My first Publication ocbc_ar17_fullreport_english | Page 129

12.4
COUNTERPARTY CREDIT RISK EXPOSURES UNDER FOUNDATION INTERNAL RATINGS-BASED APPROACH (“F-IRBA”) (Continued)
Corporate (IPRE)
PD Range
0.00 to < 0.15 20 0.14% 6 45% 3.2 9 0.15 to < 0.25 – – – – – – NA
0.25 to < 0.50 15 0.37% 11 45% 2.1 9 59%
0.50 to < 0.75 25 0.54% 21 45% 2.1 18 71%
0.75 to < 2.50 23 1.22% 23 45% 2.2 23 101%
2.50 to < 10.00 1 5.07% 4 45% 1.8 2 150%
10.00 to < 100.00 – – – – – – NA
100.00 (Default) – – – – – – NA
84 0.67% 65 45% 2.4 61 72%
0.00 to < 0.15 3 0.14% 42 45% 0.9 1 22%
0.15 to < 0.25 # 0.15% 2 45% 0.2 # 15%
0.25 to < 0.50 5 0.37% 29 45% 2.7 3 59%
0.50 to < 0.75 212 0.54% 42 37% 0.0 71 34%
0.75 to < 2.50 4 1.32% 56 45% 1.7 3 82%
2.50 to < 10.00 1 5.45% 20 45% 1.0 2 120%
10.00 to < 100.00 # 11.10% 3 45% 0.2 # 154%
100.00 (Default) 4 100.00% 2 45% 1.0 – 0%
229 2.42% 196 38% 0.1 80 35%
10,154 0.28% 860 31% 0.8 1,836 18%
Sub-total
44%
Corporate Small Business
PD Range
Sub-total
Total (all portfolios)

(3)

(4)

#
(1)
(2)
EAD refers to the amount relevant for capital requirements calculation, after taking into account the effects of CRM.
Refers to the PD and LGD associated with each obligor grade, weighted by EAD.
Number of obligors refers to the number of counterparties.
Refers to the effective maturity of the exposures to the obligor in years, weighted by EAD.
Represents amounts of less than $0.5 million.
BUILDING ON OUR CORPORATE STRATEGY FOR SUSTAINABLE GROWTH
127