Banks
Russia
Joint Stock Company Alfa-Bank Full Rating Report
Ratings Key Rating Drivers Foreign-Currency Long-Term BB+ IDR Highest-Rated Russian Private Bank: Joint Stock Company Alfa-Bank’s ratings, which are Short-Term IDR B the highest of a Russian privately owned bank, reflect its well-developed franchise, improved Long-Term Local-Currency BB+ Rating asset quality, recovering profitability and good record of managing through the cycle. The ratings also take into account risks related to the Russian operating environment, significant Viability Rating bb+ cyclicality in the banks’ performance and moderate regulatory capitalisation. Support Rating 4 Support Rating Floor B Improved Asset Quality: Asset quality improved with the ratio of non-performing loans (NPLs, Outlooks more than 90 days’ overdue) decreasing to 2.9% at end-1H17 from 7.2% at end-2015 as a Long-Term Foreign-Currency Stable result of recoveries, foreclosures and write-offs. NPLs were fully reserved while restructured IDR loans were negligible. Retail loans performance also improved, reflected in NPL origination Long-Term Local-Currency IDR Stable Sovereign Long-Term Stable (calculated as the increase in NPLs plus write-offs to average performing loans) decreasing to Foreign-Currency IDR 4% in 1H17 from 9% in 2015, well below the Fitch Ratings-calculated break-even level of 14%. Financial Data Adequate Core Capitalisation: The Fitch Core Capital (FCC) ratio, calculated based on the Joint Stock Company Alfa-Bank consolidated accounts of Alfa’s holding company ABH Financial Limited (ABHFL), was 15.7% 30 Jun 31 Dec at end-1H17, slightly down from 16.7% at end-2015. However, this and the bank’s reported 17 16 Basel I Tier 1 capital ratio (15.8%) benefit significantly from the Basel I-based risk-weighted Total assets (USDm) 41,804 38,247 Total equity (USDm) 5,299 5,033 asset calculation, which does not include charges for market and operational risk. Adjusting for Operating profit 586.0 779.0 (USDm) these, Fitch calculates that core capital ratios would have been about 13%. Published net income 436.0 527.0 (USDm) Comprehensive 502.0 670.0 Tighter Regulatory Capital: Regulatory capitalisation at the bank level is significantly tighter, income (USDm) with a core Tier 1 ratio of 7.7% (required minimum including buffers is 6.1%), Tier 1 ratio of Operating ROAA (%) 3.0 2.3 Operating ROAE (%) 22.9 16.7 9.1% (7.6%) supported by USD700 million of additional Tier 1 perpetual bonds placed in 2H16 Internal capital 16.6 10.5 and a total capital ratio of 12% (9.6%) at end-1H17. generation (%) Fitch Core Capital/ 15.7 15.9 weighted risks (%) Moderate Profitability: Profitability improved in 2016, with the ratio of total comprehensive Tier 1 regulatory ratio 15.8 16.2 (%) income to average equity increasing to 14% in 2016 (annualised 19.6% in 1H17) from zero in Total capital ratio (%) 20.5 21.8 2015 due to the net interest margin improving moderately to 4.5% from 4% and a loan
impairment charges (LICs) reducing significantly to 1.4% from 3.2% of average loans.
Ample Liquidity: Liquid assets (cash and equivalents, net short-term interbank placements and bonds eligible for refinancing with the Central Bank of Russia, CBR) covered customer accounts by 47% at end-9M17. Wholesale debt maturing in the next 12 months at the same date was USD2 billion (of which USD1.7 billion was bank funding), equal to a moderate 17% of Related Research the liquidity cushion, and Alfa plans to refinance most of these obligations. Russian Banks Datawatch - 9M17 (November 2017) Support Possible: Fitch believes there is a moderate probability of support from the Russian Russia – December 2017 Global Economic Outlook Forecast (December 2017) authorities given Alfa’s broad franchise, as reflected in the Support Rating of ‘4’ and Support Fitch: Russian Banking Sector Is Being Rating Floor of ‘B’. Fitch does not formally factor shareholder support into the ratings due to Reshaped by Clean-up (September 2017) limited visibility of the shareholders’ financial position and Alfa’s significant size. However, we Russian Banking Sector in 2017 (September 2017) believe they would have strong propensity to support the bank if required.
Rating Sensitivities Analysts Sovereign, Asset Quality: Alfa’s ratings could be upgraded if there is a further improvement in Anton Lopatin +7 495 956 70 96 the Russian operating environment and consistently robust bank financial metrics in terms of [email protected] asset quality, performance and capitalisation. An upgrade of the sovereign rating (BBB-
Dmitri Vasiliev /Positive) would be a pre-requisite for an upgrade of Alfa, as Fitch is likely to maintain at least a +7 495 956 55 76 [email protected] notch difference between the ratings of the sovereign and the bank.
www.fitchratings.com 18 December 2017 Banks
Operating Environment Russia’s Key Indicators Positive Outlook on Sovereign Ratings Ratings The Outlook on Russia's Long-Term IDR of ‘BBB-’ was revised to Positive in September 2017 Sovereign IDR/Outlook BBB-/Positive a on the back of more flexible exchange rate, strong commitment to inflation targeting and a MPI 1 BSIb bb prudent fiscal strategy. In Fitch’s view, Russia’s strengthening policy framework may result in improved macro stability and, together with robust external and fiscal balance sheets, increase 2017F 2016 Macroeconomic the economy’s resilience to shocks. indicators Real GDP growth (%) 2.0 -0.2 Economic growth is reviving, but will remain weak relative to peers. Fitch expects growth to rise Unemployment (%) 5.0 5.5 CPI (eop) (%) 4.4 7.1 to 2% in 2017 after contracting in 2016 and average 2.1% in 2018-2019 (1pp above the median General government -2.8 -3.7 for ‘BBB’ category), due to reduced uncertainty, monetary policy easing supporting credit balance (% of GDP) recovery, rouble stability and a benign oil price outlook. Continued current account surpluses, General government 16.7 16.0 debt (% of GDP) moderate capital outflows and higher-than-budgeted oil prices will push reserves above USD500 billion in 2018, returning to end-2013 levels. The sovereign net foreign assets position
Banking sector (%) 1H17 2016 is a solid 28% of GDP. System assets 74.1 73.5 (RUBtrn) Stable Sector Outlook; Banking Clean-Up Continues System assets/GDP 89.7 87.9 Number of banks 589 623 Pressure on Russian banks’ profits reduced in 2016-2017 as the economy has bottomed out. Share of five largest 56.9 57.1 Credit risks are likely to remain elevated, but in most cases banks’ pre-impairment profit should banks be sufficient to cover problem loans without hitting capital. Liquidity is comfortable and the Share of state-owned 59.5 59.8 Share of foreign-owned 6.2 6.0 sector has sufficient access to foreign currency to repay external debt. Retail loans/total loans 23.9 23.6 FC loans/total loans 24.5 23.8 Fitch believes that Sberbank (30% of sector assets), foreign-owned banks (6%) and some of Retail loan growthc 3.8 0.8 Corporate loans 0.8 -7.1 the private banks (5%-10% in total, including Alfa) have reasonably strong credit profiles, while growthc weaker state-owned banks (28%) are pre-emptively supported by the Russian authorities. Foreign funding 8.2 9.0 FC customer fundingd 31.0 32.9 These make the core of system, which is not directly affected by the CBR clean-up, which Impaired loans ratioe 9.8 9.8 instead focuses on the remaining 20%-25%. Therefore the recent failures of B&N Bank and Equity/assets 11.7 10.7 Otkritie are not indicative of a systemic crisis. The banks’ combined market share was only 5% a The Macro Prudential Indicator b The Banking System Indicator and potential contagion risk has largely been mitigated by the CBR rescuing them without any c Nominal, not annualised for 1H17 losses for senior creditors. d Customer accounts include Eurobonds issued through SPVs e Category 4 (problem) and 5 (loss) loans As the CBR plans to continue with the clean-up for the next three to four years, further weak according to CBR Source: CBR, Fitch banks may be revealed, with the CBR then deciding their fate. This uncertainty will cause gradual flight to quality to continue, benefiting larger banks.
Reasonable Asset Quality and Performance; Weak Loan Growth The operating environment for Russian banks is gradually improving due to stabilised asset quality, recovered margin and a structural liquidity surplus. The latter, however, is skewed towards Sberbank and some stronger foreign and private banks (including Alfa). Capital adequacy is only moderate in most cases (sector average common equity Tier 1 ratio was 8.9% at end-9M7), although in light of limited growth and moderate profit retention, banks are likely to gradually build up their capital bases along with Basel III buffers being phased in by 2019.
Fitch forecasts low single-digit corporate loan growth in 2017 (3% in 9M17, adjusted for foreign- exchange moves) mostly due to weak demand. Retail lending growth may reach 10-12% in 2017 as unsecured retail lending has recovered after overheating, although in the longer term it should probably fall to 5%, in Fitch’s view.
Sector NPLs (we use doubtful and loss categories as a proxy) accounted for 10.2% of the sector portfolio in 9M17, but were 88% covered by reserves. We estimate restructured loans at 10%-15% on average, and these are weakly provisioned. Banks are likely to gradually recognise some of these as NPLs, reserving them out of pre-impairment profits.
Joint Stock Company Alfa-Bank 2 December 2017 Banks
The sector core (net of RUB0.5 billion impairment loss in Otkritie and B&N bank following their rescue by the CBR) ROAE improved to 15% in 9M17 (annualised) from 11% in 2016 thanks to 20bp net interest margin improvement and stabilisation of loan impairment charges at 2% of gross loans.
Adjusteda Segment Revenue Company Profile Structure Largest Russian Private Bank 1H17 Treasury 5% Alfa’s total assets accounted for 3% of total banking system assets at end-10M17, making it the largest private bank in Russia. The CBR considers Alfa to be a systemically important bank (SIB) so Alfa should comply with higher capital buffer requirements.
