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Dimension



Type of risk

Indicates the type of risk arising from exposures or transactions (e.g. credit risk or market risk).
Type of risk - Indicates the type of risk arising from exposures or transactions (e.g. credit risk or market risk).


Members of this dimension

x1 - Counterparty credit risk (Reports:C 02.00; C 07.00.a; C 07.00.b; C 07.00.c; C 07.00.d; C 08.01.a; )
x2 - Credit risk (Reports:C 01.00; C 02.00; C 04.00; C 07.00.a; C 09.04; C 13.01; C 32.02.a; C 32.02.c; C 33.00.b; F 10.00; F 11.01; F 11.02; )
x3 - Credit risk and free deliveries (Reports:C 01.00; C 07.00.a; )
x4 - Credit risk, counterparty credit risk and free deliveries (Reports:C 02.00; C 04.00; C 07.00.a; C 07.00.c; C 07.00.d; C 08.01.a; C 08.01.b; C 08.02; C 09.01.a; C 09.01.b; C 09.02; C 09.03; )
x5 - Credit risk, counterparty credit risk, dilution risk and free deliveries (Reports:C 02.00; C 08.01.a; C 08.01.b; C 15.00; )
x6 - Credit risk, counterparty credit risk, dilution risk, free deliveries and settlement/delivery risk (Reports:C 06.01; C 06.02; )
x7 - CVA risk (Reports:C 02.00; C 25.00; )
x8 - Dilution risk (Reports:C 08.01.a; C 08.01.b; )
x9 - Interest rate risk (Reports:C 02.00; C 18.00; C 24.00; C 32.02.a; C 32.02.c; F 02.00; F 10.00; F 11.01; F 11.02; F 11.04; F 16.01; F 16.04; )
x10 - Large exposures risk (Reports:C 02.00; )
x11 - Market risk (Reports:C 02.00; C 09.04; C 106.00; C 107.01.a; C 107.01.b; C 107.02; C 108.00; C 109.01.a; C 109.01.b; C 109.02; C 109.03; C 110.01.a; )
x12 - Commodities risk (Reports:C 02.00; C 23.00; C 24.00; C 32.02.a; C 32.02.c; F 10.00; F 11.01; F 11.02; F 11.04; F 16.04; T 20.04; )
x13 - General risk for equity instruments (Reports:C 21.00; C 24.00; )
x14 - Equity risk (Reports:C 02.00; C 21.00; C 24.00; C 32.02.a; C 32.02.c; F 10.00; F 11.01; F 11.02; F 11.04; F 16.04; T 20.04; )
x15 - Specific risk for equity instruments (Reports:C 21.00; C 24.00; )
x16 - Foreign-exchange risk (Reports:C 02.00; C 22.00; C 24.00; C 32.02.a; C 32.02.c; F 10.00; F 11.01; F 11.02; F 11.04; F 16.04; T 20.04; )
x17 - Market not look-through CIUs risk (Reports:)
x19 - General risk for debt instruments (Reports:C 18.00; C 24.00; )
x20 - Specific risk for debt instruments (Reports:C 18.00; C 24.00; )
x21 - Specific risk for CTP positions (Reports:C 18.00; C 20.00; )
x22 - Specific risk for securitisation instrument (Reports:C 18.00; C 19.00; )
x24 - Operational risk (Reports:C 02.00; C 06.01; C 06.02; C 16.00.a; C 16.00.b; C 17.01.a; C 17.01.b; C 17.02; )
x25 - Other risk (Reports:C 02.00; F 11.04; )
x26 - Position, fx and commodities risks (Reports:C 06.01; C 06.02; )
x28 - Risks other than Interest rate risk, Equity risk, Foreign exchange risk, Credit risk, Commodity risk (Reports:F 10.00; F 11.01; F 11.02; F 16.04; )
x29 - Settlement/delivery risk (Reports:C 02.00; )
x30 - General risk (Reports:C 24.00; )
x31 - Specific risk (Reports:C 24.00; )
x32 - Equity risk treated as credit risk (Reports:C 02.00; C 10.01; C 10.02; )
x34 - Position risk in CIUs (Reports:C 02.00; )
x678 - Low credit risk (Reports:F 04.03.1; F 04.04.1; )
x35 - Interest rate risk. Specific risk for securitisation instrument (Reports:)





