PET - Plain English Taxonomy

Attribute:	CS15578
Concept:	Financial Risk Credit On Balance Sheet Exposures Amount
Label:	On-Balance Sheet Credit Exposures
Concept Guidance:	This is the value, as at the relevant date, of on-balance sheet credit exposures.A credit exposure represents an asset, liability, claim or commitment of an entity, which may be recorded on or off the balance sheet and which gives rise to credit risk.This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.
Form-Specifc Guidance:	Refer to Attachment B to APS 113 for details of the FIRB approach to the recognition of CRM. Allocate exposures after CRM according to the following loss given default (LGD) categories for each assigned PD: 1. Column 4.1: Subordinated claims; 2. Column 4.2: CRE and/or RRE; 3. Column 4.3: Eligible financial receivables; 4. Column 4.4: Eligible financial collateral; and 5. Column 4.5: Senior unsecured claims. For reporting under these five categories, the following applies: (a) if a claim is a subordinated claim, report the full amount of EAD after CRM in column 4.1; (b) if a senior claim is secured by commercial and/or residential real estate (CRE and/or RRE), the exposure should be allocated to the LGD categories as follows (refer to Attachment B to APS 113): (i) where the level of collateralisation exceeds 140 per cent, report the full amount of EAD after CRM in column 4.2; (ii) where the level of collateralisation is between 140 per cent and 30 per cent, the exposure is divided into fully collateralised and uncollateralised portions as detailed in Attachment B to APS 113. Report the fully collateralised portion in column 4.2 and the uncollateralised portion in column 4.5; and (iii) where the level of collateralisation is below 30 per cent, the collateral is not recognised. Report the full amount of EAD after CRM in column 4.5; (c) if a senior claim is secured by eligible financial receivables, the exposure should be allocated to the relevant LGD categories as follows: (i) where the level of collateralisation exceeds 125 per cent, report the full amount of EAD after CRM in column 4.3; (ii) where the level of collateralisation is between 125 per cent and 0 per cent, the exposure is divided into fully collateralised and uncollateralised portions as detailed in Attachment B to APS 113. Report the fully collateralised portion in column 4.3 and the uncollateralised portion in column 4.5; (d) if a senior claim is secured by eligible financial collateral, report the exposure value after CRM as detailed in Attachment B to APS 113 in column 4.4. Report the uncollateralised portion in column 4.5; (e) for claims secured by pools of eligible collateral, the portions fully covered by eligible financial collateral and eligible financial receivables are to be reported in the respective LGD categories. In the case of a residual portion covered by CRE and/or RRE, report the exposure in column 4.5 if the ratio of the sum of the value of CRE and RRE to the residual exposure is below 30 per cent; (f) if a senior claim is not secured by eligible collateral, report the full amount of EAD after CRM in column 4.5.

Dimensions

Dimension	Member	Description
BalanceTypeDimension	(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.
ProbabilityOfDefaultDimension	(CS15514)	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.
SpecialisedLendingMethodDimension	(CommodityFinance)	This dimension categorises information reported based on the specialised lending methods defined under the Internal Ratings-based approach to credit risk, as determined in accordance with relevant prudential standards. The information reported is in relation to the commodity finance method of funding under the Internal Ratings-based (IRB) approach to credit risk in accordance with relevant prudential standards.Commodity finance is structured short-term lending to finance reserves, inventories or receivables of commodities (e.g. crude oil, metals or crops) where the exposure will be repaid from the proceeds of the sale of the commodity and the obligor has no independent repayment capacity. This is the case when the obligor has no other activities or material assets on its balance sheet. The structured nature of the financing would be designed to compensate for the credit quality of the obligor. The lender's rating of the exposure would generally reflect its self-liquidating nature and the lender's capacity to structure the transaction rather than the credit quality of the obligor.This type of lending is generally distinguishable from exposures financing the reserves, inventories or receivables of other more diversified corporate obligors as the lender would be able to rate the credit quality of the latter type of obligors based on their broader ongoing operations. In such cases, the value of the commodity serves as a risk mitigant rather than as the primary source of repayment and the exposure would not generally be included as commodity finance.