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). |
| x1 - Counterparty credit risk (Reports:C 02.00; C 07.00.a; C 07.00.b; C 07.00.c; C 07.00.d; C 08.01.a; C 08.06; C 34.01.a; C 34.01.b; C 34.02; C 34.03; C 34.04; ) |
| x2 - Credit risk (Reports:C 01.00; C 02.00; C 04.00; C 07.00.a; C 09.04; C 13.01; C 32.02.a; C 32.02.c; C 33.00.b; F 10.00; F 11.01; F 11.02; ) |
| x3 - Credit risk and free deliveries (Reports:C 01.00; C 07.00.a; C 08.03; C 08.04; C 08.05; C 08.05.1.a; ) |
| x4 - Credit risk, counterparty credit risk and free deliveries (Reports:C 02.00; C 04.00; C 07.00.a; C 07.00.c; C 07.00.d; C 08.01.a; C 08.01.b; C 08.02; C 08.06; C 08.07; C 09.01.a; C 09.01.b; ) |
| x5 - Credit risk, counterparty credit risk, dilution risk and free deliveries (Reports:C 02.00; C 08.01.a; C 08.01.b; C 15.00; ) |
| x6 - Credit risk, counterparty credit risk, dilution risk, free deliveries and settlement/delivery risk (Reports:C 06.01; C 06.02; ) |
| x7 - CVA risk (Reports:C 02.00; C 25.00; ) |
| x8 - Dilution risk (Reports:C 08.01.a; C 08.01.b; ) |
| x9 - Interest rate risk (Reports:C 02.00; C 18.00; C 24.00; C 32.02.a; C 32.02.c; F 02.00; F 10.00; F 11.01; F 11.02; F 11.04; F 16.01; F 16.04; ) |
| x10 - Large exposures risk (Reports:C 02.00; ) |
| x11 - Market risk (Reports:C 02.00; C 09.04; C 106.00; C 107.01.a; C 107.01.b; C 107.02; C 108.00; C 109.01.a; C 109.01.b; C 109.02.a; C 109.02.b; C 109.03; ) |
| x12 - Commodities risk (Reports:C 02.00; C 23.00; C 24.00; C 32.02.a; C 32.02.c; C 90.00; C 91.00; F 10.00; F 11.01; F 11.02; F 11.04; F 16.04; ) |
| x13 - General risk for equity instruments (Reports:C 21.00; C 24.00; ) |
| x14 - Equity risk (Reports:C 02.00; C 21.00; C 24.00; C 32.02.a; C 32.02.c; C 91.00; F 10.00; F 11.01; F 11.02; F 11.04; F 16.04; I 06.09; ) |
| x15 - Specific risk for equity instruments (Reports:C 21.00; C 24.00; ) |
| x16 - Foreign-exchange risk (Reports:C 02.00; C 22.00; C 24.00; C 32.02.a; C 32.02.c; C 90.00; C 91.00; F 10.00; F 11.01; F 11.02; F 11.04; F 16.04; ) |
| x17 - Market not look-through CIUs risk (Reports:) |
| x19 - General risk for debt instruments (Reports:C 18.00; C 24.00; ) |
| x20 - Specific risk for debt instruments (Reports:C 18.00; C 24.00; ) |
| x21 - Specific risk for CTP positions (Reports:C 18.00; C 20.00; ) |
| x22 - Specific risk for securitisation instrument (Reports:C 18.00; C 19.00; ) |
| x24 - Operational risk (Reports:C 02.00; C 06.01; C 06.02; C 16.00.a; C 16.00.b; C 17.01.a; C 17.01.b; C 17.02; ) |
| x25 - Other risk (Reports:C 02.00; F 11.04; ) |
| x26 - Position, fx and commodities risks (Reports:C 06.01; C 06.02; ) |
| x28 - Risks other than Interest rate risk, Equity risk, Foreign exchange risk, Credit risk, Commodity risk (Reports:F 10.00; F 11.01; F 11.02; F 16.04; ) |
| x29 - Settlement/delivery risk (Reports:C 02.00; ) |
| x30 - General risk (Reports:C 24.00; ) |
| x31 - Specific risk (Reports:C 24.00; ) |
| x32 - Equity risk treated as credit risk (Reports:C 02.00; C 10.01; C 10.02; ) |
| x33 - Interest rate risk, Equity risk (Reports:I 06.09; ) |
| x34 - Position risk in CIUs (Reports:C 02.00; I 06.09; ) |
| x678 - Low credit risk (Reports:F 04.03.1; F 04.04.1; ) |
| x35 - Interest rate risk. Specific risk for securitisation instrument (Reports:) |
| x44 - Risk arising from assets under management (Reports:I 04.00; I 05.00; I 06.01; I 06.02; I 11.03; ) |
| x36 - Risk arising from client money held (Reports:I 04.00; I 05.00; I 06.03; I 06.04; I 08.01; I 08.03; I 08.04; I 11.03; ) |
| x37 - Risk arising from assets safeguarded and administered (Reports:I 04.00; I 05.00; I 06.05; I 06.06; I 08.02; I 11.03; ) |
| x38 - Risk arising from client orders handled (Reports:I 04.00; I 05.00; I 06.07; I 06.08; I 11.03; ) |
| x39 - Risk arising from position risk (Reports:) |
| x40 - Risk arising from clearing margin given (Reports:I 04.00; I 05.00; I 06.10; I 11.03; ) |
| x41 - Risk arising from trading counterparty default (Reports:I 04.00; I 05.00; I 06.11; I 11.03; ) |
