CM-1.8.12
The classification of an exposure as non-performing must be applied as follows:
(a) When any one of the material exposures to a non-retail counterparty is categorised as non-performing, all exposures to that counterparty must be categorised as non-performing (i.e. cross-default across obligor);
(b) In the case of exposures to a retail counterparty , the definition of default may be applied at the level of a particular facility rather than at the level of the obligor. This would be appropriate when the licensee considers the risk of each product and source of repayments having different characteristics for each transaction. In the case of a retail counterparty with more than one exposure from the licensee , it must consider the non-performing or performing status of the other exposures when deciding about the status of a given exposure; and
(c) In the case of exposures to a group, non-performing status can be applied at the counterparty level. This assumes that the licensee has a separate credit review and rating assigned for each counterparty within the group. At the same time, the licensee must consider the non-performing or performing status of the other group entities when deciding about the status of any of the group entities.
Added: June 2022