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PILLAR 3 DISCLOSURES
(OCBC Group – As at 31 December 2017)
9.4
CREDIT EXPOSURES UNDER ADVANCED INTERNAL RATINGS-BASED APPROACH (“A-IRBA”) (Continued)
Other Retail
(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% 3,550 9% 10
(j)
(k)
(l)
RWA Expected
Density (7)
Losses
TEP (8)
(%) (S$ million) (S$ million)
(S$ million)
PD Range
0.00 to < 0.15 357 448
97% 792 0.15 to < 0.25 2,849 0.25 to < 0.50 271
1%
#
348 84% 3,140 0.18% 27,277 10% 131 4% 1
37 63% 295 0.31% 4,435 15% 26 9% #
0.50 to < 0.75 3,302 263 96% 3,554 0.50% 7,154 9% 253 7% 2 0.75 to < 2.50 6,589 1,168 99% 7,750 1.48% 8,786 9% 853 11% 10 2.50 to < 10.00 3,785 625 100% 4,409 4.99% 4,127 11% 745 17% 24 10.00 to < 100.00 6,677 596 100% 7,272 13.18% 5,037 10% 1,507 21% 103 45 1 2% 45 100.00% 284 28% 75 166% 14 23,875 3,486 97% 27,257 5.00% 60,650 10% 3,600 13% 154 0.00 to < 0.15 126 122 99% 247 0.05% 531 7% 5 2% # 0.15 to < 0.25 340 103 100% 443 0.20% 744 7% 22 5% # 0.25 to < 0.50 – – – – – – – – NA – 0.50 to < 0.75 683 134 100% 817 0.50% 641 7% 71 9% # 0.75 to < 2.50 1,269 214 100% 1,483 1.34% 711 8% 238 16% 2 2.50 to < 10.00 1,230 272 100% 1,502 5.00% 464 9% 443 29% 7 10.00 to < 100.00 2,059 419 100% 2,478 13.65% 991 14% 1,556 63% 48 – – – – – – – – NA – 5,707 1,264 100% 6,970 6.29% 4,082 10% 2,335 33% 57 21
90,791 18,594 65% 102,916 3.14% 1,331,331 16% 15,224 15% 550 301
100.00 (Default)
Sub-total
47
Corporate
PD Range
100.00 (Default)
Sub-total
Total (all
portfolios)
1.0
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 effects 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 accounts, except for Retail Small Business which refers to the number of counterparties.
(6)
Refers to the effective maturity of the exposures to the obligor in years and is not applicable for portfolios under the IRB treatment of Retail asset classes
(“A-IRB”); For Corporate asset class, average effective maturity is one year across all PD ranges.
(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)
9.5
EFFECT ON RWA OF CREDIT DERIVATIVES USED AS CRM
The Group does not recognise credit derivatives as a credit risk mitigant for exposures under F-IRBA or A- IRBA.
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OCBC ANNUAL REPORT 2017