My first Publication ocbc_ar17_fullreport_english | Page 130

PILLAR 3 DISCLOSURES
(OCBC Group – As at 31 December 2017)
12.5
COUNTERPARTY CREDIT RISK EXPOSURES UNDER ADVANCED INTERNAL RATINGS-BASED APPROACH (“A-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 A-IRBA by asset classes.
CCR exposures reported under Corporate asset class is largely attributable to the Margin Lending portfolio booked in Bank of Singapore.
There was no CCR exposure within the other prescribed asset classes (Sovereign, Banks and Corporate Small Business) under A-IRBA as
at 31 December 2017.
(a) (b) (c) (d) (e)
EAD (1)
(S$ million) Average
PD (2)
(%) Number
of Obligors (3) Average
LGD (2)
(%) Average
Maturity (4)
(In years)
(f) (g)
RWA
(S$ million) RWA
Density (5)
(%)
0.00 to < 0.15 9 0.05% 161 0.15 to < 0.25 16 0.20% 224 7% # 2%
7% 1 0.25 to < 0.50 – – 6%
– – – NA
0.50 to < 0.75 20 0.75 to < 2.50 12 0.50% 248 7% 2 8%
1.61% 273 7% 2 16%
2.50 to < 10.00 70 5.00% 613 26% 57 81%
119 12.93% 1,264 20% 106 90%
– – – – – NA
Sub-total 246 7.79% 2,783 19% 1.1 168 68%
Total (all portfolios) 246 7.79% 2,783 19% 1.1 168 68%
Bank
PD Range
10.00 to < 100.00
100.00 (Default)
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.
(3)
Number of obligors refers to the number of accounts.
(4)
Refers to the maturity of the exposures to the obligor in years, weighted by EAD; For Corporate asset class, average maturity is 1.1 years at the
overall level and is between 0.6 to 2 years across the PD ranges.
(5)
Total RWA divided by the exposures post-CRM.
# Represents amounts of less than $0.5 million.
(1)
(2)
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OCBC ANNUAL REPORT 2017