C 32.02.c - Prudent valuation: Core approach Other





Category level AVAUpside UncertaintyFair-value assets and liabilitiesQTD revenueIPV differenceFair value adjustmentsDay 1 P&LExplanation description
Concentrated positionsFuture admnistrative costsEarly terminationOperational risk Fair-value assetsFair-value liabilities Market price uncertaintyClose-out costsModel riskConcentrated positionsUnearned credit spreadsInvesting and funding costsFuture admnistrative costsEarly terminationOperational risk
CodeLabel00700080009001000120013001400150016001700180019002000210022002300240025002600270
0010Total core approach409360409368409376409384409410409030409069417040417049417058417067417077417087417090417093417102417112417121417131
0020of which: trading book409361409369409377409385409411409031409070417041417050417059417068417078417088417091417094417103417113417122417132
0030Portfolios under articles 9 to 17 - total category level post-diversification409353409362409370409378409404409028409067417033417042417051417060417069417079417089417092417095417104417114417123
0040 - Total category level pre-diversification
0050of which: unearned credit spreads AVA409012409051
0060of which: investment and funding costs AVA409013409052
0090Interest rates409356409364409372409380409406409024409063417035417044417053417062417072417082417097417107417116417126
0100Foreign exchange409359409367409375409383409409409027409066417038417047417056417065417075417085417100417110417119417129
0110Credit409355409363409371409379409405409023409062417034417043417052417061417071417081417096417106417115417125
0120Equities409358409366409374409382409408409026409065417037417046417055417064417074417084417099417109417118417128
0130Commodities409357409365409373409381409407409025409064417036417045417054417063417073417083417098417108417117417127
0180Portfolios under the fall-back approach409029409068417039417048417057417066417076417086417101417111417120417130417140




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.
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)
Type of riskIndicates 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).
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).
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.
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).
Source of valuation uncertainty (total portfolio level)
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.