A bank shall in the case of—
| (A) | credit risk exposures, excluding credit risk arising from positions held in equity instruments, disclose to the public the qualitative and quantitative information specified below: |
| (i) | Qualitative information |
A bank—
| (aa) | shall in addition to the information specified in paragraph (d) above, disclose to the public sufficiently detailed information in respect of— |
| (i) | the bank's accounting definitions in respect of past due and impaired exposure; |
| (ii) | the approaches adopted by the bank in respect of credit impairment, including specific and portfolio impairment, and general allowance, as well as relevant information in respect of the statistical methods applied by the bank; |
| (iii) | the bank's credit risk management policy; |
| (bb) | that partially adopted either the foundation IRB or advanced IRB approach shall provide a description of the nature of exposures within each relevant portfolio that are subject to— |
| (i) | the standardised approach; |
| (ii) | the foundation IRB approach; |
| (iii) | the advanced IRB approach, |
and by which date the bank expects to adopt a particular I RB approach in respect of all its credit exposures.
| (ii) | Quantitative information |
A bank—
| (aa) | shall in respect of its major types of credit exposure disclose to the public sufficiently detailed information relating to— |
| (i) | the aggregate amount of gross credit exposure after the effect of set-off in accordance with the requirements of Financial Reporting Standards have been taken into consideration but before the effects of credit risk-mitigation techniques such as collateral or netting have been taken into account; |
| (ii) | the bank's average amount of gross exposure during the reporting period, which average gross exposure amount shall be calculated on a daily average basis, unless the exposure at the end of a particular reporting period in all material respects represents the average credit exposure amount during the said reporting period in which case the bank need not disclose the said average exposure amount, provided that when the bank is unable to calculate an average exposure amount on a daily average basis the bank shall disclose to the public the basis on which it calculated such average exposure amounts; |
| (iii) | the geographical distribution of its credit exposures, which distribution shall be based on the relevant requirements specified in the form BA 210 and in regulation 24; |
| (iv) | the distribution of exposures based on industry or counterparty type; |
| (v) | the maturity breakdown of the bank's credit portfolio, which maturity breakdown shall be based on the residual contractual maturity of the said exposures; |
| (bb) | shall in respect of each major industry, counterparty type or geographical area disclose to the public sufficiently detailed information in respect of the aggregate amount relating to— |
| (i) | impaired loans and past due loans, including an analysis of the ageing of past-due loans; |
| (ii) | any credit impairment, including any specific or portfolio impairment; |
| (iii) | any specific or portfolio impairment raised and amounts written off during the current reporting period, |
provided that the bank shall separately disclose the unallocated portion of general allowances, that is, the portion of general allowances not allocated to a specific industry, counterparty or geographical area;
| (cc) | shall provide a reconciliation of changes in specific impairment or portfolio impairment, or general allowance, which reconciliations shall include— |
| (i) | a description of the type of impairment or allowance; |
| (ii) | the relevant opening balance; |
| (iii) | amounts written off against the relevant specific impairment or portfolio impairment, or allowance, during the reporting period; |
| (iv) | amounts transferred to or reversed against the relevant specific impairment or portfolio impairment, or allowance, during the reporting period; |
| (v) | any other adjustments such as exchange rate differences, business combinations, acquisitions and disposals of subsidiaries, including transfers between the relevant specific impairment or portfolio impairment, or allowances; |
| (vi) | the relevant closing balance, |
provided that the bank shall separately disclose any amounts written off or recoveries that have been recorded directly in the income statement;
| (dd) | shall in respect of each relevant credit portfolio disclose to the public the relevant amounts of exposure that are subject to— |
| (i) | the standardised approach; |
| (ii) | the foundation IRB approach; |
| (iii) | the advanced IRB approach. |
| (B) | portfolios subject to the standardised approach or the standardised risk grades relating to specialised lending in terms of the IRB approach specified in regulation 23(11)(d)(iii), disclose to the public the qualitative and quantitative information specified below: |
| (i) | Qualitative information |
A bank shall in the case of credit portfolios subject to the standardised approach or the standardised risk grades relating to specialised lending in terms of the IRB approach specified in regulation 23(11)(d)(iii) disclose to the public sufficiently detailed information in respect of—
| (aa) | the names of the external credit assessment institutions or export credit agency used by the bank, and in the case of any changes made by the bank in respect of external credit assessment institutions or export credit agencies, the reasons for such change; |
| (bb) | the types of exposure for which the bank uses a particular agency; |
| (cc) | the process followed by the bank to assign publicly issued ratings to comparable assets in the bank's banking book; |
| (dd) | any mapping of exposures, that is, the alignment between the alphanumerical rating scale of each relevant rating agency used by the bank and the bank's relevant risk categories, unless the bank conducts its mapping of credit exposures in accordance with the mapping procedures specified by the Registrar from time to time; |
| (ee) | the risk weights associated with a particular rating grade or risk category. |
