PET - Plain English Taxonomy

Attribute:	CS22537
Concept:	Financial Risk Market Long Credit Exposures Derivatives Excluding Credit Indices Amount
Label:	Long credit exposures- derivatives excluding indices
Concept Guidance:	This is the value, as at the relevant date, of the effect on long positions in derivative exposures, excluding credit indices, due to movements in the current credit spreads and market prices as specified in the credit spread scenarios. This represents the change in value of these positions given stress testing scenarios applied.All trading book positions which have credit spread risk (including, but not limited to: corporate bonds, floating rate notes, credit derivatives, credit indices, and securitisations) must be included in the credit spread stress test portfolio revaluations. Many products with credit spread risk will have been priced at a spread over a relevant benchmark.

Dimensions

Dimension	Member	Description
ADIBookTypeDimension	(TradingBook)	This dimension categorises an Authorised Deposit-taking Institution's holdings of financial instruments based on the 'book type' ('Banking Book' or 'Trading Book') to which the instrument belongs, as determined in accordance with relevant prudential standards. The information reported relates to an Authorised Deposit-taking Institution's holdings of financial instruments in the trading book, as agreed with APRA.
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.
CreditRatingDimension	(LTG1OrLTG2OrLTG3)	This dimension categorises investments of the entity according to the long-term and short-term credit rating grades of the counterparty as determined by various rating agencies.Long-term ratingsRating Grade1: Standard & Poor's AAA, AA+, AA, AA-; Moody's Aaa, Aa1, Aa2, Aa3; Fitch AAA, AA+, AA, AA-Rating Grade2: Standard & Poor's A+, A, A-; Moody's A1, A2, A3; Fitch A+, A, A-Rating Grade3: Standard & Poor's BBB+, BBB, BBB-; Moody's Baa1, Baa2, Baa3; Fitch BBB+, BBB, BBB-Rating Grade4: Standard & Poor's BB+, BB, BB-; Moody's Ba1, Ba2, Ba3; Fitch BB+, BB, BB-Rating Grade5: Standard & Poor's B+, B, B-; Moody's B1, B2, B3; Fitch B+, B, B-Rating Grade6: Standard & Poor's CCC+, CCC, CCC-, CC, C, D; Moody's Caa1, Caa2, Caa3, Ca, C; Fitch CCC+, CCC, CCC-, CC, C, DShort-term ratingsRating Grade1: Standard & Poor's A-1; Moody's P-1; Fitch F-1Rating Grade2: Standard & Poor's A-2; Moody's P-2; Fitch F-2Rating Grade3: Standard & Poor's A-3; Moody's P-3; Fitch F-3Rating Grade4: Standard & Poor's Others; Moody's Others; Fitch Others; This information relates to investments with a long-term credit rating grade of 1, 2 or 3
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.
StressTestingChangeInPriceDimension	(Decrease10Pct)	This dimension is used to represent the relevant stress testing scenario to which the reported information is based upon. The information reported is based upon the application of a stress testing scenario representinga 10 % decrease in the price of relevant positions.