C 07.00.b - CR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Of which: Arising from Counterparty Credit Risk





Exposure value
Of which: Arising from Counterparty Credit Risk
CodeLabel210
010 TOTAL EXPOSURES235560
015 of which: Defaulted exposures in exposure classes “items associated with a particular high risk” and “equity exposures”235540
020 of which: SME235346
030 of which: exposures subject to SME-supporting factor235542
040 of which: Secured by mortgages on immovable property - Residential property235541
050 of which: Exposures under the permanent partial use of the standardised approach235543
060 of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation235544
065 - BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070 On balance sheet exposures subject to credit risk235562
080 Off balance sheet exposures subject to credit risk235561
085 - Exposures / Transactions subject to counterparty credit risk
090 Securities Financing Transactions73758
100 Of which: Centrally cleared through a QCCP
110 Derivatives & Long Settlement Transactions73734
120 Of which: Centrally cleared through a QCCP
130 From Contractual Cross Product Netting73757
135 - BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140 0%235545
150 2%235546
160 4%235559
170 10%235547
180 20%235548
190 35%235549
200 50%235550
210 70%235551
220 75%235552
230 100%235553
240 150%235554
250 250%235555
260 370%235556
270 1250%235557
280 Other risk weights235558




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)
Exposure classDefines the exposure class for capital requirement purposes
Exposure classes - Defines the exposure class for capital requirement purposes
Counterparty sectorDefines the sector of the counterparty of financial instruments (e.g. Central banks or Credit institutions).
Counterparty - Party other than the reporting institution in a contract or transaction.
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).
Main category of collateral or guarantee receivedDefines the main category of collateral or guarantees received
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.
Impairment statusStatus for monitoring credit quality of financial assets and off-balance sheet items (e.g. past due, impaired, defaulted).
Impairment - Concepts related with monitoring credit quality of financial assets and off-balance sheet items (e.g. past due, impaired, defaulted)
Methods to determine risk weightsDefines 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)
Partial useShows exposures subject to partial use
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).
Risk weightsSpecifies the value of the risk weights that are applied to an exposure for capital requirement purposes.
Percentages - Percentages
Type of credit protectionSpecifies the type of credit protection
Credit protection - Concepts related with the application of Credit Risk Mitigation techniques.
Size of the counterpartySpecifies the size category of the counterpart
Counterparty - Party other than the reporting institution in a contract or transaction.