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Dimension



Approach for prudential purposes

Approach used for the calculation of capital requirements.
Approach - Approach used for the calculation of capital requirements (or exposure value in LR)


Members of this dimension

x2 - Advanced Measurement Approach (Reports:C 02.00; C 16.00.b; )
x3 - Advanced method (Reports:C 02.00; C 25.00; )
x4 - Alternative Standardised Approach (Reports:C 16.00.a; )
x5 - Approach for general risk for equities (Reports:C 21.00; )
x6 - Approach for specific risk for correlation trading portfolio (Reports:C 18.00; C 20.00; )
x7 - Approach for specific risk for equities (Reports:C 21.00; )
x8 - Approach for specific risk for non securitisation debt instruments (Reports:C 18.00; )
x9 - Approach for specific risk for securitisation instruments (Reports:C 14.00; C 18.00; C 19.00; )
x10 - Approaches for general risk for debt instruments (Reports:C 18.00; )
x11 - Approaches for options (Reports:C 18.00; C 21.00; C 22.00; C 23.00; )
x12 - Basic Indicator Approach (Reports:C 02.00; C 16.00.a; )
x22 - Duration-based approach (Reports:C 18.00; )
x23 - Extended maturity ladder approach (Reports:C 23.00; )
x26 - Internal models approach for market risk (Reports:C 02.00; C 09.04; C 106.00; C 109.01.a; C 109.01.b; C 109.02; C 109.03; C 110.01.a; C 110.01.b; C 110.02; C 110.03; C 24.00; )
x27 - IRB Approach (Reports:C 01.00; C 02.00; C 04.00; C 09.02; C 09.04; C 10.01; C 10.02; C 101.00; C 102.00; C 103.00; C 104.00; C 105.01; )
x28 - IRB approach - Securitisation exposures (Reports:C 43.00.c; )
x31 - Maturity ladder approach (Reports:C 23.00; )
x32 - Maturity-based approach (Reports:C 18.00; )
x33 - Internal models approach (Reports:C 01.00; )
x38 - Original Exposure Method (Reports:C 02.00; C 25.00; )
x39 - Particular approach for CIUs reported as debt instruments (Reports:C 02.00; )
x40 - Particular approach for CIUs reported as equity (Reports:C 02.00; )
x41 - Simplified approach (Reports:C 23.00; )
x42 - Standardised Approach (Reports:C 01.00; C 02.00; C 04.00; C 07.00.a; C 07.00.b; C 07.00.c; C 07.00.d; C 09.01.a; C 09.01.b; C 09.04; C 102.00; C 103.00; )
x43 - Standardised approach for equity risk (Reports:C 02.00; C 21.00; )
x44 - Standardised approach for foreign-exchange risk (Reports:C 02.00; C 22.00; )
x45 - Standardised Approach, IRB Approach (Reports:C 02.00; C 09.04; )
x46 - Standardised approaches for commodities risk (Reports:C 02.00; C 23.00; )
x47 - Standardised approaches for interest rate risk (Reports:C 02.00; C 18.00; )
x48 - Standardised approaches for market risk (Reports:C 02.00; )
x49 - Standardised Method (Reports:C 02.00; C 25.00; )
x51 - Other than Original Exposure Method (Reports:)
x52 - Approaches for securitisation exposures (Reports:C 01.00; )
x54 - Basic Indicator Approach, Standardised Approach, Advanced measurement approaches (Reports:C 02.00; )
x56 - Standardised approaches for market risk, Internal models approach for market risk (Reports:C 02.00; C 09.04; )
x61 - Simplified method (Reports:C 18.00; C 21.00; C 22.00; C 23.00; )
x62 - Delta plus approach, additional requirements for gamma risk (Reports:C 18.00; C 21.00; C 22.00; C 23.00; )
x63 - Delta plus approach, additional requirements for vega risk (Reports:C 18.00; C 21.00; C 22.00; C 23.00; )
x64 - Scenario matrix approach (Reports:C 18.00; C 21.00; C 22.00; C 23.00; )
x65 - Approaches for specific risk for debt instruments (Reports:C 18.00; )
x66 - Advanced IRB Approach (Reports:C 02.00; C 08.01.a; C 08.01.b; C 08.02; )
x67 - Foundation IRB Approach (Reports:C 02.00; C 08.01.a; C 08.01.b; C 08.02; )
x69 - Other than financial collateral method (Reports:)
x70 - Financial collateral simple method. (Reports:)
x71 - Fixed Overheads approach (Reports:C 04.00; )
x77 - Basel 1 (Reports:C 04.00; )
x81 - Internal models approach for market risk. VaR (Reports:C 107.01.a; C 107.01.b; C 107.02; C 108.00; )
x82 - Internal models approach for market risk. Stressed VaR (Reports:C 107.01.a; C 107.01.b; C 107.02; )
x96 - Leverage ratio add-on for counterparty credit risk. (Reports:C 40.00; C 47.00; )
x97 - Leverage ratio add-on for counterparty credit risk. Financial collateral simple method (Reports:C 47.00; )
x98 - Leverage ratio adjustments of accounting entries. Receivables for eligible cash variation margin provided in derivatives transactions (Reports:C 47.00; )
x99 - Leverage ratio adjusted notional exposures for written credit derivatives (Reports:C 47.00; )
x100 - Leverage ratio exempted exposures (Reports:C 47.00; )
x101 - Leverage ratio adjustments of accounting entries. Fiduciary assets (Reports:C 47.00; )
x102 - Leverage ratio add-on mark-to-market method (Reports:C 40.00; C 47.00; )
x103 - Leverage ratio adjustments of accounting entries. Reverse of derecognition of assets given as derivatives collateral (Reports:C 47.00; )
x104 - Leverage ratio credit derivatives same reference name (Reports:C 40.00; )
x105 - Net leverage ratio exposure amounts resulting from the additional treatment for credit derivatives (Reports:C 43.00.a; )
x106 - Leverage ratio replacement cost (Reports:C 47.00; )
x107 - Leverage ratio original exposure method (Reports:C 47.00; )
x108 - Leverage ratio adjustments of accounting entries.Secured financial transactions sales accounting (Reports:C 47.00; )
x109 - Approaches for specific risk for market risk (Reports:C 09.04; )
x110 - Particular approach for CIUs (Reports:C 02.00; )





