Pillar 3 Quantitative Disclosure

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Gyles Strickland
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1 Pillr 3 Quntittive Disclosure In complince with the requirements under Bsel Pillr 3 nd the Monetry Authority of Singpore (MAS) Notice 637 Public Disclosure, vrious dditionl quntittive nd qulittive disclosures hve been included in the Annul Report under the sections on Cpitl Mngement, Risk Mngement, Remunertion, Pillr 3 Quntittive Disclosure *, Mngement Discussion nd Anlysis nd Notes to the Finncil Sttements. The disclosures re to fcilitte the understnding of the UOB Group s risk profile nd ssessment of the Group s cpitl dequcy. Scope of Appliction In ccordnce with the ccounting stndrds for finncil reporting, ll subsidiries of the Group re fully consolidted from the dte the Group obtins control until the dte such control ceses. The Group s investment in ssocites is ccounted for using the equity method from the dte the Group obtins significnt influence over the ssocites until the dte such significnt influence ceses. However, for the purpose of computing cpitl dequcy requirements t the Group level, investments in subsidiry tht crries out insurnce business s n insurer re excluded from the consolidted finncil sttements of the Group. In complince with MAS Notice 637 on cpitl dequcy, such investments re deducted from regultory cpitl. The trnsfer of funds or regultory cpitl within the Group is generlly subject to regultory pprovl. * Semi-nnul updtes re vilble on UOB s website t Summry of Exposure t Defult () nd Risk-Weighted Assets () Risk Internl Rtings-Bsed (IRB) Approch Corporte 153, ,347 Sovereign 33,069 1,327 Bnk 41,601 7,905 Residentil mortgge 71,804 11,387 Qulifying revolving retil 10,940 2,711 Other retil 20,754 4,804 Equity 1,456 5,309 Securitistion Totl IRB Approch 332, ,973 Stndrdised Approch b Corporte 11,611 11,304 Sovereign 2, Bnk 1, Regultory retil 1,366 1,052 Residentil mortgge 1, Commercil rel estte 2,780 2,822 Fixed ssets 3,094 3,094 Other exposures 7,452 3,200 Totl Stndrdised Approch 32,252 22,986 vlution djustment 1,674 Centrl counterprties 864 Investments pproved under Section 32 of the Bnking Act (below threshold for deduction) 6,664 Totl Risk 179,160 Mrket Risk Stndrdised Approch 23,138 Opertionl Risk Stndrdised Approch 13,261 Totl 215,559 b exposures under Advnced IRB Approch. Amount under Stndrdised Approch refers to credit exposure where IRB Approch is not pplicble, or portfolios tht will eventully dopt IRB Approch. Bsed on the Group s Totl, the Group s minimum cpitl requirement s t 31 December 2016 is $21,556 million. 126 UOB ANNUAL REPORT 2016

2 Exposures by Residul Contrctul Mturity The following tble shows the Group s credit exposures by remining contrctul mturities. Up to 7 dys 7 dys to 1 month 1 to 3 months 3 to 12 months 1 to 3 yers 3 yers No specific mturity Totl Blnces nd plcements with centrl bnks 6,799 2,875 2,099 3,085 7,222 22,080 Singpore Government tresury bills nd securities 2,449 1,843 2, ,877 Other government tresury bills nd securities 253 1,157 2,593 1,666 2,704 2, ,638 Trding debt securities , ,982 Plcements nd blnces with bnks 14,545 7,159 9,837 5,069 1, ,394 40,033 Lons to customers 12,427 17,788 13,599 20,257 35, ,533 7, ,734 Derivtive finncil ssets 6,982 6,982 Investment debt securities ,299 4, ,779 Others 3,872 3,872 Totl 34,170 29,037 29,095 34,880 44, ,786 27, ,977 The mjority of the Group s off-blnce sheet credit exposures re short-term commitments with mturity of less thn 1 yer. Counterprty Risk Exposures Gross positive fir vlue of contrcts 15,865 Netting effects (5,287) Exposure under current exposure method 10,578 Anlysed by type : Interest rte contrcts 3,695 Foreign exchnge contrcts nd gold 4,385 Equity contrcts 977 derivtive contrcts 91 Precious metls nd other commodity contrcts 1,430 Collterl held Finncil collterl (1,078) Others (12) Net derivtives credit exposure 9,488 UOB ANNUAL REPORT

3 Pillr 3 Quntittive Disclosure Derivtive Exposures Notionl mounts bought Notionl mounts sold Own credit portfolio Intermedition portfolio Totl credit defult swps Exposures Secured by Eligible Collterl, Gurntees nd Derivtives Amount by which totl exposures re covered by: Eligible collterl protection Stndrdised Corporte 3, Sovereign 205 Bnk 4 Retil Commercil rel estte 19 8 Others 1,218 4 Stndrdised totl 5, FIRB Corporte 22,276 b 14,188 Sovereign 1,284 Bnk 4, FIRB totl 27,998 14,453 Totl 33,286 14,802 b The Group currently uses supervisory prescribed hircuts for eligible finncil collterl Includes other eligible collterl of $15,646 million Exposures Subject to Stndrdised Approch Risk weights Net exposures bsed on the Assessments of Ech Recognised ECAI ECAI Moody s 376 S&P 170 Fitch 92 Totl 638 ECAI : Externl Assessment Institution Exposures Subject to Supervisory Risk Weight under IRB Approch Risk weights Specilised lending Equity (SRW method) 0 to 50 2, to 100 2, nd bove 1,048 1,378 Totl 5,896 1,378 SRW : Simple Risk Weight Securitistion Exposures Risk weights Mortggebcked securities Asset-bcked securities 0 to b c Totl b c Securitistion exposures purchsed in the Bnking Book Includes off blnce-sheet exposures of $30 million Includes off blnce-sheet exposures of $1 million 0 to 35 9, to 75 2, nd bove 20,539 Totl 32,252 Net exposures fter credit mitigtion nd provisions 128 UOB ANNUAL REPORT 2016

