My first Publication ocbc_ar17_fullreport_english | Page 117

9.3
CREDIT EXPOSURES UNDER FOUNDATION INTERNAL RATINGS-BASED APPROACH (“F-IRBA”)
The following table provides the main parameters used in the treatment of exposures for the calculation of capital requirements under
the F-IRBA.
At the end of 2017, the majority of the Sovereign exposures migrated to F-IRBA from the Standardised Approach.
Sovereign
(a) (b)
On-
Balance
Sheet (1) Off-
Balance
Sheet (2)
(c)
(d)
Average
EAD (3)
CCF (%) (S$ million)
(e)
(f)
Average
Number
PD (4)
of
(%) Obligors (5)
(g)
(h)
(i)
Average
Average
RWA
LGD (4) Maturity (6)
(%) (In years) (S$ million)
(j)
(k)
(l)
RWA Expected
Density (7)
Losses
TEP (8)
(%) (S$ million) (S$ million)
(S$ million)
PD Range
0.00 to < 0.15 36,442 167 100% 36,626 0.00% 23 45% 1.3 575 2% 1
0.15 to < 0.25 – – – – – – – – – NA –
0.25 to < 0.50 112 – 0% 112 0.37% 3 45% 3.4 84 75% #
0.50 to < 0.75 – – – – – – – – – NA –
0.75 to < 2.50 3 – 0% 3 1.90% 1 45% 1.0 3 100% #
2.50 to < 10.00 64
– –
# 0%
– 64
– 6.42%
– 1
1 45%
– 1.0
– 99
– 155%
NA 2
–
–
36,621 –
167 –
100% –
36,805 –
0.02% –
29 –
45% –
1.4 –
761 NA
2% –
3
10
10.00 to < 100.00
100.00 (Default)
Sub-total
7
Bank
PD Range
0.00 to < 0.15 42,507 2,014 3% 43,502 0.05% 223 45% 0.8 5,989 14% 0.15 to < 0.25 – – – – – – – – – NA –
0.25 to < 0.50 4,248 49 28% 6,059 0.37% 31 45% 0.9 3,493 58% 10
0.50 to < 0.75 4,402 69 71% 4,534 0.54% 22 45% 0.6 3,131 69% 11
0.75 to < 2.50 777 14 58% 784 1.13% 27 45% 0.6 749 96% 4
2.50 to < 10.00 107
8 6
69 42%
8% 109 6.15%
8 11.10% 24
37 40%
45% 0.2
0.6 159
17 146%
205% 3
#
#
52,049 –
2,221 0%
6% # 100.00%
54,996 0.16% 1
365 45%
45% 1.0
0.8 –
13,538 0%
25% #
38
16
10.00 to < 100.00
100.00 (Default)
Sub-total
125
Corporate
PD Range
0.00 to < 0.15 32,293 31,213 19% 38,197 0.09% 850 44% 2.2 10,461 27% 0.15 to < 0.25 1 4 0% 1 0.18% 7 41% 3.9 1 49% #
0.25 to < 0.50 13,840 13,430 21% 16,561 0.37% 477 44% 1.9 9,388 57% 27
0.50 to < 0.75 6,955 7,730 21% 8,323 0.54% 519 43% 2.1 5,615 67% 19
0.75 to < 2.50 10,629 10,618 12% 10,445 1.48% 792 42% 2.0 10,140 97% 65
2.50 to < 10.00 5,113
972 3,388
2,167 24%
3% 5,043 4.84%
973 14.40% 315
299 43%
40% 2.0
2.9 7,224
1,992 143%
205% 105
55
1,825
71,628 16
68,566 45%
18% 1,832 100.00%
81,375 3.09% 150
3,409 44%
43% 2.8
2.1 –
44,821 0%
55% 804
1,090
10.00 to < 100.00
100.00 (Default)
Sub-total
BUILDING ON OUR CORPORATE STRATEGY FOR SUSTAINABLE GROWTH
1,372
115