Contents. 1. Introduction Scope of Application Regulatory Capital Capital Management... 3

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1 PILLAR III DISCLOSURE December 2015

2 Contents 1. Introduction Scope of Application Regulatory Capital Capital Management Capital Structure and Adequacy Risk Management Risk Management Structure Risk Management Policy Risk Management System Credit Risk Management Credit Risk Management Structure Credit Risk Management Policy and Guidelines Credit Approval Process Credit Risk Measurement Credit Risk Monitoring and Control Credit Risk Report Market Risk Management Market Risk Management Market Risk Management Policy Market Risk Assessment Market Risk Limits Market Risk Monitoring and Reporting Capital Adequacy Operational Risk Management Interest Rate Risk in the Banking Book Equity Investment in the Banking Book Strategic Risk Reputation risk Appendix Pillar III Disclosure

3 Index of Tables Page Table 1 Comprehensive Regulatory Capital and Capital Adequacy 6 Table 2 Capital Requirements by Risk Type 7 Table 3 Main Features of Regulatory Capital Instruments 8 Table 4 Reconciliation of Capital from Consolidated Supervision Financial Statement 9-11 Table 5 Capital Position During Transitional Period 12 Table 6 Significant On- and Off-Balance-Sheet Exposure Items 24 Table 7 Exposures Classified by Geographical Area 25 Table 8 Exposures Classified by Residual Maturity 26 Table 9 Loans & Investment in Debt Securities Classified by Geographical Area 27 and Asset Classification Table 10 Provisions and Bad Debt Written-Off on Loans and 28 Investment in Debt Securities, Classified by Geographical Area Table 11 Loans Classified by Type of Business and Asset Classification 29 Table 12 Provisions and Bad Debts Written-Off for Loans Classified by Type of Business 30 Table 13 Reconciliation of Change in Provisions for Loans 31 Table 14 Exposures Classified by Asset Type under the Standardized Approach (SA) 32 Table 15 Exposures After Adjusting for Credit Risk Mitigation Classified by Asset Type and Risk Weights under the Standardized Approach (SA) Table 16 Exposures Covered by Risk Mitigation Classified by Asset Type and 35 Type of Collateral Under the Standardized Approach (SA) Table 17 Minimum Capital Requirements of Market Risk 37 Under the Standardized Approach (SA) Table 18 Minimum Capital Requirements of Operational Risk 39 Under the Standardized Approach (SA) Table 19 Impact on Net Interest Income (Earnings Perspective) 41 Table 20 Impact on Economic Value of Equity (Economic Value Perspective) 41 Table 21 Minimum Capital Requirements of Equity Exposures in the Banking Book 43 Index of Figures Page Figure 1 List of Companies and Business Types within the SCB Financial Group 2 Figure 2 Basel III Capital Structure as at 31 December Figure 3 Capital Adequacy Ratios under Standardized Approach (SA) of SCB and Its Financial Group 5 Figure 4 Basel III Minimum Capital Requirements for Credit Risk, Market Risk and Operational Risk 7 Pillar III Disclosure

4 1. Introduction With effect from 1 January 2013, Siam Commercial Bank PLC (SCB) and its Financial Group adopted Basel III - the latest global regulatory framework for assessing bank capital adequacy and liquidity to further strengthen its measurement of, and practices for capital and liquidity management. The scope of the Bank s implementation of Basel III is in accordance with the guidelines propagated by the Basel Committee on Banking Supervision (BCBS) and as adopted by the Bank of Thailand (BOT). Starting from 2016, the regulators require a conservation buffer to be added to Core Equity Tier 1(CET1) capital. This will commence at 0.625% p.a. in 2016 and reach 2.5% p.a. of total risk weighted assets by the start of The current Basel Capital Accord comprises three pillars, each of which is a critical element in strengthening the stability of financial institutions: Pillar I Pillar II provides guidelines for measuring minimum capital requirements for credit risk, market risk and operational risk. addresses the key principles for the supervisory review processes and relevant internal risk assessment beyond Pillar I, with emphasis on the bank's internal capital adequacy assessment process (ICAAP). Pillar III aims to strengthen market discipline through guidelines for public disclosure of key information on capital adequacy and risk exposure as well as risk assessment and management. This document presents information on SCB (referred to as Bank-only ) and its Financial Group (referred to as Consolidated ) in terms of capital adequacy and risk-weighted asset calculations for credit risk, market risk in the trading book, and operational risk according to the guidelines of the Bank of Thailand (BOT). Information such as SCB and its Financial Group s risk management guidelines and framework, risk components, and applicable measurement methods adopted for monitoring and reporting under each risk management framework, including the measurement for capital adequacy requirements, are disclosed from both a quantitative and qualitative aspect. All of them are in line with the Basel III framework. The qualitative information is updated annually, or when there are any material changes to the underlying policy and disclosure of such changes is deemed necessary. The BOT requires Pillar III disclosure to be reported as at 30 June and 31 December and made available to market participants within four months of this date. The Bank releases the report under the Investor Relations section of the Bank s website at This disclosure is not required to be audited by external auditors. It was, however, verified and approved internally in accordance with the Bank s Pillar III disclosure policy. Further, it is consistent with information used internally by management and with the reports provided to the BOT. The quantitative disclosure in this report is in line with the Pillar III principles under the Basel III framework adopted by the BOT, rather than Thai Accounting Standards. Accordingly, Pillar III disclosure cannot be directly compared with SCB s 2015 Financial Statements. For example, capital computation in this disclosure deems undrawn portions of committed line as credit risk assets while Thai Accounting Standards do not require such consideration. Highlights of SCB and Its Financial Group's Capital Adequacy Ratios (%) under Basel III Bank-only (Unit : Percentage) Consolidated 31 Dec Jun 15 Change 31 Dec Jun 15 Change Common Equity Tier 1 capital (Minimum requirement of 4.5%) Tier 1 capital (Minimum requirement of 6%) Tier 2 capital Total regulatory capital (Minimum requirement of 8.5%) Pillar III Disclosure

