ECL
ECL Insight
Singapore

Stressed ECL

ICAAP

Severe-stress overlay, tail-risk percentiles and CET1 impact — Q1 2026

Documentation
Baseline Weighted ECL
51.0SGD M
50/20/20/10 scenario weights · Q1 2026
Severe-Stress ECL
75.7SGD M
100% weight on Severe Downside
ECL Δ (Stress − Baseline)
+24.7SGD M
48.5% uplift over weighted baseline
CET1 Impact (Δ bps)
-49bps
Stress CET1 14.01% (assumed RWA SGD 5,000M)

Severe Downside Stress Scenario

100% weight on Severe Downside · weighted baseline 50.97M → stress 75.70M

Scenario name
Severe Downside (Stress Test)
Weight used
1.00
Severe ECL (SGD M)
75.70
Δ vs Baseline
+24.73 M (+48.5%)

Tail Risk Percentiles

VaR 95% / VaR 99% / Expected Shortfall — derived from severe-downside facility distribution

Per-facility loss thresholds

SGD M per facility
VaR 95%: single-facility severe-ECL loss at the 95th percentile — 95% of facilities sit at or below this loss.
VaR 99%: deeper-tail threshold at the 99th percentile (must be ≥ VaR 95%).
Expected Shortfall (CVaR): mean loss across facilities in the worst 1% — average severity beyond VaR 99%.

Aggregate tail loss

SGD M portfolio total
Top 5% loss: sum of severe-downside ECL across the worst 5% of facilities — useful for capital-buffer sizing.
Top 1% loss: sum across the worst 1% — equivalent to the deep-tail aggregate (= ES × tail population).
Reverse Stress Test
Q. What stress level breaks our CET1 minimum (8%)?
Threshold PD scalar
×7.38
PD scalar level that breaches CET1 minimum 8%
Most exposed segments (severe ECL)
  1. #1Corporate
    36.29M
  2. #2Mortgage
    15.95M
  3. #3Trade Finance
    13.56M
  4. #4SME
    5.71M
  5. #5Personal Loans
    4.19M

ICAAP Pillar 2 Linkage

How this output feeds capital adequacy and risk appetite

These outputs feed Pillar 2 capital planning under the Singapore ICAAP. Severe-stress ECL is mapped to a CET1 sensitivity band with alert thresholds at -75 bps (amber) and -150 bps (red). Reverse-stress results inform the Risk Appetite Statement and the contingency capital plan.

CET1 baseline
14.50%
Assumed RWA SGD 5,000M
CET1 under stress
14.01%
Δ -49 bps
CET1 minimum
8.00%
MAS regulatory floor
Calibrated to Singapore SGD portfolio. Inspired by research_report.html (Indian retail research context) — figures NOT the literal source ₹ Cr. See Reports → Audit Trail for the per-account computation.