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10.2
BACKTESTING OF PD FOR PORTFOLIOS UNDER ADVANCED INTERNAL RATINGS-BASED APPROACH (“A-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 A-IRBA with the five-year average of the annual observed default rate of the Group’s obligors.
The increase in the number of obligors under Other Retail asset class between December 2016 and December 2017 was largely due to
the migration of Margin Lending portfolio booked in Bank of Singapore to A-IRBA.
(a)
(b)
(c)
(d)
(e)
Residential Mortgage
S&P
Fitch
(f)
(g)
(h) (i)
Of which:
New
Defaulted Defaulted
Obligors Obligors (5)
(Dec-17)
(Dec-17) Historical
Annual
Default Rate (6)
(%)
Number of Obligors
External Ratings (1)
Moody’s
PD (2)
(%)
Arithmetic
PD of
Obligors (3)
(%)
Dec-16 (4)
Dec-17 (4)
PD Range
0.00 to < 0.15 0.06% 0.05% 10,837 11,195 13 – 0.08%
0.15 to < 0.25 0.15% 0.15% 34,380 36,044 30 3 0.10%
0.25 to < 0.50 0.25% 0.25% 44,898 44,832 106 – 0.21%
0.50 to < 0.75 0.50% 0.50% 51,586 49,361 194 5 0.35%
0.75 to < 2.50 1.04% 1.14% 40,768 37,339 284 18 0.81%
2.50 to < 10.00 3.88% 4.56% 9,251 12,660 293 93 2.24%
10.00 to < 100.00
Total 22.76%
1.14% 23.21%
1.57% 7,786
199,506 7,476
198,907 1,708
2,628 134
253 20.58%
1.18%
542,017 543,449 611 – 0.08%
Qualifying Revolving Retail
PD Range
0.00 to < 0.15 0.06% 0.06% 0.15 to < 0.25 0.17% 0.16% 88,934 101,474 94 10 0.17%
0.25 to < 0.50 0.29% 0.29% 122,827 122,268 389 – 0.29%
0.50 to < 0.75 0.59% 0.60% 102,652 93,449 674 6 0.61%
0.75 to < 2.50 1.45% 1.45% 97,658 86,030 1,512 68 1.35%
2.50 to < 10.00 5.09% 4.95% 77,373 63,223 3,843 172 4.47%
10.00 to < 100.00
Total 23.95%
1.36% 23.94%
1.17% 23,492
1,054,953 18,634
1,028,527 4,884
12,007 38
294 20.81%
1.08%
BUILDING ON OUR CORPORATE STRATEGY FOR SUSTAINABLE GROWTH
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