My first Publication ocbc_ar17_fullreport_english | Page 121

10. BACKTESTING OF PD FOR PORTFOLIOS UNDER IRB APPROACH
10.1
BACKTESTING OF PD FOR PORTFOLIOS UNDER FOUNDATION INTERNAL RATINGS-BASED APPROACH (“F-IRBA”)
The following table provides the information used to validate the reliability of PD used in the calculation of capital requirements.
It compares the PD under F-IRBA with the five-year average of the annual observed default rate of the Group’s obligors.
(a)
(b)
(c)
(d)
(e)
External Ratings
Bank
(f)
(g) (h) (i)
Of which:
New Defaulted
Obligors (4)
(Dec-17) Historical
Annual
Default Rate (5)
(%)
Number of Obligors
PD (1)
(%) Arithmetic
PD of
Obligors (2)
(%) Dec-16 (3) Dec-17 (3) Defaulted
Obligors
(Dec-17) 0.04% 0.06% 223 236 – – –
S&P Fitch Moody’s AAA to
BBB
BBB to
BBB-
BBB- to
BB+ AAA to
BBB
BBB to
BBB-
BBB- to
BB+ Aaa to
Baa2
Baa2 to
Baa3
Baa3 to
Ba1 NA NA – – – – –
0.37% 0.37% 44 31 – – –
BB+ BB+ Ba1 0.54% 0.54% 25 22 – – –
1.15% 1.54% 26 29 – – –
PD Range
0.00 to < 0.15
0.15 to < 0.25
0.25 to < 0.50
0.50 to < 0.75
0.75 to < 2.50
BB+ to B+ BB+ to B+ Ba1 to B1
2.50 to < 10.00 B+ to B- B+ to B- B1 to B3 5.12% 4.92% 15 25 – – –
10.00 to < 100.00
Total B- to C- B- to C- B3 to C3 11.10%
0.13% 11.10%
1.71% 44
377 38
381 –
– –
– –
–
AAA to
BBB
BBB to
BBB-
BBB- to
BB+ AAA to
BBB
BBB to
BBB-
BBB- to
BB+ Aaa to
Baa2
Baa2 to
Baa3
Baa3 to
Ba1 0.09% 0.11% 844 890 – – 0.00%
NA 0.15% 1 7 – – –
0.37% 0.37% 427 483 – – 0.04%
BB+ BB+ Ba1 0.54% 0.54% 501 526 – – 0.08%
1.49% 1.50% 903 804 1 – 0.52%
Corporate
PD Range
0.00 to < 0.15
0.15 to < 0.25
0.25 to < 0.50
0.50 to < 0.75
0.75 to < 2.50
BB+ to B+ BB+ to B+ Ba1 to B1
2.50 to < 10.00 B+ to B- B+ to B- B1 to B3 5.14% 4.55% 402 319 24 5 2.45%
10.00 to < 100.00
Total B- to C- B- to C- B3 to C3 12.94%
1.08% 11.50%
2.06% 279
3,357 327
3,356 16
41 1
6 2.27%
0.67%
BUILDING ON OUR CORPORATE STRATEGY FOR SUSTAINABLE GROWTH
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