Retail 31% Well-Balanced Business Model; Recovered Retail At the core of Alfa’s franchise is a well-managed corporate business, which is supplemented by Corporate and mostly unsecured retail lending, and smaller-scale investment banking. Retail segment made IB 64% up 31% of Alfa’s adjusted revenue (net of intercompany interest income) in 1H17, while corporate and investment banking (IB) together accounted for 64%. However corporate and IB a Net of intercompany interest income Source: Alfa, Fitch interpretations segment represented higher 85% in Alfa’s profit before tax (see annex 3). Transparent Banking Group; Reputable Shareholders Alfa is the main part of shareholders’ banking business, which also includes banks in Ukraine, Kazakhstan and Belarus. Ultimately, all of the banking businesses are consolidated under ABH Holdings S.A. (ABHH), although each country’s operations are structured through a separate sub-holding, making them sister banks.
Alfa’s IFRS accounts are made at the level of ABHFL, a subsidiary of ABHH, which in addition to Alfa also consolidates brokerage/investment company Alfa Capital Holdings (USD1.6 billion, equity of USD0.7 billion at end-1H17) and Amsterdam Trade Bank (ATB; assets of EUR1.1 billion, equity EUR184 million at end-1H17) which is 79% controlled by Alfa.
The main beneficiaries of ABHH are Mikhail Fridman (33%), German Khan (21%), Alexey Kuzmichev (16%) and Petr Aven (12%). A 10% stake is owned by UniCredit S.p.A., which received them in exchange for 100% of Ukrainian Ukrsotsbank sold to ABHH in October 2016.
Apart from Alfa, its main private shareholders also held stakes in a few other large assets (including telecom, oil & gas, retail), which are reasonably cash-generative and moderately leveraged. Fitch believes Alfa’s shareholders are wealthy and have a high propensity to ABHFL Shareholder support Alfa, although there is limited visibility of their overall financial position and therefore Structure Fitch does not factor in shareholders support into Alfa’s ratings. End-1H17 Other Management and Strategy 8% UninCredit Mikhail S.p.A. Fridman Strong Management 10% 33% Fitch considers Alfa’s management to be strong and in general views positively the close shareholder oversight of management.
Alfa’s chief executive (Alexey Marey) left the bank in November 2017 due to his move to Petr Aven German Khan London. Alexey joined Alfa in 2004 and became chief executive in 2012. Following his 12% 21% Alexey resignation, chief financial officer Alexey Tchoukhlov was appointed acting chief executive. Kuzmichev 16% Source: Alfa Alfa’s board of directors has 10 members and is chaired by Petr Smida, who was Alfa’s chief executive between 2003 and 2008, before being promoted to chairman in 2011. Fitch views only one member of the board as independent, as the other nine members either hold senior positions in other banks within ABHH or other companies controlled by shareholders or have been employed in past. Despite this, we believe the board has a very good degree of expertise Related Criteria and a reasonable oversight of Alfa’s strategy and execution. Global Bank Rating Criteria (November 2016)
Joint Stock Company Alfa-Bank 3 December 2017 Banks
Material Exposure to Shareholders Assets Alfa reports low related-party lending of USD109 million (2% of FCC) at end-1H17, but does not treat exposures to companies owned by shareholders (X5 food retail group, VimpelCom and assets management company) as related in IFRS. If these exposures had been accounted as related, total level would be about 0.2x FCC (USD1.1 billion). Although the ratio is high, Fitch is not concerned, as the companies are financially strong and Alfa deals with them on an Retail Loan Book Structure arm’s length basis. End-1H17 Other 5% The CBR views these exposures as related and therefore to comply with the regulatory limit on POS loans related-party lending Alfa has decreased its exposure to these companies from USD2.2 billion 14% (0.5x FCC) at end-2016. Cash loans 45% Reasonable Strategy; Good Execution Through the Cycle After the 2014 crisis, Alfa tightened underwriting standards and changed its planning horizon to between two and three year from three to five, implementing conservative/protective strategy. Credit cards In retail lending, Alfa pursues unsecured retail loans by focusing on less risky affluent segment 36% and plans to expand in mortgages. After some deleveraging in 2015-2016, Alfa targets Source: Alfa, Fitch interpretations moderate growth of retail book in 2017-2018 and seems to be on track based on the 30% annualised growth of retail business in 1H17. The bank also targets a further increase of fee and commission share in revenue in next two to three years largely due to more active use of retail digital services.
It is difficult to set targets in the corporate segment, where it competes with state-owned and large foreign banks for top-tier corporates, so Alfa is being rather opportunistic.
For full 2017, the bank targets low double digit return on equity (1H17 annualised ROAE was 17%, but partially underpinned by recovery of provisions). The overall execution record is good, although net performance is volatile through the cycle due to occasional spikes in impairment charges, as Alfa tends to recognise problems and deal with them quickly. The bank has consistently demonstrates its ability to recover problem loans thanks to efficient legal enforcements and collateral foreclosure.
Risk Appetite Mature Underwriting; Good Risk Controls ROAE, TCIa, Provision Alfa’s credit underwriting is sufficiently mature, although the loan book is fairly concentrated Charges and asset quality may be cyclical like the Russian economy. In corporate lending, Alfa mainly 2013-2016 relies on expected cash flows rather than collateral, with the latter being viewed as an ROAE, LHC (LHS) additional safety measure – Alfa is known for its unmatched record of asset recoveries. Total CI to average equity, LHC (LHS) Provision charge/average In corporate business Alfa focuses on companies with export revenues, those involved in (%) (%) loans, RHC (RHS) import substitution, as well as core necessity industries, such as food and agriculture, 25 5 20 4 pharmaceuticals, which are deemed as more resilient to a potential downturn. Construction 15 3 10 2 lending is mainly done against collateral of completed properties generating sufficient cash 5 1 0 0 flows to service interest, although some loans have bullet repayments and occasionally -5 -1 -10 -2 loan/values are above 100% (usually for foreign-currency loans issued prior to devaluation). -15 -3 FY13 FY14 FY15 FY16 a Total Comprehensive Income Alfa tightened retail risk appetite in 2015 reducing approval rates to street clients to below 10%, Source: Alfa, Fitch interpretations focusing instead on mass-affluent (with high for Russia monthly salary of RUB150,000- RUB250,000), payroll and existing/former customers. At end-1H17, salaried and mass-affluent borrowers represented about 30% and 20% of retail lending, respectively. POS loans, which are only break-even, are considered by the bank as acquisition channel for retail clients.
Growth in Line with Internal Capital Generation On average, Alfa grew in line with internal capital generation ratio in 2013-2016. Gross loans increased by 8% in 1H17.
Joint Stock Company Alfa-Bank 4 December 2017 Banks
FX-Adjusteda Lending Growth and Internal Capital Generation 2013-2016 FX adjusted lending growth (LHS) Internal capital generation (LHS) Avg. 4 years lending growth (RHS) Avg. 4 years internal capital generation (RHS) 40 12 30 9 20 6 10 3 0 0 -10 -3 -20 -6 -30 -9 FY16 FY15 FY14 FY13 a Net of currency moves Source: Alfa, Fitch interpretations
Some Market Risk, Good Quality Securities Book Market risk stems from open currency position (ABHFL had a consolidated long dollar position of about USD6.3 billion, or 1.2x FCC, at end-1H17). Alfa’s IFRS-reported consolidated open currency position is smaller, while regulatory position is within required limits. Securities book is of a reasonable quality with more weight towards Russian government and other sovereign (US and Europe) bonds and debt securities of better quality corporates and banks. The equities book is very small (less 1% of FCC).
Financial Profile Asset Quality NPLs Rose in 2015; Improvement in 2016 Due to Write-Offs and Foreclosures
Asset-Quality Metrics Securities Book Structure (%) End-1H17 End-2016 End-2015 End-2014 End-2013 End-2016 Growth of gross loans 8.0 10.7 -22.2 -15.8 9.8 Equities NPLs/gross loans 2.9 4.3 7.2 2.8 1.3 1% Reserves for NPLs/NPLs 107.2 113.2 94.3 214.1 350.5 Russian sovereign NPLs less reserves/Fitch Core Capital -1.0 -2.8 2.1 -21.1 -21.9 20% Loan impairment charges/average gross loans -0.5 1.4 3.2 4.0 1.8 Source: Alfa, Fitch interpretations
Fitch calculated NPL origination ratio (generated NPL to average performing loans) was low 1.2% in 2016 and 0.5% (annualised) in 1H17, down from 6.1% ratio in 2015 reflecting Other sovereign Corporate underwriting standards tightening and recoveries. On balance, NPL ratio fell to 2.9% from 7.2% 27% 52% and were fully reserved. Restructured exposures were negligible. Source: Alfa, Fitch interpretations Loan book is moderately concentrated, with the 25 largest exposures making up 50% of total balance at end-1H17 (2.5x FCC). Fitch has reviewed largest exposures in details – the 25 largest were all performing at end-1H17 and the agency assessed most of these as being of decent quality, as they were extended to well-known Russian companies, of which 11 were state-related (see annex 5). Two loans among the 25 largest are viewed by Fitch as of higher risk, the net combined exposure was USD1.2 billion (22% of FCC), while risks are moderately mitigated by completed real estate objects pledged against these exposures with reasonable loan-to-value ratios.
Joint Stock Company Alfa-Bank 5 December 2017 Banks
Loan Book Concentration at End-1H17 Other corporate (USDm) Top 25 loans loans Retail loans Total loans Gross loans (USDm) 12,951 9,580 3,426 25,957 NPLs (USDm) - 619 107 726 NPLs (%) - 6.5 3.1 2.8 Loan impairment reserve 232 377 169 778 LIR/gross loans (%) 1.8 3.9 4.9 3.0 LIR/NPLs (%) n.m. 60.9 157.9 107.2 Source: Bank
Ukrainian Loans Negligible Alfa’s consolidated exposure to Ukrainian borrowers decreased to USD30 million (less than 1% of FCC) at end-2016 from USD142 million at end-2015, due to write-offs and buy out of some exposures by Alfa’s shareholders. All outstanding exposures to Ukraine are booked on ATB balance sheet.
