Pillar 3 Quantitative Disclosure

Size: px

Start display at page:

Download "Pillar 3 Quantitative Disclosure"

Lindsey Merritt
6 years ago
Views:

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 nnul 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 141, ,121 Sovereign 43,875 1,186 Bnk 34,053 7,140 Residentil Mortgge 68,240 9,971 Qulifying Revolving Retil 6,599 2,312 Other Retil 20,020 4,429 Equity 1,885 6,539 Securitistion Totl IRB Approch 316, ,766 Stndrdised Approch b Corporte 9,030 8,525 Sovereign 1, Bnk 1, Regultory Retil 1, Residentil Mortgge 1, Commercil Rel Estte 2,551 2,577 Fixed Assets 3,027 3,027 Other Exposures 5,807 3,357 Totl Stndrdised Approch 26,633 19,642 Vlution Adjustment 1,849 Centrl Counterprties 452 Investments pproved under section 32 of the Bnking Act (below threshold for deduction) 6,668 Totl Risk 166,377 Mrket Risk Stndrdised Approch 21,620 Opertionl Risk Stndrdised Approch 12,656 Totl 200,654 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 2015 is $20,065 million. 106 UNITED OVERSEAS BANK LIMITED ANNUAL REPORT 2015

2 Risk Exposures The Group s mximum exposure to credit risk of on-blnce sheet nd off-blnce sheet finncil instruments, before tking into ccount ny collterl held, other credit enhncements nd netting rrngements, is shown in the tble below: End Blnces nd plcements with centrl bnks 37,614 30,543 Singpore Government tresury bills nd securities 6,853 6,865 Other government tresury bills nd securities 10,553 12,644 Trding debt securities 1,164 1,087 Plcements nd blnces with bnks 27,110 28,646 Lons to customers 200, ,611 Derivtive finncil ssets 6,843 6,422 Investment debt securities 7,400 7,312 Others 2,719 3, , ,035 Contingent libilities 19,154 19,008 Commitments (excluding operting lese nd cpitl commitments) 133, , , ,017 blnces re computed bsed on qurter-end exposure. 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 14,452 2,395 3,121 4,117 6,458 30,543 Singpore Government tresury bills nd securities 2,458 1,198 3, ,865 Other government tresury bills nd securities ,966 3,467 5, ,644 Trding debt securities ,087 Plcements nd blnces with bnks 9,611 5,123 5,443 5, ,681 28,646 Lons to customers 8,338 15,691 13,066 18,807 33, ,118 5, ,611 Derivtive finncil ssets 6,422 6,422 Investment debt securities ,090 1,905 3, ,312 Others 3,905 3,905 Totl 32,443 23,506 24,118 36,268 42, ,448 24, ,035 The mjority of the Group s off-blnce sheet credit exposures re short-term commitments with mturity of less thn 1 yer. UNITED OVERSEAS BANK LIMITED ANNUAL REPORT

3 Pillr 3 Quntittive Disclosure Counterprty Risk Exposures Gross positive fir vlue of contrcts 11,761 Netting effects (3,072) Exposure under current exposure method 8,689 Anlysed by type: Interest rte contrcts 3,093 Foreign exchnge contrcts nd gold 3,479 Equity contrcts 860 derivtive contrcts 59 Precious metls nd other commodity contrcts 1,198 Collterl held Finncil Collterl (874) Other (5) Net derivtives credit exposure 7,810 Derivtive Exposures Notionl mounts bought Notionl mounts sold Own credit portfolio 561 Intermedition portfolio Totl credit defult swps Exposures Secured by Eligible Collterl, Gurntees nd Derivtives Amount by which totl exposures re covered by: Stndrdised Eligible Collterl Protection Corporte 1, Bnk 211 Retil Commercil Rel Estte 15 7 Others Stndrdised Totl 3, FIRB Corporte 18,225 b 13,187 Sovereign 2,355 Bnk 2, FIRB Totl 23,506 13,237 Totl 26,521 13,416 Exposures Subject to Stndrdised Approch Net Exposures 0 to 35 6, to 75 2, nd bove 17,346 Totl 26,633 Net exposures fter credit mitigtion nd provisions bsed on the Assessments of Ech Recognised ECAI ECAI Moody s 575 S&P 192 Fitch 17 Totl 784 ECAI : Externl Assessment Institution Exposures Subject to Supervisory Risk Weight under IRB Approch Specilised Lending Equity (SRW Method) 0 to 50 1, to 100 3, nd bove 1,006 1,569 Totl 5,724 1,569 SRW : Simple Risk Weight Securitistion 0 to Totl 43 Securitistion exposures purchsed b The Group currently uses supervisory prescribed hircuts for eligible finncil collterl Include other eligible collterl of $12,435 million 108 UNITED OVERSEAS BANK LIMITED ANNUAL REPORT 2015

