PD-1.3.26
Past version: Effective from 01 Apr 2008 to 30 Sep 2010
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All locally incorporated banks must make the following disclosures regarding counterparty credit risk:
a) The general qualitative disclosures (PD-1.3.21 and PD-1.3.22)
with respect to CCR including:
• Discussion of methodology used to assign capital and
credit limits for counterparty credit exposures;
• Discussion of policies for securing collateral and
establishing credit provisions;
• 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 and collateral held (including type:
e.g. cash, government securities, etc.). Also measures for
exposure at default. The distribution of current credit
exposure by type of credit exposure (e.g. FX contracts, equity
contracts, commodity contracts, etc.).
April 2008