C 32.01 - Prudent valuation. Fair-Valued assets and liabilities





Fair-valued assets and liabilitiesFair-valued assets and liabilities excluded because of partial impact on CET1Fair-valued assets and liabilities included in art. 4(1) threshold
of which: trading bookExactly matchingHedge accountingPrudential filtersOtherComments for other of which: trading book
CodeLabel001000200030004000500060007000800090
0010Total fair-valued assets and liabilities409001409007409002409003409004409005409009409006409008
0020Total fair-valued assets409014409020409015409016409017409018409032409019409021
0030Financial assets held for trading408843408848408844408845408846408857408847408849
0040Trading financial assets408916408921408917408918408919408923408920408922
0050Non-trading financial assets mandatorily at fair value through profit or loss408975408980408976408977408978408982408979408981
0060Financial assets designated at fair value through profit or loss408833408838408834408835408836408840408837408839
0070Financial assets at fair value through other comprehensive income408985408990408986408987408988408992408989408991
0080Non-trading non-derivative financial assets measured at fair value through profit or loss408896408901408897408898408899408903408900408902
0090Non-trading non-derivative financial assets measured at fair value to equity408906408911408907408908408909408913408910408912
0100Other non-trading non-derivative financial assets409033409038409034409035409036409040409037409039
0110Derivatives - hedge accounting408876408881408877408878408879408890408880408882
0120Fair value changes of the hedged items in portfolio hedge of interest rate risk408957408962408958408959408960408971408961408963
0130Investments in subsidiaries, joint ventures and associates409041409046409042409043409044409048409045409047
0140(-) Haircuts for trading assets at fair value408850408855408851408852408853408858408854408856
0150Total fair-valued liabilities409053409059409054409055409056409057409071409058409060
0160Financial liabilities held for trading408868408873408869408870408871408875408872408874
0170Trading financial liabilities408924408929408925408926408927408931408928408930
0180Financial liabilities designated at fair value through profit or loss408859408864408860408861408862408867408863408865
0190Derivatives - hedge accounting408883408888408884408885408886408891408887408889
0200Fair value changes of the hedged items in portfolio hedge of interest rate risk408964408969408965408966408967408972408968408970
0210Haircuts for trading liabilities at fair value410129410134410130410131410132417139410133410135




Dimensions
MetricDetails the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
Metric - Details the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
BaseDefines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It determines whether the data point has a "debit" or a "credit" attribute.
Base items - Defines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It may determine whether the data point has a "debit" or a "credit" attribute.
Main categorySpecifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Accounting portfolioAccounting portfolios shall mean financial instruments aggregated by valuation rules (e.g. "Available-for-sale financial assets"). Accounting portfolios only comprise financial assets and financial liabilities.
Portfolio - Defined the portfolios reported. It comprises both accounting portfolios (e.g. Available-for-sale) and prudential portfolios (e.g. trading book).
Prudential portfolioDefines whether it is reported the trading book business, the "banking" book business, or both of them.
Portfolio - Defined the portfolios reported. It comprises both accounting portfolios (e.g. Available-for-sale) and prudential portfolios (e.g. trading book).
Financial reporting standardFinancial reporting standard for recognition, measurement and presentation (IFRS or national GAAP) to define the scope of reported items.
Approach - Approach used for the calculation of capital requirements (or exposure value in LR)
Type of hedgeDefines the type of hedging
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Hedged or hedging instrumentDefines hedging or hedged instrument of the main category item
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Valuation positionsDefines valuation positions (PruVal)
Positions in the instrument - Defines the position (long/short) taken in the instrument, as well as the aggregation level related to the market risk capital requirement calculations (gross/net).