PD-1.3.26
All
(a) The general qualitative disclosures (PD-1.3.21 and PD-1.3.22) with respect to CCR including:
(i) Discussion of methodology used to assign capital and credit limits for counterparty credit exposures;
(ii) Discussion of policies for securing collateral and establishing credit provisions; and
(iii) 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 2016
Amended April 2011
Amended October 2010
April 2008
Amended April 2011
Amended October 2010
April 2008