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(RWA) |
This dimension identifies the measurement scenario under which the reported value was calculated.
The value reported is the risk-weighted asset amount, as determined in accordance with relevant prudential standards.
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(LTG5To6OrSTG4OrUnrated) |
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 ratings: Rating 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, D. Short-term ratings: Rating Grade1: Standard & Poor's A-1; Moody's P-1; Fitch F-1. Rating Grade2: Standard & Poor's A-2; Moody's P-2; Fitch F-2. Rating Grade3: Standard & Poor's A-3; Moody's P-3; Fitch F-3. Rating Grade4: Standard & Poor's Others; Moody's Others; Fitch Others;
Information reported relates to investments with either a long-term credit rating grade of 5 or 6, short-term credit rating grade of 4, or unrated, as determined in accordance with ADI prudential standards;
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(Securitisation) |
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 a securitisation that involves the pooling of assets (or interests in assets) in a special purpose vehicle (SPV), generally funded by the issue of debt securities.
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