5 2. Scope of Application Standardized approach SCB and its Financial Group have adopted the Standardized Approach, which is in line with the BOT guidelines for measuring credit risk, market risk, and operational risk, in order to compute regulatory capital requirements. Accounting consolidation The basis of consolidation for accounting purposes prepared according to the Thai Accounting Standards is described within SCB s Annual Report for The consolidated financial statements incorporate the assets and liabilities of all subsidiaries controlled by SCB. Regulatory consolidation Regulatory consolidation 1/ consists of solo consolidation, which includes all financial entities in which SCB has a shareholding of more than 75%, and full consolidation (referred to as Consolidated ), which incorporates all entities under the Financial Group. In this context, entities involved in the insurance business or other financial operations are excluded from the regulatory consolidation provided, in the latter case, where SCB has a shareholding of more than 10% but less than 50%. Under Basel III, investment in these two types of entities is called investment outside the scope of consolidation 2/ and is calculated in accordance with BOT guidelines. Details of the entities included in Bank-only and Consolidated regulatory capital are explained in Figure 1. Based on current regulatory requirements, SCB and all subsidiaries of the Financial Group are well capitalized. The quantitative figures in this document are also disclosed on both a Bank-only basis and Consolidated basis. Figure 1: List of Companies and Business Types within the SCB Financial Group SCB Financial Group Solo Consolidation Group Siam Commercial Bank PCL Credit institutions (>=75%) Finance and Support (>50%) Life insurance (>20%) RUTCHAYOTHIN ASSETS MANAGEMENT 100% SCB ASSET MANAGEMENT 100% SCB TRAINING CENTRE 100% SCB LIFE ASSURANCE PCL. 9.1 % CAMBODIAN COMMERCIAL BANK 100% SCB SECURITIES 100% SIAM PHITIWAT 100% SIAM COMMERCIAL LEASING PCL % VINA SIAM BANK SCB DV 100% 100% SCB PLUS 100% MAHISORN 100% Remarks: SCB DV: The BOT is in consideration process to approve the establishment of the company and SCB's investment in the company. 1/ The structure of the Consolidated Supervision Group can be divided into two levels: 1) Full consolidation (hereafter referred to as Consolidated basis) which includes parent company and subsidiaries categorized under solo and non-solo consolidated subsidiaries; and 2) Solo consolidation which includes the bank and its subsidiaries categorized under the solo consolidation group - Solo consolidated subsidiaries mean any of the bank s subsidiaries whose business operation involves loans or loan-related transactions and whose shares are directly held by the bank in a ratio of not less than 75% of issued and paid-up shares. - Non-solo consolidated subsidiaries mean any of the bank s subsidiaries whose business operation involves finance or supporting business and whose shares are held by the bank in a ratio of not less than 50% of issued and paid-up shares with bank management control over the subsidiary s business. It shall be assumed that the bank has management control over a subsidiary s business if its shares are held by the bank in a ratio of not less than 20% of the issued and paid-up shares unless proven otherwise. 2/ Investment outside scope of consolidation, i.e. insurance companies, is considered based on a significant level (10%) of investment as a percentage of its issued common share capital where: - The bank s investment does not exceed 10%. In the event that the aggregate holding exceeds 10% of the bank s net common equity capital, then the amount above 10% is required to be deducted from the corresponding tier of capital. The portion under 10% is assigned a risk-weight as per BOT guidelines. - The bank owns significant investments (more than 10% of the issued common share capital of the entity or a threshold approach). If all aggregate holding exceed 10% of the bank s net common equity, then the amount above 10% is required to be deducted from the corresponding tier of capital. If there is shortfall, it will be deducted from the next higher tier of capital, whereas the amount under the 10% of net CET1 will be assigned a risk-weight of 250%. Pillar III Disclosure

6 3. Regulatory Capital 3.1 Capital Management Capital is the most critical resource in the banking business. Accordingly, SCB and its Financial Group have adopted the Internal Capital Adequacy Assessment Process (ICAAP) to assess significant risks and capital adequacy so as to support their businesses under both normal and stress conditions. In order to assess the overall capital adequacy of SCB and its Financial Group, policies and procedures are developed to ensure that their capital: Provides a cushion for unexpected losses arising from the risks they underwrite and engenders market confidence in the robustness of the Bank s capital base; this cushion will stand in excess of the minimum regulatory requirements at all times. Is sufficient to support the risk profile of SCB and its Financial Group and on-going growth based on their business strategies, as well as to withstand possible risks arising from an economic recession or other adverse scenario. Reflects a balance between higher returns to shareholders and the security afforded to all other stakeholders by a sound capital position. Senior management reviews capital adequacy periodically, taking into account the needs of their underlying businesses and any imminent regulatory changes. 3.2 Capital Structure and Adequacy Capital Structure After the financial crisis in 2008, the Basel Committee on Banking Supervision (BCBS) proposed implementing micro- and macroprudential measures through a new regulatory framework known as Basel III. The objective is to strengthen the quantity and quality of regulatory capital in order to absorb losses as well as to set global liquidity standards. The implementation of this new framework commenced from January 2013, coupled with transitional arrangements, and will be fully effective in January Regulatory capital under Basel III is based on a more stringent definition of capital and also a higher requirement for minimum capital ratios. The components of Basel III regulatory capital are as follows: (i) Common Equity Tier 1 (CET1) (ii) Additional Tier 1 (iii) Tier 2 Capital As shown in Figure 2, as at 31 December 2015, the Bank s regulatory capital was Baht 324,631 million on a Consolidated basis and Baht 316,344 million on a Bank-only basis. Details of CET1 capital, Tier 1 capital, and Tier 2 capital are as explained below. Common Equity Tier 1 Capital (CET1) represents the highest quality component of capital which must be adequate to permanently support financial commitments and any adverse impact without any restriction, including: Fully paid-up common shares Premium on common shares Appropriated retained earnings Legal reserves Other comprehensive income, i.e., revaluation surplus on premises and revaluation surplus on AFS investment Other regulatory adjustment items, i.e., goodwill and intangibles (software licenses) Note: Minimum regulatory requirement is 4.5% of total risk-weighted assets. Pillar III Disclosure