4 Risk Profile The following tbles show the brekdown of exposures by nd using the respective internl rting scle for the model pplicble to the sset clsses: Lrge Corporte, SME nd Specilised Lending (IPRE) Exposures CRR bnd PD rnge 1 9 Up to , , > ,203 18, Defult 1,580 Totl 108, , SME : Smll- nd medium-sized enterprises IPRE : Income Producing Rel Estte CRR : Customer Risk Rting Specilised Lending (CF, PF, SF nd UOB (Thi) s IPRE) Exposures CRR bnd Strong 1,477 2, Good 1,616 1, Stisfctory Wek 1, Defult 594 Totl 4,954 5, CF : Commodities Finnce PF : Project Finnce SF : Ship Finnce Sovereign Exposures CRR bnd PD rnge 1 9 Up to ,114 32, > Defult NA Totl 1,327 33,069 4 Bnk Exposures CRR bnd PD rnge 1 9 Up to ,453 35, > ,452 6, Defult NA Totl 7,905 41, Equity (PD/LGD Method) Exposures CRR bnd PD rnge 1 9 Up to > Defult NA Totl PD : Probbility of Defult LGD : Loss Given Defult UOB ANNUAL REPORT

5 Pillr 3 Quntittive Disclosure Retil (Residentil Mortgge) Exposures PD bnd LGD Undrwn Up to 1 4,482 53, ,212 > 1 to 2 1,570 8, > 2 4,740 10, Defult Totl 11,387 71, ,988 Retil (QRRE) Exposures PD bnd LGD Undrwn Up to , ,179 > 1 to , ,424 > 2 1,808 1, Defult Totl 2,711 10, ,149 QRRE : Qulifying Revolving Retil Exposures Retil (Other Retil) Exposures PD bnd LGD Undrwn Up to 1 1,589 13, ,041 > 1 to , > 2 1,785 4, Defult Totl 4,804 20, , UOB ANNUAL REPORT 2016

6 Expected Loss nd Actul Loss by Asset Clss Actul loss consists of impirment loss llownce nd write-off to the Group s income sttement for the finncil yer ended 31 December Asset clss Actul loss Expected loss (s t 31 December 2015) Corporte Sovereign 7 Bnk 27 Retil Totl 785 1,125 Totl Lons nd Advnces (By Performing nd Non-Performing) Performing lons Neither pst due nor impired 217,600 Pst due but not impired 4,734 Non-performing lons 3,328 Totl gross lons 225,662 Specific llownces 1,219 Generl llownces 2,709 Totl net lons 221,734 Excludes defulted exposures Comprison of Actul Loss nd Expected Loss by Asset Clss The ctul loss for the Group s IRB portfolio in 2016 ws lower thn the expected loss (EL) tht ws estimted for 2016 t the end of December The Group continues to be proctive in its risk mngement pproch to ensure tht ctul losses remined within the Group s expecttions. EL is the estimted credit loss from defults over one-yer horizon. EL is the product of PD, LGD nd. A comprison of ctul loss nd expected loss provides n indiction of the predictive power of the IRB models used by the Group. However, they re not directly comprble due to the following resons: EL s t 31 December 2015 is mesure of expected credit loss bsed on the credit exposure s t tht dte. On the other hnd, impirment loss llownce nd write-offs re ccounting entries relting to fluctuting portfolio over the course of the finncil yer. Moreover, write-offs my relte to defults from prior yers. EL is estimted bsed on non-defult exposures only, while impirment loss llownce is n ccounting estimte of likely loss from defulted exposures. Write-offs re recorded on defulted exposures when no further recovery is possible. UOB ANNUAL REPORT

7 Pillr 3 Quntittive Disclosure Movement of Specific Allownces by Industry Blnce s t 1 Jnury 2016 Net chrge to income sttement Net write-off Exchnge nd other movements Blnce s t 31 December 2016 Trnsport, storge nd communiction (139) (4) 337 Building nd construction (10) Mnufcturing (56) Finncil institutions, investment nd holding compnies 8 5 (4) (7) 2 Generl commerce (149) Professionls nd privte individuls (138) Housing lons (9) Others (50) (66) 287 Totl (555) 32 1,219 Mrket Risk Cpitl requirements by mrket risk type under Stndrdised Approch: Equity Exposures in the Bnking Book The following tble shows the vlue of the Equity exposures under the IRB Approch in the Bnking Book: Anlysed by risk type Interest rte 818 Equity 23 Foreign exchnge 936 Commodity 74 SRW method risk weights PD/LGD method risk weights Totl 1,851 This comprises ll Trding Book, Non-Trding Commodity nd Non-Trding FX exposures. Listed securities Other equity holdings Totl 1, Totl equity exposures tht were deducted from cpitl mounted to $51 million. Gins nd Losses Unrelised gins/ (losses) eligible s CET1 cpitl Relised gins/ (losses) during the period Totl 1, UOB ANNUAL REPORT 2016

Pillar 3 Quantitative Disclosure

Pillar 3 Quantitative Disclosure Pillr 3 Quntittive Disclosure In complince with the requirements under Bsel Pillr 3 nd the Monetry Authority of Singpore (MAS) Notice 637 Public Disclosure, vrious dditionl quntittive nd qulittive disclosures