My first Publication ocbc_ar17_fullreport_english | Page 116

PILLAR 3 DISCLOSURES
(OCBC Group – As at 31 December 2017)
9. CREDIT EXPOSURES UNDER STANDARDISED AND IRB APPROACH
9.1 CREDIT EXPOSURES UNDER STANDARDISED APPROACH AND CRM EFFECTS
The following table illustrates the effects of credit risk mitigation (“CRM”) on the calculation of capital requirements for credit and
equity exposures under the Standardised approach.
In the second half of 2017, the majority of Sovereign and Margin Lending exposures migrated to IRB approach.
(a)
(b)
Exposures before CCF and
(1)
CRM
On-Balance
Off-Balance
Sheet
Sheet
S$ million
1
2
3
4
5
6
7
8
9
10
11
12
13
14
(1)
Asset Class
Cash Items
Sovereign
PSE
MDB
Bank
Corporate
Regulatory Retail
Residential Mortgage
Commercial Real Estate
Equity exposures
Past Due exposures
Higher risk exposures
Others (4)
Total
866
3,128
55
36
5,584
12,500
5,856
14,194
9,930
–
122
–
6,319
58,590
(c)
(d)
Exposures post-CCF and
(2)
post-CRM
On-Balance
Off-Balance
Sheet
Sheet
–
–
35
101
#
5,579
2,216
11
1,853
–
–
–
846
10,641
866
3,128
504
36
5,612
11,554
5,587
13,854
9,909
–
122
–
5,989
57,161
(e)
(f)
RWA
–
–
#
6
–
1,316
57
5
183
–
–
–
37
1,604
RWA Density (3)
6
436
115
–
2,540
12,103
4,234
5,174
10,109
–
148
–
6,027
40,892
1%
14%
23%
0%
45%
94%
75%
37%
100%
NA
121%
NA
100%
70%

This refers to the regulatory exposure amount (net of impairment allowances and write offs where applicable) before the Credit Conversion Factor (“CCF”)

(3)

(4)

#
(2)
9.2
for off-balance sheet exposures and the recognised Credit Risk Mitigation (“CRM”) are applied.
This is the net credit equivalent amount, after taking into account the effects of CCFs and CRM.
Total RWA divided by the exposures post-CCF and post-CRM.
Includes other exposures not included in the above asset classes, such as fixed assets.
Represents amounts of less than $0.5 million.
CREDIT EXPOSURES UNDER STANDARDISED APPROACH BY RISK WEIGHT
The following table provides a breakdown of credit risk exposures treated under the Standardised approach by asset class and risk
weight. The risk weight assigned corresponds to the level of risk attributed to each exposure.
(a)
(b)
(c)
(d)
(e)
(f) (g) (h) (i)
Risk Weight
S$ million
1
2
3
4
5
6
7
8
9
10
11
12
13
14
(1)

(2)
114
Asset Class
Cash Items
Sovereign
PSE
MDB
Bank
Corporate
Regulatory Retail
Residential Mortgage
Commercial Real Estate
Equity exposures
Past Due exposures
Higher risk exposures
Others (2)
Total
0% 10% 20% 35% 50% 75% 100% 150% Others
837
2,257
21
42
–
–
–
–
–
–
–
–
–
3,157 –
–
–
–
–
–
–
–
–
–
–
–
–
– 29
–
460
–
898
101
–
–
–
–
–
–
–
1,488 –
–
–
–
–
–
–
13,227
–
–
–
–
–
13,227 –
871
–
–
4,707
1,379
–
–
–
–
–
–
–
6,957 –
–
–
–
–
–
5,643
350
–
–
–
–
–
5,993 –
–
23
–
7
11,383
–
282
10,057
–
71
–
6,026
27,849 –
–
–
–
–
7
1
–
35
–
51
–
–
94 –
–
–
–
–
–
–
–
–
–
–
–
–
–
(j)
– EAD (1)
Total
866
3,128
504
42
5,612
12,870
5,644
13,859
10,092
–
122
–
6,026
58,765
 otal EAD refers to both on and off-balance sheet amounts that are used for computing capital requirements, net of impairment allowances and write-offs
T
and after application of CRM and CCF.
Includes other exposures not included in the above asset classes, such as fixed assets.
OCBC ANNUAL REPORT 2017