7 Additional Tier 1 Capital consists of highquality capital, including: Fully paid-up non-cumulative preferred shares Premium on the abovementioned preferred shares Perpetual subordinated debt Note: Minimum regulatory requirement is 6% of total risk-weighted assets. Tier 2 Capital consists of less-permanent capital, including: Long-term subordinated liabilities (less 20% amortization in each of the last five years prior to maturity) General provisions (eligibility limited to 1.25% of credit risk-weighted assets) Note: Minimum regulatory requirement of total riskweighted capital ratio is 8.5%. Pillar III Disclosure

8 3.2.2 Capital Adequacy Maintaining an adequate capital level is of importance as capital provides a cushion against the risks SCB and its Financial Group underwrite. SCB and its Financial Group identify and manage the risks they face through defined internal control procedures and stress tests. They assess and manage the monetary impact of these risks through a capital planning process. Scenario analysis and stress tests are important mechanisms in understanding the sensitivities of regulatory capital to business plans, including adverse impacts arising from extreme yet plausible events. SCB and its Financial Group consider these analyses and tests as tools to anticipate the potential financial impact on their business plans and capital needs. SCB and its Financial Group will consider and establish management action plans for mitigating any impact should such adverse events, or similar circumstances, occur. The regulatory guidelines stipulate that the minimum level of capital requirements for SCB and its Financial Group must be maintained at 8.5% of total risk-weighted assets to cover credit risk, market risk, and operational risk, of which at least 4.5% must consist of CET1 capital and 6% must consist of Tier 1 capital. These ratios would be augmented by a phasedin conservation buffer at 0.625% p.a. up to 2.5% of CET1, starting from 1 January 2016 through 1 January Banks that cannot meet this minimum requirement may be constrained by earning distribution restrictions, i.e., on dividend payouts, discretionary bonus payments, share buybacks, etc. As shown in Figure 3, as at 31 December 2015, the Bank s total CAR stood at 17.26% on a Consolidated basis and 17.18% on a Bank-only basis. CET1 capital stood at 14.12% on a Consolidated basis and 13.97% on a Bank-only basis. Tier 2 capital stood at 3.14% on a Consolidated basis and 3.21% on a Bank-only basis. Thus, the Bank is already compliant with these additional capital requirements. Summary of SCB and Its Financial Group's Capital Adequacy and RWA Bank-only Consolidated (Unit : THB million) Capital Adequacy and RWA 31 Dec Jun Dec Jun 15 Total Risk-Weighted Assets 1,841,506 1,805,264 1,880,484 1,834,805 Tier 1 capital (Net) 257, , , ,052 Total regulatory capital (Net) 316, , , ,022 CET1 / Tier 1 capital ratio (%) 13.97% 13.51% 14.12% 13.79% Total Capital Adequacy Ratio (CAR) (%) 17.18% 16.73% 17.26% 16.95% Pillar III Disclosure

9 Table 1: Comprehensive Regulatory Capital and Capital Adequacy (Unit : THB million) Capital Adequacy and RWA 31 Dec Jun Dec Jun 15 Tier 1 capital 257, , , ,052 Common Equity Tier 1 257, , , ,052 Paid-up capital - Common shares 33,992 33,992 33,992 33,992 Surplus (deficit) net worth 11,124 11,124 11,124 11,124 Legal reserve 7,000 7,000 7,000 7,000 Net profit after appropriation 198, , , ,294 Other comprehensive income 12,250 18,537 9,727 16,972 Deductions from CET1 on owner's equity (5,654) (6,085) (6,730) (7,331) Additional Tier Total Tier 1 capital 257, , , ,052 Tier 2 capital 59,140 57,970 59,140 57,970 General provision 19,140 17,970 19,140 17,970 Proceeds from issuing subordinated debt securities 40,000 40,000 40,000 40,000 Total regulatory capital 316, , , ,022 Risk-weighted assets Credit risk 1,602,792 1,560,709 1,632,864 1,582,977 Market risk 44,299 54,019 46,682 55,039 Operational risk 194, , , ,789 Total risk-weighted assets 1,841,506 1,805,264 1,880,484 1,834,805 Total risk-weighted capital ratio (%) 17.18% 16.73% 17.26% 16.95% CET1 / Tier 1 risk-weighted capital ratio (%) 13.97% 13.51% 14.12% 13.79% Minimum regulatory capital adequacy ratio (%) 8.50% 8.50% 8.50% 8.50% Minimum Tier 1 risk-weighted capital ratio (%) 6.00% 6.00% 6.00% 6.00% Minimum CET1 risk-weighted capital ratio (%) 4.50% 4.50% 4.50% 4.50% Note: Bank-only Consolidated In accordance with the BOT guidelines, the ratios at December 31,2015 do not include net profit for 2H2015. If included, the capital would be 14.9%, 3.2%, 18.1% for CET1/Tier 1, Tier 2 and CAR respectively on a Bank-only basis and 15.0%, 3.1%, 18.2% on a Consolidated basis. Pillar III Disclosure

