C 22.00 - MKR SA FX - Market risk: Standardised Approaches for foreign exchange risk





All positionsNet positionsPOSITIONS SUBJECT TO CAPITAL CHARGE (Including redistribution of unmatched positions in currencies subject to special treatment for matched positions)Own funds requirementsTotal risk exposure amount
LongShortLongShortLongShortMatched
CodeLabel020 030 040 050 060 070 080 090 100
010 TOTAL POSITIONS IN NON-REPORTING CURRENCIES789267892778928789297893078932789317892478925
020 Currencies closely correlated245432454424557245582457124537
030 All other currencies (including CIUs treated as different currencies)24545245462455924560245722457324538
040 Gold24547245482456124562245742457524539
050 Other non-delta risks for currency options15207
060 Simplified method43187
070 Delta plus approach - additional requirements for gamma risk43188
080 Delta plus approach - additional requirements for vega risk43189
090 Scenario matrix approach43190
095 - BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
100 Other assets and liabilities other than off-balance sheet items and derivatives2455324554
110 Off-balance sheet items2455524556
120 Derivatives2454924550
125 - Memorandum items: CURRENCY POSITIONS
130 Euro49844498454990249903
140 Lek49826498274988449885
150 Argentine Peso49828498294988649887
160 Australian Dollar49830498314988849889
170 Brazilian Real49832498334989049891
180 Bulgarian Lev49834498354989249893
190 Canadian Dollar49836498374989449895
200 Czech Koruna49838498394989649897
210 Danish Krone49840498414989849899
220 Egyptian Pound49842498434990049901
230 Pound Sterling49846498474990449905
240 Forint49848498494990649907
250 Yen49850498514990849909
270 Lithuanian Litas49854498554991249913
280 Denar108837108838108839108840
290 Mexican Peso49856498574991449915
300 Zloty49860498614991849919
310 Romanian Leu49862498634992049921
320 Russian Ruble49864498654992249923
330 Serbian Dinar49866498674992449925
340 Swedish Krona49868498694992649927
350 Swiss Franc49870498714992849929
360 Turkish Lira49872498734993049931
370 Hryvnia49874498754993249933
380 US Dollar49876498774993449935
390 Iceland Krona49878498794993649937
400 Norwegian Krone49880498814993849939
410 Hong Kong Dollar109177109178109189109190
420 New Taiwan Dollar109179109180109191109192
430 New Zealand Dollar109181109182109193109194
440 Singapore Dollar109183109184109195109196
450 Won109185109186109197109198
460 Yuan Renminbi109187109188109199109200
470 Other49858498594991649917
480 Croatian Kuna116635116636116637116638




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).
Currency of the exposureDefines the currency in which the item is denominated
Currency - Currency
Main category of the underlyingDefines the type of instrument underlying another balance or transaction (e.g. short position).
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.
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).