CORPORATE & RETAIL BANKING

Project Presentation
(Group-2)

Submitted by,

ADITYA PRASUN
AISHWARIYA BHOWMICK
ASHITOSH SHIRSAT
DEEPESH PUGALIA
HARSH CHANDRA
PARTH DODIA
RANJIT KHARA
RITAM BISWAS
SABHYATA YADAV
News Clippings 2016-17
Events that Affected yes bank negatively
during 2016-17

Yes Bank’s aborted QIP under Sebi scanner

Yes Bank slumps after bad loans rise (Q2 FY18)

The Reserve Bank of India (RBI) had fined YES Bank, controlled by billionaire Rana
Kapoor, for under-reporting its bad loans in audited results for the year to March 31.
Positive events

1 2 3
Yes Bank board approves Second attempt of raising YES Bank Q3 net profit grows
stock split of 1:5 funds through QIP a success 22%, asset quality looks
up (Q3 FY18)
1 YR chart of
Yes Bank
 Relative Valuation

Company Stock Price 50 dma EPS for dec quarter Eps for full year( FY 18) P/E Book Value P/B Market Cap
HDFC Bank 1846 1894 17.7 67.8 27.23 408 4.52 4846
ICICI Bank 293 324 2.57 12.9 22.71 160 1.83 2,199
Yes Bank 303 330 4.7 18.6 16.29 108 2.81 782
Kotak Bank 1082 1053 8.53 29.4 36.80 255 4.24 1884
Indusind Bank 1697 1685 15.62 60.1 28.24 389 4.36 991
Axis Bank 507 559 3 14.7 34.49 260 1.95 1400

Pure Play Peer Group P/E 28.93 Pure Play Peer P/B 3.62190543
Relative Valuation of
stock price 538.107169 Relative Valuation of stock price 391.165787
Technical Analysis
CAMELS Ratings

Capital Asset Management Earnings Liquidity Sensitivity

Adequacy Quality Quality to Market
Risk

Tier-I= 13.3% Gross NPA= Total Investment/ Return on Net Worth Beta= 2.33
INR 2010.39 crore Total Asset= 0.2326 (source:
Tier-II=Beta
3.7%
Operating Profit/ Govt securities/ reuters)
CAR= 17% Total Advance/
Net NPA= Average Working fund Total Investment=
D/E= 8.23 Total Deposits= 0.7098
INR 1071.33 crore
Adv/Assets= 0.9257 PAT/Total Asset= 1.55%
0.615 Govt securities/
NNPA/
Total Advance= Business per employee= ROA=1.81% Total Assets=
0.81% INR 159.55 million 0.165
ROE= 21.5%
Total Investment/ Profit per employee= Liquid Assets/
Total Asset= INR 2 million Total Assets=
0.2326 0.1524
Non-interest
Income/Working Fund= Liquid Assets/
8.93% Total Deposits=
0.2295
Interest Rate Sensitive Gap

Maturity Patterns RATE SENSITIVE ASSETS CUMULATIVE RSAs RATE SENSITIVE LIABILITIES CUM RSLs GAP (RSA-RSL) CUM GAP (CRSA-CRSL)

1 day 1,05,101.37 1,05,101.37 11,128.26 11,128.26 93,973.11 93,973.11

2 days to 7 days 63,920.29 1,69,021.66 85,303.23 96,431.49 -21,382.94 72,590.17
8 days to 14 days 45,642.86 2,14,664.52 36,043.91 1,32,475.40 9,598.95 82,189.12
15 days to 28 days 96,715.43 3,11,379.95 67,231.70 1,99,707.10 29,483.73 1,11,672.85
29 days to 3 months 1,74,658.12 4,86,038.07 2,31,202.95 4,30,910.05 -56,544.83 55,128.02
Over 3 to 6 months 1,50,887.74 6,36,925.81 2,82,853.61 7,13,763.66 -1,31,965.87 -76,837.85
Over 6 to 12 months 2,56,453.87 8,93,379.68 3,49,942.78 10,63,706.44 -93,488.91 -1,70,326.76
Over 1 year to 3 years 4,70,822.81 13,64,202.49 1,73,147.03 12,36,853.47 2,97,675.78 1,27,349.02
Over 3 years to 5 years 3,17,875.74 16,82,078.23 5,74,983.63 18,11,837.10 -2,57,107.89 -1,29,758.87
Over 5 years 3,03,818.73 19,85,896.96 2,12,179.06 20,24,016.16 91,639.67 -38,119.20