| (ii) | Quantitative information |
A bank shall in the case of—
| (aa) | exposure subject to the standardised approach, separately disclose to the public— |
| (i) | the outstanding amounts after risk mitigation in respect of rated and unrated exposures relating to each relevant risk category; |
| (ii) | any exposure amount that is deducted from the bank's capital and reserve funds; |
| (bb) | exposures subject to the standardised risk weights in terms of the IRB approach specified in regulation 23(11)(d)(iii) and equity exposures subject to the simple risk weight method, disclose to the public the aggregate outstanding amount in respect of each relevant risk category; |
| (C) | portfolios subject to one or both of the IRB approaches, that is, the foundation or advanced IRB approach, disclose to the public the qualitative and quantitative information specified below: |
| (i) | Qualitative information |
A bank—
| (aa) | shall disclose to the public relevant information in respect of the approval granted by the Registrar for the bank to apply a particular IRB approach for the measurement of the bank's exposure to credit risk, including relevant details when the Registrar granted approval for a transition period to implement a particular IRB approach; |
| (bb) | shall provide sufficiently detailed information, that is, as a minimum, an explanation and review of— |
| (i) | the structure of the bank's internal rating systems and the relationship between internal and external ratings; |
| (ii) | the use by the bank of internal risk estimates other than for the calculation of the bank's capital requirement in terms of the IRB approach; |
| (iii) | the bank's process in order to manage and recognise credit risk mitigation instruments; |
| (iv) | the bank's control mechanisms in respect of its rating system, including information relating to matters such as independence, accountability and the review of the rating systems; |
| (cc) | shall provide separate descriptions in respect of the bank's internal rating processes relating to— |
| (i) | corporate exposure, including exposures to SMEs, specialised lending and purchased corporate receivables, and sovereign and bank exposure; |
| (ii) | equity exposure when the bank adopted the PD/LGD approach in respect of equity instruments held in the bank's banking book; |
| (iii) | residential mortgage exposure; |
| (iv) | qualifying revolving retail exposure; |
| (v) | other retail exposure; |
which description shall in the case of each portfolio include sufficiently detailed information in respect of—
| (a) | the types of exposure included in the portfolio; |
| (b) | the definitions, methods and data used to estimate and validate the bank's PD ratios and in the case of portfolios subject to the advanced IRB approach, the LGD ratios and/or EAD amounts, including any assumptions made by the bank in respect of the relevant risk components, provided that the bank is not required to provide a detailed description of the model used by the bank; |
| (c) | any approval obtained from the Registrar to deviate from the definition of default specified in regulation 67, including information relating to the broad segments of the portfolio(s) affected by such a deviation(s). |
| (ii) | Quantitative information relating to the bank's assessment of risk |
A bank—
| (aa) | shall in respect of each relevant portfolio other than retail exposure specified in sub-item (i)(cc) above, disclose to the public the information specified below, which information shall be provided across a sufficient number of PD grades, including exposures that are in default, to provide a meaningful distribution of risk, provided that the information relating to PD ratios, LGD ratios and EAD amounts shall reflect the effects of eligible risk mitigation instruments and each PD grade shall include the exposure weighted average PD for a particular risk grade. |
| (i) | The total outstanding amount, that is, in the case of— |
| (a) | corporate, sovereign and bank exposure, the total outstanding amount plus the relevant EAD amount in respect of undrawn commitments; |
| (b) | equity exposure, the outstanding amount; |
| (ii) | In the case of a bank that adopted the advanced IRB approach, the exposure-weighted average LGD ratio, which LGD ratio shall be expressed as a percentage; |
| (iii) | The exposure weighted average risk weight. |
| (bb) | that adopted the advanced IRB approach, shall disclose to the public— |
| (i) | the amount in respect of undrawn commitments; and |
| (ii) | in respect of each relevant portfolio, the exposure-weighted average EAD amounts, |
provided that the bank may provide only one estimate of the EAD amount in respect of a particular portfolio or, when the bank is of the opinion that more detailed disclosure will ensure a better assessment of risk, disclose EAD estimates across a number of EAD categories;
| (cc) | shall in the case of each retail portfolio specified in sub-item (i)(cc) above, on a pool basis, either disclose— |
| (i) | the information specified in sub-item (ii)(aa) above, that is, the same information relating to PD ratios, LGD ratios and EAD amounts as for non-retail exposure; or |
| (ii) | an analysis of outstanding loans and EAD amounts in respect of commitments, against a sufficient number of expected loss risk grades in order to ensure a meaningful distribution of risk. |
| (iii) | Quantitative information relating to historical results |
A bank shall in respect of each relevant portfolio specified in sub-item (i)(cc) above—
| (aa) | disclose to the public the amount of actual losses, that is, amounts written off and specific provisions raised, in respect of the period preceding the current financial year, including sufficiently detailed information in respect of— |
| (i) | the extent to which the said amounts differed from the bank's past experience; |
| (ii) | the factors that impacted on the bank's loss experience during the period preceding the current financial year, that is, did the bank, for example, experience higher than average default rates or higher than average LGD ratios or EAD amounts. |
