PET - Plain English Taxonomy

Attribute:	CS22415
Concept:	Financial Risk Market Interest Rate Positions Amount
Label:	Standard Method - Interest Rate Risk - Non-securitisation Exposures
Concept Guidance:	This is the value, as at the relevant date, in relation to positions giving rise to interest rate risk, as determined in accordance with relevant prudential standards.This item includes holdings of, or positions in: - debt securities, including non-convertible preference shares and other quasi-debt securities/instruments that behave like debt (convertible bonds are to be included as debt securities if they trade like debt securities, but not if they trade like equities); - forward transactions in foreign exchange, equities and commodities; and - options that are subject to a change in value following a change in interest rates.
Form-Specifc Guidance:	All positions forming part of the trading book in debt or other interest rate related securities, including interest rate derivatives, forward foreign exchange and quasi-debt securities that behave like debt (refer to APS 116), should be reported. The specific risk-weights applicable to each category are detailed in APS 116.

Dimensions

Dimension	Member	Description
BalanceTypeDimension	(MarkToMarketOrMarkToModel)	This dimension categorises the reported data according to the measurement scenario under which the reported value was calculated. The value reported is the market value of a position, calculated as either: - the mark-to-market value, using readily-available, independently sourced closed-out prices, appropriately in accordance with relevant accounting standards; or, where marking-to-market is not possible - the mark-to-model value, as determined in accordance with relevant prudential standards.
ResidualTermToMaturityDimension	(LTE6M)	This dimension categorises the reported data according to the residual term to maturity. The reported information relates to items that have a remaining term to maturity of less than or equal to 6 months.
SecuritisationRiskCategoriesDimension	(NonSecuritisation)	This dimension categorises reported information based on the type of securitisation exposure and its associated risk category, as determined in accordance with relevant prudential standards. Exposures can only be recorded as being within the category of non-securitisation, securitisation, re-securitisation or correlation trading portfolio. The information reported relates to non-securitisation exposures, which are exposures to a single name (the issuer) where the underlying debt has not been pooled.
SpecificRiskCategoryDimension	(Qualifying)	This dimension is used to categorise information reported in relation to exposures subject to specific risk factors, based on the applicable specific risk categories, as determined in accordance with relevant prudential standards.Specific risk represents the risk that the value of a security will change due to issuer-specific factors. The information reported is in relation to exposures subject to specific risk and for which the applicable risk category is classed as qualifying, as determined in accordance with relevant prudential standards.