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Dimension



Type of risk

Indicates 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).


Members of this dimension

x1 - Counterparty credit risk (Reports:C 02.00; C 07.00.a; C 07.00.b; C 07.00.c; C 07.00.d; C 08.01.a; C 08.06; C 34.01.a; C 34.01.b; C 34.02; C 34.03; C 34.04; )
x2 - Credit risk (Reports:C 01.00; C 02.00; C 04.00; C 07.00.a; C 09.04; C 13.01; C 32.02.a; C 32.02.c; C 33.00.b; F 10.00; F 11.01; F 11.02; )
x3 - Credit risk and free deliveries (Reports:C 01.00; C 07.00.a; C 08.03; C 08.04; C 08.05; C 08.05.1.a; )
x4 - Credit risk, counterparty credit risk and free deliveries (Reports:C 02.00; C 04.00; C 07.00.a; C 07.00.c; C 07.00.d; C 08.01.a; C 08.01.b; C 08.02; C 08.06; C 08.07; C 09.01.a; C 09.01.b; )
x5 - Credit risk, counterparty credit risk, dilution risk and free deliveries (Reports:C 02.00; C 08.01.a; C 08.01.b; C 15.00; )
x6 - Credit risk, counterparty credit risk, dilution risk, free deliveries and settlement/delivery risk (Reports:C 06.01; C 06.02; )
x7 - CVA risk (Reports:C 02.00; C 25.00; )
x8 - Dilution risk (Reports:C 08.01.a; C 08.01.b; )
x9 - Interest rate risk (Reports:C 02.00; C 18.00; C 24.00; C 32.02.a; C 32.02.c; F 02.00; F 10.00; F 11.01; F 11.02; F 11.04; F 16.01; F 16.04; )
x10 - Large exposures risk (Reports:C 02.00; )
x11 - Market risk (Reports:C 02.00; C 09.04; C 106.00; C 107.01.a; C 107.01.b; C 107.02; C 108.00; C 109.01.a; C 109.01.b; C 109.02.a; C 109.02.b; C 109.03; )
x12 - Commodities risk (Reports:C 02.00; C 23.00; C 24.00; C 32.02.a; C 32.02.c; C 90.00; C 91.00; F 10.00; F 11.01; F 11.02; F 11.04; F 16.04; )
x13 - General risk for equity instruments (Reports:C 21.00; C 24.00; )
x14 - Equity risk (Reports:C 02.00; C 21.00; C 24.00; C 32.02.a; C 32.02.c; C 91.00; F 10.00; F 11.01; F 11.02; F 11.04; F 16.04; I 06.09; )
x15 - Specific risk for equity instruments (Reports:C 21.00; C 24.00; )
x16 - Foreign-exchange risk (Reports:C 02.00; C 22.00; C 24.00; C 32.02.a; C 32.02.c; C 90.00; C 91.00; F 10.00; F 11.01; F 11.02; F 11.04; F 16.04; )
x17 - Market not look-through CIUs risk (Reports:)
x19 - General risk for debt instruments (Reports:C 18.00; C 24.00; )
x20 - Specific risk for debt instruments (Reports:C 18.00; C 24.00; )
x21 - Specific risk for CTP positions (Reports:C 18.00; C 20.00; )
x22 - Specific risk for securitisation instrument (Reports:C 18.00; C 19.00; )
