PET - Plain English Taxonomy

Name: IRBLossGivenDefaultCategoriesDimension
Label: IRB Loss Given Default Categories
TREF ID: DM427
Type: Predefined
Description:
This dimension categorises information reported under the internal ratings-based (IRB) approach to credit risk, based on the loss given default category of an exposure, as determined in accordance with relevant prudential standards.
Usage:

Dimension Members
Name Label TREF ID Description
ClaimsSecuredByCommercialResidentialRealEstate Claims Secured By Commercial Residential Real Estate DV4344
The information reported relates to exposures allocated as claims secured by commercial and/or residential real estate according to the loss given default (LGD) categories, as determined under the IRB approach to credit risk in accordance with relevant prudential standards.Only report senior claims secured by commercial and/or residential real estate where:- the level of collateralisation exceeds 140 per cent; and- the level of collateralisation is between 140 per cent and 30 per cent and deemed fully collateralised as per relevant prudential standards.
ClaimsSecuredByEligibleFinancialCollateral Claims Secured By Eligible Financial Collateral DV4342
The information reported relates to exposures allocated as claims secured by eligible financial collateral according to the loss given default (LGD) categories, as determined under the IRB approach to credit risk in accordance with relevant prudential standards.For claims secured by pools of eligible collateral, report only those portions fully covered by eligible financial collateral.
ClaimsSecuredByEligibleFinancialReceivables Claims Secured By Eligible Financial Receivables DV4343
The information reported relates to exposures allocated as claims secured by eligible financial receivables according to the loss given default (LGD) categories, as determined under the IRB approach to credit risk in accordance with relevant prudential standards.Only report senior claims secured by eligible financial receivables where:- the level of collateralisation exceeds 125 per cent; and- the level of collateralisation is between 125 per cent and 0 per cent and deemed fully collateralised as per relevant prudential standards.
SeniorUnsecuredClaims Senior Unsecured Claims DV4114
The information reported relates to exposures allocated as senior unsecured claims according to the loss given default (LGD) categories, as determined under the IRB approach to credit risk in accordance with relevant prudential standards.In addition, report at this item:senior claims secured by commercial and/or residential real estate where:- the level of collateralisation is between 140 per cent and 30 per cent and where the portion is deemed uncollateralised as per relevant prudential standards;- the level of collateralisation is less than 30 per cent.senior claims secured by eligible financial receivables where:- the level of collateralisation is between 125 per cent and 0 per cent and where the portion is deemed uncollateralised as per relevant prudential standards;
SubordinatedClaims Subordinated Claims DV4113
The information reported relates to exposures allocated as subordinated claims according to the loss given default (LGD) categories, as determined under the IRB approach to credit risk in accordance with relevant prudential standards.