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 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 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 101.00Details on exposures in Low Default Portfolios by counterparty
C 102.00Details on exposures in Low Default Portfolios
C 103.00Details on exposures in High Default Portfolios
C 104.00Details for hypothetical transactions in Low Default Portfolios
C 105.01Definition of internal models
C 105.03Mapping of internal models to host supervisors
C 106.00Initial Market Valuation
C 107.01.aVaR and SVaR non-CTP. Details
C 107.01.bVaR and SVaR non-CTP. 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 109.02IRC. Details by portfolio
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 110.02CT. Details by portfolio
C 110.03CT. APR by portfolio/date
C 12.00CR SEC SA - Credit risk: Securitisations - Standardised Approach to own funds requirements
C 13.00CR SEC IRB - Credit risk: Securitisations - IRB Approach to own funds requirements
C 14.00CR SEC Details - Detailed information on securitisations
C 16.00.aOPR - Operational risk - Excluding AMA
C 16.00.bOPR - Operational risk - AMA
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 40.00LR1 - Alternative treatment of the Exposure Measure
C 41.00LR2 - On- and off-balance sheet items additional breakdown of exposures
C 43.00.aLR4 - Breakdown of leverage ratio exposure measure components: Off-balance sheet items, derivatives, SFTs and trading book
C 43.00.bLR4 - Breakdown of leverage ratio exposure measure components: Other non-trading book exposures (SA)
C 43.00.cLR4 - Breakdown of leverage ratio exposure measure components: Other non-trading book exposures (IRB)
C 47.00LRCalc - Leverage ratio calculation