PET - Plain English Taxonomy

Attribute: CS21767
Concept:
Label: Cash Collateral
Concept Guidance:
This is the value, as at the relevant date, of regulatory capital for credit risk that are associated with cash collateral provided by the reporting entity to collateralise its obligations under liquidity and other facilities, in accordance with the relevant prudential standards. For the purposes of calculating risk-weighted assets, cash collateral amounts (where not treated as a drawn facility), together with the undrawn portion of the relevant facility (or credit equivalent amount), may be treated as overlapping securitisation exposures under the relevant prudential standard. Cash collateral can be lodged for securitisation and resecuritisation exposures.Securitisation exposures are on-balance sheet and off-balance sheet risk positions held by a reporting entity arising from a securitisation including, but not limited to:(i) investments by the reporting entity in securities issued by a special purpose vehicle (SPV), including retention of a subordinated tranche of securities issued by an SPV;(ii) other credit enhancements, such as guarantees provided by the reporting entity;(iii) drawn and undrawn funding, underwriting, liquidity and other facilities provided by the reporting entity to a securitisation; and(iv) exposures arising from swaps and other derivative transactions with an SPV.A resecuritisation exposure is a securitisation exposure 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. In addition, an exposure to one or more resecuritisation exposures is a resecuritisation exposure. 
Dimensions
Dimension Member Description
(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.
(ZeroPercent)
This dimension is used to categorise on-balance sheet assets and off-balance sheet business (both market-related and non-market-related transactions) according to certain risk categories to broadly reflect their credit risk profiles. These weightings are determined in accordance with relevant prudential standards.
Information in relation to exposures with a credit risk weighting of 0% in accordance with the relevant prudential standards.
(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.