x24 - Operational risk (Reports:C 02.00; C 06.01; C 06.02; C 16.00.a; C 16.00.b; C 17.01.a; C 17.01.b; C 17.02; )
x25 - Other risk (Reports:C 02.00; F 11.04; )
x26 - Position, fx and commodities risks (Reports:C 06.01; C 06.02; )
x28 - Risks other than Interest rate risk, Equity risk, Foreign exchange risk, Credit risk, Commodity risk (Reports:F 10.00; F 11.01; F 11.02; F 16.04; )
x29 - Settlement/delivery risk (Reports:C 02.00; )
x30 - General risk (Reports:C 24.00; )
x31 - Specific risk (Reports:C 24.00; )
x32 - Equity risk treated as credit risk (Reports:C 02.00; C 10.01; C 10.02; )
x33 - Interest rate risk, Equity risk (Reports:I 06.09; )
x34 - Position risk in CIUs (Reports:C 02.00; I 06.09; )
x678 - Low credit risk (Reports:F 04.03.1; F 04.04.1; )
x35 - Interest rate risk. Specific risk for securitisation instrument (Reports:)
x44 - Risk arising from assets under management (Reports:I 04.00; I 05.00; I 06.01; I 06.02; I 11.03; )
x36 - Risk arising from client money held (Reports:I 04.00; I 05.00; I 06.03; I 06.04; I 08.01; I 08.03; I 08.04; I 11.03; )
x37 - Risk arising from assets safeguarded and administered (Reports:I 04.00; I 05.00; I 06.05; I 06.06; I 08.02; I 11.03; )
x38 - Risk arising from client orders handled (Reports:I 04.00; I 05.00; I 06.07; I 06.08; I 11.03; )
x39 - Risk arising from position risk (Reports:)
x40 - Risk arising from clearing margin given (Reports:I 04.00; I 05.00; I 06.10; I 11.03; )
x41 - Risk arising from trading counterparty default (Reports:I 04.00; I 05.00; I 06.11; I 11.03; )
x42 - Risk arising from daily trading flow (Reports:I 04.00; I 05.00; I 06.12; I 06.13; I 11.03; )
x43 - Concentration risk (Reports:I 04.00; I 07.00; I 11.03; )
x45 - Risk to client (Reports:I 04.00; )
x46 - Risk to market (Reports:I 04.00; )
x47 - Risk to firm (Reports:I 04.00; )
x52 - General interest rate risk (GIRR) (Reports:C 91.00; )
x53 - Credit spread risk (CSR) (Reports:C 91.00; )
x54 - Default risk (market risk) (Reports:C 91.00; )
x55 - Residual risk (Reports:C 91.00; )
x65 - Risk arising from net positions (Reports:I 04.00; I 05.00; I 06.09; I 11.03; )
x66 - Risk arising from trading counterparty default. CVA risk (Reports:I 06.11; )
x67 - Specific risk for securitisation positions, specific risk for CTP positions (Reports:I 06.09; )
x68 - All types of market risk covered by SBM (Reports:C 106.01; C 120.01; C 120.02; C 120.03; )





