|
|
(ExposuresAtDefaultCRMAdjusted) |
This dimension identifies the measurement scenario under which the reported value was calculated.
The value reported is the exposure at default (EAD) after taking into account the credit risk mitigation (CRM) techniques used by the reporting party. This amount is to be determined and adjusted for CRM in accordance with relevant prudential standards.EAD represents the gross exposure under a facility (i.e. the amount that is legally owed to the lending entity) upon default of the obligor.
|
|
|
(ClaimsSecuredByCommercialResidentialRealEstate) |
This dimension categorises information reported under the internal ratings-based (IRB) approach to credit risk, based on the loss given default category of an exposure, as determined in accordance with relevant prudential standards.
The information reported relates to exposures allocated as claims secured by commercial and/or residential real estate according to the loss given default (LGD) categories, as determined under the IRB approach to credit risk in accordance with relevant prudential standards.Only report senior claims secured by commercial and/or residential real estate where:- the level of collateralisation exceeds 140 per cent; and- the level of collateralisation is between 140 per cent and 30 per cent and deemed fully collateralised as per relevant prudential standards.
|
|
|
|
This dimension is used to segment reported exposure information according to its associated probability of default (PD), as determined in accordance with relevant prudential standards.Where PDs are bucketed and there are multiple assigned PDs within a bucket, assign the exposure weighted average PD of the bucket.A PD of 100 per cent is to be assigned to all defaulted exposures.
|
