My first Publication ocbc_ar17_fullreport_english | Page 127

12.3
COUNTERPARTY CREDIT RISK EXPOSURES UNDER STANDARDISED APPROACH BY RISK WEIGHT
The table below represents the risk weights used in the calculation of capital for the Group’s portfolio, which are subjected to the CCR
requirements under the Standardised Approach by asset classes.
The decrease in total EAD during the second half of 2017 was due to the migration of Sovereign exposures to F-IRBA.
(a)
(b)
(c)
(d)
(e) (f) (g) (h)
Risk Weight
S$ million
Asset Class
Sovereign
PSE
MDB
Bank
Corporate
Regulatory Retail
Others (2)
Total

#
(1)
(2)
0% 10% 20% 50% 75% 100% 150% Others
–
–
–
–
–
–
–
– –
–
–
–
–
–
–
– –
#
–
89
#
–
–
89 –
–
–
15
–
–
–
15 –
–
–
–
–
–
–
– –
–
–
#
63
–
49
112 –
–
–
–
–
–
–
– –
–
–
–
–
–
–
–
(i)
Total EAD (1)
–
#
–
104
63
–
49
216
EAD refers to the amount relevant for capital requirement calculation, after taking into account the effects of CRM.
Includes other exposures not included in the above asset classes.
Represents amounts of less than $0.5 million.
BUILDING ON OUR CORPORATE STRATEGY FOR SUSTAINABLE GROWTH
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