My first Publication ocbc_ar17_fullreport_english | Page 115

8. OVERVIEW OF RISK WEIGHTED ASSETS
The table below provides an overview of the Group’s total RWA, broken down by the approaches with which the RWA are computed, as
stipulated by MAS Notice 637.
(a)
(b)
RWA
S$ million
1 Credit Risk (excluding Counterparty Credit Risk)
2
Of which: Standardised Approach for Credit and Equity exposures
3
Of which: IRB Approach for Credit and Equity exposures (2)
4 Credit Risk: Counterparty Credit Risk
5
Of which: Current Exposure Method (3)
6
Of which: Internal Models Method
7 Equity exposures under Simple Risk Weight Method
8 Equity investments in funds - Look Through Approach
9 Equity investments in funds - Mandate-Based Approach
10 Equity investments in funds - Fall Back Approach
10a Equity investments in funds - Partial Use of an Approach
11 Unsettled Transactions
12 Securitisation exposures in banking book
13
Of which: Ratings-Based and Internal Assessment Methods
14
Of which: Supervisory Formula
15
Of which: Standardised Approach
16 Market Risk
17
Of which: Standardised Approach
18
Of which: Internal Models Approach
19 Operational Risk
20
Of which: Basic Indicator Approach
21
Of which: Standardised Approach
22
Of which: Advanced Measurement Approach
23 Credit RWA pursuant to paragraph 6.1.3(p)(iii) (4)
24 Floor Adjustment
25 Total
(c)
Minimal Capital
Requirements (1)
Dec-17 Sep-17 Dec-17
147,035
40,892
106,143
4,674
4,674
–
1,305
–
–
3,212
–
#
–
–
–
–
16,130
16,130
–
13,591
2,663
10,928
–
7,135
–
193,082 155,613
55,672
99,941
4,961
4,961
–
5,443
–
–
3,347
–
2
–
–
–
–
20,475
20,475
–
13,397
2,592
10,805
–
8,134
–
211,372 14,703
4,089
10,614
467
467
–
131
–
–
321
–
#
–
–
–
–
1,613
1,613
–
1,359
266
1,093
–
714
–
19,308
Minimum capital requirements are calculated at 10% of RWA.
Refers to Equity exposures under the Probability of Default (“PD”)/Loss Given Default (“LGD”) Method.
(3)
CCR RWA includes RWA attributed to Credit Valuation Adjustments (“CVA”) and Central Counterparties (“CCP”).
(4)
Refers to Credit RWA attributed to investments in the ordinary shares of unconsolidated major stake companies that are financial institutions,
within the prescribed threshold amount in accordance with MAS Notice 637 paragraph 6.1.3 (p)(iii)
# represents amounts of less than $0.5 million
(1)
(2)
The decrease in RWA between September 2017 and December 2017 was largely attributed to lower Credit and Market Risk RWA:
– Credit RWA decreased primarily due to the migration of Margin Lending portfolio booked in Bank of Singapore from the
Standardised Approach to the IRB Approach. In addition, lower Equity Credit RWA and Credit RWA pursuant to paragraph
6.1.3(p)(iii) was because of the adoption of the amended definition of insurance subsidiary in accordance with MAS Notice 637
with effect from December 2017.
– Market Risk RWA decreased due to enhancements in the methodology for calculating RWA for Interest Rate and Foreign
Exchange risk
BUILDING ON OUR CORPORATE STRATEGY FOR SUSTAINABLE GROWTH
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