My first Publication ocbc_ar17_fullreport_english | Page 97

PILLAR 3 DISCLOSURES
(OCBC Group – As at 31 December 2017)
1. INTRODUCTION
are in accordance with MAS Notice 637 paragraphs 6.1.3(p),
6.2.3(e) and 6.3.3(e).
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.
• As at 31 December 2017, the total equity of these
insurance subsidiaries was S$8 billion and total assets
were S$84 billion.
Disclosures on the Group’s reconciliation of regulatory capital
and regulatory capital position can be found in Section 4 of
this document.
For purpose of the year-end disclosure for OCBC Group
(“Group”) as at 31 December 2017, 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”)
For qualitative description of the Group’s disclosures, please refer
to Section 16 of this document.
The consolidation basis used for regulatory capital
computation is similar to that used for financial reporting
except for the following:
• Great Eastern Holdings Limited and its insurance subsidiaries
are excluded from regulatory consolidation and are treated
as investments in unconsolidated major stake companies
that are financial institutions in accordance with MAS
Notice 637 amended definition of insurance subsidiary.
The regulatory adjustments applied to these investments
(a)
Geographical breakdown
Hong Kong
Sweden
Sub-total
Total
(1)

CAPITAL ADEQUACY
3.1 CAPITAL ADEQUACY AND G-SIB INFORMATION
Disclosures on the Group’s capital adequacy ratios and the
capital positions for the Group’s significant banking subsidiaries
as at 31 December 2017 are presented in the Capital Adequacy
Ratios section of the Financial Year 2017 Financial Results
(http://www.ocbc.com/group/investors/index.html).
As part of enhanced public disclosures on risk profile and
capital adequacy driven by changes in Part XI of MAS Notice
637, the Group’s disclosure policy, which outlines the Group’s
approach and internal controls on the preparation of the required
information for public disclosures to ensure their accuracy
and completeness, has been reviewed and updated.
2. ACCOUNTING AND
REGULATORY CONSOLIDATION
3.
The Basel Committee has developed an indicator-based
measurement approach to identify Global Systemically
Important Bank (“G-SIB”) and determine the higher loss
absorbency requirements for banks classified as G-SIBs.
While OCBC is not a G-SIB, it is required under MAS Notice 637
to disclose the indicators which can be found on the Bank’s
Investor Relations website (http://www.ocbc.com/group/
investors/Cap_and_Reg_Disclosures.html).
3.2 GEOGRAPHICAL DISTRIBUTION OF CREDIT EXPOSURES
USED IN THE COUNTERCYCLICAL CAPITAL BUFFER
The following table provides an overview of the Group’s
geographical distribution of private sector credit exposures for
the calculation of countercyclical buffer.
The geographical distribution is based on the country where the
physical collateral resides in, residence of the guarantor, or in the
absence of such mitigant, the country of obligor (i.e. the country
where the majority of the obligor’s operating assets is situated)
in accordance with MAS Notice 637 requirements.
Higher RWA in Hong Kong during the second half of 2017 was
mainly driven by increase in loans that was partially offset by the
adoption of IRB Approach of Margin Lending portfolio.
(b)
(c)
(d)
Country-Specific countercyclical
buffer requirement
% RWA for private sector
credit exposures
S$ million Bank-specific countercyclical
buffer requirement (1)
% Countercyclical
buffer amount
S$ million
1.25%
1.25% 18,763
2
18,765
138,041 0.17% 328
 he Bank-specific countercyclical buffer is the additional capital which needs to be maintained above the Regulatory minimum and Capital
T
Conservation buffer requirement
BUILDING ON OUR CORPORATE STRATEGY FOR SUSTAINABLE GROWTH
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