C 21.00 - MKR SA EQU - Market risk: Standardised Approach for position risk in equities





All positionsNet positionsPositions subject to capital chargeOwn funds requirementsTotal risk exposure amount
LongShortLongShort
CodeLabel010 020 030 040 050 060 070
010 EQUITIES IN TRADING BOOK7892278923
020 General risk6792367924679316793210935667920
021 Derivatives6792167922
022 Other assets and liabilities6792567926
030 Exchange traded stock-index futures broadly diversified subject to particular approach67927679286793367934
040 Other equities than exchange traded stock-index futures broadly diversified67929679306793567936
050 Specific risk6796267963679646796510939867961
090 Other non-delta risks for options68183
100 Simplified method78938
110 Delta plus approach - additional requirements for gamma risk78939
120 Delta plus approach - additional requirements for vega risk78940
130 Scenario matrix approach78941




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).
Country of the marketDefined the country in which is located the market on which the instrument is traded.
Geographical area - Geographical area
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).