Reports using this dimension


C 01.00CA 1 - Capital Adequacy - Own funds definition
C 02.00CA 2 - Capital Adequacy - Risk Exposure Amounts
C 04.00CA 4 - Capital Adequacy - Memorandum Items
C 06.01GS - Group Solvency - Total
C 06.02GS - Group Solvency
C 07.00.aCR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements
C 07.00.bCR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Of which: Arising from Counterparty Credit Risk
C 07.00.cCR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - Secured on Property
C 07.00.dCR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - in default
C 08.01.aCR IRB 1 - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL
C 08.01.bCR IRB 1 - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL - Of which arising from counterparty credit risk and off balance sheet
C 08.02CR IRB 2 - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - Breakdown of exposures assigned to obligor grades or pools by obligor grades
C 09.01.aCR GB 1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)
C 09.01.bCR GB 1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) - Exposures in default
C 09.02CR GB 2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)
C 09.03CR GB 3 - Breakdown of total own funds requirements for credit risk of relevant credit exposures by country
C 09.04CCB - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate
C 10.01CR EQU IRB 1 - Credit risk: Equity - IRB approaches to capital requirements - TOTAL
C 10.02CR EQU IRB 2 - Credit risk: Equity - IRB approaches to capital requirements - Breakdown of total exposures under the PD/LGD Approach by obligor grades
C 105.01Definition of internal models
C 105.02Mapping of internal models to portfolios
C 106.00Initial Market Valuation
C 107.01.aVaR and SVaR non-CTP. Details
C 107.01.bVaR and SVaR non-CTP. Details. Comments
C 107.02VaR and SVaR non-CTP. Base currency results
C 108.00One year profit & loss VaR non-CTP
C 109.01.aIRC. Details of the model
C 109.01.bIRC. Details of the model. Comments
C 109.02IRC. Details by portfolio
C 109.03IRC. Amount by portfolio/date
C 110.01.aCT. Details of the model
C 110.01.bCT. Details of the model. Comments
C 110.02CT. Details by portfolio
C 110.03CT. APR by portfolio/date
C 13.01CR SEC - (CR SEC) Credit risk: Securitisations
C 15.00CR IP Losses - Exposures and losses from lending collateralised immovable property
C 16.00.aOPR - Operational risk - Excluding AMA
C 16.00.bOPR - Operational risk - AMA
C 17.01.aOPR Details - Operational risks: Gross losses by business lines and event types in the last year
C 17.01.bOPR Details - Operational risks: Thresholds applied in data collections
C 17.02OPR Losses - (OPR Losses) Operational risks: Large loss events
C 18.00MKR SA TDI - Market risk: Standardised Approach for traded debt instruments
C 19.00MKR SA SEC - Market risk: Standardised Approach for specific risk in securitisations
C 20.00MKR SA CTP - Market risk: Standardised Approach for specific risk in the correlation trading portfolio
C 21.00MKR SA EQU - Market risk: Standardised Approach for position risk in equities
C 22.00MKR SA FX - Market risk: Standardised Approaches for foreign exchange risk
C 23.00MKR SA COM - Market risk: Standardised Approach for position risk in commodities
C 24.00MKR IM 1 - Market risk: Internal models - Total
C 25.00CVA - CVA RISK
C 32.02.aPrudent valuation: Core approach Pre and post diversification
C 32.02.cPrudent valuation: Core approach Other
C 33.00.bGeneral governments exposures by country of the counterparty and regulatory approach (Gov)
F 02.00Statement of profit or loss
F 04.03.1Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income
F 04.04.1Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost
F 10.00Derivatives: Trading
F 11.01Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge
F 11.02Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk
F 11.04Hedged items in fair value hedges
F 16.01Breakdown of selected statement of profit or loss items: Interest income and expenses by instrument and counterparty sector
F 16.04Gains and losses on financial assets and liabilities held for trading by risk
T 20.04Critical functions - Capital Markets