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). |
| x10 - Banking and trading book (Reports:C 02.00; C 04.00; C 07.00.a; C 07.00.b; C 07.00.d; C 08.01.a; C 08.01.b; C 08.02; C 08.03; C 08.04; C 08.05; C 08.05.1.a; ) |
| x11 - Banking book (Reports:C 02.00; C 07.00.a; C 07.00.b; C 07.00.c; C 09.04; C 10.01; C 11.00; C 13.01; C 15.00; C 28.00; C 29.00; C 35.01; ) |
| x51 - Trading book (Reports:C 02.00; C 09.04; C 11.00; C 120.04; C 120.05; C 120.06; C 14.01; C 18.00; C 19.00; C 20.00; C 21.00; C 22.00; ) |
| x698 - Portfolios under Core approach.Main (Reports:C 32.02.a; C 32.02.b; C 32.02.c; C 32.03; C 32.04; ) |
| x699 - Portfolios under Core approach.Fallback (Reports:C 32.02.a; C 32.02.c; ) |
| x99 - Portfolios under Core approach (Reports:C 32.02.a; C 32.02.c; ) |
| x100 - Portfolios under Core approach.Trading book (Reports:C 32.02.a; C 32.02.c; ) |
| C 02.00 | CA 2 - Capital Adequacy - Risk Exposure Amounts |
| C 04.00 | CA 4 - Capital Adequacy - Memorandum Items |
| 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 11.00 | CR SETT - Settlement/Delivery risk |
| C 120.01 | SBM. Risk sensitivities by Instrument/Portfolio |
| C 120.02 | SBM. OFR Composition by Portfolio |
| C 120.04 | DRC. Market values and gross JTD amounts by Instrument/Portfolio |
| C 120.05 | DRC. OFR Composition by Portfolio |
| C 120.06 | ASA. OFR |
| C 13.01 | CR SEC - (CR SEC) Credit risk: Securitisations |
| C 14.01 | CR SEC Details - (CR SEC Details) Detailed information on securitisations by approach |
| C 15.00 | CR IP Losses - Exposures and losses from lending collateralised immovable property |
| 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 28.00 | LE 2 - Exposures in the non-trading and trading book |
| C 29.00 | LE 3 - Detail of the exposures to individual clients within groups of connected clients |
| C 32.01 | Prudent valuation. Fair-Valued assets and liabilities |
| C 32.02.a | Prudent valuation: Core approach – Pre and post diversification |
| C 32.02.b | Prudent valuation: Core approach - AVAs assessed to have zero value |
| C 32.02.c | Prudent valuation: Core approach – Other |
| C 32.03 | Prudent valuation. Model risk AVA |
| C 32.04 | Prudent valuation. Concentrated positions AVA |
| 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 34.10 | Exposures to CCPs (CCR 10) |
| C 34.11 | RWEA flow statements of CCR exposures under the IMM (CCR 11) |
| C 35.01 | NPE loss coverage: Calculation of deductions for non-performing exposures (NPE LC1) |
| C 35.02 | NPE loss coverage: Minimum coverage requirements and exposure values of non-performing exposure excluding forborne exposures that fall under article 47c (6) CRR (NPE LC2) |
| C 35.03 | NPE loss coverage: Minimum coverage requirements and exposure values of non-performing forborne exposures that fall under article 47c (6) CRR (NPE LC3) |
| C 43.00.a | LR4 - Breakdown of leverage ratio exposure measure components: Off-balance sheet items, derivatives, SFTs and trading book |
| C 43.00.b | LR4 - Breakdown of leverage ratio exposure measure components: Other non-trading book exposures (SA) |
| C 43.00.c | LR4 - Breakdown of leverage ratio exposure measure components: Other non-trading book exposures (IRB) |
| C 90.00 | Trading book and market risk thresholds (TBT) |
| C 91.00 | Alternative Standardised Approach: Summary (MKR ASA SUM) |
| G 01.00 | G-SII indicators and EBU items (G-SII) |
| I 06.09 | K-Net position risk - K-NPR additional detail |
| I 07.00 | K-CON - additional detail |
| I 08.04 | Level of concentration risk - Total earnings |
| I 08.05 | Trading book exposures |
| I 08.06 | Non-trading book and off-balance sheet items |
| J 01.00 | Evaluation of the IRRBB: EVE/NII SOT and MV changes |
| J 02.00 | Breakdown of sensitivity estimates |
| J 03.00 | Breakdown of sensitivity estimates (simplified for 'other' institutions) |
| J 04.00 | Breakdown of sensitivity estimates (simplified for SNCIS) |
| J 05.00.a | Repricing cash flows (I) |
| J 05.00.b | Repricing cash flows (II) |
| J 06.00.a | Repricing cash flows (simplified for 'other' institutions) (I) |
| J 06.00.b | Repricing cash flows (simplified for 'other' institutions) (II) |
| J 07.00.a | Repricing cash flows (simplified for SNCIS) (I) |
| J 07.00.b | Repricing cash flows (simplified for SNCIS) (II) |
| J 08.00.a | Relevant parameters (I) |
| J 09.00.a | Relevant parameters (simplified for SNCIS and 'other' institutions) (I) |
| J 10.01 | General qualitative information |
| J 10.02 | Qualitative information "currency by currency" |
| J 11.01 | General qualitative information (simplified for SNCIS and 'other' institutions) |
| J 11.02 | Qualitative information "currency by currency" (simplified for SNCIS and 'other' institutions) |
| K 04.00.a | EU CCR4 – IRB approach – CCR exposures by exposure class and PD scale (I) |
| K 04.00.b | EU CCR4 – IRB approach – CCR exposures by exposure class and PD scale (II) |
| K 05.00.a | EU CCR5 – Composition of collateral for CCR exposures (I) |
| K 05.00.b | EU CCR5 – Composition of collateral for CCR exposures (II) |
| K 06.00 | EU CCR6 – Credit derivatives exposures |
| K 07.00.a | EU CCR7 – RWEA flow statements of CCR exposures under the IMM (I) |
| K 08.00 | EU CCR8 – Exposures to CCPs |
| K 26.00.a | EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range (I) |
| K 26.00.b | EU CR6 – IRB approach – Credit risk exposures by exposure class and PD range (II) |
| K 26.01 | EU CR6-A – Scope of the use of IRB and SA approaches |
| K 28.00 | EU CR8 – RWEA flow statements of credit risk exposures under the IRB approach |
| K 29.00 | EU CR9 –IRB approach – Back-testing of PD per exposure class (fixed PD scale) |
| K 29.01.a | EU CR9.1 –IRB approach – Back-testing of PD per exposure class (only for PD estimates according to point (f) of Article 180(1) CRR) (I) |
| K 60.00.a | EU OV1 – Overview of total risk exposure amounts (I) |
| K 60.00.b | EU OV1 – Overview of total risk exposure amounts (II) |