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 non-reporting currencies subject to special treatment for matched positions)Own funds requirementsTotal risk exposure amount
LongShortLongShortLongShortMatched
CodeLabel002000300040005000600070008000900100
0010TOTAL POSITIONS789267892778928789297893078932789317892478925
0020Currencies closely correlated245432454424557245582457124537
0025Of which: reporting currency235680235681235682
0030All other currencies (including CIUs treated as different currencies)24545245462455924560245722457324538
0040Gold24547245482456124562245742457524539
0050Additional requirements for options (non-delta risks)15207
0060Simplified method43187
0070Delta plus approach - additional requirements for gamma risk43188
0080Delta plus approach - additional requirements for vega risk43189
0085Delta plus approach - non-continuous options and warrants409464
0090Scenario matrix approach43190
0095 - BREAKDOWN OF TOTAL POSITIONS (REPORTING CURRENCY INCLUDED) BY EXPOSURE TYPES
0100Other assets and liabilities other than off-balance sheet items and derivatives2455324554
0110Off-balance sheet items2455524556
0120Derivatives2454924550
0125 - Memorandum items: CURRENCY POSITIONS
0130Euro49844498454990249903
0140Lek49826498274988449885
0150Argentine Peso49828498294988649887
0160Australian Dollar49830498314988849889
0170Brazilian Real49832498334989049891
0180Bulgarian Lev49834498354989249893
0190Canadian Dollar49836498374989449895
0200Czech Koruna49838498394989649897
0210Danish Krone49840498414989849899
0220Egyptian Pound49842498434990049901
0230Pound Sterling49846498474990449905
0240Forint49848498494990649907
0250Yen49850498514990849909
0270Lithuanian Litas49854498554991249913
0280Denar108837108838108839108840
0290Mexican Peso49856498574991449915
0300Zloty49860498614991849919
0310Romanian Leu49862498634992049921
0320Russian Ruble49864498654992249923
0330Serbian Dinar49866498674992449925
0340Swedish Krona49868498694992649927
0350Swiss Franc49870498714992849929
0360Turkish Lira49872498734993049931
0370Hryvnia49874498754993249933
0380US Dollar49876498774993449935
0390Iceland Krona49878498794993649937
0400Norwegian Krone49880498814993849939
0410Hong Kong Dollar109177109178109189109190
0420New Taiwan Dollar109179109180109191109192
0430New Zealand Dollar109181109182109193109194
0440Singapore Dollar109183109184109195109196
0450Won109185109186109197109198
0460Yuan Renminbi109187109188109199109200
0470Other49858498594991649917
0480Croatian 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).