PD-1.3.24
For Paragraph PD-1.3.23, the following notes are provided for interpretative guidance:
a) Banks must follow the residual maturity groupings currently followed under IFRS 7 (Guidance application B11), but they must also extend the periods to include 5-10 years, 10-20 years, and 20 years and over (where the banks have exposures or liabilities of such maturity);
b) In PD-1.3.23(h), banks must provide an ageing of past due loans on the following basis:
• Ageing schedule (over 3 months, over 1 year and over 3 years) of past due loans and other assets; and
• Breakdown by relevant counterparty type and geographic area;
c) For specific, collective and other impairment provisions, the portion of collective impairment provisions not allocated to specific geographical areas should be shown separately;
d) The reconciliation of changes in provisions should show specific and collective impairment provisions separately; and
e) "Highly leveraged and other high risk counterparties" follow the categorisation given in the Basel Committee Paper of March 2001, entitled "Review of issues relating to Highly Leveraged Institutions (HLIs)" which described HLIs as having the following characteristics:
• They are subject to little or no regulatory oversight;
• They are generally subject to very limited disclosure requirements and are not subject to rating by credit reference agencies; or
• HLIs often take on significant leverage, where leverage is the ratio between risk, expressed in some common denominator, and capital.
Amended: January 2011
Amended October 2010
April 2008
Amended October 2010
April 2008