time
3
Coupon
5.5%
YTM
6%
CF*DF
CF*DF*t
230.6416 230.6416
204.1076 408.2152
180.6262 541.8786
159.8462 639.3848
141.4568 707.284
125.183 751.0981
110.7814
775.47
98.03666 784.2933
86.75811 780.823
76.77709 767.7709
67.94433 747.3876
60.12772 721.5327
53.21037 691.7349
47.08883 659.2436
41.67153 625.0729
36.87746 590.0393
32.63492 554.7936
28.88046 519.8483
25.55793 485.6006
173.4019 3468.037
1981.61 15450.15

t
1
2
3
Total

CF
4.675
4.675
89.675

Duration:

DF
0.943396
0.889996
0.839619

CF*DF
4.410377
4.160733
75.29286
83.86397

CF*DF*t
4.410377
8.321467
225.8786
238.6104

2.845208

Orascom Bond
Face value
560
Time
5
Coupon
10%
YTM
10%
t
1
2
3
4
5
Total

CF
56
56
56
56
616

Duration:

DF
0.909091
0.826446
0.751315
0.683013
0.620921

4.169865

CF*DF
CF*DF*t
50.90909 50.90909
46.28099 92.56198
42.07363 126.2209
38.24875 152.995
382.4875 1912.438
560
2335.125

7-Year Subordinate Bond

Face value
2500.00
Time
7.00
Coupon
11.5%
YTM
12%
CF*DF
2070.56
2070.56

CF*DF*t
2070.56
2070.56

t
1
2
3
4
5
6
7
Total

CF
287.5
287.5
287.5
287.5
287.5
287.5
2787.5

Duration:

DF
0.892857
0.797194
0.71178
0.635518
0.567427
0.506631
0.452349

5.147835

CF*DF
256.6964
229.1932
204.6368
182.7114
163.1352
145.6564
1260.923
2442.953

CF*DF*t
256.6964
458.3865
613.9105
730.8458
815.6761
873.9387
8826.464
12575.92

FDR

t
1
2
3
4
5
Total

Face value
Time
Coupon
YTM

4.09
5
1%
1.2%

CF
0.0409
0.0409
0.0409
0.0409
4.1309

DF
0.98814229
0.97642519
0.96484703
0.95340615
0.94210094

Duration:

1 year loan
Present value
Time
Interst rate
YTM
CF*DF
0.040415
0.039936
0.039462
0.038994
3.891725
4.050532

CF*DF*t
0.040415
0.079872
0.118387
0.155977
19.45862
19.85327

CF
$8,144.53

Duration:

DF
0.99173554

5 year loan
Present value
Time
Interst rate
YTM

CF*DF
8077.22
8077.22

CF*DF*t
673.1017
673.1017

0.0833333

CF
$9,311.88

Duration:

DF
0.9913259

0.25

t
1
2
3
4
5
Total

CF
$11,703.58
$11,703.58
$11,703.58
$11,703.58
$11,703.58

Duration:

3 month loan
Present value
9231.11
Time
0.25
Interst rate
10.5%
YTM
10.5%
t
0.25
Total

CF
$38,770.67

Duration:

4.9013991

1 month loan
Present value
8077.22
Time
0.08333333
Interst rate
10%
YTM
10%
t
0.083333
Total

t
1
Total

CF*DF
9231.11
9231.11

CF*DF*t
2307.778
2307.778

1 year loan
34616.67
1
12%
12%
DF
0.892857

10 year loan
Present value 19136.36
Time
10
Interst rate
18%
YTM
18%
CF*DF
CF*DF*t
34616.67 34616.67
34616.67 34616.67

5 year loan
39232.22
5
15%
15%

t
1
2
3
4
5
6
7
8
9
10
Total

CF
$4,258.12
$4,258.12
$4,258.12
$4,258.12
$4,258.12
$4,258.12
$4,258.12
$4,258.12
$4,258.12
$4,258.12

Duration:
DF
0.869565
0.756144
0.657516
0.571753
0.497177

2.722815

CF*DF
10177.03
8849.589
7695.295
6691.561
5818.748
39232.22

CF*DF*t
10177.03
17699.18
23085.88
26766.24
29093.74
106822.1

DF
0.847458
0.718184
0.608631
0.515789
0.437109
0.370432
0.313925
0.266038
0.225456
0.191064

4.193631

CF*DF
3608.577
3058.116
2591.623
2196.291
1861.264
1577.342
1336.731
1132.823
960.0191
813.5755
19136.36

CF*DF*t
3608.577
6116.231
7774.87
8785.164
9306.318
9464.052
9357.114
9062.58
8640.172
8135.755
80250.83

