C 18.00 - MKR SA TDI - Market risk: Standardised Approach for traded debt instruments





PositionsOwn funds requirementsTotal risk exposure amount
All positionsNet positionsPositions subject to capital charge
LongShortLongShort
CodeLabel010 020 030 040 050 060 070
010 TRADED DEBT INSTRUMENTS IN TRADING BOOK149564149588
011 General risk59269
012 Derivatives5936259363
013 Other assets and liabilities5936459365
020 Maturity-based approach601696017361066610857014859981
030 Zone 160168601726106561084
040 0 <= 1 month6104861067
050 > 1 <= 3 months6105161070
060 > 3 <= 6 months6105261071
070 > 6 <= 12 months6105361072
080 1.2 Zone 260166601706106361082
090 > 1 <= 2 (1,9 for coupon of less than 3%) years6105461073
100 > 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years6105561074
110 > 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years6105761076
120 1.3 Zone 360167601716106461083
130 > 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years6105861077
140 > 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years6105961078
150 > 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years6106061079
160 > 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years6106161080
170 > 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years6106261081
180 > 20 (> 10,6 <= 12,0 for coupon of less than 3%) years6104961068
190 > 20 (> 12,0 <= 20,0 for coupon of less than 3%) years6105061069
200 > 20 (> 20 for coupon of less than 3%) years6105661075
210 Duration-based approach596125961659804598086821259424
220 Zone 159609596135980159805
230 Zone 259610596145980259806
240 Zone 359611596155980359807
250 Specific risk627446274562792627937896562697
251 Own funds requirement for non-securitisation debt instruments58261
260 Debt securities under the first category586325863959016590236815258254
270 Debt securities under the second category586385864559022590296815858260
280 With residual term <= 6 months586365864359020590276815658258
290 With a residual term > 6 months and <= 24 months586335864059017590246815358255
300 With a residual term > 24 months586375864459021590286815758259
310 Debt securities under the third category586345864159018590256815458256
320 Debt securities under the fourth category586355864259019590266815558257
321 Rated nth-to default credit derivatives586305863159014590156815158253
325 Own funds requirement for securitisation instruments14507
330 Own funds requirement for the correlation trading portfolio12655
350 Additional requirements for options (non-delta risks)59389
360 Simplified method62601
370 Delta plus approach - additional requirements for gamma risk62625
380 Delta plus approach - additional requirements for vega risk62649
390 Scenario matrix approach62673




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).
Currency of the exposureDefines the currency in which the item is denominated
Currency - Currency
Positions in the instrumentDefines the position (long/short) taken in the instrument, as well as the aggregation level related to the market risk capital requirement calculations (gross/net).
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).
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.