Prudential Financial Policy Department
Appendix 3 – Benchmark treatment
Benchmark treatment for specific items in Part 1 Return16
Fixed term & housing loans
Report based on contractual maturity subject to adjustment for NPL (whose amount is to be slotted in the “> 1 year bucket”), including loans sold to Cagamas Berhad.
Report according to end-date of the facility.
Overdrafts & Credit cards
A core balance (lowest amount outstanding during period under observation) is to be identified and slotted into “> 1 year bucket”. The remaining balance to be allocated evenly across the rest of the maturity buckets.
Slot into the “> 1 year bucket” or adjust according to movements in the EL base.
See “Benchmark process for allocating fixed/savings/current account deposits according to maturity tenor buckets under behavioural maturity process”.
Fixed/Savings/Current deposit account
Alternative treatment17 for fixed deposits offered by investment banks 30% of the amounts contractually due in the next 1 year to be placed in the respective buckets with the residual 70% slotted in the “> 1 year bucket”. Also report amounts contractually due more than 1 year in the “> 1 year bucket”.
Funds raised through securitisation with recourse
Funds raised from Cagamas with recourse can be deemed to be rolled over upon maturity.
Undrawn credit and other commitments with
20% of undrawn amount at the reporting date is to be slotted into the first maturity bucket.
16 Benchmark treatment for investment banks issued on 9 March 2007. The alternative benchmark treatment is only applicable to institutions that do not have the systems capabilities to capture daily volatility of deposits. The ALCO of such institutions are required to assess the appropriateness of this alternative treatment for their institutions. In addition, institutions adopting this approach are expected to notify BNM on the time frame required to enhance their system capabilities in order to meet the primary benchmark treatment. 17