Pillar 3 Disclosure Report
31 March 2024
United Overseas Bank Limited
Incorporated in the Republic of Singapore
Registration No. 193500026Z
Pillar 3 Disclosure Report
Contents | |||
8.3 | Average Group SGD Currency LCR | 11 | |
9 | Abbreviations | 12 |
Notes:
- The pillar 3 disclosure report is presented in Singapore dollars.
- Certain figures in this report may not add up to the respective totals due to rounding.
- Amounts less than $500,000 in absolute term are shown as "#".
- Copy of the UOB Annual Report can be found at:https://www.uobgroup.com/investor-relations/financial/group-annual-reports.html
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Pillar 3 Disclosure Report
1 Introduction
UOB Group's Pillar 3 Disclosure Report ("The Report") is prepared in accordance with the Monetary Authority of Singapore ("MAS") Notice to Banks No. 637 "Risk Based Capital Adequacy Requirements for Banks Incorporated in Singapore".
The Report is governed by the Group Pillar 3 Disclosure Policy which specifies the Group's Pillar 3 disclosure requirements, frequency of disclosure, medium of disclosure, and the roles and responsibilities of various parties involved in the disclosure reporting. The Policy is reviewed at least annually and approved by the Board.
The Report facilitates an assessment of the Group's capital adequacy and provides an overview of the Group's risk profile.
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Pillar 3 Disclosure Report
2 Key Metrics
The table below provides an overview of the Group's key prudential metrics related to regulatory capital, leverage ratio and liquidity standards.
Components as at 31 March 2024 | |||||||
$m | 31 Mar 2024 | 31 Dec 2023 | 30 Sep 2023 | 30 Jun 2023 | 31 Mar 2023 | ||
Available capital (amounts)1 | |||||||
1 | CET1 capital | 38,308 | 37,076 | 35,345 | 35,842 | 36,101 | |
2 | Tier 1 capital | 41,059 | 39,827 | 38,974 | 39,472 | 39,731 | |
3 | Total capital | 46,230 | 45,667 | 45,005 | 45,643 | 45,818 | |
Risk weighted assets (amounts)1 | |||||||
4 | Total RWA | 276,367 | 275,930 | 271,558 | 263,399 | 258,138 | |
Risk-based capital ratios as a percentage of RWA | |||||||
5 | CET1 ratio (%) | 13.9 | 13.4 | 13.0 | 13.6 | 14.0 | |
6 | Tier 1 ratio (%) | 14.9 | 14.4 | 14.4 | 15.0 | 15.4 | |
7 | Total capital ratio (%) | 16.7 | 16.6 | 16.6 | 17.3 | 17.7 | |
Additional CET1 buffer requirements as a percentage of RWA | |||||||
8 | Capital conservation buffer requirement | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 | |
(2.5% from 2019) (%) | |||||||
9 | Countercyclical buffer requirement (%) | 0.2 | 0.2 | 0.2 | 0.1 | 0.1 | |
10 | G-SIB and/or D-SIB additional requirement (%)2 | - | - | - | - | - | |
11 | Total of CET1 specific buffer requirements (%) | 2.7 | 2.7 | 2.7 | 2.6 | 2.6 | |
(row 8 + row 9 + row 10) | |||||||
12 | CET1 available after meeting the Reporting Bank's | 6.7 | 6.4 | 6.4 | 7.0 | 7.4 | |
minimum capital requirements (%) | |||||||
Leverage Ratio3 | |||||||
13 | Total Leverage Ratio exposure measure | 585,790 | 581,130 | 576,838 | 563,133 | 564,331 | |
14 | Leverage Ratio (%) (row 2/ row 13) | 7.0 | 6.9 | 6.8 | 7.0 | 7.0 | |
Liquidity Coverage Ratio | |||||||
15 | Total High Quality Liquid Assets | 103,388 | 105,661 | 106,133 | 106,110 | 99,494 | |
16 | Total net cash outflow | 64,718 | 67,408 | 69,231 | 63,661 | 64,872 | |
17 | Liquidity Coverage Ratio (%) | 160 | 157 | 153 | 167 | 154 | |
Net Stable Funding Ratio | |||||||
18 | Total available stable funding | 329,486 | 326,784 | 324,126 | 320,131 | 319,742 | |
19 | Total required stable funding | 273,370 | 271,758 | 268,515 | 265,384 | 263,679 | |
20 | Net Stable Funding Ratio (%) | 121 | 120 | 121 | 121 | 121 | |
- The Group's CET1, Tier 1 and Total CAR as at 31 March 2024 remained well above the regulatory minimum requirements. Compared with last quarter, total capital increased mainly from earnings accretion, partially offset by redemption of Tier 2 subordinated notes, while RWA was marginally higher. The higher total capital compared against the same quarter last year was largely contributed by earnings, partially offset by redemption of capital instruments. RWA increased year on year mainly due to higher asset base.