TOTAL 19,85,896.96 78,48,688.74 20,24,016.16 77,20,829.13

 GAPR CGAPR PGAPR OPGAPR

8.44 8.44 844.45 4.64

-0.25 0.85 -25.07 -1.06
0.27 2.28 26.63 0.47
0.44 1.66 43.85 1.46
-0.24 0.24 -24.46 -2.79
-0.47 -0.27 -46.66 -6.52
-0.27 -0.49 -26.72 -4.62
1.72 0.74 171.92 14.71
-0.45 -0.23 -44.72 -12.70
0.43 -0.18 43.19 4.53

Gap Cumulative GAP GAP as % of Cum GAP as % of RIO RSA * 100 / TRSL
Total Outflow Total Outflow

93,973.11 93,973.11 844.5% 844.5% 9.44 5.19

-21,382.94 72,590.17 -25.1% 85.1% 0.75 3.16
9,598.95 82,189.12 26.6% 228.0% 1.27 2.26
29,483.73 1,11,672.85 43.9% 166.1% 1.44 4.78
-56,544.83 55,128.02 -24.5% 23.8% 0.76 8.63
-1,31,965.87 -76,837.85 -46.7% -27.2% 0.53 7.45
-93,488.91 -1,70,326.76 -26.7% -48.7% 0.73 12.67
2,97,675.78 1,27,349.02 171.9% 73.5% 2.72 23.26
-2,57,107.89 -1,29,758.87 -44.7% -22.6% 0.55 15.71
91,639.67 -38,119.20 43.2% -18.0% 1.43 15.01
Calculation of net interest income upto each bucket taking into consideration as below:
Let Change in interest rate is decreased by 25 basis points = -0.0025

Net Int Income

Change in NII 1 day 93973.11 X -0.0025 = -234.93
Change in NII 2 days to 7 days 72590.17 X -0.0025 = -181.48
Change in NII 8 days to 14 days 82189.12 X -0.0025 = -205.47
Change in NII 15 days to 28 days 111672.85 X -0.0025 = -279.18
Change in NII 29 days to 3 months 55128.02 X -0.0025 = -137.82
Change in NII Over 3 to 6 months -76837.85 X -0.0025 = 192.09
Change in NII Over 6 to 12 months -170326.76 X -0.0025 = 425.82
Change in NII Over 1 year to 3 years 127349.02 X -0.0025 = -318.37
Change in NII Over 3 years to 5 years -129758.87 X -0.0025 = 324.40
Change in NII Over 5 years -38119.20 X -0.0025 = 95.30

Calculation of net interest income upto each bucket taking into consideration as below:
Let Change in interest rate is increased by 50 basis points = 0.005

Net Int Income

Change in NII 1 day 93973.11 X 0.005 = 469.87
Change in NII 2 days to 7 days 72590.17 X 0.005 = 362.95
Change in NII 8 days to 14 days 82189.12 X 0.005 = 410.95
Change in NII 15 days to 28 days 111672.85 X 0.005 = 558.36
Change in NII 29 days to 3 months 55128.02 X 0.005 = 275.64
Change in NII Over 3 to 6 months -76837.85 X 0.005 = -384.19
Change in NII Over 6 to 12 months -170326.76 X 0.005 = -851.63
Change in NII Over 1 year to 3 years 127349.02 X 0.005 = 636.75
Change in NII Over 3 years to 5 years -129758.87 X 0.005 = -648.79
Change in NII Over 5 years -38119.20 X 0.005 = -190.60
Calculation of net interest income upto each bucket taking into consideration as below:
Let Change in interest rate is decreased by 75 basis points = -0.0075

Net Int Income

Change in NII 1 day 93973.11 X -0.0075 = -704.798325
Change in NII 2 days to 7 days 72590.17 X -0.0075 = -544.426275
Change in NII 8 days to 14 days 82189.12 X -0.0075 = -616.4184
Change in NII 15 days to 28 days 111672.85 X -0.0075 = -837.546375
Change in NII 29 days to 3 months 55128.02 X -0.0075 = -413.46015
Change in NII Over 3 to 6 months -76837.85 X -0.0075 = 576.283875
Change in NII Over 6 to 12 months -170326.76 X -0.0075 = 1277.4507
Change in NII Over 1 year to 3 years 127349.02 X -0.0075 = -955.11765
Change in NII Over 3 years to 5 years -129758.87 X -0.0075 = 973.191525
Change in NII Over 5 years -38119.20 X -0.0075 = 285.894