| x42 - Risk arising from daily trading flow (Reports:I 04.00; I 05.00; I 06.12; I 06.13; I 11.03; ) |
| x43 - Concentration risk (Reports:I 04.00; I 07.00; I 11.03; ) |
| x45 - Risk to client (Reports:I 04.00; ) |
| x46 - Risk to market (Reports:I 04.00; ) |
| x47 - Risk to firm (Reports:I 04.00; ) |
| x52 - General interest rate risk (GIRR) (Reports:C 91.00; ) |
| x53 - Credit spread risk (CSR) (Reports:C 91.00; ) |
| x54 - Default risk (market risk) (Reports:C 91.00; ) |
| x55 - Residual risk (Reports:C 91.00; ) |
| x65 - Risk arising from net positions (Reports:I 04.00; I 05.00; I 06.09; I 11.03; ) |
| x66 - Risk arising from trading counterparty default. CVA risk (Reports:I 06.11; ) |
| x67 - Specific risk for securitisation positions, specific risk for CTP positions (Reports:I 06.09; ) |
| x68 - All types of market risk covered by SBM (Reports:C 106.01; C 120.01; C 120.02; C 120.03; ) |
| C 01.00 | CA 1 - Capital Adequacy - Own funds definition |
| C 02.00 | CA 2 - Capital Adequacy - Risk Exposure Amounts |
| C 04.00 | CA 4 - Capital Adequacy - Memorandum Items |
| C 06.01 | GS - Group Solvency - Total |
| C 06.02 | GS - Group Solvency |
| 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 07.00.c | CR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - Secured on Property |
| C 07.00.d | CR SA - Credit and counterparty credit risks and free deliveries: Standardised Approach to capital requirements - Memorandum items - in default |
| 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 08.03 | Credit risk and free deliveries: IRB approach to capital requirements: breakdown by PD ranges (CR IRB 3) |
| C 08.04 | Credit risk and free deliveries: IRB approach to capital requirements: RWEA flow statements (CR IRB 4) |
| C 08.05 | Credit risk and free deliveries: IRB approach to capital requirements: back-testing of PD (CR IRB 5) |
| C 08.05.1.a | Credit risk and free deliveries: IRB approach to capital requirements: back-testing of PD according to point (f) of article 180(1) (CR IRB 5) (I) |
| C 08.06 | Credit risk and free deliveries: IRB approach to capital requirements: specialised lending slotting approach (CR IRB 6) |
| C 08.07 | Credit risk and free deliveries: IRB approach to capital requirements: scope of use of IRB and SA approaches (CR IRB 7) |
| C 09.01.a | CR GB 1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) |
| C 09.01.b | CR GB 1 - Geographical breakdown of exposures by residence of the obligor (SA exposures) - Exposures in default |
| C 09.02 | CR GB 2 - Geographical breakdown of exposures by residence of the obligor (IRB exposures) |
| C 09.04 | CCB - Breakdown of credit exposures relevant for the calculation of the countercyclical buffer by country and institution-specific countercyclical buffer rate |
| 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 105.01 | Definition of internal models |
| C 105.02 | Mapping of internal models to portfolios |
| C 106.00 | Initial Market Valuation and exclusion justification |
| C 106.01 | Risk sensitivities by Instrument |
| C 107.01.a | VaR, SVaR and PV. Details |
| C 107.01.b | VaR, SVaR and PV. Details.Comments |
| C 107.02 | VaR and SVaR non-CTP. Base currency results |
| 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.a | IRC. Details by portfolio (I) |
| C 109.02.b | IRC. Details by portfolio (II) |
| 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.a | CT. Details by portfolio (I) |
| C 110.02.b | CT. Details by portfolio (II) |
| C 110.03 | CT. APR by portfolio/date |
| C 120.01 | SBM. Risk sensitivities by Instrument/Portfolio |
| C 120.02 | SBM. OFR Composition by Portfolio |
| C 120.03 | SBM. OFR |
| C 13.01 | CR SEC - (CR SEC) Credit risk: Securitisations |
| C 15.00 | CR IP Losses - Exposures and losses from lending collateralised immovable property |
| C 16.00.a | OPR - Operational risk - Excluding AMA |
| C 16.00.b | OPR - Operational risk - AMA |
| C 17.01.a | OPR Details - Operational risks: Gross losses by business lines and event types in the last year |