-
Even though the Group is not a G-SIB, it is required under MAS Notice 637 to disclose the G-SIB indicators.
Please refer to www.UOBgroup.com/investor-relations/financial/index.htmlfor the Group's G-SIB indicator disclosure. - As at 31 March 2024, the Group's leverage ratio was 7.0%, comfortably above the regulatory minimum requirement of 3%.
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Pillar 3 Disclosure Report
3 Leverage Ratio
The Basel III framework introduced Leverage Ratio as a non-risk-based backstop limit to supplement the risk-based capital requirements. It aims to constrain the build-up of excess leverage in the banking sector, with additional safeguards against model risk and measurement errors. Leverage ratio is expressed as Tier 1 Capital against Exposure Measure, which comprises on- and off-balance sheet items. Other than the difference in scope for consolidation and aggregation under SFRS and MAS Notice 637, there are no material differences between total balance sheet assets (net of on-balance sheet derivative and SFT assets) as reported in the financial statements and Exposure Measure of on-balance sheet items.
3.1 Leverage Ratio Summary Comparison Table
The following disclosure is presented in prescribed templates under MAS Notice 637 Annex 11F and 11G.
Reconciliation of Balance Sheet Assets to Exposure Measure4 | ||
$m | 31 Mar 2024 | |
1 | Total consolidated assets as per published financial statements | 515,340 |
2 | Adjustment for investments in entities that are consolidated for accounting purposes but | (519) |
are outside the regulatory scope of consolidation | ||
3 | Adjustment for fiduciary assets recognised on the balance sheet in accordance with the | - |
Accounting Standards but excluded from the calculation of the exposure measure | ||
4 | Adjustment for derivative transactions | 5,834 |
5 | Adjustment for SFTs | 290 |
6 | Adjustment for off-balance sheet items | 70,651 |
7 | Other adjustments | (5,806) |
8 | Exposure measure | 585,790 |
4 Computed using quarter-end balances
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Pillar 3 Disclosure Report
3.2 Leverage Ratio Common Disclosure Template
Exposure Measure Components4 | ||||
$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 | 489,221 | 497,386 | |
including on-balance sheet collateral for derivative transactions or SFTs) | ||||
2 | Asset amounts deducted in determining Tier 1 capital | (5,806) | (5,831) | |
3 | Total exposure measures of on-balance sheet items (excluding | 483,415 | 491,555 | |
derivative transactions and SFTs) | ||||
Derivative exposure measures | ||||
4 | Replacement cost associated with all derivative transactions (net of the | 8,167 | 7,414 | |
eligible cash portion of variation margins) | ||||
5 | Potential future exposure associated with all derivative transactions | 7,818 | 6,871 | |
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 | 80 | 79 | |
10 | Further adjustments in effective notional amounts and deductions from | - | - | |
potential future exposures of written credit derivatives | ||||
11 | Total derivative exposure measures | 16,065 | 14,364 | |
SFT exposure measures | ||||
12 | Gross SFT assets (with no recognition of accounting netting), after | 15,369 | 15,963 | |
adjusting for sales accounting | ||||
13 | Eligible netting of cash payables and cash receivables | - | - | |
14 | SFT counterparty exposures | 290 | 991 | |
15 | SFT exposure measures where a Reporting Bank acts as an agent in the | - | - | |
SFTs | ||||
16 | Total SFT exposure measures | 15,659 | 16,954 | |
Exposure measures of off-balance sheet items | ||||
17 | Off-balance sheet items at notional amount | 295,689 | 280,601 | |
18 | Adjustments for calculation of exposure measures of off-balance sheet | (225,038) | (222,344) | |
items | ||||
19 | Total exposure measures of off-balance sheet items | 70,651 | 58,257 | |
Capital and Total exposures | ||||
20 | Tier 1 capital | 41,059 | 39,827 | |
21 | Total exposures | 585,790 | 581,130 | |
Leverage ratio | ||||
22 | Leverage ratio | 7.0% | 6.9% | |
4 Computed using quarter-end balances
The Group's leverage ratio increased 0.1% point quarter-on-quarter to 7.0% as at 31 March 2024, mainly driven by higher Tier 1 capital.