Interest Rate Shock

a
b
c
d
e
f
g
h
i
j
k
l

Magnitude of Shock
Fall in MVE(onbalance sheet)
Net fall in MVE(onbalance sheet & offbalance sheet)
Tax Rate
Tax adjusted loss
Total Regulatory capital
Revised Capital
Risk weighted assets
Revised risk weighted assets
CAR
Revised CAR
Fall in CAR (% age points)

42.50%
c*(1-d)
Page: 54
f-e
Page: 54
h-e
h/f
i/g
j-k

5%
2,820
2,820
42.50%
1,621
24,905
23,284
196,812
195,191
12.65%
11.93%
0.73%

10%
5,639
5,639
42.50%
3,243
24,905
21,662
196,812
193,570
12.65%
11.19%
1.46%

tk in mn.
15%
8,459
8,459
42.50%
4,864
24,905
20,041
196,812
191,948
12.65%
10.44%
2.21%

Exchange Rate Shock

a
b
c
d
e
f
g
h
i
j
k
l

Magnitude of Shock
Net onbalance sheet and offbalance sheet currency exposure
Exchange rate loss on % change
Tax Rate
Tax adjusted loss
Total eligible capital
Revised Capital
Risk weighted assets
Revised risk weighted assets
CAR
Revised CAR
Fall in CAR (% age points)

Page: 128
a*b
42.50%
c*(1-d)
Page: 54
f-e
Page: 54
h-e
h/f
i/g
j-k

5%
1,892
95
42.50%
54
24,905
24,851
196,812
196,758
12.65%
12.63%
0.02%

tk in mn.
10%
1,892
189
42.50%
109
24,905
24,796
196,812
196,704
12.65%
12.61%
0.05%

15%
1,892
284
42.50%
163
24,905
24,742
196,812
196,649
12.65%
12.58%
0.07%

Equity Price
1. Increase in NPLs:
tk in mn.
a
b
c
d
e
f
g
h
i
j
k
l
m

Magnitude of Shock
Total Loan
Total Performing Loan
Total NPLs
NPLs to Loans (%)
Increase in NPLs
Increase in Provisions (after adjustment)
Tax Rate
Tax adjusted provision
Total eligible capital
Revised Capital
Risk weighted assets
Revised risk weighted assets

n
o
p
q
r

CAR
Revised CAR
Fall in CAR (% age points)
Revised NPLs
Revised NPLs to Loans (%)

h-e

1%
116,063
112,195
3,868
3.33%
1,122
42.50%
645
24,905
24,260
196,812
196,167

2%
116,063
112,195
3,868
3.33%
2,244
42.50%
1,290
24,905
23,615
196,812
195,522

3%
116,063
112,195
3,868
3.33%
3,366
42.50%
1,935
24,905
22,970
196,812
194,877

h/f
i/g
j-k
d+f
q/b

12.65%
12.37%
0.29%
4,990
4.30%

12.65%
12.08%
0.58%
6,112
5.27%

12.65%
11.79%
0.87%
7,234
6.23%

10%

20%

40%

42.50%
24,905
24,905
196,812
196,812
12.65%
12.65%
0.00%

42.50%
24,905
24,905
196,812
196,812
12.65%
12.65%
0.00%

42.50%
24,905
24,905
196,812
196,812
12.65%
12.65%
0.00%

Page: 111
Page: 56

b-c
e/b
n/a

42.50%
Page: 54
f-e
Page: 54

3. Fall in FSV of Mortgaged Collateral:

tk in mn.
a
b
c
d
e
f
g
h
i
j
k
l
m

Magnitude of Shock
Total FSV of Mortgaged Collateral
Weighted FSV of Collateral
Fall in the FSV of Collateral
Tax Rate
Tax adjusted Provision
Total eligible capital
Revised Capital
Risk weighted assets
Revised risk weighted assets
CAR
Revised CAR
Fall in CAR (% age points)

