Oversea-Chinese Banking Corporation Limited

Pillar 3 Disclosures

(OCBC Group - As at 31 March 2024)

Incorporated in Singapore

Company Registration Number: 193200032W

Table of Contents

1.

Introduction

3

2.

Key Metrics

4

3.

Leverage Ratio

5

3.1

Leverage Ratio Summary Comparison Table

5

3.2

Leverage Ratio Common Disclosure Table

5

4.

Overview of Risk Weighted Assets

6

5.

RWA Flow Statement for Credit Risk Exposures

7

6.

Liquidity Coverage Ratio

7

Pillar 3 Disclosures March 2024

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 quarterly disclosure for OCBC Group ("Group") as at 31 March 2024, 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")

Pillar 3 Disclosures March 2024

3

2. 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)

Mar-24Dec-23Sep-23Jun-23Mar-23

Available Capital (S$ million)

1

CET1 Capital

39,534

37,685

36,248

36,664

36,926

2

Tier 1 Capital

41,269

38,970

37,532

38,397

38,657

3

Total Capital

45,119

42,738

41,367

42,164

42,629

Risk Weighted Assets (S$ million)

4

Total RWA

244,678

236,694

245,085

237,484

231,888

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

5

CET1 Ratio

16.2

15.9

14.8

15.4

15.9

6

Tier 1 Ratio

16.9

16.5

15.3

16.2

16.7

7

Total Capital Ratio

18.4

18.1

16.9

17.8

18.4

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

0.3

0.3

0.3

0.2

0.2

10

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

-

-

-

-

-

11

Total of Bank CET1 specific requirements 1/

2.8

2.8

2.8

2.7

2.7

12

CET1 available after meeting the Reporting Bank's

8.4

8.1

6.9

7.8

8.4

minimum capital requirements

Leverage Ratio (S$ million)

13

Total Leverage Ratio exposure measure

567,695

543,936

549,579

540,863

529,105

14

Leverage Ratio (%) 2/

7.3

7.2

6.8

7.1

7.3

Liquidity Coverage Ratio (S$ million) 3/

15

Total High Quality Liquid Assets

85,611

81,368

87,400

84,862

80,359

16

Total net cash outflow

58,785

56,145

55,253

51,791

52,848

17

Liquidity Coverage Ratio (%)

146

145

159

164

152

Net Stable Funding Ratio (S$ million)

18

Total available stable funding

301,939

295,181

298,113

300,546

297,412

19

Total required stable funding

262,011

254,966

256,050

252,946

247,699

20

Net Stable Funding Ratio (%)

115

116

116

119

120

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 March 2024

4

3. LEVERAGE RATIO

3.1 Leverage Ratio Summary Comparison Table

Amount

1

Item

(S$'m)

31 Mar 2024

1

Total consolidated assets as per published financial statements

597,177

2

Adjustment for investments in entities that are consolidated for accounting

(108,822)

purposes but are outside the regulatory scope of consolidation

3

Adjustment for fiduciary assets recognised on the balance sheet in accordance with

0

the Accounting Standards but excluded from the calculation of exposure measure

4

Adjustment for derivative transactions

27,044

5

Adjustment for SFTs

245

6

Adjustment for off-balance sheet items

61,673

7

Other adjustments

(9,622)

8

Exposure measure

567,695

3.2 Leverage Ratio Common Disclosure Table

Item

Amount1 (S$'m)

31 Mar 2024

31 Dec 2023

Exposure measures of on-balance sheet items

1

On-balance sheet items (excluding derivative transactions and SFTs, but including

467,753

454,417

on-balance sheet collateral for derivative transactions or SFTs)

2

Asset amounts deducted in determining Tier 1 capital

(9,622)

(9,549)

3

Total exposures measures of on-balance sheet items

458,131

444,868

(excluding derivative transactions and SFTs)

Derivative exposure measures

4

Replacement cost associated with all derivative transactions (net of the eligible cash

14,907

13,643

portion of variation margins)

5

Potential future exposure associated with all derivative transactions

25,487

23,026

6

Gross-up for derivative collaterals provided where deducted from the balance sheet

-

-

assets in accordance with the Accounting Standards

7

Deductions of receivables for the cash portion of variation margins provided in

-

-

derivative transactions

8

CCP leg of trade exposures excluded

-

-

9

Adjusted effective notional amount of written credit derivatives

221

187

10

Further adjustments in effective notional amounts and deductions from potential

-

-

future exposures of written credit derivatives

11

Total derivative exposure measures

40,615

36,856

SFT exposure measures

12

Gross SFT assets (with no recognition of accounting netting), after adjusting for

7,031

6,949

sales accounting

13

Eligible netting of cash payables and cash receivables

-

-

14

SFT counterparty exposures

245

356

15

SFT exposure measures where a Reporting Bank acts as an agent in the SFTs

-

-

16

Total SFT exposure measures

7,276

7,305

Exposure measures of off-balance sheet items

17

Off-balance sheet items at notional amount

232,559

223,737

18

Adjustments for calculation of exposure measures of off-balance sheet items

(170,886)

