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

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 Template

6

4

Overview of RWA

7

5

Credit Risk

8

5.1

IRBA - RWA Flow Statement for Credit Risk Exposures

8

6

Counterparty Credit Risk (CCR)

8

6.1

RWA flow statements under CCR internal models method

8

7

Market Risk

8

7.1

RWA Flow Statements of Market Risk Exposures under IMA

8

8

Liquidity Coverage Ratio Disclosures

9

8.1

Liquidity Coverage Ratio

9

8.2

Average Group All Currency LCR

10

8.3

Average Group SGD Currency LCR

11

9

Abbreviations

12

Notes:

  1. The pillar 3 disclosure report is presented in Singapore dollars.
  2. Certain figures in this report may not add up to the respective totals due to rounding.
  3. Amounts less than $500,000 in absolute term are shown as "#".
  4. Copy of the UOB Annual Report can be found at:https://www.uobgroup.com/investor-relations/financial/group-annual-reports.html

Page 2

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.

Page 3

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

  1. 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.
  2. 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.
  3. As at 31 March 2024, the Group's leverage ratio was 7.0%, comfortably above the regulatory minimum requirement of 3%.

Page 4

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

Page 5

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.

Page 6

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

Page 7

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

  1. RWA as at end of previous quarter
  2. Asset size

3

Asset quality

4

Model updates

  1. Methodology and policy
  2. Acquisitions and disposals
  3. Foreign exchange movements
  4. 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.

Page 8

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.

Page 9

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

Page 10

Attachments

  • Original Link
  • Original Document
  • Permalink

Disclaimer

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.