PD-1.3.26
Past version: Effective from 01 Apr 2011 to 31 Mar 2016
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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; and
• Discussion of the impact of the amount of collateral the bank would have to provide if given a credit rating downgrade; and
(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.).
Amended April 2011
Amended October 2010
April 2008
Amended October 2010
April 2008