(168,830)

19

Total exposure measures of off-balance sheet items

61,673

54,907

Capital and Total exposures

20

Tier 1 capital

41,269

38,970

21

Total exposures

567,695

543,936

Leverage Ratio

22

Leverage ratio

7.3%

7.2%

1Computed using quarter-end balances

SFT: Securities Financing Transactions

CCP: Central Counterparty

Pillar 3 Disclosures March 2024

5

4. OVERVIEW OF RISK WEIGHTED ASSETS

The table below provides an overview of the Group's total RWA, broken down by the approaches with which the RWA are computed, as stipulated by MAS Notice 637. The increase in total RWA in the first quarter of 2024 was mainly attributed to Corporate loan growth.

(a)

(b)

(c)

Minimal Capital

RWA

Requirements 1/

S$ million

Mar-24

Dec-23

Mar-24

1

Credit Risk (excluding Counterparty Credit Risk)

194,453

189,867

19,445

2

Of which: Standardised Approach

26,387

25,915

2,639

3

Of which: Foundation Internal Ratings-Based Approach (F-IRBA)

151,894

147,843

15,189

4

Of which: Supervisory Slotting Approach

3,339

3,367

334

5

Of which: Advanced Internal Ratings-Based Approach (A-IRBA)

12,833

12,742

1,283

6

Credit Risk: Counterparty Credit Risk (CCR)

4,762

4,469

477

7

Of which: SA-CCR

3,837

3,454

384

8

Of which: Internal Models Method

-

-

-

9

Of which: Other CCR

460

350

46

9a

Of which: Central Counterparties (CCP)

465

665

47

10

Credit Valuation Adjustments (CVA)

2,964

2,814

296

11

Equity exposures under Simple Risk Weight Method

-

-

-

11a

Equity exposures under Internal Models Method

-

-

-

12

Equity investments in funds - Look Through Approach

159

117

16

13

Equity investments in funds - Mandate-Based Approach

168

142

17

14

Equity investments in funds - Fall Back Approach

34

43

3

14a

Equity investments in funds - Partial Use of an Approach

125

127

13

15

Unsettled Transactions

#

#

#

16

Securitisation exposures in banking book

-

-

-

17

Of which: SEC-IRBA

-

-

-

18

Of which: SEC-ERBA, including IAA

-

-

-

19

Of which: SEC-SA

-

-

-

20

Market Risk

11,793

9,850

1,179

21

Of which: Standardised Approach

11,793

9,850

1,179

22

Of which: Internal Models Approach

-

-

-

23

Operational Risk

19,088

18,624

1,909

24

Credit RWA pursuant to paragraph 6.1.3(p)(iii) 2/

11,132

10,641

1,113

25

Floor Adjustment

-

-

-

26

Total

244,678

236,694

24,468

1/ Minimum capital requirements are calculated at 10% of RWA

2/ Refers to Credit RWA attributed to investments in the ordinary shares of unconsolidated major stake companies that are financial institutions, within the prescribed threshold amount in accordance with MAS Notice 637 paragraph 6.1.3 (p)(iii)

# Represents amounts of less than $0.5 million

Pillar 3 Disclosures March 2024

6

5. RWA FLOW STATEMENT FOR CREDIT RISK EXPOSURES

This table provides an overview of the quarter-on-quarter movement of Credit RWA ("CRWA") attributed to the key drivers from rows 2 to 8.

The increase in CRWA during first quarter of 2024 was primarily due to Corporate loan growth.

(a)

S$ million

RWA

1

RWA as at 31 December 2023 1/

163,952

2

Asset Size 2/

4,667

3

Asset Quality 3/

(1,533)

4

Model Updates

-

5

Methodology and Policy

-

6

Acquisitions and Disposals

-

7

Foreign exchange movements 4/

980

8

Other

-

9

RWA as at 31 March 2024 1/

168,066

(1 + 2 + 3 + 4 + 5 + 6 + 7 + 8)

1/ Refers to RWA of Credit Risk (excluding Counterparty Credit Risk) exposures under IRB Approach and Supervisory Slotting Approach

2/ Refers to organic changes in book size and composition (origination of new businesses and maturing loans), excluding acquisitions and disposal of entities 3/ Refers to changes in the assessed quality of the bank's assets due to changes in borrower risk, residual maturity or similar effects

4/ Refers to changes driven by market movements such as foreign exchange movements

6. LIQUIDITY COVERAGE RATIO

The Group is subjected to the Liquidity Coverage Ratio ("LCR") requirements under the MAS Notice 649. Starting from 1 January 2019, the Group is required to maintain daily all-currency and Singapore dollar ("SGD") LCR of at least 100% on an ongoing basis.