Calculation of net interest income upto each bucket taking into consideration as below:
increases by 75 basis points up to 1 year periods = 0.008

Change in NII 1 day 93973.11 X 0.0075 = 704.798325

Change in NII 2 days to 7 days 72590.17 X 0.0075 = 544.426275
Change in NII 8 days to 14 days 82189.12 X 0.0075 = 616.4184
Change in NII 15 days to 28 days 111672.85 X 0.0075 = 837.546375
Change in NII 29 days to 3 months 55128.02 X 0.0075 = 413.46015
Change in NII Over 3 to 6 months -76837.85 X 0.0075 = -576.283875
Change in NII Over 6 to 12 months -170326.76 X 0.0075 = -1277.4507
Change in NII Over 1 year to 3 years 127349.02 X 1 = 127349.02
Change in NII Over 3 years to 5 years -129758.87 X 1 = -129758.87
Change in NII Over 5 years -38119.20 X 1 = -38119.2
Calculation of net interest income upto each bucket taking into consideration as below:
decreases by 50 basis points above 3 years periods. = -0.005

Change in NII 1 day 93973.11 X 1 = 93973.11

Change in NII 2 days to 7 days 72590.17 X 1 = 72590.17
Change in NII 8 days to 14 days 82189.12 X 1 = 82189.12
Change in NII 15 days to 28 days 111672.85 X 1 = 111672.85
Change in NII 29 days to 3 months 55128.02 X 1 = 55128.02
Change in NII Over 3 to 6 months -76837.85 X 1 = -76837.85
Change in NII Over 6 to 12 months -170326.76 X 1 = -170326.76
Change in NII Over 1 year to 3 years 127349.02 X 1 = 127349.02
Change in NII Over 3 years to 5 years -129758.87 X -0.005 = 648.79435
Change in NII Over 5 years -38119.20 X -0.005 = 190.596
Duration Gap Analysis

Maturity Buckets Loans & Advances Investment Securities Deposits Borrowings Interest rate(Asset) Interest rate(Liability)

1 day 25,371.95 56,563.85 10,960.90 - 5.88 5.75

2 days to 7 days 9,606.86 33,828.82 66,724.67 14,641.34 6.25 6.2
8 days to 14 days 15,683.99 27,620.67 33,571.39 424.57 6.27 6.24
15 days to 28 days 36,958.01 52,523.03 50,992.89 13,258.39 6.26 6.24
29 days to 3 months 1,14,277.49 40,538.26 1,80,054.19 26,809.41 8.99 6.85
Over 3 to 6 months 94,725.31 43,776.81 2,10,790.81 42,010.05 9.75 6.9
Over 6 to 12 months 1,91,443.78 49,855.62 2,46,530.81 48,896.13 13.5 6.7
Over 1 year to 3 years 4,21,372.12 29,801.27 1,16,422.63 29,419.88 14.00 6.75
Over 3 years to 5 years 1,98,757.09 98,707.12 4,90,442.48 45,425.21 14.00 6.75
Over 5 years 2,14,430.17 67,102.53 22,247.80 1,65,181.75 14.00 6.75
Duration Gap Analysis Continued..

D(Assets) D(Liabilities) Total Assets Total Liabilities

0.0027 0.0027 81,935.80 10,960.90

0.0123 0.0123 43,435.68 81,366.01
0.0301 0.0301 43,304.66 33,995.96
0.0589 0.0589 89,481.04 64,251.28
0.1647 0.1647 1,54,815.75 2,06,863.60
0.375 0.375 1,38,502.12 2,52,800.86
0.75 0.75 2,41,299.40 2,95,426.94
1.8772 1.94 4,51,173.39 1,45,842.51
3.3216 3.6363 2,97,464.21 5,35,867.69
3.9137 4.4064 2,81,532.70 1,87,429.55
18,22,944.75 18,14,805.30
Duration Gap Analysis Continued..

Weighted average duration of assets = 1.756813926

Weighted average duration of liabilities = 1.880759364

Duration gap = -0.132380693

CLOSE TO ZERO, HENCE GOOD.

Price Risk is higher than reinvestment risk.

ΔNet Worth = -Macaulay Duration of Assets*Δi/(1+rA) *A+ Macaulay Duration of Liabilities*Δi/(1+rL)*L)

Δi = +1bp rA 12.0722487
Then ΔNet Worth = 3408.1332 (in millions) rL 6.715845837