10 Table 2: Capital Requirements by Risk Type Risk Type Credit risk Standardized Approach Performing (Unit : THB million) 31 Dec Jun Dec Jun 15 Governments, Central Banks, MDBs 1/ and PSEs 2/ treated as Sovereign Banks and PSEs 2/ treated as bank 4,096 2,768 4,255 2,839 Corporates 3/ and PSEs 2/ treated as corporates 75,931 75,039 76,289 75,205 Retail 30,128 29,654 30,179 29,696 Retail mortgage loans 15,019 14,512 15,019 14,512 Other assets 4/ 9,004 8,940 10,634 10,203 Non-performing 2,011 1,720 2,066 1,756 First-to-default credit derivatives and securitisation Total minimum capital requirements for credit risk 136, , , ,553 Market risk Standardized Approach Interest rate risk 2,887 3,601 2,887 3,603 Equity position risk Foreign exchange risk Commodity risk Total minimum capital requirements for market risk 3,765 4,592 3,968 4,678 Operational risk Standardized Approach Total minimum capital requirements for operational risk 16,525 16,196 17,080 16,727 Total minimum capital requirements 156, , , ,958 Note: 1/ Multilateral development banks 2/ Public sector entities Bank-only 3/ Including claims on individuals and their related parties that aggregate limits exceed conditions of claims on retail 4/ Other assets under Basel III include investment outside scope of consolidation which carries a 250% risk-weight Consolidated Pillar III Disclosure

11 Table 3: Main Features of Regulatory Capital Instruments Issuer Ordinary share Subordinated debt 1/2012 Subordinated debt 2/2012 The Siam Commercial Bank The Siam Commercial Bank The Siam Commercial Bank Public Company Limited Public Company Limited Public Company Limited Unique identifier SCB SCB222A SCB249A ISIN: TH Regulatory treatment Instrument type Common Equity Tier 1 Tier 2 capital Tier 2 capital Qualified or non-qualified Qualified Non-qualified Non-qualified Basel III Non-qualified Basel III features - No Basel III loss absorption No Basel III loss absorption Phased-out or full-amount - Phased-out (at 10% p.a.) Phased-out (at 10% p.a.) Eligible at Group & solo Group & solo Group & solo solo/group/group&solo Amount recognized in regulatory 33,992 1/ 20,000 20,000 capital (Unit: THB Million) as at 31 December 2015 Par value of instrument 10 1,000 1,000 (Unit: Baht) Accounting classification Shareholder's equity Amortization debt Amortization debt Original date of issuance Multiple 24 February September 2012 Perpetual or dated Perpetual Dated Dated Original maturity date No maturity 24 February September 2024 Issuer's authority to call subject to prior supervisory approval No No No Optional call date, contingent call date and redemption amount Subsequent call dates, if applicable N/A N/A 24 February 2017 / Tax reasons / Redemption at par / Full redemption amount At any coupon payment dates after 5 years after original issue date 17 September 2019 / Tax reasons / Redemption at par / Full redemption amount At any coupon payment dates after 7 years after original issue date Coupons / dividends Fixed or floating Discretionary dividend Fixed rate Fixed rate dividend/coupon amount Coupon rate and any related The ordinary shares 4.5% p.a. 4.65% p.a. index receive distributable profit that has been declared as dividend. Existence of a dividend stopper No No No Fully discretionary, partially Fully discretionary Mandatory Mandatory discretionary or mandatory Existence of step up or other No No No incentive to redeem Noncumulative or cumulative Noncumulative Noncumulative Noncumulative Convertible or non-convertible Non-convertible Non-convertible Non-convertible Write-down feature No No No Position in subordination hierarchy in liquidation (specify instrument type immediately senior to instrument) The subordinated notes rank pasi passu with all subordinated debt issued by the issuer After the return of capital in a winding-up, ordinary shares shall allow the holders' rights of participation in any surplus profit or assets of the company after all senior obligations have been satisfied. The subordinated notes rank pasi passu with all subordinated debt issued by the issuer 1/ The preferential rights of the Bank s preferred shares (Baht 47 million) have already expired on 10 May The preferential rights of such preferred shares will automatically be ended where all rights under such shares will be the same as those of ordinary shares. Pillar III Disclosure

