Appendix 1

Forum Documents

Rethinking the quality of risk managemen...

Appendix 1

Rethinking the quality of risk management disclosure practices

Appendix 1

Table 1
Information about past-due OTC derivatives and credit losses¹
Book value of derivatives past-due 30-89 days
Book value of derivatives past-due 90 days or more²
Gross positive market value of derivatives past-due 30-89 days
Gross positive market value of derivatives past-due 90 days or more²
Credit losses on derivative instruments during the period
Certain countries may apply different maturity breakdowns when assessing past-due derivatives. Also, supervisors may wish to consider information on derivatives that have been restructured due to deterioration in counterparty credit quality or past-due status, together with information on collateral and guarantees supporting these exposures. While included in this table's aggregate information, supervisors may wish to obtain separate information on certain categories of higher risk derivative instruments, as appropriate. Information about derivatives that are past-due 90 days or more should also include information about derivatives that, while not technically past-due, are with counterparties that are not expected to pay the full amounts owed to the institution under the derivative contracts. Source: "Framework for Supervisory Information about Derivatives and Trading Activities", Joint Report by the Basle Committee on Banking Supervision and the Technical Committee of the International Organisation of Securities Commissions, September 1998

Table 2

Decomposition of On- and Off-Balance Sheet Items^*

On-balance sheet items

Total

of which unsecured loans

of which secured loans

of which real estate

of which cash and marketable securities

of which others

Off-balance sheet items

Total

of which unsecured, undrawn committed facilities

of which secured, undrawn committed facilities

of which real estate

of which cash and marketable securities

of which other

of which performance guarantees and trade letters of credit

of which financial guarantees and letters of credit

of which others

* This table can also be presented with a decomposition by rating, industry, country or currency of the on- and off-balance sheet items and their provisions.

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