| (bb) | provide a comparison between the bank's risk estimates and the actual outcomes over a sufficiently long period to provide a meaningful assessment of the performance of the bank's internal rating processes, provided that a bank that adopted— |
| (i) | the foundation IRB approach shall, when appropriate, such as in the case of material differences, further decompose the said information and provide an analysis of PD ratios and reasons for material differences; |
| (ii) | the advanced IRB approach shall, when appropriate, such as in the case of material differences, further decompose the said information and provide an analysis of actual PD ratios, LGD ratios and EAD outcomes compared to the bank's estimated risk components, provided that the bank shall provide reasons for any material differences. |
| (D) | credit risk mitigation in terms of the standardised or IRB approach, excluding any risk mitigation that falls within the ambit of the exemption notice relating to securitisation schemes, disclose to the public sufficiently detailed information in respect of the qualitative and quantitative information specified below: |
| (i) | Qualitative information |
A bank shall in addition to the information specified in paragraph (d) above, disclose to the public sufficiently detailed information in respect of—
| (aa) | the bank's policies and processes relating to on- and off-balance sheet netting, including the extent to which the bank makes use of on- and off-balance sheet netting when the bank determines its exposure to credit risk; |
| (bb) | the bank's policies and processes relating to the valuation and management of collateral, including a description of the main types of collateral accepted by the bank; |
| (cc) | the main types of guarantors or credit-derivative counterparties involved in the bank's risk mitigation activities, and the creditworthiness of the said parties; |
| (dd) | any risk concentration incurred in respect of the bank's risk mitigation activities. |
| (ii) | Quantitative information |
A bank shall in respect of each separately identified credit portfolio in terms of the standardised or foundation IRB approach disclose to the public the bank's total exposure after the effect of any on- or off- balance sheet netting has been taken into consideration, with an indication of exposures protected by way of—
| (aa) | eligible financial collateral, after the effect of any haircuts has been taken into consideration; |
| (bb) | other eligible IRB collateral, that is, collateral that qualifies as eligible collateral in terms of the IRB approach in addition to eligible financial collateral, after the effect of any haircuts or adjustments to the exposure has been taken into consideration; |
| (cc) | guarantees or credit-derivative instruments. |
| (E) | exposure to counterparty credit risk, disclose to the public sufficiently detailed information in respect of the qualitative and quantitative information specified below: |
| (i) | Qualitative information |
In respect of derivative instruments and exposures relating to counterparty credit risk, a bank shall in addition to the information specified in paragraphs (d) and (e)(i)(A) above, disclose to the public sufficiently detailed information relating to—
| (aa) | the methodology adopted by the bank in order to assign economic capital and credit limits in respect of the bank's exposure to counterparty risk; |
| (bb) | the bank's policies in order to secure collateral and to establish adequate credit reserves; |
| (cc) | the bank's policies with respect to the identification, measurement and control of wrong-way risk exposure; |
| (dd) | the estimated amount of collateral the bank would have to provide in the case of a credit rating downgrade. |
| (ii) | Quantitative information |
A bank—
| (aa) | shall disclose to the public sufficiently detailed information relating to— |
| (i) | the gross positive fair value of all relevant contracts that expose the bank to counterparty credit risk; |
| (ii) | any relevant netting benefits; |
| (iii) | the net amount of current credit exposure; |
| (iv) | collateral held, including the type of collateral held, such as cash or government securities; |
| (v) | the net amount of derivative credit exposure, that is, the amount of credit exposure in respect of derivative transactions after the benefits relating to legally enforceable netting agreements and collateral arrangements have been taken into consideration; |
| (vi) | the notional value of credit derivative hedges; |
| (vii) | the distribution of current credit exposure, which distribution shall be based on the relevant types of credit exposure, that is, for example, interest rate contracts, FX contracts, equity contracts, credit derivative instruments or commodity contracts. |
| (bb) | shall in respect of the current exposure method, standardized method or internal model method, as the case may be, disclose to the public sufficiently detailed information relating to the relevant exposure amount or EAD, that is, the estimated exposure at default; |
| (cc) | shall, based on the relevant types of credit derivative product, that is, for example, credit default swaps or total return swaps, disclose to the public sufficiently detailed information relating to credit derivative transactions or contracts that expose the bank to counterparty credit risk, including any relevant notional amounts, provided that within the said product type the bank shall distinguish between— |
| (i) | instruments used as part of the bank's own credit portfolio and instruments used as part of the bank's intermediation activities; |
| (ii) | protection bought and protection sold. |
| (dd) | that obtained the approval of the Registrar to estimate an alpha factor for the measurement of the bank's exposure to counterparty credit risk shall disclose the bank's said estimate of alpha. |
| (F) | credit risk arising from positions held in equity instruments, disclose to the public the qualitative and quantitative information specified in subparagraph (ii) below. |
