Entire Section

  • Past Due Exposures

    • PIB 4.12.24

      Subject to Rules PIB 4.12.25 and PIB 4.12.26, an Authorised Firm must risk-weight the unsecured portion of any CR Exposure that is past due for more than 90 days in accordance with the following table.

      Risk weights for past due Exposures

      Condition Risk Weight
      Where specific provisions are less than 20% of the outstanding amount of the Exposure 150%
      Where specific provisions are no less than 20% of the outstanding amount of the Exposure 100%
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB 4.12.25

      For the purposes of PIB Rule 4.12.24, an Authorised Firm must calculate the unsecured portion of any CR Exposure that is past due for more than 90 days as follows:

      (a) for an Authorised Firm using the FCSA:
      Unsecured Portion = E – P – Cf
      where:
      (i) E = E calculated in accordance with PIB section 4.9;
      (ii) P = notional amount of eligible credit protection received; and
      (iii) Cf = fair value of eligible financial Collateral received; or
      (b) for an Authorised Firm using the FCCA:
      Unsecured Portion = E* – P
      where —
      (i) E* = E* calculated in accordance with PIB section 4.9; and
      (ii) P = notional amount of eligible credit protection received.
      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]

    • PIB 4.12.26

      An Authorised Firm must apply a 100% risk weight to any CR Exposure in the residential mortgage asset class that is past due for more than 90 days.

      Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]