| | | Positions | Own funds requirements | Total risk exposure amount |
|---|
| | | All positions | Net positions | Positions subject to capital charge | | |
|---|
| | | Long | Short | Long | Short | | | |
|---|
| Code | Label | 0010 | 0020 | 0030 | 0040 | 0050 | 0060 | 0070 |
|---|
| 0010 | TRADED DEBT INSTRUMENTS IN TRADING BOOK | | | | | | 149564 | 149588 |
| 0011 | General risk | | | | | | 59269 | |
| 0012 | Derivatives | 59362 | 59363 | | | | | |
| 0013 | Other assets and liabilities | 59364 | 59365 | | | | | |
| 0020 | Maturity-based approach | 60169 | 60173 | 61066 | 61085 | 70148 | 59981 | |
| 0030 | Zone 1 | 60168 | 60172 | 61065 | 61084 | | | |
| 0040 | 0 <= 1 month | | | 61048 | 61067 | | | |
| 0050 | > 1 <= 3 months | | | 61051 | 61070 | | | |
| 0060 | > 3 <= 6 months | | | 61052 | 61071 | | | |
| 0070 | > 6 <= 12 months | | | 61053 | 61072 | | | |
| 0080 | 1.2 Zone 2 | 60166 | 60170 | 61063 | 61082 | | | |
| 0090 | > 1 <= 2 (1,9 for coupon of less than 3%) years | | | 61054 | 61073 | | | |
| 0100 | > 2 <= 3 (> 1,9 <= 2,8 for coupon of less than 3%) years | | | 61055 | 61074 | | | |
| 0110 | > 3 <= 4 (> 2,8 <= 3,6 for coupon of less than 3%) years | | | 61057 | 61076 | | | |
| 0120 | 1.3 Zone 3 | 60167 | 60171 | 61064 | 61083 | | | |
| 0130 | > 4 <= 5 (> 3,6 <= 4,3 for coupon of less than 3%) years | | | 61058 | 61077 | | | |
| 0140 | > 5 <= 7 (> 4,3 <= 5,7 for coupon of less than 3%) years | | | 61059 | 61078 | | | |
| 0150 | > 7 <= 10 (> 5,7 <= 7,3 for coupon of less than 3%) years | | | 61060 | 61079 | | | |
| 0160 | > 10 <= 15 (> 7,3 <= 9,3 for coupon of less than 3%) years | | | 61061 | 61080 | | | |
| 0170 | > 15 <= 20 (> 9,3 <= 10,6 for coupon of less than 3%) years | | | 61062 | 61081 | | | |
| 0180 | > 20 (> 10,6 <= 12,0 for coupon of less than 3%) years | | | 61049 | 61068 | | | |
| 0190 | > 20 (> 12,0 <= 20,0 for coupon of less than 3%) years | | | 61050 | 61069 | | | |
| 0200 | > 20 (> 20 for coupon of less than 3%) years | | | 61056 | 61075 | | | |
| 0210 | Duration-based approach | 59612 | 59616 | 59804 | 59808 | 68212 | 59424 | |
| 0220 | Zone 1 | 59609 | 59613 | 59801 | 59805 | | | |
| 0230 | Zone 2 | 59610 | 59614 | 59802 | 59806 | | | |
| 0240 | Zone 3 | 59611 | 59615 | 59803 | 59807 | | | |
| 0250 | Specific risk | | | | | | 62697 | |
| 0251 | Own funds requirement for non-securitisation debt instruments | 409118 | 409119 | 409166 | 409167 | 409191 | 58261 | |
| 0260 | Debt securities under the first category | 58632 | 58639 | 59016 | 59023 | 68152 | 58254 | |
| 0270 | Debt securities under the second category | 58638 | 58645 | 59022 | 59029 | 68158 | 58260 | |
| 0280 | With residual term <= 6 months | 58636 | 58643 | 59020 | 59027 | 68156 | 58258 | |
| 0290 | With a residual term > 6 months and <= 24 months | 58633 | 58640 | 59017 | 59024 | 68153 | 58255 | |
| 0300 | With a residual term > 24 months | 58637 | 58644 | 59021 | 59028 | 68157 | 58259 | |
| 0310 | Debt securities under the third category | 58634 | 58641 | 59018 | 59025 | 68154 | 58256 | |
| 0320 | Debt securities under the fourth category | 58635 | 58642 | 59019 | 59026 | 68155 | 58257 | |
| 0321 | Rated nth-to default credit derivatives | 58630 | 58631 | 59014 | 59015 | 68151 | 58253 | |
| 0325 | Own funds requirement for securitisation instruments | | | | | | 14507 | |
| 0330 | Own funds requirement for the correlation trading portfolio | | | | | | 12655 | |
| 0350 | Additional requirements for options (non-delta risks) | | | | | | 59389 | |
| 0360 | Simplified method | | | | | | 62601 | |
| 0370 | Delta plus approach - additional requirements for gamma risk | | | | | | 62625 | |
| 0380 | Delta plus approach - additional requirements for vega risk | | | | | | 62649 | |
| 0385 | Delta plus approach - non-continuous options and warrants | | | | | | 409461 | |
| 0390 | Scenario matrix approach | | | | | | 62673 | |
| 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"). |
| 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"). |
| Base | 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 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 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. |
| 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 purposes | Approach used for the calculation of capital requirements. |
| Approach - Approach used for the calculation of capital requirements (or exposure value in LR) |
| Type of risk | Indicates 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 exposure | Defines the currency in which the item is denominated |
| Currency - Currency |
| 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). |
| 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 portfolio | Defines 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 weights | Specifies the value of the risk weights that are applied to an exposure for capital requirement purposes. |
| Percentages - Percentages |
| Use of external ratings | Defines the type of credit external ratings applying to the exposure. |
| External ratings - Concepts related with external credit ratings. |