Improving Retail; Reasonable Headroom Retail lending quality improved with annual credit losses decreasing to 7% in 2016 and annualised 4% in 1H17 from 9% in 2015. The Fitch-calculated net safety margin was 8% in 2016, meaning retail segment would be profitable for Alfa unless annual losses doubled.
Retail Safety Margin (%) 2016 2015 2014 Effective interest yielda (A) 30.7 27.1 29.4 Allocated operating expenses/average retail loans (B) -16.1 -17.6 -14.6 Annual retail lossesb (C) -7.0 -9.3 -7.3
Safety margin (A-B-C) 7.6 0.1 7.5 a Including commissions b Fitch calculated NPL origination ratio (net increase of NPLs plus loan write-offs divided by average performing loans) Source: Alfa, Fitch Interpretations
Reverse Repos Adequately Collateralised The reverse repo business (USD3.7 billion at end-2016) is concentrated, with the top 10 exposures accounting for 70% of the total balance. Most counterparties have low ratings or are unrated, so the focus is on collateral, which is a mixture of shares and bonds, mostly of Russian blue chips. For most deals, the tenor is rather short-term (about two weeks), although some deals are for up to three months. The risk is adequately captured by haircuts (30%-40% for shares and 5%-15% for bonds).
Earnings and Profitability Recovered Profitability
Selected Profitability Metrics (%) 1H17b 2016 2015 2014 2013 Net interest income/average earning assets 4.4 4.5 4.0 5.4 5.6 Non-interest expense/gross revenues 52.3 47.1 42.3 54.6 44.8 Loans and securities impairment charges/ -0.4 1.4 3.2 4.0 1.8 average loans Operating profit/average total assets 3.0 2.3 1.5 -0.2 2.5 Operating profit/risk-weighted assets 3.6 2.6 2.2 -0.3 2.9 Net income/average equity 17.0 11.3 11.0 0.7 20.0 TCIa/average equity 19.6 14.3 -0.2 -8.8 18.2 a Total comprehensive income b Annualised Source: Alfa, Fitch’s interpretations
Joint Stock Company Alfa-Bank 6 December 2017 Banks
LICs improved to 1.4% of gross loans in 2016 from 3.2% in 2015 and 4% in 2014, which compares well with pre-crisis levels. In 1H17, LICs were negative 0.4% of gross loans, due to recoveries. Net interest margin also improved by 50bp to 4.5%, resulting in total comprehensive income to average equity ratio of 14% of, which is better than the 10% sector average.
Retail performance improved in 2016-1H17 thanks to tighter underwriting and market stabilisation with Alfa reporting a sound 11% pre-tax profit to average segment assets ratio, although this was partially achieved thanks to provision recovery. With reserve charges normalising, Fitch believes the ratio could fall to pre-crisis level of about 5% in 2H17-2018, which is still sound.
Retail Segment Performance Evolution Average retail assets (LHS) (USDm) PBT/average assets (RHS) 6,000 12
5,000 10
4,000 8
3,000 6
2,000 4
1,000 2
0 0 FY13 FY14 FY15 FY16 1H17 a Annualised Source: Alfa, Fitch interpretation
Capitalisation and Leverage Adequate Capitalisation
Selected Capital Ratios (%) End-1H17 End-2016 End-2015 End-2014 End-2013 IFRS capital ratios (ABHFL consolidated) Fitch Core Capital/weighted risk 15.7 15.9 16.7 12.5 11.8 Equity/assets 12.7 12.7 13.4 9.5 9.7 Tier 1 Basel capital ratio 15.8 16.2 16.8 12.8 11.7 Total Basel capital ratio 20.5 21.8 21.7 17.7 16.7 Internal capital generation Local GAAP regulatory capital ratios (Alfa standalone) Core Tier 1 capital ratio 7.7 8.3 7.5 7.5 n.a. Tier 1 capital ratio 9.1 9.0 7.5 7.5 n.a. Total capital ratio 12.0 14.4 15.6 11.0 12.7 Source: Alfa
CBR SIBa Capital Capitalisation is reasonable for Alfa’s risk profile. IFRS capital ratios improved since end-2013 Requirements Including largely thanks to the depreciation of rouble-denominated risk-weighted assets (RWAs), while Buffers ABHFL’s consolidated equity value in dollars was roughly stable (free from rouble-dollar exchange movements) thanks to the long dollar position (see Risk Appetite section above). From From From 2017 2018 2019 However, Alfa’s IFRS capitalisation is based on Basel I standard and therefore largely benefits Core Tier 1 6.1 7.0 8.0 (300bp-400bp) from omission of market and operational risk. Total Tier 1 7.6 8.5 9.5 Total capital 9.6 10.5 11.5 Local regulatory capital ratios (calculated at Alfa’s standalone level) are tighter as RWAs are a Systemically important banks Source: CBR USD10 billion higher due to present operating and market risk components (each adds about USD4 billion to regulatory RWAs). The regulatory Tier 1 ratio is 70bp higher than Core Tier 1 due to inclusion of USD700 million perpetual subordinated notes placed in 2016. However, under Basel I approach these notes are considered as Tier 2 capital, due to absence of additional Tier 1 component in Basel I rules.
Joint Stock Company Alfa-Bank 7 December 2017 Banks
Alfa should also comply (on a quarterly basis) with extra capital buffer requirements, including for systemic importance and capital conservation, which are being gradually rolled out till 2019. Fitch views core Tier 1 and Tier 1 ratios as potential bottlenecks, although the bank expects to retain profit and/or issue more perpetual debt to comply with increasing buffers. Considerable Loss-Absorption Capacity At end-1H17, Alfa could have withstood about 14% of credit losses before its IFRS total capital adequacy ratio decreased to an internally set minimum of 11%. The regulatory loss absorption is weaker at 5%, however viewed by Fitch as reasonable headroom, due to decent asset quality and good pre-impairment profitability (equal to 5% of loans in 2016).
Loss Absorption Capacity Russian GAAP (RUBm) Basel I (USDm) End-1H17 End-2016 End-2015 End-1H17 End-2016 End-2015 Core Tier 1 capital 202,970 206,529 192,812 5,190 4,926 4,219 Tier 1 capital 238,688 222,756 192,812 5,190 4,926 4,219 Total capital 316,315 357,300 325,876 6,736 6,613 5,468 Core Tier 1 ratio (%) 7.7 8.3 7.5 15.8 16.2 16.8 Tier 1 ratio (%) 9.1 9.0 7.5 15.8 16.2 16.8 Total CAR ratio (%) 12.0 13.2 15.6 20.5 21.8 21.7 Risk-weighted assets 2,633,325 2,475,067 2,560,584 32,818 30,407 25,156 Gross loans 1,617,228 1,537,375 1,541,042 25,092 23,243 21,654 Current LIR 212,829 223,381 251,701 778 1,139 1,415 Additional LIR capacitya 85,839 78,991 41,678 3,512 3,672 3,035 Maximum LIR capacitya 298,668 302,372 293,379 4,290 4,811 4,450 Current LIR/gross loans 13.2 14.5 16.3 3.1 4.9 6.5 (%) Additional LIR cap./gross 5.3 5.1 2.7 14.0 15.8 14.0 loans (%)a Maximum LIR/gross 18.5 19.7 19.0 17.1 20.7 20.5 loans (%)a Targeted or covenanted 4.5 4.5 4.5 - - - core Tier 1 CAR (%) Targeted or covenanted 6.0 6.0 6.0 - - - Tier 1 CAR (%) Targeted or covenanted 8.0 8.0 8.0 11.0 11.0 11.0 total CAR (%) a Loan impairment reserves that the bank could create without the total capital ratio falling below the targeted/covenanted total CAR Source: Fitch
Funding and Liquidity Adequate Liquidity; Balanced Funding Structure
Selected Funding Ratios (%) End-1H17 End-2016 End-2015 End-2014 End-2013 Loans/customer deposits 95.0 107.0 118.3 134.6 120.0 Interbank assets/interbank liabilities 189.4 27.5 59.3 53.8 73.6 Customer deposits/total funding 75.1 69.4 69.2 56.4 62.3 (excluding derivatives) Source: Alfa
Dependence on wholesale and other bank funding decreased to 25% of liabilities at end-1H17 from 39% at end-2014. Bank funding was USD3.4 billion at end-2016 (10% of liabilities), of which USD0.9 billion was repo funding (including USD0.3 billion from the CBR) and USD0.6 billion corresponding accounts of other banks and remaining USD1.9 billion was term placements/loans. Although the latter is typically stable and rolling over, it could be less reliable in times of stress, but Alfa’s significant liquidity buffer mitigates the risk.
Wholesale funding maturity profile is comfortable, with USD2 billion (of which USD1.7 billion bank funding) maturing 12 months from end-9M17.
Joint Stock Company Alfa-Bank 8 December 2017 Banks
Customer accounts represented 75% of total funding; of which half were interest-free current accounts contributing to a relatively low funding cost of about 4.5% in 1H17, in line with state banks, which in challenging environment gives Alfa a significant advantage.
Alfa has comfortable liquidity cushion. At end-9M17 liquid assets (cash and equivalents, unpledged bonds eligible for repo financing with CBR and net short-term interbank placements) were equal to USD11.8 billion covering customer accounts by 47%. Net of potential cash uses (wholesale debt and bank funding repayments) in next 12 months coverage was also comfortable 25%.
