C 24.00 - MKR IM 1 - Market risk: Internal models - Total





VaRStressed VaRIncremental default and migration risk capital chargeAll price risks capital charge for CTPOwn funds requirementsTotal risk exposure amountNumber of overshootingsVaR Multiplication Factor (mc)SVaR Multiplication Factor (ms)Assumed charge for CTP floor - weighted net long positions after capAssumed charge for CTP floor - weighted net short positions after cap
Multiplication factor (mc) x average of previous 60 working days (VaRavg)Previous day (VaRt-1)Multiplication factor (ms) x average of previous 60 working days (SVaRavg)Latest available (SVaRt-1)12 weeks average measureLast measureFloor12 weeks average measureLast measure
CodeLabel030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180
010 TOTAL POSITIONS15668157671565715756156841575315679156801568115755157791575415781157781568215683
019 - Memorandum items: BREAKDOWN OF MARKET RISK
020 Traded debt instruments15671157701566015759
030 TDI - General risk15675157741566415763
040 TDI - Specific Risk15676157751566515764
050 Equities15673157721566215761
060 Equities - General risk15672157711566115760
070 Equities - Specific Risk15674157731566315762
080 Foreign Exchange risk15670157691565915758
090 Commodities risk15669157681565815757
100 Total amount for general risk15677157761566615765
110 Total amount for specific risk15678157771566715766




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).
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).