C 34.03 - CCR exposures treated with standardised approaches: SA-CCR or simplified SA-CCR (CCR 3)





CurrencySecond currency in pairNumber of transactionsNotional amountsCurrent market value (CMV), positiveCurrent market value (CMV), negativeAdd-on
CodeLabel0010002000300040005000600070
0010Total457167456625457630457776457888
0020Of which: mapped to 2 risk categories457159456617457622457768
0030Of which: mapped to 3 risk categories457160456618457623457769
0040Of which: mapped to more than 3 risk categories457161456619457624457770
0050Interest rate risk457169456627457632457778457890
0060Of which: mapped exclusively to interest rate risk category457162456620457625457771
0070Of which: largest currency456955457101456546457564457710457853
0080Of which: 2nd largest currency456959457105456550457568457714457857
0090Of which: 3rd largest currency456963457109456554457572457718457861
0100Of which: 4th largest currency456967457113456558457576457722457865
0110Of which: 5th largest currency456971457117456562457580457726457869
0120Foreign exchange risk457172456630457635457781457893
0130Of which: mapped exclusively to foreign exchange risk category457163456621457626457772
0140Of which: largest currency pair456956457842457102456547457565457711457854
0150Of which: 2nd largest currency pair456960457844457106456551457569457715457858
0160Of which: 3rd largest currency pair456964457846457110456555457573457719457862
0170Of which: 4th largest currency pair456968457848457114456559457577457723457866
0180Of which: 5th largest currency pair456972457850457118456563457581457727457870
0190Credit risk457168456626457631457777457889
0200Of which: mapped exclusively to credit risk category457164456622457627457773
0210Single-name transactions457121456579457584457730
0220Multi-names transactions457125456583457588457734
0230Equity risk457171456629457634457780457892
0240Of which: mapped exclusively to equity risk category457165456623457628457774
0250Single-name transactions457122456580457585457731
0260Multi-names transactions457126456584457589457735
0270Commodity risk457170456628457633457779457891
0280Of which: mapped exclusively to commodity risk category457166456624457629457775
0290Energy457128456586457591457737457872
0300Metals457130456588457593457739457874
0310Agricultural goods457132456590457595457741457876
0320Climatic conditions457134456592457597457743457878
0330Other commodities457136456594457599457745457880
0340Other risks457173456631457636457782457894




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.
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
Methods to determine exposure values
Approach - Approach used for the calculation of capital requirements (or exposure value in LR)
Risk categories mapped
Type of risk - Indicates the type of risk arising from exposures or transactions (e.g. credit risk or market risk).
Type of risk (Subtype)
Type of risk - Indicates the type of risk arising from exposures or transactions (e.g. credit risk or market risk).
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).