PET - Plain English Taxonomy

Attribute: CS13031
Concept:
Label: Weighted Average LGD % of Off-Balance Sheet Credit Exposures - IRB Approach
Concept Guidance:
This is, as at the relevant date, the exposure weighted average loss given default (LGD) of off-balance sheet credit exposures.This item is calculated for capital adequacy purposes and is to be determined in accordance with relevant prudential standards.Weighted average LGD = SIGMAi LGDi x EADi / SIGMAi EADiWhere:LGDi = the LGD associated with the ith exposure in the group.EADi = the EAD associated with the ith exposure in the group.Loss given default (LGD) represents an entities economic loss upon the default of an obligor.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. 
Dimensions
Dimension Member Description
(NotDefaulted)
This dimension is used to segment data based on whether the counterparty has defaulted on its obligation to the reporting party.
The information reported relates to a counterparty obligation to the reporting party that is not in a default status.
(EGT0PctLT0.1Pct)
This dimension segments reported information relating to credit exposures according to the 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.
The reported information relates to credit exposures with a determined probability of default equal to or greater than 0% but less than 0.1%.