Joint Stock Company Alfa-Bank 9 December 2017 Banks
Annex 1
Alfa-Bank Shareholding Structure, End-11M17
Beneficiaries Mikhail Fridman 33% German Khan 21% Alexey Kuzmichev 16% Petr Aven 12% UniCredit S.p.A 10% Other 8%
ABH Holdings S.A. (Luxemburg)
97.4%
ABH Financial Limited (Cyprus)
79.9%
Alfa Capital Holdings JSC “AB HOLDING” (Cyprus)
99.9%
20.1%
AO Alfa-Bank (Russia)
100% 79.1%
PJSC «BALTIYSKIY Amsterdam Trade BANK» Bank
Source: Transactional documents
Joint Stock Company Alfa-Bank 10 December 2017 Banks
Annex 2 – Peer Comparison
Peer Analysis Bank Saint Petersburg Alfa-Bank Credit Bank of Moscow PJSC Rosbank Gazprombank (JSC) Rosevrobank (BB+/Stable/bb+) (BB-/Stable/bb-) (BB-/Stable/bb-) (BBB-/Positive/bb+) (BB+/Positive/bb-) (BB-/Stable/bb-) (%) 1H17 YE16 YE15 9M7 YE16 YE15 1H17 YE16 YE15 9M17 YE16 YE15 1H17 YE16 YE15 1H17 YE16 YE15 Profitability Operating profit/risk-weighted 3.6 2.6 2.2 2.5 1.3 0.2 1.7 1.1 0.9 n.a. 0.5 1.1 1.1 1.3 1.0 4.0 4.2 3.9 assets Interest income/average 8.9 9.2 9.9 8.6 9.6 11.5 9.8 10.3 11.1 10.3 10.6 10.3 9.4 9.4 9.9 10.7 11.3 12.2 earning assets Interest expense/average 4.6 4.8 6.0 5.5 6.0 8.0 5.9 5.9 7.1 5.7 6.0 6.3 5.5 6.0 6.6 4.6 4.6 4.9 interest-bearing liabilities Net interest margin 4.4 4.5 4.0 2.9 3.4 3.8 3.8 4.4 3.8 4.8 4.8 4.1 3.3 3.0 2.6 6.5 7.0 7.4 Non-interest income/gross 52.3 34.8 44.2 27.2 31.4 25.3 43.0 29.4 37.6 23.9 19.9 21.5 6.7 18.7 46.0 28.4 30.0 37.8 revenues Operating expenses/gross 52.3 47.1 42.3 27.7 24.8 25.6 39.7 40.6 38.8 68.8 67.3 75.4 51.8 61.3 48.9 40.0 35.2 31.7 revenues Pre-impairment operating 2.7 3.1 3.6 2.6 3.3 3.5 3.5 3.3 3.2 1.7 1.8 1.1 1.3 1.5 1.9 4.9 5.7 6.8 ROAA Pre-impairment operating 20.7 23.0 30.4 47.9 45.1 40.0 31.7 31.6 31.6 12.5 13.4 9.4 19.0 22.1 25.6 26.5 33.6 43.0 ROAE Provisioning charge/pre- - 27.5 58.7 33.2 68.0 92.3 57.7 71.0 72.3 19.4 77.5 180.5 24.2 18.0 153.5 14.4 19.3 33.4 impairment operating profit 10.6 ROAA 2.2 1.5 1.3 1.3 0.8 0.2 1.5 0.8 0.7 1.0 0.3 0.9 1.0 0.6 1.0 3.3 3.7 3.6 ROAE 17.0 11.3 11.0 19.4 11.1 2.1 13.4 7.3 6.7 7.4 2.6 7.4 15.1 6.7 13.4 18.0 21.6 22.8 Net income/risk weighted 2.7 1.7 1.9 1.9 1.0 0.2 1.4 0.9 0.7 n.a. n.a. 1.1 1.1 0.6 1.0 3.2 3.7 3.1 assets Loan book and quality Net loans/assets 60.0 57.8 62.2 44.0 40.0 49.1 55.6 54.2 59.6 64.1 66.7 62.8 63.1 66.6 62.5 46.9 45.2 46.6 Loan growth 8.0 10.7 -22.2 24.1 5.8 59.8 0.2 4.3 7.7 4.1 8.1 5.1 -0.4 -0.2 10.5 3.5 3.2 3.1 Non-retail loans/total loans 86.5 87.4 87.2 88.5 84.9 81.0 81.4 83.0 85.6 40.6 38.1 38.2 90.3 90.6 91.0 83.5 81.3 77.3 Loan impairment -0.5 1.4 3.2 1.9 4.7 5.4 3.0 3.4 3.5 0.5 1.8 3.0 0.4 0.1 4.2 0.8 2.1 4.1 charges/average loans NPLs/gross loans 2.9 4.3 7.2 1.7 2.3 5.2 6.5 5.0 4.3 n.a. 10.2 10.2 3.3 2.4 1.9 1.7 3.7 3.4 LIR/gross loans 3.1 4.9 6.7 5.3 6.0 5.9 12.4 11.2 9.4 n.a. 8.4 9.1 6.3 7.3 8.9 9.2 10.9 9.6 LIR/NPLs 107.2 113.2 94.3 322.1 263.3 113.7 191.6 225.4 218.1 n.a. 82.5 89.2 194.4 305.5 461.4 528.7 295.5 286.1 NPLs less reserves/FCC -1.0 -2.8 2.1 n.a. -24.2 -4.8 -33.1 -36.5 -33.5 n.a. n.a. 6.9 -45.6 -89.7 -87.5 -20.8 -20.9 21.2 Liquidity and funding Interbank assets/Interbank 189.4 27.5 59.3 66.7 81.4 133.7 7.7 54.0 89.7 92.9 137.9 97.7 19.0 17.4 115.3 6.0 98.3 84.7 liabilities Loans/customer deposits 95.0 107.0 118.3 86.3 99.3 71.8 112.6 106.3 113.7 121.0 138.9 135.1 99.9 105.8 108.7 69.7 68.9 68.8
Joint Stock Company Alfa-Bank 11 December 2017 Banks
Peer Analysis (Cont.) Bank Saint Petersburg Alfa-Bank Credit Bank of Moscow PJSC Rosbank Gazprombank (JSC) Rosevrobank (BB+/Stable/bb+) (BB-/Stable/bb-) (BB-/Stable/bb-) (BBB-/Positive/bb+) (BB+/Positive/bb-) (BB-/Stable/bb-) (%) 1H17 YE16 YE15 9M17 YE16 YE15 1H17 YE16 YE15 9M17 YE16 YE15 1H17 YE16 YE15 1Q17 YE16 YE15 Customer deposits/total 75.1 69.4 69.2 58.2 46.1 79.1 64.2 65.1 64.9 69.7 65.2 62.7 74.9 76.6 71.7 92.1 90.8 90.0 Funding (excluding derivatives) Capitalisation FCC/FCC-adjusted risk 15.7 15.9 16.7 n.a. 9.5 9.3 12.8 12.0 10.9 n.a. 17.3 13.5 5.0 3.7 5.8 18.2 16.3 14.1 weighted assets Tangible common 12.7 12.7 13.4 6.7 6.6 7.6 11.4 10.4 10.1 13.3 13.4 11.1 4.6 6.0 5.6 18.5 17.5 15.3 equity/tangible assets Basel Tier 1 regulatory capital 15.8 16.2 16.8 14.2 9.4 9.2 11.8 11.0 9.9 n.a. 15.8 13.8 11.0 10.0 10.2 17.5 15.8 13.7 ratio Basel total regulatory capital 20.5 21.8 21.7 23.2 14.7 16.5 16.7 16.3 15.6 n.a 20.9 20.6 14.6 13.5 14.2 19.6 18.1 16.3 ratio Regulatory Tier 1 regulatory 9.1 9.0 7.5 10.2 7.3 n.a 8.9 8.9 8.8 9.3 9.5 8.5 8.7 8.4 8.7 10.9 12.0 10.2 capital ratio (N1.2) Regulatory total regulatory 12.0 13.2 15.6 17.5 12.6 n.a 13.9 14.3 15.5 13.4 14.1 15.3 12.9 13.0 13.4 14.1 14.5 14.2 capital ratio (N1.0) Equity/assets 12.7 13.2 13.8 6.7 6.6 7.6 11.4 10.5 10.1 13.6 14.0 11.9 6.5 8.1 8.2 18.5 17.6 15.5 Internal capital generation 16.6 10.5 9.9 17.3 10.5 1.6 8.7 6.3 4.8 7.2 2.5 7.7 5.0 7.4 11.4 17.6 15.6 18.0 Total assets 2,470.4 2,321.6 2,291.0 1,780.1 1,568.0 1,208.2 559.7 580.3 562.5 965.1 880.7 1,011.2 5,184.4 4,879.2 5,122.2 176.5 173.4 165.6 (RUBbn) Total equity 313.2 305.5 316.2 118.8 103.4 92.3 63.9 60.7 56.6 125.0 130.9 120.5 235.5 393.9 417.6 32.7 30.6 25.7 (RUBbn) Source: IFRS and prudential accounts
Joint Stock Company Alfa-Bank 12 December 2017 Banks
Annex 3: Segment Results
1H17 2016 2015 2014 2013 Corporate Corporate Corporate Corporate Corporate (USDm) and IBa Retail Treasury Total and IBa Retail Treasury Total and IBa Retail Treasury Total and IBa Retail Treasury Total and IBa Retail Treasury Total Net revenue 844 370 58 1,156 1,151 871 -77 1,945 1,212 987 -4 2,195 6 1,577 -451 1,132 1,358 1,463 29 2,850 before opex and impairment Opex 240 267 9 516 -387 -476 -16 -879 -376 -479 -15 -870 -366 -668 -20 -1,054 -470 -750 -22 -1,242 Pre- 604 103 67 640 764 395 -93 1,066 836 508 -19 1,325 -360 909 -471 78 888 713 7 1,608 impairment profit Impairment -79 58 -21 41 98 0 139 47 389 -3 433 667 620 3 290 85 425 510 Profit before 525 161 67 619 723 297 -93 927 789 119 -16 892 -1,027 289 -474 -1,212 803 288 7 1,098 tax Segment 28,109 3,074 4,926 36,108 23,214 2,737 4,379 30,329 21,466 3,436 4,937 29,838 25,976 5,062 5,730 36,768 28,652 5,164 5,756 39,572 average assets PBT/segment 3.7 10.5 -2.7 3.4 3.1 10.9 -2.1 3.1 3.7 3.5 -0.3 3.0 -4.0 5.7 -8.3 -3.3 2.8 5.6 0.1 2.8 average assets (%) a Investment banking Source: IFRS statements, Fitch estimates
Joint Stock Company Alfa-Bank 13 December 2017 Banks
Annex 4: Loan Quality Detail
At End-1H17 NPLs originated Loan NPLs originated Renego- Renego- Loan (recovered) in Gross Lending Performing impairment Period-end (recovered) in Written-off tiated tiated impairment 1H17/avg. performing loans growh loans provision Net loans NPLs 1H17 loans loans NPLs 90+ loans provision loansa (USDm) 1H17(%) (USDm) (USDm) (USDm) (USDm) (USDm) (USDm) (USDm) (%) (%) (%) (%) Credit cards and 2,776 15.6 2,688 135 2,641 88 57 - 3.2 4.9 4.7 PILs Consumer loans 496 22.2 477 32 464 19 13 - 3.8 6.5 5.2 Mortgage and car 111 -9.8 111 2 109 - -4 1 - 1.8 -6.9 loans Reverse repo 43 79.2 43 - 43 - - - - - Total retail loans 3,426 16.0 3,319 169 3,257 107 66 1 3.1 4.9 4.3 General corporate 21,081 7.1 20,474 572 20,509 607 -21 334 2.9 2.7 -0.2 loans Reverse repo 822 29.7 822 822 - - - - - Leasing 628 -0.9 616 37 591 12 14 4 1.9 5.9 4.6 Total corporate 22,531 7.6 21,912 609 21,922 619 -7 338 2.7 2.7 -0.1 loans Total loan book 25,957 8.6 25,231 778 25,179 726 59 339 - 2.8 3.0 0.5 a Annualised Source: IFRS statements, Alfa
