C 07.00.a - CR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements





Original exposure pre conversion factors(-) Value adjustments and provision associated with the original exposureExposure net of value adjustments and provisionsCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURENet exposure after CRM substitution effects pre conversion factorsCredit risk mitigation techniques affecting the amount of the exposure: funded credit protection. Financial collateral comprehensive methodFully adjusted exposure value (E*)Breakdown of the fully adjusted exposure value of off-balance sheet items by conversion factorsExposure valueRisk weighted exposure amount pre SME-supporting factorRisk weighted exposure amount after SME-supporting factor
Unfunded credit protection: adjusted values (Ga)Funded credit protectionSubstitution of the exposure due to CRM Volatility adjustment to the exposure(-) Financial collateral: adjusted value (Cvam) 0%20%50%100% Of which: with a credit assessment by a nominated ECAIOf which: with a credit assessment derived from central government
(-) Guarantees(-) Credit derivatives(-) Financial collateral: simple method(-) Other funded credit protection(-) Total OutflowsTotal Inflows (+) (-) of which: Volatility and maturity adjustments
CodeLabel010 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 215 220 230 240
010 TOTAL EXPOSURES7678877423727497128670912710997147371684704337226971871706687205876216744747487675278756807375377905789177888078896
015 of which: Defaulted exposures149449149466149274149171149137149154149188149205149103149256149222149120149239149394149326149343149360149377149309149483149538149532149533
020 of which: SME762677693472293711207074670933713077149470267720797170570478718927574374075744927489475296732427745677933
030 of which: exposures subject to SME-supporting factor116427116585115850115676115642115659115693115734115503115809115751115568115768116377116240116257116274116291115913116611116630
040 of which: Secured by mortgages on immovable property - Residential property767697740472731712827090871095714697168070429722657186770664720547619774456748587526075662737337788678897
050 of which: Exposures under the permanent partial use of the standardised approach767727740772733712847091071097714717168270431722677186970666720567619974457748597526175663737367788878900
060 of which: Exposures under the standardised approach with prior supervisory permission to carry out a sequential IRB implementation767737740872734712857091171098714727168370432722687187070667720577620074458748607526275664737377788978901
065 - BREAKDOWN OF TOTAL EXPOSURES BY EXPOSURE TYPES:
070 On balance sheet exposures subject to credit risk7679277425727517128870914711017147571686704357227171873706707206076218737557790778919
080 Off balance sheet exposures subject to credit risk767907742472750712877091371100714747168570434722707187270669720597621774475748777527975681737547790678918
085 - Exposures / Transactions subject to counterparty credit risk
090 Securities Financing Transactions7679577428727537129070916711037147771688704377227371875706727206276220737587790978921
100 Of which: Centrally cleared through a QCCP767937742673756
110 Derivatives & Long Settlement Transactions7677077405727327128370909710967147071681704307226671868706657205576198737347788778898
120 Of which: Centrally cleared through a QCCP767717740673735
130 From Contractual Cross Product Netting7679477427727527128970915711027147671687704367227271874706717206176219737577790878920
135 - BREAKDOWN OF TOTAL EXPOSURES BY RISK WEIGHTS:
140 0%76774774097273576201744597486175263756657373877890789027886578881
150 2%76775774107273676202744607486275264756667373977891789037886678882
160 4%76787774227274876215744737487575277756797375277904789167887978895
170 10%76776774117273776203744617486375265756677374077892789047886778883
180 20%76777774127273876204744627486475266756687374177893789057886878884
190 35%76778774137273976205744637486575267756697374277894789067886978885
200 50%76779774147274076206744647486675268756707374377895789077887078886
210 70%76207744657486775269756717374477896789087887178887
220 75%76780774157274176208744667486875270756727374577897789097887278888
230 100%76781774167274276209744677486975271756737374677898789107887378889
240 150%76782774177274376210744687487075272756747374777899789117887478890
250 250%76783774187274476211744697487175273756757374877900789127887578891
260 370%76784774197274576212744707487275274756767374977901789137887678892
270 1250%76785774207274676213744717487375275756777375077902789147887778893
280 Other risk weights76786774217274776214744727487475276756787375177903789157887878894




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.
Conversion factors for off-balance sheet itemsFor off-balance sheet items, it specifies the value of the conversion factors to be applied to calculate their exposure value.
Percentages - Percentages
CRM Effects/CollateralWhen Credit Risk Mitigation techniques are used, it specifies the type of technique that is applied and the effects of that technique.
Credit protection - Concepts related with the application of Credit Risk Mitigation techniques.
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
Use of external ratingsDefines the type of credit external ratings applying to the exposure.
External ratings - Concepts related with external credit ratings.
Size of the counterparty
Counterparty - Party other than the reporting institution in a contract or transaction.