12 Table 4: Reconciliation of Capital from Consolidated Supervision Financial Statement Unit: THB million Capital related items as of December 2015 Balance sheet as in published financial statements 1/ Balance sheet as under regulatory scope of consolidation 2/ References Assets Cash 38,979 38,942 - Interbank and money market items, net 260, ,357 - Claim on securities 4,545 4,545 - Derivative assets 57,397 57,427 - Investments, net 536, ,516 - Investments - 338,668 - Investment in common shares and warrants of finance companies and credit fonciers - 1,043 M Embedded goodwill - 3,805 K Investments in subsidiaries and associates, net ,097 - Loans to customers and accrued interest receivables, net Loans to customers 1,856,005 1,850,518 - Accrued interest receivables 4,545 4,144 - Total Loans to customers and accrued interest receivables 1,860,549 1,854,662 - Less Deferred revenue (22,598) (22,598) - Less Allowance for doubtful accounts (64,777) (64,777) - General provision (19,140) (19,140) O Specific provision (45,637) (45,637) - Less revaluation allowance for debt restructuring Total Loans to customers and accrued interest receivables, net 1,773,174 1,767,287 - Customers' liabilities under acceptances Properties for sale, net 10,558 10,558 - Premises and equipment, net 39,988 39,865 - Goodwill and other intangible assets, net 12,031 2,800 - Goodwill 5,075 1,270 J Goodwill from existing shares revaluation 5, Intangible assets 1,896 1,530 - phase-in at 20% p.a. during a transitional period of L remaining portion 918 Deferred tax assets Other assets, net 39,570 37,845 - Total assets 2,774,309 2,583,362 Liabilities Deposits 1,890,729 1,890,762 - Interbank and money market items 142, ,115 - Liabilities payable on demand 8,484 8,484 - Liabilities to deliver securities 4,563 4,563 - Financial liabilities designated at fair value Derivative liabilities 59,588 59,515 - Debt issued and borrowings 121, ,894 - Debt instruments that are qualified as capital 40,000 40,000 N Debt instruments that are non-qualified as capital 81,164 81,894 - Bank's liabilities under acceptances Provisions 7,228 7,122 - Deferred tax liabilities 3,141 2,915 - Other liabilities 228,723 40,736 - Total liabilities 2,466,616 2,280,164 1/ Balance sheet as in published financial statements means financial statement for consolidated basis reported to SET 2/ Balance sheet as under regulatory scope of consolidation means financial statement for consolidated basis under BOT s regulation which does not include subsidiaries operating in insurance business or other financial operations whose shares are held by the Bank in a ratio of between 10% - 50% of issued and paid-up shares. Pillar III Disclosure

13 Table 4 (continued) Unit: THB million Capital related items as of December 2015 Balance sheet as in published financial statements 1/ Balance sheet as under regulatory scope of consolidation 2/ References Owner's Equity Share capital Issued and paid-up share capital Common shares 33,945 33,945 A Preferred shares B Stock warrant - - Premium on share capital Premium on common shares 11,106 11,106 C Premium on preferred shares D Disclosed reserves - Surplus on revaluation 21,174 21,174 - Qualified as capital 9,961 9,961 G 3/ Non-qualified as capital 11,213 11,213 - Surplus (deficit) on remeasuring available-for-sale 4,346 4,346 - Qualified as capital 2,149 2,149 H 3/ Non-qualified as capital 2,197 2,197 - Foreign currency translation differences (103) (103) - Share of other comprehensive income of associates (2,341) (2,341) I Income tax on other comprehensive income (5,150) (5,150) - Retained earning Appropriated retained earning Legal reserve 7,000 7,000 E Others 210, ,378 F 4/ Unappropriated retained earning Unappropriated ratained earning 27,043 22,725 - Actuarial gain (loss) on defined benefit plans - - Total shareholders' equity 307, ,145 - Non-controlling interest Total owner's equity 307, ,197 Total liabilities and owner's equity 2,774,309 2,583,362 3/ Surplus on assets revaluation can be counted as capital subject to prior BOT approval. 4/ Net profit after appropriation from resolution of shareholder s meeting Pillar III Disclosure

14 Table 4 (continued) Items Component of regulatory capital reported by financial group Unit: THB million References based on balance sheet under the consolidated supervision Tier 1 capital CET1 capital Paid-up common shares after deducting treasury shares 33,992 A + B Stock warrant - - Surplus (deficit) net worth 11,124 C + D Legal reserve 7,000 E Reserves from retained earnings - - Net profit after appropriation 210,378 F 4/ Disclosed reserves 9,727 - Revaluation surplus on land and building appraisal 9,961 G 3/ Revaluation surplus (deficit) of equity and debt securities for sales 2,149 H 3/ Other owner changes items (2,341) I Non-controlling interest of consolidated subsidiaries that are recognised as CET1 of financial group - - Total CET1 capital before regulatory adjustments and deduction 272,221 - Regulatory adjustments on CET1 Regulatory deduction on CET1 Investment in common shares and warrants of finance companies and credit fonciers 1,043 M Goodwill 5,075 J + K Intangible assets 612 L Deferred tax assets - Total regulatory deduction to CET1 6,730 - Total CET1 265,491 - Additional Tier 1 capital Total Additional Tier Total Tier 1 capital 265,491 Tier 2 capital Proceeds from issuing subordinated debt securiities 40,000 N Surplus (deficit) of issued shares and warrants - - General provision 19,140 O Total Tier 2 capital before regulatory adjustments and deduction 59,140 - Regulatory deduction on Tier 2 capital - - Total Tier 2 capital 59,140 Total regulatory capital 324,631 Pillar III Disclosure