Joint Stock Company Alfa-Bank 14 December 2017 Banks
At End-2016 NPLs originated Loan NPLs originated Renego- Renego- Loan (recovered) in Gross Lending Performing impairment Period-end (recovered) in Written-off tiated tiated impairment 1H17/avg. performing loans growth loans provision Net loans NPLs 1H17 loans loans NPLs 90+ loans provision loansa (USDm) 1H17(%) (USDm) (USDm) (USDm) (USDm) (USDm) (USDm) (USDm) (%) (%) (%) (%) Credit cards and 2,401 15.2 2,370 78 2,323 31 161 178 1.3 3.2 7.3 PILs Consumer loans 406 -14.5 400 17 389 6 35 44 1.5 4.2 8.1 Mortgage and car 123 -8.9 118 4 119 5 -1 3 4.1 3.3 -0.8 loans Reverse repo 24 26.3 24 - 24 - - - - - Total retail loans 2,954 8.8 2,912 99 2,855 42 195 225 1.4 3.4 7.0 General corporate 19,679 11.1 18,717 991 18,688 962 86 527 4.9 5.0 0.5 loans Reverse repo 634 -0.8 634 - 634 - 2 2 - - 0.3 Leasing 634 8.9 632 49 585 2 -24 - 0.3 7.7 -4.0 Total corporate 20,947 10.6 19,983 1,040 19,907 964 64 529 4.6 5.0 0.3 loans Total loan book 23,901 10.4 22,895 1,139 22,762 1,006 259 754 - 4.2 - 4.8 1.2 a Annualised Source: IFRS statements, Alfa
At End-2015 NPLs originated Loan NPLs originated Renego- Loan (recovered) in Gross Lending Performing impairment Net Period-end (recovered) in Written-off tiated NPLs Renegotia impairment 1H17/avg. performing loans growth loans provision loans NPLs 1H17 loans loans 90+ ted loans provision loansa (USDm) 1H17(%) (USDm) (USDm) (USDm) (USDm) (USDm) (USDm) (USDm) (%) (%) (%) (%) Credit cards and 2,085 2,037 125 1,960 48 244 280 2.3 6.0 9.0 PILs Consumer loans 475 460 35 440 15 n.a. 89 3.2 7.4 n.a. Mortgage and car 135 126 7 128 9 n.a. 4 6.7 5.2 n.a. loans Reverse repo 19 19 19 n.a. - - - n.a. Total retail loans 2,714 -40.7 2,642 167 2,547 72 332 373 2.7 6.2 9.3 General corporate 17,719 16,316 1,206 16,513 1,403 1,153 350 7.9 6.8 6.1 loans Reverse repo 639 639 - 639 - n.a. - - - n.a. Leasing 582 556 42 540 26 n.a. 4.5 7.2 n.a. Total corporate 18,940 -19.5 17,511 1,248 17,692 1,429 1,126 350 7.5 6.6 5.6 loans Total loan book 21,654 -23.0 20,153 1,415 20,239 1,501 1,458 723 409 6.9 1.9 6.5 6.1 a Annualised Source: IFRS statements, Alfa
Joint Stock Company Alfa-Bank 15 December 2017 Banks
At End-2014 NPLs originated Loan NPLs originated Renego- Renego- Loan (recovered) in Gross Lending Performing impairment Net Period-end (recovered) in Written-off tiated NPLs tiated impairment 1H17/avg. performing loans growth loans provision loans NPLs 1H17 loans loans 90+ loans provision loansa (USDm) 1H17(%) (USDm) (USDm) (USDm) (USDm) (USDm) (USDm) (USDm) (%) (%) (%) (%) Credit cards and 3,489 -18.2 3,405 214 3,275 84 287 277 2.4 - 6.1 7.6 PILs Consumer loans 875 -45.1 850 61 814 25 88 100 2.9 - 7.0 7.3 Mortgage and car 190 -32.1 186 4 186 4 3 3 2.1 - 2.1 1.3 loans Reverse repo 19 -32.1 19 - 19 - 4 4 - - - 17.0 Total retail loans 4,573 -25.9 4,460 279 4,294 113 382 384 - 2.5 - 6.1 7.3 General corporate 22,322 -14.2 21,722 1,284 21,038 600 341 30 2.7 n.a. 5.8 1.4 loans Reverse repo 374 -33.7 323 37 337 51 50 9 13.6 n.a. 9.9 11.4 Leasing 836 -31.1 834 40 796 2 2 - 0.2 n.a. 4.8 0.2 Total corporate 23,532 -15.3 22,879 1,361 22,171 653 393 39 382 2.8 1.6 5.8 1.6 loans Total loan book 28,105 -17.2 27,339 1,640 26,465 766 775 423 382 2.7 1.4 5.8 2.5 a Annualised Source: IFRS statements, Alfa
Joint Stock Company Alfa-Bank 16 December 2017 Banks
Annex 5 Largest Loans at End-1H17 End-1H17 Gross% of gross (USDm) no Industry State owned Relateda Gross exposure Provision Net exposure loans Net % of FCC Fitch risk assessment 1 Oil industry Yes 1,143 2 1,141 1,115 25.8 23.1 Moderate 2 Oil industry Yes 1,023 3 1,020 21.2 21.1 Low 3 Non-ferrous metallurgy 994 1 993 20.6 20.5 Low 4 Mass media and telecommunications Yes 955 1 954 19.8 19.7 Low 5 Real estate, construction 746 46 700 15.4 14.5 Moderate 6 Diamond extraction and processing Yes 720 - 720 14.9 14.9 Low 7 Non-ferrous metallurgy 543 4 539 11.2 11.2 Low 8 Chemistry and petro chemistry, Oil Yes 484 2 482 10.0 10.0 Low industry 9 Power generation 462 2 460 9.6 9.5 Moderate 10 Real estate, trade and commerce 397 18 379 8.2 7.8 Moderate 11 Machinery and metal working Yes 395 32 363 8.2 7.5 Low 12 Chemistry and petrochemistry 430 - 430 1.7 8.4 Low 13 Ferrous metallurgy 424 1 423 1.7 8.2 Moderate 14 Nuclear industry Yes 423 - 423 1.7 8.2 Low 15 Oil industry Yes 356 - 356 1.4 6.9 Low 16 Mass media and telecommunications Yes 339 - 339 1.4 6.6 Low 17 Food industry Yes 328 - 328 1.3 6.4 Low 18 Railway transport 325 7 318 1.3 6.2 Moderate 19 Coal Industry 310 - 310 1.2 6.0 Low 20 Mass media and telecommunications Yes 304 - 304 1.2 5.9 Low 21 Food industry 295 0 294 1.2 5.7 Moderate 22 Ferrous metallurgy 293 0 293 1.2 5.7 Moderate 23 Nuclear industry Yes 290 1 289 1.2 5.6 Low 24 Mass media and telecommunications Yes 244 3 241 1.0 4.7 Low 25 Food industry 219 0 219 0.9 4.3 Low a Fitch’s view, while exposures could be treated as non-related under IFRS Source: Alfa, Fitch assessment
Joint Stock Company Alfa-Bank 17 December 2017 Banks
Annex 6: Debt Maturity Profile, End-5M17
Wholesale Debt Maturity (Alfa Standalone) Market VEB Syndicated Eurobonds subordinated subordinated Ruble (%) of (USDm) loan (MTN,LPN) ECP debt debt bonds Total liabilities 2017 - - May - - Jun 326 158 484 1.4 Jul 74 74 0.2 Aug - - Sep 829 829 2.4 Oct 75 75 0.2 Nov - - Dec - - Total 2017 - 1,155 149 - - 158 1,462 4.2 2018 Jan - 72 - - - - 72 0.2 Feb ------Mar ------Apr - - 28 - - - 28 0.1 May ------Jun ------Jul ------Aug - 24 - - - - 24 0.1 Sep ------Oct - - - - - 177 177 0.5 Nov - 419 - - - - 419 1.2 Dec ------Total 2018 - 515 28 - - 152 695 2.0 Beyond 2019 364 1,233 - 699 642 686 3,624 10.3 Source: Fitch
Joint Stock Company Alfa-Bank 18 December 2017 Banks
Annex 7: Liquidity Cushion, End-9M17
Liquidity Cushion (Alfa Standalone) (USDm) End-9M17 Cash sourcesa Cash on hand 1,070 Correspondent accounts with central banks 764 Correspondent accounts with other banks 831 Overnight placements with other banks 295 Due from other banks (short-term) 3,005 Cash and cash equivalents 5,965
Additional liquidity sources, including: HFS portfolio 1,071 HTM portfolio 2.210 Repoable fixed income portfolio - Loan portfolio eligible for CBR repo 2,595 CBR/finance ministry auctions - CBR cross guarantee - OFZ capital portfolio - Total additional liquidity sources 5,876 Total available liquidity 11,841 Average monthly proceeds from loan repaymentsb 582 Cash usesa Loans from banks 1,731 Eurobonds (MTN, LPN) 115 ECP 172 Loan from SDIA Syndicated loan VEB subordinated debt Russian bonds Subordinated debt Wholesale/money markets debt repayments in next 12 months 2,017 Potential repayments to government related entities, including: Due to CBR (non-repo) 22 Deposits of ministry of finance, state and regional budgets 715 Non-core deposits from large state entities 3,785 Total potential repayments to government related entities 4,522 Total repayments & other potential cash uses 6,539 Total available liquidity net of wholesale/money markets debt repayments in next 12 months 9,824 Total available liquidity net of total potential cash uses 5,302 Total available liquidity/сustomer accounts (%) 46.7 Total available liquidity net of total potential cash uses/сustomer accountsc (%) 25.4 Monthly proceeds from loan repayments/сustomer accounts (%) 2.3 a Excluding loan issuance/repayments and other items b Bank estimate; Fitch conservatively excludes loan proceeds from calculation of liquid assets c Customer accounts are net of Ministry of Finance/regional budgets/other non-core government deposits Source: IFRS Statements, Bank, Fitch estimates