LCR aims to ensure that a Bank maintains an adequate level of unencumbered High Quality Liquid Assets ("HQLA") that can be quickly and easily converted into cash to meet any liquidity needs for a 30-calendar day liquidity stress scenario.

Pillar 3 Disclosures March 2024

7

6. Liquidity Coverage Ratio (continued)

The following quarterly disclosures are made pursuant to the MAS Notice 651 "Liquidity Coverage Ratio Disclosure".

For 1Q24, the average SGD and all-currency LCRs for the Group were 292% and 146% respectively. Compared to 4Q23, the average SGD LCR decreased by 63 percentage points largely driven by an increase in net cash outflow. The average all-currency LCR increased by 1 percentage point due to an increase in HQLA.

The Group continues to focus on acquiring stable deposits and on maintaining a mix of HQLA comprising mainly of Level 1 central bank reserves and liquid sovereign bonds. The Asset & Liability Management Desk in Global Markets manages the day-to-day liquidity needs of the Group and is subject to liquidity limits and triggers that serve as risk control on the Group's liquidity exposure.

Average Group All Currency LCR for 1Q24

The data presented in the quantitative disclosure are simple averages of daily observations over the quarter. The number of data points in calculating the average figures is 91.

Group - ALL Currency (S$m)

Total Unweighted Value

Total Weighted Value

(average)

(average)

HIGH-QUALITY LIQUID ASSETS

1

Total high-quality liquid assets (HQLA)

85,611

CASH OUTFLOWS

2

Retail deposits and deposits from small business customers, of which:

178,108

15,144

3

Stable deposits

51,791

2,590

4

Less stable deposits

126,317

12,555

5

Unsecured wholesale funding, of which:

125,402

61,431

6

Operational deposits (all counterparties) and deposits in networks of cooperative

37,392

9,016

banks

7

Non-operational deposits (all counterparties)

78,008

42,413

8

Unsecured debt

10,002

10,002

9

Secured wholesale funding

1,020

10

Additional requirements, of which:

53,980

15,465

11

Outflows related to derivative exposures and other collateral requirements

10,217

10,103

12

Outflows related to loss of funding on debt products

-

-

13

Credit and liquidity facilities

43,763

5,362

14

Other contractual funding obligations

1,485

1,485

15

Other contingent funding obligations

17,854

536

16

TOTAL CASH OUTFLOWS

95,081

CASH INFLOWS

17

Secured lending (eg reverse repos)

3,392

1,319

18

Inflows from fully performing exposures

41,360

25,445

19

Other cash inflows

9,602

9,532

20

TOTAL CASH INFLOWS

54,354

36,296

TOTAL ADJUSTED VALUE

21

TOTAL HQLA

85,611

22

TOTAL NET CASH OUTFLOWS

58,785

23

LIQUIDITY COVERAGE RATIO (%)

146

Pillar 3 Disclosures March 2024

8

6. Liquidity Coverage Ratio (continued)

Average Group SGD LCR for 1Q24

The data presented in the quantitative disclosure are simple averages of daily observations over the quarter. The number of data points in calculating the average figures is 91.

Group - SGD (S$m)

Total Unweighted Value

Total Weighted Value

(average)

(average)

HIGH-QUALITY LIQUID ASSETS

1

Total high-quality liquid assets (HQLA)

42,549

CASH OUTFLOWS

2

Retail deposits and deposits from small business customers, of which:

100,720

7,891

3

Stable deposits

43,610

2,181

4

Less stable deposits

57,110

5,711

5

Unsecured wholesale funding, of which:

27,285

10,524

6

Operational deposits (all counterparties) and deposits in networks of cooperative

11,687

2,830

banks

7

Non-operational deposits (all counterparties)

15,570

7,665

8

Unsecured debt

28

28

9

Secured wholesale funding

-

10

Additional requirements, of which:

27,350

13,921

11

Outflows related to derivative exposures and other collateral requirements

12,489

12,489

12

Outflows related to loss of funding on debt products

-

-

13

Credit and liquidity facilities

14,861

1,432

14

Other contractual funding obligations

1,001

1,001

15

Other contingent funding obligations

2,172

65

16

TOTAL CASH OUTFLOWS

33,402

CASH INFLOWS

17

Secured lending (eg reverse repos)

892

3

18

Inflows from fully performing exposures

5,593

3,230

19

Other cash inflows

15,469

15,439

20

TOTAL CASH INFLOWS

21,954

18,672

TOTAL ADJUSTED VALUE

21

TOTAL HQLA

42,549

22

TOTAL NET CASH OUTFLOWS

14,730

23

LIQUIDITY COVERAGE RATIO (%)

292

Pillar 3 Disclosures March 2024

9

Attachments

Disclaimer

OCBC - Oversea-Chinese Banking Corporation Ltd. published this content on 09 May 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 09 May 2024 23:32:03 UTC.