15 Table 5: Capital Position During Transitional Period Capital amount as for December 2015 Tier 1 capital Bank-only Consolidated Unit: THB million Net value of items with transitional phase subject to Basel III CET1 capital Total CET1 capital before regulatory adjustments and deduction 262, ,221 1,219 1/ Total regulatory adjustments to CET1 - - Total regulatory deduction to CET1 (5,654) (6,730) (918) 2/ Total CET1 257, ,491 Additional Tier 1 capital Total Additional Tier 1 capital before regulatory adjustments and deduction - - Total regulatory deduction to Additional Tier Total Additional Tier Total Tier 1 capital 257, ,491 Tier 2 capital Total Tier 2 capital before regulatory adjustments and deduction 59,140 59,140 (40,000) 3/ Total regulatory deduction to Tier Total Tier 2 capital 59,140 59,140 Total regulatory capital 316, ,631 1/ Revaluation surplus of debt securities for sales and foreign currency translation differences, phase-in at 20% p.a. during a transitional period of / Intangible assets e.g. software licenses, phase-out at 20% p.a. during a transitional period of / Non-Basel III compliant capital instruments will be phased out at 10% p.a. starting from 1 January Pillar III Disclosure

16 4. Risk Management 4.1 Risk Management Structure The supervision of the SCB Financial Group s risk management falls under the responsibility of several SCB organizational units and companies in the SCB Financial Group, including senior management and committees. The Board of Directors of the Bank has the responsibility for determining strategies and approving the SCB Financial Group's risk management policy, which is reviewed and agreed on before such approval by those who are more directly responsible in the supervision of overall risks, namely the Group Risk Management Committee, Audit Committee, and Executive Committee of the Bank. For specific risk management, such as lending, investment, liquidity, and interest rate management, the Board of Directors assigns responsibilities to various committees with specific expertise, namely the Credit Committee, the Equity Investment Management Committee, Special Asset Committee, the Asset & Liability Management Committee, and others to act on its behalf on specific risk management matters. The Risk Management Policy of the SCB Financial Group requires that all significant companies within the Financial Group, especially entities engaged in a financial business, must have an organizational structure to ensure that a responsible unit has been assigned for risk management and ensure that a risk management system is implemented in accordance with the risk appetite of such companies and takes into consideration its size and complexity. The Risk Management Function of SCB is responsible for determining the framework for risk management for credit risk, market risk, and operational risk; recommending risk management policies; and monitoring and reporting each major type of risk. The Risk Management Function also has the responsibility to develop risk management policies and promote best-practice risk management standards throughout SCB and its Financial Group. In particular, the Risk Management Function submits regular risk reports, assessments, and recommendations for improvement to the Group Risk Management Committee, Audit Committee, Executive Committee, and the Board of Directors, typically on a monthly basis. The Group Treasury has the primary responsibility for managing liquidity risk and interest-rate risk in the banking book. Within the Finance Function, equity investment risk is managed by the Equity Investment Management Division, while the Capital Management Division is mainly responsible for monitoring and reporting on the capital adequacy of SCB and its Financial Group. Specifically, the Capital Management Division has the responsibility to monitor capital levels, and to ensure that these levels remain in excess of minimum regulatory requirements at Pillar III Disclosure

17 all times. It also assesses whether SCB and its Financial Group s capital position remains strong in the context of the prevalent economic and competitive environment. The Risk Management Function and the Finance Function are independent of the revenue generating functions, and this supports the strong risk management culture maintained throughout the Financial Group. In order to enhance the effectiveness and efficiency of SCB and its Financial Group operations through a sound internal control environment as well as effective risk management and compliance, the Audit and Compliance Function has the mandate to assess internal controls as well as the adequacy of risk management policies and procedures of SCB and its Financial Group. The Audit and Compliance Function reports important audit findings and related recommendations for improvement to senior management of the Bank and its Audit Committee. 4.2 Risk Management Policy SCB and its Financial Group have established and applied the Risk Management Policy Framework at the following two levels: SCB, as the parent company, is responsible for developing the Group Risk Management Policy to be adopted as the overall Risk Management Policy Framework. The policy framework covers seven major risks, namely credit risk, market risk, operational risk, liquidity risk, interest rate risk in the banking book, strategic risk, and reputational risk, within the Bank and each company within the SCB Financial Group. The policy also establishes guidelines for managing and controlling risks for each business, and provides formats for reports that are required to control and monitor risks of the entire SCB Financial Group, applying the same standard to each business. Companies in the SCB Financial Group with significant operations are responsible for establishing a risk management policy covering the risks that have been identified as significant risk in the Group Risk Management Policy. Risk management policies of the SCB Financial Group companies must be proposed to the Group Risk Management Committee and the Executive Committee of the Bank for review prior to seeking approval from the Board of Directors of the respective companies. 4.3 Risk Management System SCB and its Financial Group aim to develop an organization-wide risk management system within both SCB and its Financial Group. As the focal point for risk management within its Financial Group, SCB has the responsibility to establish the risk management framework together with guidelines and to control risk management of all group companies in a manner that will support sustainable business growth and strengthen competitive capabilities, in both the short and long term, incorporating good governance concepts. The risk management system comprises four important processes: identification, measurement, monitoring and control, and reporting. Each of these is explained below Risk Identification Business operations of SCB and its Financial Group comprise transactions and activities with customers, counterparties, group companies, and units within the organization. Risks that arise may be classified into seven categories: Credit risk refers to risk arising from the failure either of debtors to repay principal and interest as agreed, or of counterparties to comply with conditions or contracts, which might result in damage to the revenue and capital of SCB and its Financial Group. The failure might be either from Pillar III Disclosure