Joint Stock Company Alfa-Bank 19 December 2017 Banks
ABH Financial Limited Income Statement 30 Jun 2017 31 Dec 2016 31 Dec 2015 31 Dec 2014 6 Months - Interim 6 Months - Interim As % of Year End As % of Year End As % of Year End As % of USDm USDm Earning Assets USDm Earning Assets USDm Earning Assets USDm Earning Assets Reviewed - Reviewed - Audited - Audited - Audited - Unqualified Unqualified Unqualified Unqualified Unqualified
1. Interest Income on Loans 1,202.0 1,202.0 6.81 2,273.0 6.94 2,849.0 10.42 3,773.0 10.13 2. Other Interest Income 306.0 306.0 1.73 432.0 1.32 340.0 1.24 369.0 0.99 3. Dividend Income n.a. n.a. - 0.0 0.00 1.0 0.00 n.a. - 4. Gross Interest and Dividend Income 1,508.0 1,508.0 8.54 2,705.0 8.26 3,190.0 11.67 4,142.0 11.12 5. Interest Expense on Customer Deposits 443.0 443.0 2.51 755.0 2.30 1,130.0 4.13 891.0 2.39 6. Other Interest Expense 312.0 312.0 1.77 625.0 1.91 780.0 2.85 1,073.0 2.88 7. Total Interest Expense 755.0 755.0 4.28 1,380.0 4.21 1,910.0 6.99 1,964.0 5.27 8. Net Interest Income 753.0 753.0 4.27 1,325.0 4.04 1,280.0 4.68 2,178.0 5.85 9. Net Gains (Losses) on Trading and Derivatives 144.0 144.0 0.82 (46.0) (0.14) 8.0 0.03 (262.0) (0.70) 10. Net Gains (Losses) on Other Securities 2.0 2.0 0.01 54.0 0.16 1.0 0.00 (27.0) (0.07) 11. Net Gains (Losses) on Assets at FV through Income Statement n.a. n.a. - 10.0 0.03 20.0 0.07 n.a. - 12. Net Insurance Income n.a. n.a. - n.a. - n.a. - n.a. - 13. Net Fees and Commissions 396.0 396.0 2.24 634.0 1.93 585.0 2.14 825.0 2.21 14. Other Operating Income (185.0) (185.0) (1.05) 55.0 0.17 400.0 1.46 (238.0) (0.64) 15. Total Non-Interest Operating Income 357.0 357.0 2.02 707.0 2.16 1,014.0 3.71 298.0 0.80 16. Personnel Expenses n.a. n.a. - 562.0 1.72 582.0 2.13 679.0 1.82 17. Other Operating Expenses 580.0 580.0 3.29 395.0 1.21 389.0 1.42 672.0 1.80 18. Total Non-Interest Expenses 580.0 580.0 3.29 957.0 2.92 971.0 3.55 1,351.0 3.63 19. Equity-accounted Profit/ Loss - Operating n.a. n.a. - n.a. - n.a. - n.a. - 20. Pre-Impairment Operating Profit 530.0 530.0 3.00 1,075.0 3.28 1,323.0 4.84 1,125.0 3.02 21. Loan Impairment Charge (56.0) (56.0) (0.32) 296.0 0.90 777.0 2.84 1,228.0 3.30 22. Securities and Other Credit Impairment Charges n.a. n.a. - n.a. - n.a. - n.a. - 23. Operating Profit 586.0 586.0 3.32 779.0 2.38 546.0 2.00 (103.0) (0.28) 24. Equity-accounted Profit/ Loss - Non-operating n.a. n.a. - n.a. - n.a. - n.a. - 25. Non-recurring Income n.a. n.a. - 14.0 0.04 28.0 0.10 109.0 0.29 26. Non-recurring Expense n.a. n.a. - n.a. - n.a. - n.a. - 27. Change in Fair Value of Own Debt 0.0 0.0 0.00 (30.0) (0.09) (7.0) (0.03) 6.0 0.02 28. Other Non-operating Income and Expenses n.a. n.a. - n.a. - n.a. - n.a. - 29. Pre-tax Profit 586.0 586.0 3.32 763.0 2.33 567.0 2.07 12.0 0.03 30. Tax expense 150.0 150.0 0.85 236.0 0.72 87.0 0.32 (21.0) (0.06) 31. Profit/Loss from Discontinued Operations n.a. n.a. - n.a. - n.a. - n.a. - 32. Net Income 436.0 436.0 2.47 527.0 1.61 480.0 1.76 33.0 0.09 33. Change in Value of AFS Investments 2.0 2.0 0.01 (23.0) (0.07) 101.0 0.37 (70.0) (0.19) 34. Revaluation of Fixed Assets n.a. n.a. - n.a. - n.a. - 41.0 0.11 35. Currency Translation Differences 154.0 154.0 0.87 820.0 2.50 (1,199.0) (4.39) (2,073.0) (5.56) 36. Remaining OCI Gains/(losses) (90.0) (90.0) (0.51) (654.0) (2.00) 610.0 2.23 1,654.0 4.44 37. Fitch Comprehensive Income 502.0 502.0 2.84 670.0 2.04 (8.0) (0.03) (415.0) (1.11) 38. Memo: Profit Allocation to Non-controlling Interests 2.0 2.0 0.01 (6.0) (0.02) (6.0) (0.02) 0.0 0.00 39. Memo: Net Income after Allocation to Non-controlling Interests 434.0 434.0 2.46 533.0 1.63 486.0 1.78 33.0 0.09 40. Memo: Common Dividends Relating to the Period n.a. n.a. - n.a. - n.a. - n.a. - 41. Memo: Preferred Dividends Related to the Period n.a. n.a. - n.a. - 50.0 0.18 120.0 0.32
Exchange rate USD1 = USD1 USD1 = USD1 USD1 = USD1 USD1 = USD1
Joint Stock Company Alfa-Bank 20 December 2017 Banks
ABH Financial Limited Balance Sheet 30 Jun 2017 31 Dec 2016 31 Dec 2015 31 Dec 2014 6 Months - 6 Months - Interim Interim As % of Year End As % of Year End As % of Year End As % of USDm USDm Assets USDm Assets USDm Assets USDm Assets Assets A. Loans 1. Residential Mortgage Loans n.a. n.a. - n.a. - n.a. - n.a. - 2. Other Mortgage Loans 99.0 99.0 0.24 112.0 0.29 125.0 0.40 190.0 0.44 3. Other Consumer/ Retail Loans 3,284.0 3,284.0 7.86 2,818.0 7.37 2,570.0 8.17 4,367.0 10.02 4. Corporate & Commercial Loans 21,709.0 21,709.0 51.93 20,313.0 53.11 18,301.0 58.15 22,440.0 51.51 5. Other Loans n.a. n.a. - n.a. - n.a. - n.a. - 6. Less: Reserves for Impaired Loans 778.0 778.0 1.86 1,139.0 2.98 1,415.0 4.50 1,640.0 3.76 7. Net Loans 24,314.0 24,314.0 58.16 22,104.0 57.79 19,581.0 62.22 25,357.0 58.20 8. Gross Loans 25,092.0 25,092.0 60.02 23,243.0 60.77 20,996.0 66.72 26,997.0 61.97 9. Memo: Impaired Loans included above 726.0 726.0 1.74 1,006.0 2.63 1,501.0 4.77 766.0 1.76 10. Memo: Loans at Fair Value included above n.a. n.a. - n.a. - n.a. - n.a. - B. Other Earning Assets 1. Loans and Advances to Banks 4,301.0 4,301.0 10.29 712.0 1.86 1,073.0 3.41 3,678.0 8.44 2. Reverse Repos and Cash Collateral 1,458.0 1,458.0 3.49 3,243.0 8.48 1,283.0 4.08 2,618.0 6.01 3. Trading Securities and at FV through Income 1,069.0 1,069.0 2.56 2,378.0 6.22 1,064.0 3.38 957.0 2.20 4. Derivatives 621.0 621.0 1.49 606.0 1.58 912.0 2.90 2,780.0 6.38 5. Available for Sale Securities 1,681.0 1,681.0 4.02 1,736.0 4.54 2,161.0 6.87 1,361.0 3.12 6. Held to Maturity Securities 2,155.0 2,155.0 5.16 1,940.0 5.07 1,229.0 3.91 456.0 1.05 7. Equity Investments in Associates n.a. n.a. - n.a. - n.a. - n.a. - 8. Other Securities n.a. n.a. - n.a. - n.a. - n.a. - 9. Total Securities 6,984.0 6,984.0 16.71 9,903.0 25.89 6,649.0 21.13 8,172.0 18.76 10. Memo: Government Securities included Above n.a. n.a. - 1,315.0 3.44 581.0 1.85 992.0 2.28 11. Memo: Total Securities Pledged 2.0 2.0 0.00 29.0 0.08 157.0 0.50 339.0 0.78 12. Investments in Property n.a. n.a. - 49.0 0.13 39.0 0.12 51.0 0.12 13. Insurance Assets n.a. n.a. - n.a. - n.a. - n.a. - 14. Other Earning Assets n.a. n.a. - n.a. - n.a. - n.a. - 15. Total Earning Assets 35,599.0 35,599.0 85.16 32,768.0 85.67 27,342.0 86.88 37,258.0 85.52 C. Non-Earning Assets 1. Cash and Due From Banks 4,743.0 4,743.0 11.35 4,607.0 12.05 3,296.0 10.47 5,286.0 12.13 2. Memo: Mandatory Reserves included above 285.0 285.0 0.68 