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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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.