My first Publication ocbc_ar17_fullreport_english | Page 122

PILLAR 3 DISCLOSURES
(OCBC Group – As at 31 December 2017)
10.1
(a)
BACKTESTING OF PD FOR PORTFOLIOS UNDER FOUNDATION INTERNAL RATINGS-BASED APPROACH (“F-IRBA”) (Continued)
(b)
(c)
(d)
(e)
External Ratings
(g) (h) (i)
Of which:
New Defaulted
Obligors (4)
(Dec-17) Historical
Annual
Default Rate (5)
(%)
PD
(%) Arithmetic
PD of
Obligors (2)
(%) Dec-16 (3) Dec-17 (3) Defaulted
Obligors
(Dec-17) 0.14% 0.14% 12 13 – –
(1)
Corporate IPRE
(f)
Number of Obligors
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% 39 37 – –
BB+ BB+ Ba1 0.54% 0.54% 80 81 – –
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
1.38% 1.44% 235 240 – – 2.50 to < 10.00
BB+ to B+ BB+ to B+ Ba1 to B1
B+ to B- B+ to B- B1 to B3 4.05% 4.30% 137 131 – – 10.00 to < 100.00
Total B- to C- B- to C- B3 to C3 11.50%
1.18% 12.65%
2.33% 18
521 18
520 1
1 –
– 0.37%
0.13% 0.12% 427 459 – – 0.00%
Corporate Small Business
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
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 0.16% 0.17% 894 795 – – 0.08%
0.37% 0.36% 313 331 – – 0.05%
BB+ BB+ Ba1 0.54% 0.52% 601 612 – – 0.07%
1.52% 1.57% 6,587 6,664 3 – 0.06%
BB+ to B+ BB+ to B+ Ba1 to B1
2.50 to < 10.00 B+ to B- B+ to B- B1 to B3 4.47% 4.35% 727 688 14 – 1.27%
10.00 to < 100.00
Total B- to C- B- to C- B3 to C3 17.15%
3.32% 13.40%
1.86% 316
9,865 449
9,998 17
34 1
1 1.91%
0.20%
Refers to PD associated with each obligor grade, weighted by EAD.
Arithmetic mean of PDs by the number of obligors within the PD range.
(3)
Number of obligors refers to the number of counterparties at the beginning and end of the reporting period.
(4)
New defaulted obligors refers to the number of obligors that defaulted during the last 12-month period that were not funded at the end of the
previous annual reporting period.
(5)
Refers to the average of the annual observed default rate (“ODR”) over the last five years. For Corporate IPRE, ODR is only available at overall asset
class level as it adopted PD approach in Q4 2015.
(1)
(2)
120
OCBC ANNUAL REPORT 2017