My first Publication ocbc_ar17_fullreport_english | Page 118

PILLAR 3 DISCLOSURES
(OCBC Group – As at 31 December 2017)
9.3
CREDIT EXPOSURES UNDER FOUNDATION INTERNAL RATINGS-BASED APPROACH (“F-IRBA”) (Continued)
(a) (b)
On-
Balance
Sheet (1) Off-
Balance
Sheet (2)
Corporate (IPRE)
(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 1,925 115 53% 1,986 0.14% 12 45% 2.6 763 38% 1
0.15 to < 0.25 – – – – – – – – – NA –
0.25 to < 0.50 3,273 511 57% 3,564 0.37% 37 45% 2.1 2,102 59% 6
0.50 to < 0.75 6,301 1,532 50% 7,072 0.54% 80 45% 2.3 5,211 74% 17
0.75 to < 2.50 9,999 3,657 67% 12,378 1.40% 240 45% 2.4 13,272 107% 78
2.50 to < 10.00 1,597
228 622
46 34%
64% 1,811 4.17%
257 11.25% 131
18 45%
45% 2.9
1.5 2,767
516 153%
201% 34
13
2
23,325 –
6,483 0%
59% 2 100.00%
27,070 1.23% 1
519 45%
45% 5.0
2.4 –
24,631 0%
91% 1
150
10.00 to < 100.00
100.00 (Default)
Sub-total
227
Corporate Small Business
PD Range
0.00 to < 0.15 344 634 12% 416 0.12% 450 40% 3.0 131 31% #
0.15 to < 0.25 479 124 15% 498 0.16% 795 38% 4.3 199 40% #
0.25 to < 0.50 945 792 10% 1,025 0.37% 327 40% 3.5 640 62% 2
0.50 to < 0.75 655 822 12% 756 0.54% 603 40% 2.4 419 55% 2
0.75 to < 2.50 2,141 1,906 10% 2,260 1.44% 6,659 38% 2.1 1,712 76% 12 2.50 to < 10.00 1,847
413 1,017
108 9%
10% 1,908 4.51%
423 12.28% 683
447 37%
32% 2.5
2.5 2,071
559 109%
132% 32
17 1,307
8,131 3
5,406 1
11% 1,309 100.00%
8,595 17.32% 140
10,104 44%
39% 2.3
2.6 –
5,731 0%
67% 575
640 699
191,754 82,843 14,426 44% 1.7 89,482 43% 1,921 2,430
10.00 to < 100.00
100.00 (Default)
Sub-total
Total (all
portfolios)
21% 208,841
2.12%
On-balance sheet refers to the amount of the on-balance sheet exposure gross of impairment allowances (before taking into account the effect of CRM).
Off-balance sheet refers to the exposure value without taking into account valuation adjustments and impairment allowances, CCFs and the effect of CRM.
(3)
EAD refers to the amount relevant for the capital requirements calculation, after taking into account the effect of CCFs and CRM.
(4)
Refers to the PD and LGD associated with each obligor grade, weighted by EAD.
(5)
Number of obligors refers to the number of counterparties.
(6)
Refers to the effective maturity of the exposures to the obligor in years, weighted by EAD.
(7)
Total RWA divided by the exposures post-CCF and post-CRM.
(8)
Refers to the total eligible provisions attributed to the respective portfolios.
# Represents amounts of less than $0.5 million.
(1)
(2)
116
OCBC ANNUAL REPORT 2017