Oversea-Chinese Banking Corporation Limited

Pillar 3 Disclosures

(OCBC Group - As at 30 June 2023)

Incorporated in Singapore

Company Registration Number: 193200032W

Table of Contents

1.

Introduction

3

2.

Accounting and Regulatory Consolidation

3

3.

Key Metrics

4

4.

Countercyclical Capital Buffer

5

5.

Composition of Capital

6

5.1 Reconciliation of Regulatory Capital

6

5.2 Regulatory Capital Position

7

5.3 Main Features of Capital Instruments

9

6.

Leverage Ratio

13

6.1 Leverage Ratio Summary Comparison Table

13

6.2 Leverage Ratio Common Disclosure Table

13

7.

Credit Quality

14

7.1 Overview of Credit Quality of Assets

14

7.2 Changes in Stock of Defaulted Loans to Customers and Debt Securities

15

8.

Overview of Risk Weighted Assets

16

9.

RWA Flow Statement for Credit Risk Exposures

17

10.

Credit Exposures Under Standardised and IRB Approach

18

10.1

Credit Exposures under Standardised Approach and CRM Effects

18

10.2

Credit Exposures under Standardised Approach by Risk Weight

19

10.3

Credit Exposures under F-IRBA

20

10.4

Credit Exposures under A-IRBA

24

10.5

Overview of Credit Risk Mitigation Techniques

28

10.6

Effect on RWA of Credit Derivatives used as CRM

28

11.

Specialised Lending under Supervisory Slotting Criteria

29

12.

Counterparty Credit Risk

30

12.1

Counterparty Credit Risk Exposures by Approach

30

12.2

CVA Risk Capital Charge

31

12.3

Exposures to Central Counterparties

32

12.4

Counterparty Credit Risk Exposures under Standardised Approach by Risk Weight

34

12.5

Counterparty Credit Risk Exposures under F-IRBA

35

12.6

Counterparty Credit Risk Exposures under A-IRBA

39

12.7

Composition of Collateral for Counterparty Credit Risk Exposures

40

12.8

Credit Derivative Exposures

41

13.

Securitisation Exposures

41

14.

Market Risk Type under Standardised Approach

42

15.

Liquidity Coverage Ratio

43

16.

Net Stable Funding Ratio

45

Pillar 3 Disclosures June 2023

2

1. INTRODUCTION

This document presents the information in accordance with Pillar 3 (P3) disclosure requirements under Monetary Authority of Singapore (MAS) Notice 637 on Risk Based Capital Adequacy Requirements for Banks incorporated in Singapore. The P3 requirements specify reporting templates for most of the quantitative disclosures to enable market participants to better compare the capital adequacy and risk profile across banks via improved consistency in public disclosure.

For purpose of the mid-year disclosure for OCBC Group (Group) as at 30 June 2023, explanations of the drivers behind significant differences between reporting periods for the respective sections are provided where appropriate. The disclosure on the RWA flow statements for the following are omitted as there is no exposure treated under these Approaches:

  • Counterparty Credit Risk (CCR) under the Internal Models Method (IMM)
  • Market Risk exposures under the Internal Models Approach (IMA)

2. ACCOUNTING AND REGULATORY CONSOLIDATION

The consolidation basis used for regulatory capital computation is similar to that used for financial reporting except for the following:

  • Great Eastern Holdings Limited and its insurance subsidiaries are excluded from regulatory consolidation and are treated as investments in unconsolidated major stake companies that are financial institutions in accordance with MAS Notice 637's definition of insurance subsidiary. The regulatory adjustments applied to these investments are in accordance with MAS Notice 637 paragraphs 6.1.3(p), 6.2.3(e) and 6.3.3(e).
  • As at 30 June 2023, the total equity of these insurance subsidiaries was S$7 billion and total assets were S$107 billion.

Disclosures on the Group's reconciliation of regulatory capital and regulatory capital position can be found in Section 5 of this document.

Pillar 3 Disclosures June 2023

3

3. KEY METRICS

The table below provides an overview of the Group's prudential regulatory metrics, as stipulated by MAS Notice 637.