Reports using this dimension


C 01.00CA 1 - Capital Adequacy - Own funds definition
C 02.00CA 2 - Capital Adequacy - Risk Exposure Amounts
C 04.00CA 4 - Capital Adequacy - Memorandum Items
C 06.01GS - Group Solvency - Total
C 06.02GS - Group Solvency
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 07.00.cCR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - Secured on Property
C 07.00.dCR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - in default
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 08.03Credit risk and free deliveries: IRB approach to capital requirements: breakdown by PD ranges (CR IRB 3)
C 08.04Credit risk and free deliveries: IRB approach to capital requirements: RWEA flow statements (CR IRB 4)
C 08.05Credit risk and free deliveries: IRB approach to capital requirements: back-testing of PD (CR IRB 5)
C 08.05.1.aCredit risk and free deliveries: IRB approach to capital requirements: back-testing of PD according to point (f) of article 180(1) (CR IRB 5) (I)
C 08.06Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6)
C 08.07Credit risk and free deliveries: IRB approach to capital requirements: scope of use of IRB and SA approaches (CR IRB 7)
C 09.01.aCR GB 1 - Geographical breakdown of exposures by residence of the obligor (SA exposures)
C 09.01.bCR GB 1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) - Exposures in default
C 09.02CR GB 2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures)
C 09.04CCB - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate
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 105.01Definition of internal models
C 105.02Mapping of internal models to portfolios
C 106.00Initial Market Valuation and exclusion justification
C 106.01Risk sensitivities by Instrument
C 107.01.aVaR, SVaR and PV. Details
C 107.01.bVaR, SVaR and PV. Details.Comments
C 107.02VaR and SVaR non-CTP. Base currency results
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 109.02.aIRC. Details by portfolio (I)
C 109.02.bIRC. Details by portfolio (II)
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 110.02.aCT. Details by portfolio (I)
C 110.02.bCT. Details by portfolio (II)
C 110.03CT. APR by portfolio/date
C 120.01SBM. Risk sensitivities by Instrument/Portfolio
C 120.02SBM. OFR Composition by Portfolio
C 120.03SBM. OFR
C 13.01CR SEC - (CR SEC) Credit risk: Securitisations
C 15.00CR IP Losses - Exposures and losses from lending collateralised immovable property
C 16.00.aOPR - Operational risk - Excluding AMA
C 16.00.bOPR - Operational risk - AMA
C 17.01.aOPR Details - Operational risks: Gross losses by business lines and event types in the last year
C 17.01.bOPR Details - Operational risks: Thresholds applied in data collections
C 17.02OPR Losses - (OPR Losses) Operational risks: Large loss events
C 18.00MKR SA TDI - Market risk: Standardised Approach for traded debt instruments
C 19.00MKR SA SEC - Market risk: Standardised Approach for specific risk in securitisations
C 20.00MKR SA CTP - Market risk: Standardised Approach for specific risk in the correlation trading portfolio
C 21.00MKR SA EQU - Market risk: Standardised Approach for position risk in equities
C 22.00MKR SA FX - Market risk: Standardised Approaches for foreign exchange risk
C 23.00MKR SA COM - Market risk: Standardised Approach for position risk in commodities
C 24.00MKR IM 1 - Market risk: Internal models - Total
C 25.00CVA - CVA RISK
C 32.02.aPrudent valuation: Core approach Pre and post diversification
C 32.02.cPrudent valuation: Core approach Other
C 33.00.bGeneral governments exposures by country of the counterparty and regulatory approach (Gov)
C 34.01.aSize of the derivative business (CCR 1) (I)
C 34.01.bSize of the derivative business (CCR 1) (II)
C 34.02CCR exposures by approach (CCR 2)
C 34.03CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3)
C 34.04CCR exposures treated with the original exposure method (OEM) (CCR 4)
C 34.05CCR exposures treated with the internal model method (IMM) (CCR 5)
C 34.06Top twenty counterparties (CCR 6)
C 34.07IRB approach CCR exposures by exposure class and PD scale (CCR 7)
C 34.08.aComposition of collateral for CCR exposures (CCR 8) (I)
C 34.08.bComposition of collateral for CCR exposures (CCR 8) (II)
C 34.09Credit derivatives exposures (CCR 9)
C 34.11RWEA flow statements of CCR exposures under the IMM (CCR 11)
C 90.00Trading book and market risk thresholds (TBT)
C 91.00Alternative Standardised Approach: Summary (MKR ASA SUM)
F 02.00Statement of profit or loss
F 04.03.1Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income
F 04.04.1Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost
F 10.00Derivatives: Trading
F 11.01Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge
F 11.02Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk
F 11.04Hedged items in fair value hedges
F 16.01Breakdown of selected statement of profit or loss items: Interest income and expenses by instrument and counterparty sector
F 16.04Gains and losses on financial assets and liabilities held for trading by risk
I 04.00K-Factor requirement calculations
I 05.00Level of activity - Thresholds review
I 06.01Assets under management - AUM additional detail
I 06.02Average value of total monthly AUM
I 06.03Client money held - CMH additional detail
I 06.04Average value of total daily CMH
I 06.05Assets safeguarded and administered - ASA additional detail
I 06.06Average value of total daily ASA
I 06.07Client orders handled - COH additional detail
I 06.08Average value of total daily COH
I 06.09K-Net position risk - K-NPR additional detail
I 06.10Clearing Margin given - CMG additional detail
I 06.11Trading counterparty default - TCD additional detail
I 06.12Daily trading flow - DTF additional detail
I 06.13Average value of total daily DTF
I 07.00K-CON - additional detail
I 08.01Level of concentration risk - Client money held
I 08.02Level of concentration risk - Assets seafeguarded and administered
I 08.03Level of concentration risk -Total own cash deposited
I 08.04Level of concentration risk - Total earnings
I 11.03Information on subsidiaries undertakings
T 20.04.aCritical functions - Capital Markets
T 20.04.wCritical functions - Capital Markets (Country sub-region)