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Dimension



Methods to determine risk weights

Defines the relevant method used to determine the risk weights for capital requirements purposes.
Approach - Approach used for the calculation of capital requirements (or exposure value in LR)


Members of this dimension

x1 - 1250% for positions not subject to any method (Reports:C 14.01; )
x15 - Risk weighted exposure amounts calculated using PD, LGD and M (Reports:C 08.01.a; C 08.01.b; C 08.02; C 09.02; )
x16 - Alternative treatment for exposures secured by real estate (Reports:C 08.01.a; C 08.01.b; )
x17 - Risk weighted exposure amounts calculated using RW, other (Reports:C 08.01.a; C 08.01.b; )
x18 - Ratings Based Method (Reports:)
x19 - Supervisory formula method (Reports:)
x20 - Specialized lending slotting criteria (Reports:C 08.01.a; C 08.01.b; C 09.02; )
x25 - Internal Assessment Approach (IAA) (Reports:)
x30 - Look-Through-Approach (Reports:)
x33 - Internal models approach (Reports:C 10.01; )
x34 - PD/LGD approach (Reports:C 10.01; C 10.02; )
x35 - Simple Risk Weight approach (Reports:C 10.01; )
x42 - Standardised Approach (Reports:)
x53 - Modified risk weights for targeting asset bubbles in the residential and commercial property (Reports:C 02.00; )
x58 - Risk weighted exposure amounts calculated for equities - PD/LGD approach, Simple Risk Weight approach, Internal models approach (Reports:C 02.00; C 10.01; )
x68 - Fixed risk weights (Reports:C 10.01; )
x74 - Proxy used to determine credit spread (Reports:C 25.00; )
x78 - SME supporting factor treatment (Reports:C 07.00.a; C 07.00.b; C 08.01.a; C 08.01.b; )
x80 - Internal model for correlation trading (Reports:C 110.01.a; C 110.01.b; C 110.02; C 110.03; )
x83 - Historical simulation (Reports:C 108.00; )
x93 - IRC Model (Reports:C 106.00; C 109.01.a; C 109.01.b; C 109.02; C 109.03; )
x114 - Ratings Based Method or 1250% for positions not subject to any method (Reports:)
x118 - Internal ratings-based approach for securitisation positions (SEC-IRBA) (Reports:C 14.01; )
x119 - Internal ratings-based approach for securitisation positions (SEC-IRBA). Common approach (no differentiated capital treatment) (Reports:)
x120 - Internal ratings-based approach for securitisation positions (SEC-IRBA). Differentiated capital treatment (Reports:)
x122 - Standardised approach for securitisations (SEC-SA) (Reports:C 14.01; )
x123 - Standardised approach for securitisations (SEC-SA). Common approach (no differentiated capital treatment) (Reports:)
x124 - Standardised approach for securitisations (SEC-SA). Differentiated capital treatment (Reports:)
x125 - External ratings-based approach for securitisation positions (SEC-ERBA) (Reports:C 14.01; )
x126 - External ratings-based approach for securitisation positions (SEC-ERBA). Common approach (no differentiated capital treatment) (Reports:)
x127 - External ratings-based approach for securitisation positions (SEC-ERBA). Differentiated capital treatment (Reports:)
x128 - Internal assessment approach (IAA). Common approach (no differentiated capital treatment) (Reports:)
x129 - Internal assessment approach (IAA). Differentiated capital treatment (Reports:)
x130 - Common approach (no differentiated capital treatment) (Reports:C 13.01; )
x131 - Differentiated capital treatment (Reports:C 13.01; C 19.00; )





Reports using this dimension


C 02.00CA 2 - Capital Adequacy - Risk Exposure Amounts
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 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 09.02CR GB 2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)
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 106.00Initial Market Valuation
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 14.01CR SEC Details - (CR SEC Details) Detailed information on securitisations by approach
C 19.00MKR SA SEC - Market risk: Standardised Approach for specific risk in securitisations
C 25.00CVA - CVA RISK