MORNBFI Vol. 1 - Planters Development Bank

APP. Q-4611.12.31Credit risk5. Aside from the general disclosurerequirements stated in paragraph 4, thefollowing information with regard to creditrisk have to be disclosed in banks’ AnnualReports:a) Total credit risk exposures (i.e.,principal amount for on-balance sheet andcredit equivalent amount for off-balancesheet, net of specific provision) brokendown by type of exposures as defined inPart III;b) Total credit risk exposure after riskmitigation, broken down by:i. type of exposures as defined in PartIII; andii. risk buckets, as well as those thatare deducted from capital;c) Total credit risk-weighted assetsbroken down by type of exposures asdefined in Part III;d) Names of external credit assessmentinstitutions used, and the types of exposuresfor which they were used;e) Types of eligible credit risk mitigantsused including credit derivatives;f) For banks with exposures tosecuritization structures, aside from thegeneral disclosure requirements stated inparagraph 4, the following minimuminformation have to be disclosed:i. Accounting policies for theseactivities;ii. Total outstanding exposuressecuritized by the bank; andiii. Total amount of securitizationexposures retained or purchased, brokendown by exposure type;g) For banks that provide creditprotection through credit derivatives, asidefrom the general disclosure requirementsstated in paragraph 4, total outstandingamount of credit protection given by thebank broken down by type of referenceexposures should also be disclosed; andh) For banks with investments in othertypes of structured products, aside from thegeneral disclosure requirements stated inparagraph 4, total outstanding amount ofother types of structured products issued orpurchased by the bank broken down by typeshould also be disclosed.Market risk6. Aside from the general disclosurerequirements stated in paragraph 4, thefollowing information with regard to marketrisk have to be disclosed in banks’ AnnualReports:a) Total market risk-weighted assetsbroken down by type of exposures (interestrate, equity, foreign exchange, and options);andb) For banks using the internal modelsapproach, the following information haveto be disclosed:i. The characteristics of the modelsused;ii. A description of stress testingapplied to the portfolio;iii. A description of the approach usedfor backtesting/validating the accuracy andconsistency of the internal models andmodeling processes;iv. The scope of acceptance by the BSP;andv. A comparison of VaR estimates withactual gains/losses experienced by the bank,with analysis of important outliers inbacktest results.Operational risk7. Aside from the general disclosurerequirements stated in paragraph 4, bankshave to disclose their operationalrisk-weighted assets in their Annual Reports.Interest rate risk in the banking book8. Aside from the general disclosurerequirements stated in paragraph 4, theManual of Regulations for Non-Bank Financial InstitutionsQ RegulationsAppendix Q-46 - Page 39