Name: | CounterpartyCreditRiskChargeDimension |
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Label: | Counterparty Credit Risk Charge |
TREF ID: | DM433 |
Type: | Predefined |
Description: |
This dimension categorises reported information in relation to the requirement to use the potential future exposure add-on factors in the calculation of the counterparty credit risk charge, as determined in accordance with relevant prudential standards. |
Usage: |
Dimension Members
Name | Label | TREF ID | Description |
CounterpartyCreditRiskChargeNotRequired | Counterparty Credit Risk Charge Not Required | DV4408 |
The reported information relates to data for which the counterparty credit risk charge is not to be calculated using any potential future exposure add-on factors, as determined in accordance with relevant prudential standards.For example, market-related off-balance sheet exposures in the form of single name credit default swaps and single name total-rate-of-return swaps in the trading book must use the potential future exposure add-on factors in the calculation of the counterparty credit risk charge for capital adequacy purposes. |
CounterpartyCreditRiskChargeRequired | Counterparty Credit Risk Charge Required | DV4409 |
The reported information relates to data for which the counterparty credit risk charge of the reported information must be calculated using the potential future exposure add-on factors, as determined in accordance with relevant prudential standards.For example, market-related off-balance sheet exposures in the form of single name credit default swaps and single name total-rate-of-return swaps in the trading book must use the potential future exposure add-on factors in the calculation of the counterparty credit risk charge for capital adequacy purposes. |