DBS GROUP HOLDINGS LTD AND ITS SUBSIDIARIES
7.5.2 Foundation IRBA
a b
c d
e f
g h
i j
k l
PD Range Original
on-balance sheet gross
exposures m
Off-balance sheet
exposures pre CCF
m Average
CCF EAD post
CRM and post-CCF
m Average
PD Number
of obligors
Average LGD
Average maturity
years RWA
m RWA
density
1
EL m
TEP m
Sovereign
0.00 to 0.15 48,454 12 98 50,337 0.02 27 45 2 3,347 7 4
0.15 to 0.25 - - - - - - - - - - -
0.25 to 0.50 4,107 - - 4,107 0.39 7 45 2 2,381 58 7
0.50 to 0.75 - - - - - - - - - - -
0.75 to 2.50 23 - - 23 1.76 2 45 2 24 105
2.50 to 10.00 - - - - - - - - - - -
10.00 to 100.00 - - - - - - - - - - -
100.00 Default
2
- - - - - - - - - - -
Sub-total 52,584 12 98 54,467 0.04 36 45 2 5,752 11 11 15
Banks
0.00 to 0.15 46,364 2,878 22 46,642 0.04 144 45 1 7,316 16 9
0.15 to 0.25 19 - - 19 0.24 5 45
7 36 0.25 to 0.50
8,024 846 54 9,044 0.31 126 44 1 4,169 46 12 0.50 to 0.75
- - 0.61 2 45
56 0.75 to 2.50
2,828 284 28 2,721 1.16 105 42 1 2,032 75 14 2.50 to 10.00
141 13 20 144 5.69 16 45 201 139 4
10.00 to 100.00 - - - - - - - - - - -
100.00 Default
2
- - - - - - - - - - -
Sub-total 57,376 4,021 29 58,570 0.15 398 45 1 13,725 23 39 52
Corporate
0.00 to 0.15 46,913 32,798 30 61,516 0.04 447 45 2 11,562 19 12
0.15 to 0.25 24,341 21,427 25 29,872 0.22 332 45 2 12,678 42 29
0.25 to 0.50 31,814 30,876 24 38,020 0.33 844 44 2 20,326 53 56
0.50 to 0.75 12,393 11,552 12 12,970 0.56 659 43 2 8,794 68 31
0.75 to 2.50 31,448 29,515 12 32,392 1.57 7,026 40 2 29,042 90 201
2.50 to 10.00 9,111 6,080 9 7,775 4.73 2,727 40 2 9,844 127 145
10.00 to 100.00 2,398 428 27 2,236 14.86 364 41 2 4,625 207 139
100.00 Default
2
2,997 155 82 2,913 100.00 557 43 2 - - 1,260
Sub-total 161,415 132,831 21 187,694 2.35 12,956 43 2 96,871 52 1,873 2,508
Corporate small business
0.00 to 0.15 143 126 25 175 0.05 2 45 1 12 7
0.15 to 0.25 28 130 31 76 0.22 24 43 2 27 35
0.25 to 0.50 599 745 10 696 0.37 309 41 3 377 54 1
0.50 to 0.75 902 679 14 1,010 0.56 320 41 3 661 65 2
0.75 to 2.50 3,581 1,870 12 3,761 1.70 1,310 40 3 3,215 85 25
2.50 to 10.00 2,109 821 12 2,123 4.19 772 40 2 2,303 108 35
10.00 to 100.00 281 79 13 295 13.19 91 40 2 492 167 16
100.00 Default
2
326 1 50 317 100.00 91 42 1 - - 134
Sub-total 7,969 4,451 13 8,453 6.12 2,919 40 3 7,087 84 213 286
Total all portfolios 279,344 141,315 21 309,184 1.63 16,309 44 2 123,435 40 2,136 2,861
Numbers below 0.5.
1
For definition of RWA density, refer to footnote of 7.3.
2
For definition of default, refer to 7.1.
30 Jun 2017
A-22
DBS GROUP HOLDINGS LTD AND ITS SUBSIDIARIES
7.6 IRBA – Effect on RWA of Credit Derivatives used as CRM
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