Oversea-Chinese Banking Corporation Limited

Pillar 3 Disclosures

(OCBC Group - As at 30 September 2021)

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 September 2021

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 30 September 2021, 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 September 2021

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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)

Sep-21Jun-21Mar-21Dec-20Sep-20

Available Capital (S$ million)

1

CET1 Capital

35,025

35,293

34,103

33,206

32,322

2

Tier 1 Capital

36,256

36,522

35,333

34,436

33,552

3

Total Capital

40,168

40,384

39,899

38,966

38,261

Risk Weighted Assets (S$ million)

4

Total RWA

225,877

219,740

220,150

218,145

224,159

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

5

CET1 Ratio

15.5

16.1

15.5

15.2

14.4

6

Tier 1 Ratio

16.1

16.6

16.0

15.8

15.0

7

Total Capital Ratio

17.8

18.4

18.1

17.9

17.1

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

0.1

0.1

0.1

0.1

0.1

10

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

-

-

-

-

-

11

Total of Bank CET1 specific requirements 1/

2.6

2.6

2.6

2.6

2.6

12

CET1 available after meeting the Reporting Bank's

7.8

8.4

8.0

7.9

7.1

minimum capital requirements

Leverage Ratio (S$ million)

13

Total Leverage Ratio exposure measure

467,213

451,172

451,626

450,084

441,388

14

Leverage Ratio (%) 2/

7.8

8.1

7.8

7.7

7.6

Liquidity Coverage Ratio (S$ million) 3/

15

Total High Quality Liquid Assets

65,960

62,172

64,135

60,309

56,599

16

Total net cash outflow

44,007

43,007

42,607

40,135

44,194

17

Liquidity Coverage Ratio (%)

150

145

151

150

128

Net Stable Funding Ratio (S$ million)

18

Total available stable funding

271,799

266,099

263,447

263,226

258,230

19

Total required stable funding

217,083

210,990

211,446

210,237

211,686

20

Net Stable Funding Ratio (%)

125

126

125

125

122

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 September 2021

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3. LEVERAGE RATIO

3.1 Leverage Ratio Summary Comparison Table

Item

Amount (S$'m)

30 Sep 2021

30 Jun 2021

1

Total consolidated assets as per publishd financial statements

538,539

521,131

2

Adjustment for investments in entities that are consolidated for accounting

(110,234)

(109,020)

purposes but are outside the regulatory scope of consolidation

3

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

0

0

the Accounting Standards but excluded from the calculation of exposure measure

4

Adjustment for derivative transactions

3,354

3,377

5

Adjustment for SFTs

202

180

6

Adjustment for off-balance sheet items

43,614

43,380

7

Other adjustments

(8,262)

(7,876)

8

Exposure measure

467,213

451,172

3.2 Leverage Ratio Common Disclosure Table

Item

Amount (S$'m)

30 Sep 2021

30 Jun 2021

Exposure measures of on-balance sheet items

1

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

416,423

400,465

on-balance sheet collateral for derivative transactions or SFTs)

2

Asset amounts deducted in determining Tier 1 capital

(8,262)

(7,876)

3

Total exposures measures of on-balance sheet items

408,161

392,589

(excluding derivative transactions and SFTs)

Derivative exposure measures

4

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

5,818

6,063

portion of variation margins)

5

Potential future exposure associated with all derivative transactions

6,700

6,429

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

(4)

(4)

derivative transactions

8

CCP leg of trade exposures excluded

-

-

9

Adjusted effective notional amount of written credit derivatives

382

189

10

Further adjustments in effective notional amounts and deductions from potential

-

-

future exposures of written credit derivatives

11

Total derivative exposure measures

12,896

12,677

SFT exposure measures

12

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

2,340

2,346

sales accounting

13

Eligible netting of cash payables and cash receivables

-

-

14

SFT counterparty exposures

202

180

15

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

-

-

16

Total SFT exposure measures

2,542

2,526

Exposure measures of off-balance sheet items

17

Off-balance sheet items at notional amount

191,795

207,121

18

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

(148,181)

(163,741)

19

Total exposure measures of off-balance sheet items

43,614

43,380

Capital and Total exposures

20

Tier 1 capital

36,256

36,522

21

Total exposures

467,213

451,172

Leverage Ratio

22

Leverage ratio

7.8%

8.1%

SFT: Securities Financing Transactions

CCP: Central Counterparty

Pillar 3 Disclosures September 2021

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Disclaimer

OCBC - Oversea-Chinese Banking Corporation Ltd. published this content on 29 October 2021 and is solely responsible for the information contained therein. Distributed by Public, unedited and unaltered, on 03 November 2021 09:11:02 UTC.