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 , , > ,053 14, Defult 1,187 Totl 101, , 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 1,422 2, Good 1,626 1, Stisfctory 1, Wek Defult 646 Totl 4,444 5, CF : Commodities Finnce PF : Project Finnce SF: Ship Finnce Sovereign Exposures CRR Bnd PD Rnge 1 9 Up to , > Defult NA Totl 1,186 43,875 3 Bnk Exposures CRR Bnd PD Rnge 1 9 Up to ,634 27, > ,506 6, Defult NA Totl 7,140 34, Equity (PD/LGD Method) Exposures CRR Bnd PD Rnge 1 9 Up to > Defult NA Totl PD: Probbility of Defult LGD : Loss Given Defult UNITED OVERSEAS BANK LIMITED ANNUAL REPORT

5 Pillr 3 Quntittive Disclosure Retil (Residentil Mortgge) Exposures PD Bnd LGD Undrwn Up to 1 4,115 49, ,749 > 1 to 2 1,227 7, > 2 4,322 10, Defult Totl 9,971 68, ,683 Retil (QRRE) Exposures PD Bnd LGD Undrwn Up to , ,797 > 1 to , > 2 1,526 1, Defult Totl 2,312 6, ,965 QRRE : Qulifying Revolving Retil Exposures Retil (Other Retil) Exposures PD Bnd LGD Undrwn Up to 1 1,536 12, ,176 > 1 to , > 2 1,881 4, Defult Totl 4,429 20, , UNITED OVERSEAS BANK LIMITED ANNUAL REPORT 2015

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 2014) Corporte Sovereign 3 Bnk 24 Retil Totl Totl Lons nd Advnces (By Performing nd Non-performing) Performing Lons Neither pst due nor impired 199,477 Pst due but not impired 5,012 Non-Performing Lons 2,882 Totl Gross Lons 207,371 Specific Allownces 773 Generl Allownces 2,988 Totl Net Lons 203,610 Excludes defulted exposures Comprison of Actul Loss nd Expected Loss by Asset Clss The ctul loss for the Group s IRB portfolio in 2015 ws lower thn the Expected Loss (EL) tht ws estimted for 2015 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 2014 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; nd 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. UNITED OVERSEAS BANK LIMITED ANNUAL REPORT

7 Pillr 3 Quntittive Disclosure Movement of Specific Allownces by Industry Blnce s t 1 Jnury 2015 Net chrge to income sttement * Write-off Exchnge nd other movements Blnce t 31 December 2015 Trnsport, storge nd communiction (3) Building nd construction (12) (1) 56 Mnufcturing (49) (5) 103 Finncil institutions Generl commerce (44) (3) 128 Professionls nd privte individuls (35) - 71 Housing Lons (4) (2) 78 Others 13 4 (8) (1) 8 Totl * (155) (6) 773 * Figure does not dd up to the respective totls due to rounding. 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 IRB Approch in the bnking book: Anlysed by Risk Type Interest rte 750 Equity 24 Foreign Exchnge 866 Commodity 90 SRW Method Risk Weights PD/LGD Method Risk Weights Totl 1,730 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 $59 million. Gins nd Losses Unrelised Gins/ (Losses) Eligible s CET1 Cpitl Relised Gins/ (Losses) during the Period Totl 1, UNITED OVERSEAS BANK LIMITED ANNUAL REPORT 2015

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