PD-1.3.26
Past version: Effective from 01 Apr 2011 to 30 Jun 2015
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(a) For Credit Risk Mitigation, all banks must make the qualitative disclosures required by PD-1.3.21 and PD-1.3.22, and also the following disclosures (with regard to credit risk mitigation):
• Policies and processes for, and an indication of the extent to which, the bank makes use of on- and off-balance sheet netting;
• Policies and processes for collateral valuation and management;
• A description of the main types of collateral taken by the bank;
• The main types of guarantor/credit derivative counterparty and their credit worthiness; and
• Information about (market or credit) risk concentrations within the credit risk mitigation taken;
(b) All locally incorporated banks must disclose for each standard portfolio described in PD-1.3.20 or PD1.3.25(g), the total exposure (after on- or off-balance sheet netting) that is covered by:
• Eligible financial collateral;
• Other eligible IRB collateral;
after the application of haircuts;
(c) All locally incorporated banks must disclose the total exposure (after on- or off-balance sheet netting where applicable) that is covered by eligible guarantees or credit derivatives (see CA-4) for each separately disclosed standard portfolio (Standardised approach banks see PD-1.3.20 and FIRB banks see PD-1.3.25 for definitions); and
(d) For exposures after risk mitigation subject to the standardised approach, banks must disclose the amount of exposure (rated and unrated) in each standard portfolio after risk mitigation, as well as any exposures which are deducted.
Amended: April 2011
Amended October 2010
April 2008
Amended October 2010
April 2008