C 103.00 - Details on exposures in High Default Portfolios





Portfolio IDExposure classRegulatory approachNumber of obligorsRatingPDDefault statusOriginal exposure pre conversion factorsExposure after CRM substitution effects pre conversion factorsCCFEADCollateral valueLGDMaturityExpected LossProvisions non-performing exposuresRWARWA StandardisedDefault rate latest yearDefault rate past 5 yearsLoss rate latest yearLoss rate past 5 yearsRWA *RWA **
CodeLabel010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240
999 Exposure115339115342114992115346115097115366115047113838115351113846113430114827114975113793113554115335116629115352115353115354115355115330115331




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).
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)
Reference date or periodSpecifies the date or the period to which the data is referred
Reference period - Defines a relative time point (reference date or period) to which the data refers.
Contingent scenario/Assumptions usedContingent scenario whose impact is reported
Contingent scenario - Defines the contingent scenarios whose impact is reported
Reference portfolio/instrument for the Benchmarking exerciseReference portfolio/instrument for the Benchmarking exercise
Indentification String - String used as an artificial identifier
Hypothetical value under specific assumptionsHypothetical value under specific assumptions
Boolean total - Dimensions having only two values (usually denoted true and false)