My first Publication ocbc_ar17_fullreport_english | Page 131

12.6
CREDIT DERIVATIVE EXPOSURES
The table below presents the Group’s exposure to credit derivatives by those bought or sold.
The decrease in notional for credit derivatives during the second half of 2017 was mainly driven by lower single-name credit default
swaps and index credit default swaps.
S$ million
(a) (b)
Protection
Bought Protection
Sold
Notional
1 Single-name credit default swaps 3,996 3,226
2 Index credit default swaps 1,170 1,110
3 Other credit derivatives 309 113
4 Total notional 5,475 4,449
5 62
62 6
Fair values
5 Positive fair value (asset)
6 Negative fair value (liability)
13. SECURITISATION EXPOSURES
There is no securitisation and re-securitisation exposure in the banking and trading books as at 31 December 2017.
14. MARKET RISK
14.1
MARKET RISK TYPE UNDER STANDARDISED APPROACH
During the second half of 2017, the increase in Market Risk RWA was driven mainly by higher Interest Rate and Foreign Exchange risk
as a result of enhancements in methodology in the calculation of Market Risk.
Market Risk by Standardised Approach
(a)
S$ million
RWA
Notional
1 Interest rate risk (general and specific)
2 Equity risk (general and specific)
3 Foreign exchange risk
4 Commodity risk
8,840
508
6,249
16
Options
5 Simplified approach 6 Delta-plus method 493
–
7 Scenario approach 24
8 Securitisation 9 Total
–
16,130
There is no Market Risk exposure under Internal Model Approach as at 31 December 2017.
15. INTEREST RATE RISK IN THE BANKING BOOK
Qualitative disclosures related to Interest Rate Risk in the Banking Book, including a description of its nature and key assumptions made
by the Group, can be found in the Risk Management chapter and Notes to the Financial Statements of the 2017 Annual Report.
Based on a 100 bp parallel rise in yield curves on the Group’s exposure to major currencies i.e. Singapore Dollar, US Dollar, Hong Kong
Dollar and Malaysian Ringgit, net interest income is estimated to increase by $436 million, or approximately +8.0% of reported net
interest income. The corresponding impact from a 100 bp decrease is an estimated reduction of $446 million in net interest income,
or approximately -8.2% of reported net interest income.
BUILDING ON OUR CORPORATE STRATEGY FOR SUSTAINABLE GROWTH
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