PET - Plain English Taxonomy

Attribute:	CS25992
Concept:	Financial Risk Credit Securitisation Exposure Amount
Label:	Securitisation exposures
Concept Guidance:	Securitisation exposure is the value of on-balance sheet and off-balance sheet risk positions held by an entity arising from a securitisation including, but not limited to, investments in securities issued by a special purpose vehicle (SPV), credit enhancements, liquidity and other funding facilities and derivatives transactions.

Dimensions

Dimension	Member	Description
CreditRiskWeightingDimension	(GreaterThan425LessThanEqualTo650Percent)	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 greater than 425% and less than or equal to 650% in accordance with the relevant prudential standards.
SecuritisationApproachDimension	(RWC)	This dimension categorises information reported for credit risk purposes relating to credit exposures to securitisation, based on the various securitisation approaches, as determined in accordance with Prudential Standard APS 120 Securitisation. The information reported relates to securitisation credit exposures subject to the risk weighted cap approach where the originating authorised deposit-taking institution (ADI) may apply a look-through style to senior securitisation exposures so that they are subject to a risk-weight cap equal to the average risk weight that would apply to the underlying exposures in the pool, in accordance with Prudential Standard APS 120 Securitisation.

Dimension

Member

Description

CreditRiskWeightingDimension

(GreaterThan425LessThanEqualTo650Percent)

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 greater than 425% and less than or equal to 650% in accordance with the relevant prudential standards.

SecuritisationApproachDimension

(RWC)

This dimension categorises information reported for credit risk purposes relating to credit exposures to securitisation, based on the various securitisation approaches, as determined in accordance with Prudential Standard APS 120 Securitisation.
The information reported relates to securitisation credit exposures subject to the risk weighted cap approach where the originating authorised deposit-taking institution (ADI) may apply a look-through style to senior securitisation exposures so that they are subject to a risk-weight cap equal to the average risk weight that would apply to the underlying exposures in the pool, in accordance with Prudential Standard APS 120 Securitisation.