PET - Plain English Taxonomy

Attribute:	CS21741
Concept:	Financial Risk Credit Exposures Excl Revolving Facilities With Early Amortisation Provision And Other Exceptions Amount
Label:	Credit Exposures Excluding Revolving Exposures With Early Amortisation Provisions And Non-deductible Credit Exposures
Concept Guidance:	This is the value, as at the relevant date, of credit exposures excluding the following:- those related to applicable revolving facilities, being exposures arising from redrawable facilities, other than exposures in the nature of redrawable home loans where the amounts likely to be redrawn are expected to be immaterial relative to the size of the pool;- the most senior exposure in a securitisation (e.g. the most senior tranche of securities issued by the SPV or an obligation under a facility that ranks ahead of the first tranche);- asset-backed commercial paper securitisation (i.e. where the securities issued are predominantly commercial paper with an original maturity of one year or less) exposures in a second loss, or better, position;- undrawn eligible facilities; and- undrawn eligible servicer cash facilities.Revolving facilities are only applicable to this item where the reporting party transfers a pool of revolving exposures into a securitisation that contains an early amortisation provision.A credit exposure represents 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
BalanceTypeDimension	(ExposureAmountCRMAdjusted)	This dimension identifies the measurement scenario under which the reported value was calculated. The value reported is the exposure amount, after taking to account the credit risk mitigation (CRM) techniques used by the reporting party. This amount is to be determined and adjusted for CRM in accordance with relevant prudential standards.The exposure amount represents the value of an exposure, net of specific provisions.
CreditRatingDimension	(LTG5OrLTG6OrSTG4)	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; This information relates to investments with either a long-term credit rating grade of 5 or 6, or a short-term credit rating grade of 4.
SecuritisationRiskCategoriesDimension	(Resecuritisation)	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 resecuritisation exposures which are securities held by the reporting party that are issued by a securitisation program in which the risk associated with an underlying pool of exposures is tranched and at least one of the underlying exposures is a securitisation exposure.