18 necessity or intention of the debtors or counterparties. Credit risk covers both onand off-balance-sheet items, including loans, investments, commitments, obligations, and similar transactions. Market risk refers to risks whereby SCB and its Financial Group might incur a loss from changes in the value of on- or off-balancesheet positions due to the movement of market risk factors such as exchange rates, interest rates, stock prices, credit spreads, and commodity prices, which might affect the revenue and capital of SCB and its Financial Group. Operational risk refers to risk of loss arising due to an inadequacy or failure of internal processes, personnel, systems, or external events. This definition also includes legal risk and impacts to reputation due to operational risk, but does not include strategic risk. Operational risk can occur from both internal and external factors, such as changes in personnel, organizational structure, procedures, systems, products, customers, business landscape or operational standards, and activities organized by business units. Liquidity risk refers to risk arising from a failure to repay debts and obligations upon maturity due to the inability to convert assets to cash or to acquire sufficient capital, or of capital being acquired at unacceptably high prices. It also includes the risks arising from the inability to unwind or offset risk assets, causing the forced sale of such assets at prices lower than cost due to low liquidity of such assets or lack of liquidity in the market, which might affect both present and future revenue. Interest rate risk in the banking book (IRRBB) refers to the risks leading to a loss in net interest income and/or economic value in the on- and off-balance-sheet positions in the banking book as a result of interest rate movements. Strategic risk refers to the risks of a current and/or prospective impact on the Bank and its Financial Group s earnings, capital, and survival arising from factors such as changes in the environment the Bank operates in, inappropriate strategic decisions, ineffective implementation of significant projects, or lack of responsiveness to industry, economic, and technological changes. Risk to reputation refers to the risks arising when external parties, such as customers, counterparties, investors, or regulators lose confidence in, or have a negative image of, SCB and its Financial Group, which might impact revenue and/or capital of the Group either immediately or in the future Risk Measurement SCB and its Financial Group adopt the same method for measuring a particular type of risk using both qualitative and quantitative approaches or methods based on a standardized or internal rating-based approach or an internal model in order to assess actual risks. Credit risk: SCB measures the quantum of expected loss (EL) derived from historical data. This is based on the probability of default (PD), loss given default (LGD), and estimates for exposure at default (EAD). All these estimates are derived using quantitative models based on historical performance, including the discount to be applied to recovery from collateral. In addition, the Group also applies other key indicators for credit risk measurement such as the percentage of occurrence of nonperforming loans or the percentage of a write off. (Details are described in the credit risk section.) Market risk: SCB employs statistical and non-statistical tools for assessing market risk, namely management stress trigger, value at risk (VaR), position size, sensitivity Pillar III Disclosure

19 analysis, management action trigger, and others. Operational risk: SCB measures operational risk using risk management tools, such as risk and control self-assessment (RCSA), key risk indicators (KRI), and incident and loss management reports and databases. Liquidity risk: SCB and its Financial Group measure liquidity risk by using cash flow reports or liquidity gap reports, including behavioral cash flow reports and liquidity ratio analysis. Interest rate risk in the banking book (IRRBB): SCB measures the risk posed by interest rate fluctuations through measuring the impact on net interest income and economic value of equity (EVE) under assumptions of interest rate fluctuation in normal and stress situations and reports on them in incremental 1% interest rate fluctuations as per Bank of Thailand regulations. Strategic risk: SCB develops an assessment using primarily qualitative risk factors and quantitative economic indicators. Reputation risk: Business and support units establish factors and indicators of the risk to reputation both from external and internal sources. Risk levels are defined at one of five levels (level 1 is the lowest risk and level 5 is the highest risk level) Risk Monitoring and Control Risks within SCB and its Financial Group are monitored and controlled through the Group Risk Management Committee, which is responsible for renewing and recommending new or revised policies and practices, setting risk limits for transactions with credit and market risk, and adopting risk indicators to monitor significant operational risk. In addition, the Group Risk Management Committee presents, through the chief risk officer, the key risk issues, including new policies or practices for approval to the Executive Committee and/or the Board of Directors of the Bank on a regular basis. The Bank s Board of Directors and top executives establish the Bank s acceptable risk level or risk appetite statement (RAS) in order to meet SCB s long-term financial targets as well as monitor and manage its risks, including review of regulatory capital adequacy Risk Reporting SCB and its Financial Group have established schedules and formats for risk reporting, which must be submitted by relevant units to senior executives on a comprehensive and timely basis in order to effectively control and manage risk. Reports are aggregated to highlight risk levels and changes thereto by the Risk Management Function for reporting to the Group Risk Management Committee, Audit Committee, Executive Committee, and the Board of Directors. Pillar III Disclosure

20 5. Credit Risk Management 5.1 Credit Risk Management Structure In order to manage the credit risk of SCB and its Financial Group effectively and efficiently, organizational units with clearly defined roles and responsibilities have been established for managing credit risk. These units are separate from business origination units. Specifically, the Bank has established the following credit risk-related management units under the Risk Management Function: The Credit Risk Management Division has a major role in approving loans that fall within its designated authority and to independently provide comments and recommendations to higher levels of approval authority for considering and approving loans as provided under the credit policy guide and the related underwriting standards. The Credit Policies and Procedures Unit has the responsibility to formulate and revise the credit risk management policy of the SCB Financial Group; the credit policy guides of SCB and its Financial Group; and the related credit risk management policy and procedures, including the credit manual and credit approval authorities. The Retail Credit Risk Management Division has the responsibility to control and oversee retail lending policy both through the Credit Policy Guide and by setting the approval authority for retail lending as well as for product programs and risk programs for all retail lending products. It determines the policy and direction for: tapping target customer segments; pricing based on risk level; increasing/reducing credit lines; and measuring risks of each product and each customer segment. In addition, the Retail Credit Portfolio Management Unit within this Division jointly determines the collection strategy with the Retail Collection Units of SCB. The Credit Risk Analytic Division has the responsibility to analyze credit portfolios of SCB and its Financial Group and to develop, validate, and adopt models for analyzing credit risk, together with credit scoring for retail lending. 5.2 Credit Risk Management Policy and Guidelines The Group Risk Management Policy applies to SCB and all companies in its Financial Group engaged in banking, finance, leasing, securities, asset management, fund management, and life insurance that are exposed to material levels of credit risk. SCB and these group companies must implement credit risk management policies as follows: Formulate a credit risk management policy Determine and document risk-based limits and approval authorities Implement credit approval processes with checks and balances to ensure both transparency and validation under the 'foureyes' principle Establish a concentration limit for SCB where the limit is established according to debtor and to industry. Pillar III Disclosure

