PD-1.3.23
All banks must disclose the following:
(a) Total gross credit exposures (gross outstanding before any risk mitigation) plus average gross exposures over the period broken down by major types of credit exposure (as outlined under IFRS) into funded and unfunded exposures. Where the period end position is representative of the risk positions of the bank during the period, average gross exposures need not be disclosed. Banks must state that average gross exposures have not been disclosed for this reason. Where average amounts are disclosed in accordance with an accounting standard or other requirement which specifies the calculation method to be used, that method should be followed. Otherwise, the average exposures should be calculated using the most frequent interval that an entity's systems generate for management, regulatory or other reasons, provided that the resulting averages are representative of the licensed bank's operations. The basis used for calculating averages needs to be stated;
(b) Geographic distribution of exposures, broken down into significant areas by major types of credit exposure. Geographical areas may be individual countries, or groups of countries. Banks may define the geographical area according to how they manage the concerned areas internally. The criteria used to allocate exposures to particular geographical areas should be specified;
(c) Distribution of exposures by industry or counterparty type, broken down by major types of credit exposure, broken down by funded and unfunded exposure;
(d) Intra-group transactions including exposures to related parties, and whether such transactions have been made on an arm's length basis;
(e) Lending to highly leveraged and other high risk counterparties (as defined in PD-1.3.24) must be separately disclosed as an individual category;
(f) Banks must disclose concentrations of risk to individual counterparties where the exposure is in excess of the 15% individual obligor limit. These disclosures do not require the disclosure of the name of the counterparty;
(g) Residual contractual maturity breakdown (see PD-1.3.24(a)) of the whole credit portfolio, broken down by major types of credit exposure;
(h) By major industry or counterparty type:
• Amount of impaired loans/facilities and past due loans/facilities (see PD-1.3.24);
• Specific and collective impairment provisions (see PD-1.3.24);
• Charges for specific impairment provisions and charge-offs (write-offs) during the period; and
• Reconciliation of changes in provisions for loan impairment.
(i) Amount of past due loans, separately broken down by significant geographic areas, including the amounts of specific and collective impairment provisions related to each geographical area (see PD-1.3.23(b) for definition of geographical area);
(j) Aggregate quantitative information about all outstanding credit facilities at year end not included in h) above that have been restructured (according to the definition in the PIR instructions) during the period including:
• The balance of any restructured credit facilities;
• The magnitude of any restructuring activity;
• The impact of restructured credit facilities on provisions and present and future earnings; and
• The basic nature of concessions on all credit relationships that are restructured, including loans, derivatives and other on- and off-balance sheet activities.
If full repayment is expected, the restructured credit need not be disclosed in this section after satisfactory performance for a period of six months in accordance with the modified terms; and
(k) Quantitative information concerning obligations with respect to recourse transactions (i.e. where the asset has been sold, but the bank retains responsibility for repayment if the original counterparty defaults or fails to fulfil their obligations). Information must include the amount of assets sold and any expected losses.
Amended: April 2011
Amended October 2010
April 2008
Amended October 2010
April 2008