(a)

(b)

(c)

(d)

(e)

Jun-23Mar-23Dec-22Sep-22Jun-22

Available Capital (S$ million)

1

CET1 Capital

36,664

36,926

35,179

34,239

34,573

2

Tier 1 Capital

38,397

38,657

36,909

35,971

36,304

3

Total Capital

42,164

42,629

40,937

40,256

40,539

Risk Weighted Assets (S$ million)

4

Total RWA

237,484

231,888

231,648

237,719

231,577

Risk-based Capital Ratios as a percentage of RWA (%)

5

CET1 Ratio

15.4

15.9

15.2

14.4

14.9

6

Tier 1 Ratio

16.2

16.7

15.9

15.1

15.7

7

Total Capital Ratio

17.8

18.4

17.7

16.9

17.5

Additional CET1 buffer requirements as a percentage

of RWA (%)

8

Capital conservation buffer requirement

2.5

2.5

2.5

2.5

2.5

9

Countercyclical buffer requirement

0.2

0.2

0.2

0.1

0.1

10

Bank G-SIB and/or D-SIB additional requirements

-

-

-

-

-

11

Total of Bank CET1 specific requirements 1/

2.7

2.7

2.7

2.6

2.6

12

CET1 available after meeting the Reporting Bank's

7.8

8.4

7.7

6.9

7.5

minimum capital requirements

Leverage Ratio (S$ million)

13

Total Leverage Ratio exposure measure

540,863

529,105

512,119

529,619

510,314

14

Leverage Ratio (%) 2/

7.1

7.3

7.2

6.8

7.1

Liquidity Coverage Ratio (S$ million) 3/

15

Total High Quality Liquid Assets

84,862

80,359

79,896

76,620

74,042

16

Total net cash outflow

51,791

52,848

50,310

50,093

50,907

17

Liquidity Coverage Ratio (%)

164

152

159

153

146

Net Stable Funding Ratio (S$ million)

18

Total available stable funding

300,546

297,412

285,347

287,125

284,915

19

Total required stable funding

252,946

247,699

243,897

249,496

243,876

20

Net Stable Funding Ratio (%)

119

120

117

115

117

1/ Sum of rows 8, 9 and 10

2/ Computed by row 2 / row 13

3/ Reported as simple averages of daily observations for the respective quarter

Pillar 3 Disclosures June 2023

4

4. COUNTERCYCLICAL CAPITAL BUFFER

The following table provides an overview of the Group's geographical distribution of private sector credit exposures for the calculation of countercyclical buffer.

The geographical distribution is based on the country where the physical collateral resides in, residence of the guarantor, or in the absence of such mitigant, the country of obligor (i.e. the country where the majority of the obligor's operating assets is situated) in accordance with MAS Notice 637 requirements.

30-Jun-23

(a)

(b)

(c)

(d)

Country-Specific

RWA for private

Bank-specific

Countercyclical buffer

countercyclical buffer

sector credit

countercyclical buffer

amount

requirement

exposures

requirement

1/

(%)

(S$ million)

(%)

(S$ million)

Geographical

breakdown

Australia

1.00%

10,817

France

0.50%

233

Germany

0.75%

829

Hong Kong

1.00%

19,072

Luxembourg

0.50%

16

Netherlands

1.00%

448

Sweden

2.00%

-

United Kingdom

1.00%

12,279

All Others

137,831

Total

181,525

0.2%

567

31-Dec-22

(a)

(b)

(c)

(d)

Country-Specific

RWA for private

Bank-specific

Countercyclical buffer

countercyclical buffer

sector credit

countercyclical buffer

amount

requirement

exposures

requirement

1/

(%)

(S$ million)

(%)

(S$ million)

Geographical

breakdown

United Kingdom

1.00%

10,894

Sweden

1.00%

3

Hong Kong

1.00%

19,163

Luxembourg

0.50%

28

All Others

150,463

Total

180,551

0.2%

386

1/ The Bank-Specific countercyclical buffer is the additional capital which needs to be maintained above the Regulatory minimum and Capital Conservation buffer requirement

Pillar 3 Disclosures June 2023

5

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Disclaimer

OCBC - Oversea-Chinese Banking Corporation Ltd. published this content on 03 August 2023 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 04 August 2023 08:23:10 UTC.