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Pillar 3 Disclosure Report
4 Overview of RWA
The table below lists the Group's RWA by risk type and approach, as prescribed under MAS Notice 637. The minimum capital requirement is stated at 10.0% of RWA.
Total RWA was higher quarter-on-quarter mainly driven by higher market RWA.
(a) | (b) | (c) | |||
Minimum | |||||
RWA | capital | ||||
requirements | |||||
As at | As at | As at | |||
$m | 31 Mar 2024 | 31 Dec 2023 | 31 Mar 2024 | ||
1 | Credit risk (excluding CCR) | 229,274 | 230,070 | 22,927 | |
2 | of which: Standardised Approach | 35,399 | 35,542 | 3,540 | |
3 | of which: F-IRBA | 170,692 | 171,482 | 17,069 | |
4 | of which: supervisory slotting | 5,731 | 5,280 | 573 | |
approach | |||||
5 | of which: A-IRBA | 17,452 | 17,766 | 1,745 | |
6 | CCR | 5,525 | 4,950 | 552 | |
7 | of which: SA-CCR | 4,854 | 4,134 | 485 | |
8 | of which: CCR internal models method | - | - | - | |
9 | of which: other CCR | 234 | 353 | 23 | |
9a | of which: CCP | 437 | 463 | 44 | |
10 | CVA | 2,684 | 2,701 | 268 | |
11 | Equity exposures under the | - | - | - | |
simple risk weight method | |||||
11a | Equity exposures under the IMM | - | - | - | |
12 | Equity investments in funds - | 8 | 8 | 1 | |
look through approach | |||||
13 | Equity investments in funds - | 1,617 | 2,883 | 162 | |
mandate-based approach | |||||
14 | Equity investments in funds - | # | # | # | |
fall back approach | |||||
14a | Equity investment in funds - | - | - | - | |
partial use of an approach | |||||
15 | Unsettled transactions | - | - | - | |
16 | Securitisation exposures in the | 460 | 453 | 46 | |
banking book | |||||
17 | of which: SEC-IRBA | - | - | - | |
18 | of which: SEC-ERBA, including IAA | 331 | 289 | 33 | |
19 | of which: SEC-SA | 129 | 164 | 13 | |
20 | Market risk | 11,627 | 10,406 | 1,163 | |
21 | of which: SA(MR) | 11,627 | 10,406 | 1,163 | |
22 | of which: IMA | - | - | - | |
23 | Operational risk | 21,339 | 20,779 | 2,134 | |
24 | Amounts below the thresholds | 3,833 | 3,680 | 383 | |
for deduction (subject to 250% | |||||
risk weight) | |||||
25 | Floor adjustment | - | - | - | |
26 | Total | 276,367 | 275,930 | 27,637 | |
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Pillar 3 Disclosure Report
5 Credit Risk
5.1 IRBA - RWA Flow Statement for Credit Risk Exposures
The following table presents changes in RWA corresponding to credit risk only (excluding CCR) over the quarterly reporting period for each of the key drivers.
Compared to December 2023, the decrease in Group's RWA was mainly due to changes to asset quality, partially offset by growth in Corporate loans.
As at 31 March 2024
$m
- RWA as at end of previous quarter
- Asset size
3 | Asset quality |
4 | Model updates |
- Methodology and policy
- Acquisitions and disposals
- Foreign exchange movements
- Other
9 RWA as at end of quarter
(a)
RWA amounts
194,528
2,162
(3,268)
(4)
-
-
457
-
193,875
6 Counterparty Credit Risk (CCR)
6.1 RWA flow statements under CCR internal models method UOB does not use CCR Internal Models Method.
7 Market Risk
7.1 RWA Flow Statements of Market Risk Exposures under IMA
This disclosure is not applicable as the Group has not adopted IMA for market risk regulatory capital requirements.