21 5.2.1 Collateral and Credit Risk Mitigation Policy Credit risk mitigation reduces losses arising from default on repayment obligations through disposing of collateral and/or claiming payment from guarantors. SCB and its Financial Group have opted for the Standardized Approach in the calculation of credit risk. Accordingly, collateral that can be applied for credit risk mitigation falls within one of two categories: 1. Financial collateral comprises items that can be liquidated for cash with relative ease by reference to mark-to-market values, such as cash, deposits, bonds, securities, and unit trusts. 2. Guarantees and credit derivatives SCB and its Financial Group entities that accept collateral have policies and guidelines for appraising the value of such collateral and any property obtained following repayment or purchase from public auctions of this collateral. Chief among these policies and guidelines is the Collateral and Non-Performing Asset Appraisal Policy. This policy is adopted as a guideline for collateral management in order to reflect fair market value, both before and after acceptance of the collateral. SCB and its Financial Group have established the following broad principles to optimize the value of near-cash collateral: Minimize concentration of any type of collateral or issuer Avoid, as far as possible, any currency mismatch between an obligation and collateral. To the extent that such mismatch exists, the value of collateral should be discounted to compensate for the underlying currency risk Avoid, as far as possible, any maturity mismatch between the maturity of an obligation and contracts. If such mismatch does exist, renewal must be monitored and arrangements made before the maturity date to ensure that the collateral remains valid throughout the tenor of the loan Ensure that contracts are standard, as far as possible, and are reviewed by legal units of SCB or its Group companies for enforceability and validity. Appraisal of financial collateral is, typically, reviewed at least once a month using the latest bid price as the appraised value. Guarantees can be used to mitigate credit risk in order to assign a lower risk weight, compared with that assigned to the debtor. Specifically, a private entity acting as a guarantor must have a better rating than the debtor according to ratings from external credit assessment institutions. For other types of collateral, the Bank has developed a Collateral and Non-Performing Asset Appraisal Policy to serve as a guideline for ensuring that collateral and NPA values reflect fair market value, before approval of a loan and subsequently following any update. Avoid, as far as possible, any positive correlation between collateral value and default risk of debtors Pillar III Disclosure

22 5.2.2 On- and Off-Balance-Sheet Netting Policy and Process SCB and its Financial Group can mitigate credit risk by netting as long as the underlying contract between the parties allows this. The contract must be in line with the minimum standard established by the Bank of Thailand and must be approved by the relevant legal unit of SCB and, if applicable, the Financial Group company. The contract must be regularly reviewed to identify any impact on enforcement that might arise from changes in regulatory requirements and/or laws. In addition, SCB and its Financial Group must have systems to monitor and control the risk arising from maturity mismatch of assets and liabilities that are subject to netting. Specifically, all compliance monitoring and control must be on a netting basis. Noncompliance with the above principles will result in the obligation not being eligible for netting Definition of Default The SCB Financial Group has established a definition of default and loss based on the occurrence of either or both of the following events: It is deemed that the debtor is unable to meet, in full, their payment obligations in accordance with the contract without taking into account any repayment to be recovered from collateral enforcement, e.g., consent for debt restructuring with a significant haircut or postponement of principal, interest, or fee payments due to the deteriorated financial status of the debtor. Default on repayment (principal and interest) for more than 90 days from the due date, or the debtor being classified as substandard or lower according to the Bank of Thailand notification regarding Debt Classification and Reserves Criteria for Financial Institutions. For impairment of assets, SCB and its solo consolidation companies are required to adopt the asset classification criteria as established by the Bank of Thailand. These classification criteria require classification of loans as pass, special mention, substandard, doubtful, doubtful loss, and loss. The policy also requires that debts be classified by debtor. However, retail debtors are classified by account for both secured loans and unsecured loans. In addition to the classification according to the number of days outstanding, SCB also adopts the qualitative approach for classifying debts. Use of the qualitative credit review process ensures that classification is accurate and appropriate with adequate loan loss provisions Classification and Provisioning Policy The Bank s debt classification, provision, and bad debt or bad debt recovery write-off is in accordance with the regulations of the Bank of Thailand or other related regulators. The Bank s provision levels are adequate to provide a cushion against expected losses from an impairment of assets, particularly loans. Typically, loans are classified based on the borrower s cash flow sufficiency to meet debt service obligations and to ensure that the Bank has adequate provision based on both quantitative and qualitative criteria. In the event of a single source of repayment for multiple debtors or related parties, the Bank applies the same debt classification; in all cases the underlying aim is to ensure the adequacy of the provisions. General provision According to the definition of the Financial Group under the solo consolidation basis, a general provision refers to the surplus reserves set aside for possible impairment of loans in the future. Such reserves support cover against potential losses without reference to a specific debtor. Although general reserves are not identified by debtors, SCB and its Financial Group maintain such reserves at an Pillar III Disclosure

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