Financial Report Q2 2022-23

Annual Report

Financial Results September 22-23

Liquidity Coverage Ratio (LCR) Disclosure

Liquidity Coverage Ratio (LCR) Disclosure - September 2022					(Rs in crs)
Name of the Bank : Bank of Baroda		Daily Averages of Q2 Ending September 2022 (Solo basis)		Daily Averages of Q2 Ending September 2022 (Consolidated basis)
Name of the Bank : Bank of Baroda		Total Unweighted Value	Total Weighted Value	Total Unweighted Value	Total Weighted Value
High Quality Liquid Assets
1	Total High Quality Liquid Assets (HQLA)		2,24,754.08		2,31,839.84
Cash Outflows
2	Retail deposit and deposits from small business customers, of which:	6,58,702.73	62,492.55	6,89,638.78	65,282.57
(i)	Stable Deposits	67,554.44	3,377.72	73,626.06	3,681.30
(ii)	Less Stable Deposits	5,91,148.29	59,114.83	6,16,012.72	61,601.27
3	Unsecured wholesale funding, of which:	1,74,214.29	94,038.01	1,85,740.03	1,00,464.12
(i)	Operational deposits (all counterparties)	-	-	-	-
(ii)	Non-operational deposits (all counterparties)	1,74,214.29	94,038.01	1,85,740.03	1,00,464.12
(iii)	Unsecured debt	-	-	-	-
4	Secured wholesale Funding	58,832.56	-	59,675.80	-
5	Additional requirements, of which	1,89,216.95	17,171.57	1,94,358.96	17,626.84
(i)	Outflows related to derivative exposures and other collateral requirements	22.42	22.42	22.73	22.73
(ii)	Outflows related to loss of funding on debt products	-	-	-	-
(iii)	Credit and liquidity facilities	1,89,194.53	17,149.15	1,94,336.23	17,604.11
6	Other contractual funding obligations	1,917.66	1,917.66	2,143.09	2,143.09
7	Other contingent funding obligations	97,357.65	2,920.73	1,00,367.06	3,011.01
8	TOTAL CASH OUTFLOWS	11,80,241.84	1,78,540.52	12,31,923.72	1,88,527.63
Cash Inflows
9	Secured lending (e.g. reverse repos)	1.51	0.76	1.53	0.77
10	Inflows from fully performing exposures	21873.35	17338.16	26,618.33	21,067.49
11	Other cash inflows	3074.90	2312.89	3,278.42	2,428.39
12	TOTAL CASH INFLOWS	24949.76	19651.81	29898.28	23496.65
		Total Adjusted Value		Total Adjusted Value
13	TOTAL HQLA		2,24,754.08		2,31,839.84
14	TOTAL NET CASH OUTFLOWS		1,58,888.71		1,65,030.98
15	LIQUIDITY COVERAGE RATIO (%)		141.45%		140.48%

Note: The Liquidity Coverage Ratio mentioned above is the daily average of 70 working days for the quarter ended 30th September 2022

NSFR disclosure file for Q2 FY2022-23

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 2022 based on audited financials.

At a consolidated level, the NSFR of the bank comes out to 126.01 % as on 30th September 2022 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 amount constituted 11%, Retail deposits & small business customer deposits constituted 67% & wholesale deposits constituted 22% of Available Stable Funding after applying relevant 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 relevant weights.

NSFR as of 30th September 2022 ( Rs.in Crore)		Un-weighted value by residual maturity				Weighted value
NSFR as of 30th September 2022 ( Rs.in Crore)		No maturity	< 6 months	6 months to < 1yr	≥ 1yr	Weighted value
	ASF Item
1	Capital: (2+3)	88,283.28	0.00	0.00	23,099.36	1,11,382.64
2	Regulatory capital	88,283.28	0.00	0.00	19,235.36	1,07,518.64
3	Other capital instruments	0.00	0.00	0.00	3,864.00	3,864.00
4	Retail deposits and deposits from small business customers: (5+6)	3,55,651.95	1,58,163.01	1,46,099.77	90,657.75	6,79,715.54
5	Stable deposits	35,753.07	19,643.56	19,127.30	9,482.00	79,805.65
6	Less stable deposits	3,19,898.88	1,38,519.45	1,26,972.47	81,175.75	5,99,909.89
7	Wholesale funding: (8+9)	79,258.00	71,690.17	1,04,343.98	1,02,722.93	2,25,749.42
8	Operational deposits	0.00	0.00	0.00	0.00	0.00
9	Other wholesale funding	79,258.00	71,690.17	1,04,343.98	1,02,722.93	2,25,749.42
10	Other liabilities: (11+12)	63,763.22	1,06,665.36	0.00	0.00	0.00
11	NSFR derivative liabilities		0.00	0.00	0.00
12	All other liabilities and equity not included in the above categories	63,763.22	1,06,665.36	0.00	0.00	0.00
13	Total ASF (1+4+7+10)					10,16,847.60

	RSF Item
14	Total NSFR high-quality liquid assets (HQLA)					12,188.04
15	Deposits held at other financial institutions for operational purposes	0.00	19.86	0.00	2,305.75	1,162.80
16	Performing loans and securities: (17+18+19+21+23)	3,609.18	1,19,659.02	77,729.89	6,05,321.95	5,51,900.51
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	1,296.48	65,576.62	21,768.76	6.28	20,918.30
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:	114.04	48,142.79	49,460.31	4,28,601.73	3,87,098.69
20	With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk	0.00	15,138.17	12,335.02	1,18,288.75	90,624.29
21	Performing residential mortgages, of which:	0.00	0.00	0.00	1,06,767.47	76,237.15
22	With a risk weight of less than or equal to 35% under the Basel II Standardised Approach for credit risk	0.00	0.00	0.00	69,291.82	69,291.82
23	Securities that are not in default and do not qualify as HQLA, including exchange-traded equities	2,198.66	5,939.61	6,500.82	69,946.47	67,646.37
24	Other assets: (sum of rows 25 to 29)	55,448.11	4,500.03	37.54	1,69,236.52	2,28,986.38
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		1,572.27	0.00	0.00	1,336.43
27	NSFR derivative assets		623.90	0.00	0.00	623.90
28	NSFR derivative liabilities before deduction of variation margin posted		1,886.92	0.00	0.00	1,886.92
29	All other assets not included in the above categories	55,448.11	416.94	37.54	1,69,236.52	2,25,139.13
30	Off-balance sheet items		2,89,826.79	0.00	0.00	12,697.72
31	Total RSF (14+15+16+24+30)					8,06,935.45
32	Net Stable Funding Ratio (%)					126.01%

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Financial Report Q2 2022-23

Financial Results September 22-23

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