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 | 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) | ||
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 | 4 |
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 | 5 |
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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.