C 20.00 - MKR SA CTP - Market risk: Standardised Approach for specific risk in the correlation trading portfolio





All positions(-) POSITIONS DEDUCTED FROM OWN FUNDSNet positionsBREAKDOWN OF THE NET POSITIONS (LONG) ACCORDING TO SA AND IRB RISK WEIGHTSBREAKDOWN OF THE NET POSITIONS (SHORT) ACCORDING TO SA AND IRB RISK WEIGHTSBEFORE CAPAFTER CAPOWN FUNDS REQUIREMENTS
LongShort(-) Long(-) ShortLongShortRISK WEIGHTS < 1250%1250%SUPERVISORY FORMULA METHODLOOK-THROUGHINTERNAL ASSESMENT APPROACHRISK WEIGHTS < 1250%1250%SUPERVISORY FORMULA METHODLOOK-THROUGHINTERNAL ASSESMENT APPROACHWEIGHTED NET LONG POSITIONSWEIGHTED NET SHORT POSITIONSWEIGHTED NET LONG POSITIONSWEIGHTED NET SHORT POSITIONS
7 - 10%12 - 18%20 - 35%40 - 75%100%250%350%425%650%OtherRATEDUNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%)7 - 10%12 - 18%20 - 35%40 - 75%100%250%350%425%650%OtherRATEDUNRATED AVERAGE RISK WEIGHT (%) AVERAGE RISK WEIGHT (%)
CodeLabel010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 260 270 280 290 300 310 320 330 340 350 360 370 380 390 400 410 420 430 440 450
010 TOTAL EXPOSURES126951269913115131191304313047128891288612887128881288012881128821288312884129331288512995130035090013019130115090812929129261292712928129201292112922129231292412937129251299913007509041302313015509121309113095130671307112655
019 - Securitisation Positions
020 ORIGINATOR: TOTAL EXPOSURES1269312697131131311713041130451286912866128671286812860128611286212863128641293112865129931300150898130171300950906129091290612907129081290012901129021290312904129351290512997130055090213021130135091013089130931306513069
030 SECURITISATIONS126791268213099131021302713030127211271812719127201271212713127141271512716127171296112967508861297912973508921275112748127491275012742127431274412745127461274712964129705088912982129765089513075130781305113054
040 Other CTP positions12687126901310713110130351303812803128001280112802127941279512796127971279812845127991298712833128301283112832128241282512826128271282812848128291299013083130861305913062
050 INVESTOR: TOTAL EXPOSURES1269212696131121311613040130441285912856128571285812850128511285212853128541293012855129921300050897130161300850905128991289612897128981289012891128921289312894129341289512996130045090113020130125090913088130921306413068
060 SECURITISATIONS126781268113098131011302613029127111270812709127101270212703127041270512706127071296012966508851297812972508911274112738127391274012732127331273412735127361273712963129695088812981129755089413074130771305013053
070 Other CTP positions12686126891310613109130341303712793127901279112792127841278512786127871278812844127891298612823128201282112822128141281512816128171281812847128191298913082130851305813061
080 SPONSOR: TOTAL EXPOSURES1269412698131141311813042130461287912876128771287812870128711287212873128741293212875129941300250899130181301050907129191291612917129181291012911129121291312914129361291512998130065090313022130145091113090130941306613070
090 SECURITISATIONS126801268313100131031302813031127311272812729127301272212723127241272512726127271296212968508871298012974508931276112758127591276012752127531275412755127561275712965129715089012983129775089613076130791305213055
100 Other CTP positions12688126911310813111130361303912813128101281112812128041280512806128071280812846128091298812843128401284112842128341283512836128371283812849128391299113084130871306013063
109 - N-th to default credit derivatives
110 N-th to default credit derivatives12700127011312013121130481304912947129441294512946129381293912940129411294212958129431302412957129541295512956129481294912950129511295212959129531302513096130971307213073
120 Other CTP positions12684126851310413105130321303312771127681276912770127621276312764127651276612782127671298412781127781277912780127721277312774127751277612783127771298513080130811305613057




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).
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)
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
Role in the securitisation processDefines the role played by the reporting entity in the securitisation process.
Role in the securitisation process - Defines the role played by the reporting entity in the securitisation process.
Use of external ratingsDefines the type of credit external ratings applying to the exposure.
External ratings - Concepts related with external credit ratings.