LGD & EAD
FR-LGDLoss Given Default haircuts, regulatory floors and Credit Conversion Factors
Documentation
Computation Formulae
EAD · LGD · MAS 612 unsecured floor (FR-LGD-04 / 05)
EAD (Exposure at Default)
EAD = Outstanding + (Undrawn × CCF)
Stage-appropriate CCF applied. Stage 2 / Stage 3 CCF values exceed Stage 1 to reflect elevated drawdown risk on undrawn commitments.
LGD (Loss Given Default)
LGD = max(LGD_floor, 1 − Recovery%)
Recovery% derives from collateral value × (1 − applicable haircut), normalised by exposure.
MAS 612 Unsecured Floor
LGD_floor (Unsecured) = 45%
Regulatory floor enforced per MAS Notice 612 paragraph 4.3 — the unsecured LGD cannot fall below 45% regardless of model output.
Collateral Haircut Configuration
Per Collateral Type — Base / Stress / LGD Floor (FR-LGD-01) · CRC approval (FR-LGD-02)
| Collateral Type | Base Haircut | Stress Haircut | LGD Floor | Approved By | Effective |
|---|---|---|---|---|---|
| HDB Residential Property | 15% | 30% | 25% | Credit Risk Committee | 2025-04-01 |
| Private Residential Property | 20% | 40% | 30% | Credit Risk Committee | 2025-04-01 |
| Commercial Real Estate | 30% | 55% | 40% | Credit Risk Committee | 2025-04-01 |
| Plant & Machinery | 50% | 70% | 55% | Credit Risk Committee | 2025-04-01 |
| Listed Equity (SGX) | 40% | 65% | 45% | Credit Risk Committee | 2025-04-01 |
| Fixed Deposits (SGD) | 0% | 5% | 0% | Credit Risk Committee | 2025-04-01 |
| Inventory / Receivables | 55% | 80% | 55% | Credit Risk Committee | 2025-04-01 |
| UnsecuredMAS 612 floor | 100% | 100% | 45% | Credit Risk Committee | 2025-04-01 |
Stress haircut applied under MAS adverse scenario. Approval governance: Credit Risk Committee (CRC).
Credit Conversion Factors (CCF)
Per Product Type × Stage (FR-LGD-03) · ALCO approval
| Product Type | Stage 1 CCF | Stage 2 CCF | Stage 3 CCF | Approved By |
|---|---|---|---|---|
| Bank Guarantee | 40% | 60% | 100% | ALCO |
| Corporate Term Loan FCY | 20% | 50% | 100% | ALCO |
| Corporate Term Loan SGD | 20% | 50% | 100% | ALCO |
| HDB Mortgage | 20% | 50% | 100% | ALCO |
| Personal Loan | 20% | 50% | 100% | ALCO |
| Private Mortgage | 20% | 50% | 100% | ALCO |
| Revolving Credit Facility | 30% | 55% | 100% | ALCO |
| SME Loan | 20% | 50% | 100% | ALCO |
| Trade Finance BG | 40% | 60% | 100% | ALCO |
| Trade Finance LC | 40% | 60% | 100% | ALCO |
| Working Capital Line | 30% | 55% | 100% | ALCO |
Higher CCF in Stages 2/3 reflects elevated drawdown risk on undrawn commitments. Approval governance: Asset & Liability Committee (ALCO).