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PILLAR 3 DISCLOSURES
(OCBC Group – As at 31 December 2017)
12.4
COUNTERPARTY CREDIT RISK EXPOSURES UNDER FOUNDATION INTERNAL RATINGS-BASED APPROACH (“F-IRBA”)
The table below represents the parameters used in the calculation of capital for the Group’s portfolio, which are subjected to the CCR
requirements under the F-IRBA by asset classes.
Sovereign
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
2.50 to < 10.00
10.00 to < 100.00
100.00 (Default)
Sub-total
Bank
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
2.50 to < 10.00
10.00 to < 100.00
100.00 (Default)
Sub-total
(a) (b) (c) (d) (e) (f) (g)
EAD (1)
(S$ million) Average
PD (2)
(%) Number
of Obligors (3) Average
LGD (2)
(%) Average
Maturity (4)
(In years) RWA
(S$ million) RWA
Density (5)
(%)
1,783
–
–
–
–
–
–
–
1,783 0.00%
–
–
–
–
–
–
–
0.00% 7
–
–
–
–
–
–
–
7 41%
–
–
–
–
–
–
–
41% 0.1
–
–
–
–
–
–
–
0.1 1
–
–
–
–
–
–
–
1 0%
NA
NA
NA
NA
NA
NA
NA
0%
(a) (b) (c) (d) (e) (f) (g)
EAD (1)
(S$ million) Average
PD (2)
(%) Number
of Obligors (3) Average
LGD (2)
(%) Average
Maturity (4)
(In years) RWA
(S$ million) RWA
Density (5)
(%)
4,362
–
218
972
68
#
#
–
5,620 0.06%
–
0.37%
0.54%
1.11%
3.20%
11.10%
–
0.17% 134
–
6
9
4
1
1
–
155 31%
–
45%
14%
15%
45%
45%
–
28% 0.8
–
0.3
0.2
0.1
0.0
0.0
–
0.6 450
–
112
193
16
#
#
–
771 10%
NA
51%
20%
23%
106%
212%
NA
14%
1,338
–
708
102
162
121
7
–
2,438 0.08%
–
0.37%
0.54%
1.54%
4.35%
17.84%
–
0.54% 159
–
74
57
88
28
31
–
437 36%
–
15%
45%
45%
45%
45%
–
31% 1.8
–
0.7
1.0
3.3
3.7
1.1
–
1.6 299
–
149
58
199
202
16
–
923 22%
NA
21%
57%
123%
167%
235%
NA
38%
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
2.50 to < 10.00
10.00 to < 100.00
100.00 (Default)
Sub-total
126
OCBC ANNUAL REPORT 2017