PET - Plain English Taxonomy

Attribute:	CS22524
Concept:	Financial Risk Market Other Positions For Hedging The Correlation Trading Portfolio Short Position Amount
Label:	Standard Method - Interest Rate Risk - Correlation Trading Portfolio - Other positions used for hedging the correlation trading portfolio- Short Positions
Concept Guidance:	This is the value, as at the relevant date, of short positions used for hedging the correlation trading portfolio which are neither securitisation exposures nor nth-to-default credit derivativesCorrelation trading is a strategy in which traders or investors take both long and short positions in credit correlation products such as synthetic CDOs and basket credit derivatives. Exposures reported under this category require special approval from APRA.Short positions represent positions where a fall in the value of the asset or derivative would result in a profit.

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.
SecuritisationRiskCategoriesDimension	(CorrelationTrading)	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 exposures in the correlation trading portfolio. Correlation trading is a strategy in which traders or investors take both long and short positions in credit correlation products such as synthetic collateralized debt obligations (CDOs) and basket credit derivatives. Exposures reported under this category require special approval from APRA.

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.

SecuritisationRiskCategoriesDimension

(CorrelationTrading)

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 exposures in the correlation trading portfolio. Correlation trading is a strategy in which traders or investors take both long and short positions in credit correlation products such as synthetic collateralized debt obligations (CDOs) and basket credit derivatives. Exposures reported under this category require special approval from APRA.