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Pillar 3 Disclosure Report
8 Liquidity Coverage Ratio Disclosures
8.1 Liquidity Coverage Ratio
The Liquidity Coverage Ratio ("LCR") ensures that a Bank has sufficient unencumbered high quality liquid assets ("HQLA") to survive a significant stress scenario for the next 30 days. The Group's LCR disclosure is as per MAS Notice 651 "Liquidity Coverage Ratio Disclosure".
Quarterly average All Currency LCR and Singapore Dollar LCR of 160% and 471% respectively were comfortably above the regulatory requirements of 100%. Compared to 4Q2023, increase in All Currency LCR was mainly due to decrease in retail and unsecured wholesale funding within 30 days, decrease in outflows related to derivatives and other collateral requirements, and increase in inflows from secured lending partially offset by decrease in HQLA. Decrease in SGD Currency LCR was mainly due to decrease in HQLA.
The main drivers of LCR are the net cumulative outflow driven mainly by deposit profile and the portfolio of high-quality liquid asset which would cause some volatility on a day-to-day basis. The Group's HQLA composition comprised largely Level 1 HQLA which includes balances with central banks and sovereign bonds etc and the remaining in Level 2A and 2B HQLA. Deposit strategies are regularly discussed in Group ALCO with monitoring of deposit concentration and currency mismatch etc. The Group's exposures to derivatives and potential collateral calls are incorporated into the LCR outflows.
Daily liquidity management is centrally managed by Global Markets-Portfolio & Liquidity Management with regular discussions with Central Treasury and relevant Business Units. Liquidity limits and triggers are established to limit the Group's liquidity exposure. Balance Sheet Risk Management oversees the liquidity risk management in the Group. Contingency funding plans are in place to identify potential liquidity crisis using a series of early warning indicators as well as crisis escalation process and related funding strategies.
Please refer to:
- UOB Annual Report 2023, Risk Management section - Liquidity Risk for governance of liquidity risk management, funding strategy and liquidity risk mitigation techniques.
- UOB Annual Report 2023, Note 45 Financial Risk Management section for Balance sheet and off- balance sheet items broken down into maturity buckets and resultant liquidity gaps.
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Pillar 3 Disclosure Report
8.2 Average Group All Currency LCR For the quarter ended 31 March 2024
91 calendar days' data points were used in calculating the average figures.
Total Unweighted | Total Weighted | ||||
$m | Value Average | Value Average | |||
HIGH-QUALITY LIQUID ASSETS | |||||
1 | Total high-quality liquid assests (HQLA) | 103,388 | |||
CASH OUTFLOWS | |||||
2 | Retail deposits and deposits from small business | 171,102 | 14,048 | ||
customers, of which: | |||||
3 | Stable deposits | 55,349 | 2,767 | ||
4 | Less stable deposits | 115,753 | 11,280 | ||
5 | Unsecured wholesale funding, of which: | 138,791 | 68,348 | ||
6 | Operational deposits (all counterparties) and | 37,634 | 9,089 | ||
deposits in networks of cooperative banks | |||||
7 | Non-operational deposits (all counterparties) | 95,310 | 53,411 | ||
8 | Unsecured debt | 5,848 | 5,848 | ||
9 | Secured wholesale funding | 817 | |||
10 | Additional requirements, of which: | 46,100 | 15,100 | ||
11 | Outflows related to derivative exposures and other | 9,804 | 9,256 | ||
collateral requirements | |||||
12 | Outflows related to loss of funding on debt products | 11 | 11 | ||
13 | Credit and liquidity facilities | 36,286 | 5,834 | ||
14 | Other contractual funding obligations | 5,048 | 5,048 | ||
15 | Other contingent funding obligations | 12,470 | 797 | ||
16 | TOTAL CASH OUTFLOWS | 104,159 | |||
CASH INFLOWS | |||||
17 | Secured lending (eg reverse repos) | 9,088 | 3,494 | ||
18 | Inflows from fully performing exposures | 43,917 | 27,207 | ||
19 | Other cash inflows | 9,046 | 8,739 | ||
20 | TOTAL CASH INFLOWS | 62,051 | 39,441 | ||
Total Adjusted Value | |||||
21 | TOTAL HQLA | 103,388 | |||
22 | TOTAL NET CASH OUTFLOWS | 64,718 | |||
23 | LIQUIDITY COVERAGE RATIO (%) | 160 | |||
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UOB - United Overseas Bank Ltd. published this content on 07 May 2024 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 07 May 2024 23:11:03 UTC.