My first Publication ocbc_ar17_fullreport_english | Page 109

5.3
LEVERAGE RATIO COMMON DISCLOSURE TABLE
Amount (S$’m)
Item
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
Exposure measures of on-balance sheet items
On-balance sheet items (excluding derivative transactions and SFTs, but including
on-balance sheet collateral for derivative transactions or SFTs)
Asset amounts deducted in determining Tier 1 capital
Total exposures measures of on-balance sheet items
(excluding derivative transactions and SFTs)
Derivative exposure measures
Replacement cost associated with all derivative transactions
(net of the eligible cash portion of variation margins)
Potential future exposure associated with all derivative transactions
Gross-up for derivative collaterals provided where deducted from the
balance sheet assets in accordance with the Accounting Standards
Deductions of receivables for the cash portion of variation margins
provided in derivative transactions
CCP leg of trade exposures excluded
Adjusted effective notional amount of written credit derivatives
Further adjustments in effective notional amounts and deductions from
potential future exposures of written credit derivatives
Total derivative exposure measures
SFT exposure measures
Gross SFT assets (with no recognition of accounting netting),
after adjusting for sales accounting
Eligible netting of cash payables and cash receivables
SFT counterparty exposures
SFT exposure measures where a Reporting Bank acts as an agent in the SFTs
Total SFT exposure measures
Exposure measures of off-balance sheet items
Off-balance sheet items at notional amount
Adjustments for calculation of exposure measures of off-balance sheet items
Total exposure measures of off-balance sheet items
Capital and Total exposures
Tier 1 capital
Total exposures
Leverage Ratio
Leverage ratio
Dec-17 Sep-17
361,198 354,810
(6,292)
354,906 (10,220)
344,590
3,615 3,565
5,691
– 5,583
–
(21) (20)
–
781
– –
908
–
10,066 10,036
4,507 3,487
–
11
–
4,518 –
15
–
3,502
114,099
(88,819)
25,280 153,080
(123,632)
29,448
28,960
394,770 29,694
387,576
7.3% 7.6%
SFT: Securities Financing Transactions
CCP: Central Counterparty
BUILDING ON OUR CORPORATE STRATEGY FOR SUSTAINABLE GROWTH
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