42.50%
c*(1-d)
Page: 54
f-e
Page: 54
h-e
h/f
i/g
j-k

5. Increase of NPLs due to default of Top 10 large loan borrowers:

tk in mn.
a Magnitude of Shock
b Total Loan to Top 10 large borrowers

Page: 110

5%
7,259

7.5%
7,259

10%
7,259

c Increase in NPLS under B/L category

Increase in Provisions (after adjustment of
d value of eligible securities; if any)
e Tax Rate
f
g
h
i
j
k
l
m

Tax adjusted provision

Total eligible capital
Revised Capital
Risk weighted assets
Revised risk weighted assets
CAR
Revised CAR
Fall in CAR (% age points)

363

42.50%
Page: 54
f-e
Page: 54
h-e
h/f
i/g
j-k

42.50%
209
24,905
24,696
196,812
196,604
12.65%
12.56%
0.09%

544

42.50%
313
24,905
24,592
196,812
196,499
12.65%
12.52%
0.14%

726

42.50%
417
24,905
24,488
196,812
196,395
12.65%
12.47%
0.19%

Equity Price Shock

2. Shift in NPLs categories:
a
b
c
d
e
f
g
h
i
j
k
l
m

Magnitude of Shock
Weighted amount of provision
Weighted amount of provision after Shift in Categories
Increase in Provisions
Tax Rate
Tax adjusted provision
Total eligible capital
Revised Capital
Risk weighted assets
Revised risk weighted assets
CAR
Revised CAR
Fall in CAR (% age points)

Page: 56
Page: 56
c-b
42.50%
Page: 54
f-e
Page: 54
h-e
h/f
i/g
j-k

50%
1,086
1,166
80
42.50%
670
24,905
24,235
196,812
196,142
12.65%
12.36%
0.30%

4. Increase of NPLs in particular 1 or 2 sectors:

a
b
c
d
e
f
g
h
i
j
k
l
m

Magnitude of Shock
Total Loan in Garments & Textile Sectors
Increase in NPLS under B/L category
Increase in Provisions (after adjustment)
Tax Rate
Tax adjusted provision
Total eligible capital
Revised Capital
Risk weighted assets
Revised risk weighted assets
CAR
Revised CAR
Fall in CAR (% age points)

5%

42.50%
c*(1-d)
Page: 54
f-e
Page: 54
h-e
h/f
i/g
j-k

42.50%
24,905
24,905
196,812
196,812
12.65%
12.65%
0.00%

tk in mn.
80%
1,086
1,166
80
42.50%
670
24,905
24,235
196,812
196,142
12.65%
12.36%
0.30%

100%
1,086
1,166
80
42.50%
670
24,905
24,235
196,812
196,142
12.65%
12.36%
0.30%

tk in mn.
7.5%

10%

42.50%
24,905
24,905
196,812
196,812
12.65%
12.65%
0.00%

42.50%
24,905
24,905
196,812
196,812
12.65%
12.65%
0.00%

Equity Price Shock

tk in mn.
a
b
c
d
e
f
g
h
i
j
k
l

Magnitude of Shock
Total exposure in stock market
Fall in the stock prices
Tax Rate
Tax adjusted loss
Total eligible capital
Revised Capital
Risk weighted assets
Revised risk weighted assets
CAR
Revised CAR
Fall in CAR (% age points)

Page: 110
a*b
42.50%
c*(1-d)
Page: 54
f-e
Page: 54
h-e
h/f
i/g
j-k

10%
7,259
726
42.50%
417
24,905
24,488
196,812
196,395
12.65%
12.47%
0.19%

20%
7,259
1,452
42.50%
835
24,905
24,070
196,812
195,978
12.65%
12.28%
0.37%

40%
7,259
2,904
42.50%
1,670
24,905
23,235
196,812
195,143
12.65%
11.91%
0.75%

Liquidity Shock
tk in mn.
a
b
c
d
e
f
g
h

Magnitude of Shock
Liquid assets (LA)
Liquid Liabilities (LL)
Liquidity Ratio (%) (LA/LL)
Fall in liquid liabilities
Revised Liquid Assets
Revised Liquid Liabilities
Revised Liquidity Ratio (%)

Page: 97
Page: 97
a*c
b-e
c-e
f/g

10%
169,037
147,514
114.59%
14,751
154,286
132,763
116.21%

20%
169,037
147,514
114.59%
29,503
139,534
118,011
118.24%

30%
169,037
147,514
114.59%
44,254
124,783
103,260
120.84%