| C 17.01.b | OPR Details - Operational risks: Thresholds applied in data collections |
| C 17.02 | OPR Losses - (OPR Losses) Operational risks: Large loss events |
| C 18.00 | MKR SA TDI - Market risk: Standardised Approach for traded debt instruments |
| 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 21.00 | MKR SA EQU - Market risk: Standardised Approach for position risk in equities |
| C 22.00 | MKR SA FX - Market risk: Standardised Approaches for foreign exchange risk |
| C 23.00 | MKR SA COM - Market risk: Standardised Approach for position risk in commodities |
| C 24.00 | MKR IM 1 - Market risk: Internal models - Total |
| C 25.00 | CVA - CVA RISK |
| C 32.02.a | Prudent valuation: Core approach – Pre and post diversification |
| C 32.02.c | Prudent valuation: Core approach – Other |
| C 33.00.b | General governments exposures by country of the counterparty and regulatory approach (Gov) |
| C 34.01.a | Size of the derivative business (CCR 1) (I) |
| C 34.01.b | Size of the derivative business (CCR 1) (II) |
| C 34.02 | CCR exposures by approach (CCR 2) |
| C 34.03 | CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3) |
| C 34.04 | CCR exposures treated with the original exposure method (OEM) (CCR 4) |
| C 34.05 | CCR exposures treated with the internal model method (IMM) (CCR 5) |
| C 34.06 | Top twenty counterparties (CCR 6) |
| C 34.07 | IRB approach – CCR exposures by exposure class and PD scale (CCR 7) |
| C 34.08.a | Composition of collateral for CCR exposures (CCR 8) (I) |
| C 34.08.b | Composition of collateral for CCR exposures (CCR 8) (II) |
| C 34.09 | Credit derivatives exposures (CCR 9) |
| C 34.11 | RWEA flow statements of CCR exposures under the IMM (CCR 11) |
| C 90.00 | Trading book and market risk thresholds (TBT) |
| C 91.00 | Alternative Standardised Approach: Summary (MKR ASA SUM) |
| F 02.00 | Statement of profit or loss |
| F 04.03.1 | Breakdown of financial assets by instrument and by counterparty sector: financial assets at fair value through other comprehensive income |
| F 04.04.1 | Breakdown of financial assets by instrument and by counterparty sector: financial assets at amortised cost |
| F 10.00 | Derivatives: Trading |
| F 11.01 | Derivatives - Hedge accounting: Breakdown by type of risk and type of hedge |
| F 11.02 | Derivatives - Hedge accounting under National GAAP: Breakdown by type of risk |
| F 11.04 | Hedged items in fair value hedges |
| F 16.01 | Breakdown of selected statement of profit or loss items: Interest income and expenses by instrument and counterparty sector |
| F 16.04 | Gains and losses on financial assets and liabilities held for trading by risk |
| I 04.00 | K-Factor requirement calculations |
| I 05.00 | Level of activity - Thresholds review |
| I 06.01 | Assets under management - AUM additional detail |
| I 06.02 | Average value of total monthly AUM |
| I 06.03 | Client money held - CMH additional detail |
| I 06.04 | Average value of total daily CMH |
| I 06.05 | Assets safeguarded and administered - ASA additional detail |
| I 06.06 | Average value of total daily ASA |
| I 06.07 | Client orders handled - COH additional detail |
| I 06.08 | Average value of total daily COH |
| I 06.09 | K-Net position risk - K-NPR additional detail |
| I 06.10 | Clearing Margin given - CMG additional detail |
| I 06.11 | Trading counterparty default - TCD additional detail |
| I 06.12 | Daily trading flow - DTF additional detail |
| I 06.13 | Average value of total daily DTF |
| I 07.00 | K-CON - additional detail |
| I 08.01 | Level of concentration risk - Client money held |
| I 08.02 | Level of concentration risk - Assets seafeguarded and administered |
| I 08.03 | Level of concentration risk -Total own cash deposited |
| I 08.04 | Level of concentration risk - Total earnings |
| I 11.03 | Information on subsidiaries undertakings |
| T 20.04.a | Critical functions - Capital Markets |
| T 20.04.w | Critical functions - Capital Markets (Country sub-region) |