263.0 0.69 151.0 0.48 287.0 0.66 3. Foreclosed Real Estate n.a. n.a. - n.a. - n.a. - n.a. - 4. Fixed Assets 520.0 520.0 1.24 524.0 1.37 441.0 1.40 537.0 1.23 5. Goodwill n.a. n.a. - 32.0 0.08 27.0 0.09 34.0 0.08 6. Other Intangibles n.a. n.a. - 130.0 0.34 54.0 0.17 53.0 0.12 7. Current Tax Assets n.a. n.a. - 16.0 0.04 52.0 0.17 111.0 0.25 8. Deferred Tax Assets 0.0 0.0 0.00 1.0 0.00 0.0 0.00 0.0 0.00 9. Discontinued Operations n.a. n.a. - n.a. - n.a. - n.a. - 10. Other Assets 942.0 942.0 2.25 169.0 0.44 258.0 0.82 287.0 0.66 11. Total Assets 41,804.0 41,804.0 100.00 38,247.0 100.00 31,470.0 100.00 43,566.0 100.00 Liabilities and Equity D. Interest-Bearing Liabilities 1. Customer Deposits - Current 12,340.0 12,340.0 29.52 11,023.0 28.82 7,357.0 23.38 8,245.0 18.93 2. Customer Deposits - Savings n.a. n.a. - n.a. - n.a. - n.a. - 3. Customer Deposits - Term 14,068.0 14,068.0 33.65 10,698.0 27.97 10,391.0 33.02 11,814.0 27.12 4. Total Customer Deposits 26,408.0 26,408.0 63.17 21,721.0 56.79 17,748.0 56.40 20,059.0 46.04 5. Deposits from Banks 2,271.0 2,271.0 5.43 2,588.0 6.77 1,811.0 5.75 6,836.0 15.69 6. Repos and Cash Collateral n.a. n.a. - 840.0 2.20 283.0 0.90 1,351.0 3.10 7. Commercial Paper and Short-term Borrowings 1,880.0 1,880.0 4.50 2,065.0 5.40 1,037.0 3.30 1,933.0 4.44 8. Total Money Market and Short-term Funding 30,559.0 30,559.0 73.10 27,214.0 71.15 20,879.0 66.35 30,179.0 69.27 9. Senior Unsecured Debt (original maturity > 1 year) 2,571.0 2,571.0 6.15 1,838.0 4.81 3,234.0 10.28 3,600.0 8.26 10. Subordinated Borrowing 1,349.0 1,349.0 3.23 1,534.0 4.01 1,533.0 4.87 1,813.0 4.16 11. Covered Bonds n.a. n.a. - n.a. - n.a. - n.a. - 12. Other Long-term Funding n.a. n.a. - n.a. - n.a. - n.a. - 13. Total LT Funding (original maturity > 1 year) 3,920.0 3,920.0 9.38 3,372.0 8.82 4,767.0 15.15 5,413.0 12.42 14. Derivatives 671.0 671.0 1.61 747.0 1.95 712.0 2.26 2,709.0 6.22 15. Trading Liabilities n.a. n.a. - n.a. - n.a. - n.a. - 16. Total Funding 35,150.0 35,150.0 84.08 31,333.0 81.92 26,358.0 83.76 38,301.0 87.91 E. Non-Interest Bearing Liabilities 1. Fair Value Portion of Debt n.a. n.a. - n.a. - n.a. - n.a. - 2. Credit impairment reserves n.a. n.a. - n.a. - n.a. - n.a. - 3. Reserves for Pensions and Other n.a. n.a. - 54.0 0.14 78.0 0.25 181.0 0.42 4. Current Tax Liabilities n.a. n.a. - 69.0 0.18 0.0 0.00 50.0 0.11 5. Deferred Tax Liabilities 88.0 88.0 0.21 31.0 0.08 317.0 1.01 208.0 0.48 6. Other Deferred Liabilities n.a. n.a. - n.a. - n.a. - n.a. - 7. Discontinued Operations n.a. n.a. - n.a. - n.a. - n.a. - 8. Insurance Liabilities n.a. n.a. - n.a. - n.a. - n.a. - 9. Other Liabilities 567.0 567.0 1.36 1,026.0 2.68 373.0 1.19 530.0 1.22 10. Total Liabilities 35,805.0 35,805.0 85.65 32,513.0 85.01 27,126.0 86.20 39,270.0 90.14 F. Hybrid Capital 1. Pref. Shares and Hybrid Capital accounted for as Debt n.a. n.a. - n.a. - n.a. - n.a. - 2. Pref. Shares and Hybrid Capital accounted for as Equity 700.0 700.0 1.67 701.0 1.83 0.0 0.00 n.a. - G. Equity 1. Common Equity 6,390.0 6,390.0 15.29 6,213.0 16.24 5,672.0 18.02 5,133.0 11.78 2. Non-controlling Interest 43.0 43.0 0.10 20.0 0.05 12.0 0.04 13.0 0.03 3. Securities Revaluation Reserves 8.0 8.0 0.02 6.0 0.02 27.0 0.09 (55.0) (0.13) 4. Foreign Exchange Revaluation Reserves (1,210.0) (1,210.0) (2.89) (1,275.0) (3.33) (1,438.0) (4.57) (868.0) (1.99) 5. Fixed Asset Revaluations and Other Accumulated OCI 68.0 68.0 0.16 69.0 0.18 71.0 0.23 73.0 0.17 6. Total Equity 5,299.0 5,299.0 12.68 5,033.0 13.16 4,344.0 13.80 4,296.0 9.86 7. Total Liabilities and Equity 41,804.0 41,804.0 100.00 38,247.0 100.00 31,470.0 100.00 43,566.0 100.00 8. Memo: Fitch Core Capital 5,137.0 5,137.0 12.29 4,834.0 12.64 4,192.0 13.32 4,141.0 9.51
Exchange rate USD1 = USD1 USD1 = USD1 USD1 = USD1 USD1 = USD1
Joint Stock Company Alfa-Bank 21 December 2017 Banks
ABH Financial Limited Summary Analytics 30 Jun 2017 31 Dec 2016 31 Dec 2015 31 Dec 2014 6 Months - Interim Year End Year End Year End
A. Interest Ratios 1. Interest Income on Loans/ Average Gross Loans 10.03 10.41 11.66 12.16 2. Interest Expense on Customer Deposits/ Average Customer Deposits 3.71 3.86 5.80 3.56 3. Interest Income/ Average Earning Assets 8.90 9.16 9.88 10.21 4. Interest Expense/ Average Interest-bearing Liabilities 4.58 4.84 5.97 4.71 5. Net Interest Income/ Average Earning Assets 4.44 4.49 3.96 5.37 6. Net Int. Inc Less Loan Impairment Charges/ Av. Earning Assets 4.77 3.48 1.56 2.34 7. Net Interest Inc Less Preferred Stock Dividend/ Average Earning Assets 4.44 4.49 3.81 5.07 B. Other Operating Profitability Ratios 1. Non-Interest Income/ Gross Revenues 32.16 34.79 44.20 12.04 2. Non-Interest Expense/ Gross Revenues 52.25 47.10 42.33 54.56 3. Non-Interest Expense/ Average Assets 2.92 2.79 2.61 2.85 4. Pre-impairment Op. Profit/ Average Equity 20.69 23.00 30.43 23.87 5. Pre-impairment Op. Profit/ Average Total Assets 2.67 3.13 3.56 2.38 6. Loans and securities impairment charges/ Pre-impairment Op. Profit (10.57) 27.53 58.73 109.16 7. Operating Profit/ Average Equity 22.87 16.67 12.56 (2.19) 8. Operating Profit/ Average Total Assets 2.95 2.27 1.47 (0.22) 9. Operating Profit / Risk Weighted Assets 3.60 2.57 2.17 (0.31) C. Other Profitability Ratios 1. Net Income/ Average Total Equity 17.02 11.28 11.04 0.70 2. Net Income/ Average Total Assets 2.20 1.53 1.29 0.07 3. Fitch Comprehensive Income/ Average Total Equity 19.60 14.33 (0.18) (8.80) 4. Fitch Comprehensive Income/ Average Total Assets 2.53 1.95 (0.02) (0.88) 5. Taxes/ Pre-tax Profit 25.60 30.93 15.34 (175.00) 6. Net Income/ Risk Weighted Assets 2.68 1.74 1.91 0.10 D. Capitalization 1. FCC/FCC-Adjusted Risk Weighted Assets 15.65 15.92 16.66 12.46 2. Tangible Common Equity/ Tangible Assets 12.68 12.71 13.39 9.54 3. Tier 1 Regulatory Capital Ratio 15.80 16.20 16.80 12.80 4. Total Regulatory Capital Ratio 20.50 21.80 21.70 17.70 5. Common Equity Tier 1 Capital Ratio n.a. n.a. n.a. n.a. 6. Equity/ Total Assets 12.68 13.16 13.80 9.86 7. Cash Dividends Paid & Declared/ Net Income n.a. n.a. 10.42 363.64 8. Internal Capital Generation 16.59 10.47 9.90 (2.03) E. Loan Quality 1. Growth of Total Assets 9.30 21.53 (27.76) (10.44) 2. Growth of Gross Loans 7.96 10.70 (22.23) (15.79) 3. Impaired Loans/ Gross Loans 2.89 4.33 7.15 2.84 4. Reserves for Impaired Loans/ Gross Loans 3.10 4.90 6.74 6.07 5. Reserves for Impaired Loans/ Impaired Loans 107.16 113.22 94.27 214.10 6. Impaired loans less Reserves for Impaired Loans/ Fitch Core Capital (1.01) (2.75) 2.05 (21.11) 7. Impaired Loans less Reserves for Impaired Loans/ Equity (0.98) (2.64) 1.98 (20.34) 8. Loan Impairment Charges/ Average Gross Loans (0.47) 1.36 3.18 3.96 9. Net Charge-offs/ Average Gross Loans 2.83 3.45 2.96 1.36 10. Impaired Loans + Foreclosed Assets/ Gross Loans + Foreclosed Assets 2.89 4.33 7.15 2.84 F. Funding and Liquidity 1. Loans/ Customer Deposits 95.02 107.01 118.30 134.59 2. Interbank Assets/ Interbank Liabilities 189.39 27.51 59.25 53.80 3. Customer Deposits/ Total Funding (excluding derivatives) 75.07 69.43 69.20 56.36 4. Liquidity Coverage Ratio n.a. n.a. n.a. n.a. 5. Net Stable Funding Ratio n.a. n.a. n.a. n.a.
