PET - Plain English Taxonomy

Name: SecuritisationRiskCategoriesDimension
Label: Securitisation Risk Categories Dimension
TREF ID: DM482
Type: Predefined
Description:
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.
Usage:

Dimension Members
Name Label TREF ID Description
CorrelationTrading Correlation Trading DV5538
The information reported relates to exposures in the correlation trading portfolio. Correlation trading is a strategy in which traders or investors take both long and short positions in credit correlation products such as synthetic collateralized debt obligations (CDOs) and basket credit derivatives. Exposures reported under this category require special approval from APRA.
NonSecuritisation Non Securitisation DV5539
The information reported relates to non-securitisation exposures, which are exposures to a single name (the issuer) where the underlying debt has not been pooled.
Resecuritisation Resecuritisation DV5537
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.
Securitisation Securitisation DV5536
The information reported relates to a securitisation that involves the pooling of assets (or interests in assets) in a special purpose vehicle (SPV), generally funded by the issue of debt securities.