C 07.00.d - CR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - in default





Original exposure pre conversion factors(-) Value adjustments and provision associated with the original exposureExposure net of value adjustments and provisionsCREDIT RISK MITIGATION (CRM) TECHNIQUES WITH SUBSTITUTION EFFECTS ON THE EXPOSURENet exposure after CRM substitution effects pre conversion factorsCredit risk mitigation techniques affecting the amount of the exposure: funded credit protection. Financial collateral comprehensive methodFully adjusted exposure value (E*)Breakdown of the fully adjusted exposure of off-balance sheet items by conversion factorsExposure valueRisk weighted exposure amount pre SME-supporting factorRisk weighted exposure amount after SME-supporting factor
Unfunded credit protection: adjusted values (Ga)Funded credit protectionSubstitution of the exposure due to CRM Volatility adjustment to the exposure(-) Financial collateral: adjusted value (Cvam) 0%20%50%100% Of which: Arising from Counterparty Credit Risk Of which: with a credit assessment by a nominated ECAIOf which: with a credit assessment derived from central government
(-) Guarantees(-) Credit derivatives(-) Financial collateral: simple method(-) Other funded credit protection(-) Total OutflowsTotal Inflows (+) Volatility and maturity adjustments
CodeLabel010 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 215 220 230 240
285 - Memorandum items
300 Exposures in default subject to a risk weight of 100%7633677001723587580974137745547495675358733157283677522
320 Exposures in default subject to a risk weight of 150%7633777002723597581074138745557495775359733167283777523




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)
Exposure classDefines the exposure class for capital requirement purposes
Exposure classes - Defines the exposure class for capital requirement purposes
Counterparty sectorDefines the sector of the counterparty of financial instruments (e.g. Central banks or Credit institutions).
Counterparty - Party other than the reporting institution in a contract or transaction.
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).
Conversion factors for off-balance sheet itemsFor off-balance sheet items, it specifies the value of the conversion factors to be applied to calculate their exposure value.
Percentages - Percentages
CRM Effects/CollateralWhen Credit Risk Mitigation techniques are used, it specifies the type of technique that is applied and the effects of that technique.
Credit protection - Concepts related with the application of Credit Risk Mitigation techniques.
Exposure class before reassignmentDefines the Exposure class an exposure was assigned to before reassignment to the current exposure class. Applicable for the exposure classes "Exposures in default" and "Exposures secured by mortgages on immovable property" in the Standardised Approach.
Exposure classes - Defines the exposure class for capital requirement purposes
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)
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.