PD-1.3.27
All
(a) The general qualitative disclosures (PD-1.3.21 and PD-1.3.22) with respect to derivatives and CCR, including:
• Discussion of methodology used to assign economic capital and credit limits for counterparty credit exposures;
• Discussion of policies for securing collateral and establishing credit reserves; and
• Discussion of the impact of the amount of collateral the bank would have to provide if given a credit rating downgrade.
(b) Gross positive fair value of contracts, netting benefits, netted current credit exposures, collateral held (including type: e.g. cash, government securities, etc.), and net derivatives credit exposure. Also measures for exposure at default or exposure amount under the Standard Method or Current Exposure Method, whichever is applicable, and the notional value of credit derivative hedges, and the distribution of current credit exposure by type of credit exposure (e.g. interest rate contracts, FX contracts, equity contracts, commodity contracts, etc.); and
(c) Credit derivative transactions which create exposures to CCR (notional value), segregated between use for the institution's own credit portfolio, as well as in its intermediation activities, including the distribution of the credit derivative products used, broken down further by protection bought and sold within each product group.
Amended: July 2015
Amended: April 2011
Amended October 2010
April 2008
Amended: April 2011
Amended October 2010
April 2008