C 32.04 - Prudent valuation. Concentrated positions AVA





RankRisk categoryProductUnderlyingConcentrated position sizeSize measureMarket valuePrudent exit period (days)Concentrated position AVAConcentrated position fair value adjustmentIPV difference
CodeLabel00050010002000300040005000600070008000900100
999 Top twenty concentrated positions AVAs418166418167418168418169418170418171418172418173418174418175




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").
Approach for prudential purposesApproach used for the calculation of capital requirements.
Approach - Approach used for the calculation of capital requirements (or exposure value in LR)
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).
Concentrated positions AVA RankIdentifies an individual concentrated positions AVA that contributes to the total category level concentrated positions AVA computed in accordance with Article 14 of the Delegated Regulation (EU) 2016/101 on prudent valuation. Should follow the numerical order 1, 2, 3, etc, with 1 being assigned to the highest (in terms of AVA amount contributed to the total category level concentrated positions AVA) individual concentrated positions risk AVA, 2 to the second highest and so on.
Integers - Integers
Source of valuation uncertainty (position / portfolio level)Valuation adjustments (PruVal)
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.