Methods to determine risk weights | Defines 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) |
| x1 - 1250% for positions not subject to any method (Reports:C 12.00; C 13.00; C 19.00; C 20.00; ) |
| x15 - Risk weighted exposure amounts calculated using PD, LGD and M (Reports:C 08.01.a; C 08.01.b; C 08.02; ) |
| x16 - Alternative treatment for exposures secured by real estate (Reports:C 08.01.a; C 08.01.b; ) |
| x17 - Risk weighted exposure amounts calculated using RW, other (Reports:C 08.01.a; C 08.01.b; ) |
| x18 - Ratings Based Method (Reports:C 12.00; C 13.00; C 19.00; C 20.00; ) |
| x19 - Supervisory formula method (Reports:C 13.00; C 14.00; C 19.00; C 20.00; ) |
| x20 - Specialized lending slotting criteria (Reports:C 08.01.a; C 08.01.b; ) |
| x25 - Internal Assessment Approach (Reports:C 12.00; C 13.00; C 19.00; C 20.00; ) |
| x30 - Look-Through-Approach (Reports:C 12.00; C 13.00; C 19.00; C 20.00; ) |
| x33 - Internal models approach (Reports:C 10.01; ) |
| x34 - PD/LGD approach (Reports:C 10.01; C 10.02; ) |
| x35 - Simple Risk Weight approach (Reports:C 10.01; ) |
| x42 - Standardised Approach (Reports:C 12.00; ) |
| x53 - Modified risk weights for targeting asset bubbles in the residential and commercial property (Reports:C 02.00; ) |
| x58 - Risk weighted exposure amounts calculated for equities - PD/LGD approach, Simple Risk Weight approach, Internal models approach (Reports:C 02.00; C 10.01; ) |
| x68 - Fixed risk weights (Reports:C 10.01; ) |
| x74 - Proxy used to determine credit spread (Reports:C 25.00; ) |
| x78 - SME supporting factor treatment (Reports:C 07.00.a; C 07.00.b; C 08.01.a; C 08.01.b; ) |
| x80 - Internal model for correlation trading (Reports:C 110.01.a; C 110.01.b; C 110.02; C 110.03; ) |
| x83 - Historical simulation (Reports:C 108.00; ) |
| x93 - IRC Model (Reports:C 106.00; C 109.01.a; C 109.01.b; C 109.02; C 109.03; ) |
| C 02.00 | CA 2 - Capital Adequacy - Risk Exposure Amounts |
| C 07.00.a | CR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements |
| C 07.00.b | CR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Of which: Arising from Counterparty Credit Risk |
| C 08.01.a | CR IRB 1 - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL |
| C 08.01.b | CR IRB 1 - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL - Of which arising from counterparty credit risk and off balance sheet |
| C 08.02 | CR IRB 2 - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - Breakdown of exposures assigned to obligor grades or pools by obligor grades |
| C 10.01 | CR EQU IRB 1 - Credit risk: Equity - IRB approaches to capital requirements - TOTAL |
| C 10.02 | CR EQU IRB 2 - Credit risk: Equity - IRB approaches to capital requirements - Breakdown of total exposures under the PD/LGD Approach by obligor grades |
| C 106.00 | Initial Market Valuation |
| C 108.00 | One year profit & loss VaR non-CTP |
| C 109.01.a | IRC. Details of the model |
| C 109.01.b | IRC. Details of the model. Comments |
| C 109.02 | IRC. Details by portfolio |
| C 109.03 | IRC. Amount by portfolio/date |
| C 110.01.a | CT. Details of the model |
| C 110.01.b | CT. Details of the model. Comments |
| C 110.02 | CT. Details by portfolio |
| C 110.03 | CT. APR by portfolio/date |
| C 12.00 | CR SEC SA - Credit risk: Securitisations - Standardised Approach to own funds requirements |
| C 13.00 | CR SEC IRB - Credit risk: Securitisations - IRB Approach to own funds requirements |
| C 14.00 | CR SEC Details - Detailed information on securitisations |
| C 19.00 | MKR SA SEC - Market risk: Standardised Approach for specific risk in securitisations |
| C 20.00 | MKR SA CTP - Market risk: Standardised Approach for specific risk in the correlation trading portfolio |
| C 25.00 | CVA - CVA RISK |