Joint Stock Company Alfa-Bank 22 December 2017 Banks
ABH Financial Limited Reference Data 30 Jun 2017 31 Dec 2016 31 Dec 2015 31 Dec 2014 6 Months - 6 Months - Interim Interim As % of Year End As % of Year End As % of Year End As % of USDm USDm Assets USDm Assets USDm Assets USDm Assets
A. Off-Balance Sheet Items 1. Managed Securitized Assets Reported Off-Balance Sheet n.a. n.a. - n.a. - n.a. - n.a. - 2. Other off-balance sheet exposure to securitizations n.a. n.a. - n.a. - n.a. - n.a. - 3. Guarantees 1,821.0 1,821.0 4.36 1,716.0 4.49 1,436.0 4.56 2,908.0 6.67 4. Acceptances and documentary credits reported off-balance sheet 3,195.0 3,195.0 7.64 323.0 0.84 258.0 0.82 433.0 0.99 5. Committed Credit Lines n.a. n.a. - n.a. - n.a. - n.a. - 7. Other Off-Balance Sheet items n.a. n.a. - 137.0 0.36 129.0 0.41 210.0 0.48 8. Total Assets under Management n.a. n.a. - n.a. - n.a. - n.a. - B. Average Balance Sheet Average Loans 24,167.5 24,167.5 57.81 21,841.7 57.11 24,425.7 77.62 31,031.3 71.23 Average Earning Assets 34,183.5 34,183.5 81.77 29,540.7 77.24 32,288.7 102.60 40,576.7 93.14 Average Assets 40,025.5 40,025.5 95.75 34,344.3 89.80 37,191.7 118.18 47,344.3 108.67 Average Managed Securitized Assets (OBS) n.a. n.a. - n.a. - n.a. - n.a. - Average Interest-Bearing Liabilities 33,241.5 33,241.5 79.52 28,492.0 74.49 31,991.7 101.66 41,738.3 95.80 Average Common equity 6,301.5 6,301.5 15.07 5,907.3 15.45 5,350.0 17.00 5,268.3 12.09 Average Equity 5,166.0 5,166.0 12.36 4,674.0 12.22 4,348.3 13.82 4,713.3 10.82 Average Customer Deposits 24,064.5 24,064.5 57.57 19,544.0 51.10 19,472.7 61.88 25,038.7 57.47 C. Maturities Asset Maturities: Loans & Advances < 3 months n.a. n.a. - n.a. - n.a. - n.a. - Loans & Advances 3 - 12 Months n.a. n.a. - n.a. - n.a. - n.a. - Loans and Advances 1 - 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Loans & Advances > 5 years n.a. n.a. - n.a. - n.a. - n.a. - Debt Securities < 3 Months n.a. n.a. - n.a. - n.a. - n.a. - Debt Securities 3 - 12 Months n.a. n.a. - n.a. - n.a. - n.a. - Debt Securities 1 - 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Debt Securities > 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Loans & Advances to Banks < 3 Months n.a. n.a. - n.a. - n.a. - n.a. - Loans & Advances to Banks 3 - 12 Months n.a. n.a. - n.a. - n.a. - n.a. - Loans & Advances to Banks 1 - 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Loans & Advances to Banks > 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Liability Maturities: Retail Deposits < 3 months n.a. n.a. - n.a. - n.a. - n.a. - Retail Deposits 3 - 12 Months n.a. n.a. - n.a. - n.a. - n.a. - Retail Deposits 1 - 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Retail Deposits > 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Other Deposits < 3 Months n.a. n.a. - n.a. - n.a. - n.a. - Other Deposits 3 - 12 Months n.a. n.a. - n.a. - n.a. - n.a. - Other Deposits 1 - 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Other Deposits > 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Deposits from Banks < 3 Months n.a. n.a. - n.a. - n.a. - n.a. - Deposits from Banks 3 - 12 Months n.a. n.a. - n.a. - n.a. - n.a. - Deposits from Banks 1 - 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Deposits from Banks > 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Senior Debt Maturing < 3 months n.a. n.a. - n.a. - n.a. - n.a. - Senior Debt Maturing 3-12 Months n.a. n.a. - n.a. - n.a. - n.a. - Senior Debt Maturing 1- 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Senior Debt Maturing > 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Total Senior Debt on Balance Sheet n.a. n.a. - n.a. - n.a. - n.a. - Fair Value Portion of Senior Debt n.a. n.a. - n.a. - n.a. - n.a. - Subordinated Debt Maturing < 3 months n.a. n.a. - n.a. - n.a. - n.a. - Subordinated Debt Maturing 3-12 Months n.a. n.a. - n.a. - n.a. - n.a. - Subordinated Debt Maturing 1- 5 Year n.a. n.a. - n.a. - n.a. - n.a. - Subordinated Debt Maturing > 5 Years n.a. n.a. - n.a. - n.a. - n.a. - Total Subordinated Debt on Balance Sheet 1,349.0 1,349.0 3.23 1,534.0 4.01 1,533.0 4.87 1,813.0 4.16 Fair Value Portion of Subordinated Debt n.a. n.a. - n.a. - n.a. - n.a. - D. Risk Weighted Assets 1. Risk Weighted Assets 32,818.0 32,818.0 78.50 30,369.0 79.40 25,156.0 79.94 33,231.0 76.28 2. Fitch Core Capital Adjustments for Insurance and Securitisation Risk Weighted Assets n.a. n.a. - n.a. - n.a. - n.a. - 3. Fitch Core Capital Adjusted Risk Weighted Assets 32,818.0 32,818.0 78.50 30,369.0 79.40 25,156.0 79.94 33,231.0 76.28 4. Other Fitch Adjustments to Risk Weighted Assets n.a. n.a. - n.a. - n.a. - n.a. - 5. Fitch Adjusted Risk Weighted Assets 32,818.0 32,818.0 78.50 30,369.0 79.40 25,156.0 79.94 33,231.0 76.28 E. Equity Reconciliation 1. Equity 5,299.0 5,299.0 12.68 5,033.0 13.16 4,344.0 13.80 4,296.0 9.86 2. Add: Pref. Shares and Hybrid Capital accounted for as Equity 700.0 700.0 1.67 701.0 1.83 0.0 0.00 n.a. - 3. Add: Other Adjustments n.a. n.a. - n.a. - n.a. - n.a. - 4. Published Equity 5,999.0 5,999.0 14.35 5,734.0 14.99 4,344.0 13.80 4,296.0 9.86 F. Fitch Core Capital Reconciliation 1. Total Equity as reported (including non-controlling interests) 5,299.0 5,299.0 12.68 5,033.0 13.16 4,344.0 13.80 4,296.0 9.86 2. Fair value effect incl in own debt/borrowings at fv on the B/S- CC only 0.0 0.0 0.00 0.0 0.00 0.0 0.00 0.0 0.00 3. Non-loss-absorbing non-controlling interests 0.0 0.0 0.00 0.0 0.00 0.0 0.00 0.0 0.00 4. Goodwill 32.0 32.0 0.08 32.0 0.08 27.0 0.09 34.0 0.08 5. Other intangibles 130.0 130.0 0.31 130.0 0.34 54.0 0.17 53.0 0.12 6. Deferred tax assets deduction 0.0 0.0 0.00 37.0 0.10 71.0 0.23 68.0 0.16 7. Net asset value of insurance subsidiaries 0.0 0.0 0.00 0.0 0.00 0.0 0.00 0.0 0.00 8. First loss tranches of off-balance sheet securitizations 0.0 0.0 0.00 0.0 0.00 0.0 0.00 0.0 0.00 9. Fitch Core Capital 5,137.0 5,137.0 12.29 4,834.0 12.64 4,192.0 13.32 4,141.0 9.51
Exchange Rate USD1 = USD1 USD1 = USD1 USD1 = USD1 USD1 = USD1
Joint Stock Company Alfa-Bank 23 December 2017 Banks
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Joint Stock Company Alfa-Bank 24 December 2017