My first Publication ocbc_ar17_fullreport_english | Page 119

9.4
CREDIT EXPOSURES UNDER ADVANCED INTERNAL RATINGS-BASED APPROACH (“A-IRBA”)
The following table provides the main parameters used in the treatment of exposures for the calculation of capital requirements under
the A-IRBA.
At the end of 2017, the Margin Lending portfolio booked in Bank of Singapore migrated to A-IRBA and is reflected under Other Retail
and Corporate asset classes.
Residential
Mortgage
(a) (b)
On-
Balance
Sheet (1) Off-
Balance
Sheet (2)
(c)
(d) (e) (f) (g) Average
EAD (3)
CCF (%) (S$ million) Average
PD (4)
(%) Number
of
Obligors (5) Average
LGD (4)
(%) Average
Maturity (6)
RWA
(In years) (S$ million)
(h)
(i)
0.05% 11,195 10% 45
(j)
(k)
(l)
RWA Expected
Density (7)
Losses
TEP (8)
(%) (S$ million) (S$ million)
(S$ million)
PD Range
0.00 to < 0.15
2,370
708
67%
2,844
2%
#
0.15 to < 0.25 12,673 898 75% 13,350 0.15% 36,044 10% 478 4% 3
0.25 to < 0.50 12,379 855 67% 12,949 0.25% 44,832 10% 682 5% 3
0.50 to < 0.75 14,065 653 70% 14,523 0.50% 49,361 11% 1,267 9% 8
0.75 to < 2.50 7,536 515 72% 7,909 1.02% 37,339 11% 1,160 15% 9
2.50 to < 10.00 4,007
1,207 158
15 76%
103% 4,127 3.62%
1,223 23.12% 12,660
7,476 11%
11% 1,248
762 30%
62% 16
32
402
54,639 9
3,811 0%
71% 402 100.00%
57,327 1.82% 2,598
201,505 15%
11% 296
5,938 74%
10% 53
124
10.00 to < 100.00
100.00 (Default)
Sub-total
109
Qualifying Revolving Retail
PD Range
0.00 to < 0.15 662 5,581 45% 3,157 0.06% 543,449 80% 103 3% 1
0.15 to < 0.25 30 948 54% 538 0.17% 101,474 84% 45 8% 1
0.25 to < 0.50 247 940 43% 653 0.29% 122,268 80% 79 12% 2
0.50 to < 0.75 315 753 46% 663 0.59% 93,449 78% 139 21% 3
0.75 to < 2.50 309 537 59% 625 1.43% 86,030 83% 274 44% 7
2.50 to < 10.00 297 232 66% 451 5.10% 63,223 84% 482 107% 19
10.00 to < 100.00 95 55 68% 133 23.47% 18,634 84% 294 222% 26
100.00 (Default) 30 – 0% 30 100.00% 4,535 82% # 0% 30
1,985 9,046 47% 1,033,062 81% 1,416 23% 89
Sub-total
6,250
1.62%
42
Retail Small Business
PD Range
0.00 to < 0.15 286 274 57% 443 0.10% 2,724 26% 30 7% #
0.15 to < 0.25 1,359 516 47% 1,604 0.17% 6,204 33% 210 13% 2
0.25 to < 0.50 311 37 59% 332 0.35% 1,087 35% 71 21% #
0.50 to < 0.75 598 41 61% 623 0.50% 3,224 37% 176 28% 1
0.75 to < 2.50 960 77 62% 1,007 1.15% 7,004 42% 481 48% 5
2.50 to < 10.00 581 28 79% 603 4.45% 6,739 43% 392 65% 11
10.00 to < 100.00 345 13 78% 355 27.19% 3,401 45% 347 98% 43
100.00 (Default) 145 1 4% 145 100.00% 1,649 55% 228 157% 64
4,585 987 53% 32,032 37% 1,935 38% 126
Sub-total
5,112
5.62%
BUILDING ON OUR CORPORATE STRATEGY FOR SUSTAINABLE GROWTH
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