My first Publication ocbc_ar17_fullreport_english | Page 124

PILLAR 3 DISCLOSURES
(OCBC Group – As at 31 December 2017)
10.2
(a)
BACKTESTING OF PD FOR PORTFOLIOS UNDER ADVANCED INTERNAL RATINGS-BASED APPROACH (“A-IRBA”) (Continued)
(b)
(c)
(d)
(e)
External Ratings (1)
(f)
(g)
(h) (i)
Of which:
New
Defaulted Defaulted
Obligors Obligors (5)
(Dec-17)
(Dec-17) Historical
Annual
Default Rate (6)
(%)
Number of Obligors
PD
(%) Arithmetic
PD of
Obligors (3)
(%) Dec-16 (4) Dec-17 (4) 0.00 to < 0.15 0.10% 0.10% 3,040 2,724 – – –
0.15 to < 0.25 0.17% 0.18% 6,602 6,204 11 – 0.33%
(2)
Retail Small Business
S&P
Fitch
Moody’s
PD Range
0.25 to < 0.50 0.35% 0.35% 1,103 1,087 6 – 0.43%
0.50 to < 0.75 0.50% 0.50% 3,596 3,224 7 – 0.32%
0.75 to < 2.50 1.16% 1.24% 7,190 7,009 66 1 0.99%
2.50 to < 10.00 4.33% 4.73% 7,501 6,773 202 5 3.10%
10.00 to < 100.00
Total 26.51%
2.88% 26.62%
4.33% 3,478
32,510 3,401
30,422 580
872 7
13 20.40%
2.59%
Other Retail
PD Range
0.00 to < 0.15 0.05% 0.05% 10,707 4,374 9 – 0.16%
0.15 to < 0.25 0.16% 0.16% 13,911 28,472 12 1 0.16%
0.25 to < 0.50 0.33% 0.30% 1,854 4,435 6 – 0.19%
0.50 to < 0.75 0.50% 0.51% 3,931 8,490 21 1 0.43%
0.75 to < 2.50 1.22% 1.17% 3,238 11,826 23 – 0.66%
2.50 to < 10.00 4.62% 4.60% 1,249 8,051 38 – 1.75%
10.00 to < 100.00
Total 16.94%
1.04% 18.39%
0.76% 652
35,542 7,401
73,049 85
194 2
4 13.03%
0.59%
Not applicable for Retail asset classes.
Refers to PD associated with each obligor grade, weighted by EAD.
(3)
Arithmetic mean of PDs by the number of obligors within the PD range.
(4)
Number of obligors refers to the number of accounts at the beginning and end of the reporting period, except for Retail Small Business which refers
to the number of counterparties.
(5)
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.
(6)
Refers to the average of the annual observed default rate over the last five years.
(1)
(2)
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OCBC ANNUAL REPORT 2017