CODIS Common disclosures - DPM module | DPM Navigator

CODIS Common disclosures - DPM moduleDPM module CODIS Common disclosures: 102 tables in DPM release 4.4, including K_00.02, K_01.00.a, K_01.00.b, K_02.00, K_03.00, K_04.00.a.

K_00.02 Accompanying narrative CODIS

K_01.00.a EU CAE1 – Exposures to crypto-assets

K_01.00.b Template EU CAE1 – Exposures to crypto-assets

K_02.00 EU CCR1 – Analysis of CCR exposure by approach

K_03.00 EU CCR3 – Standardised approach – CCR exposures by regulatory exposure class and risk weights

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 EU CCR7 – RWEA flow statements of CCR exposures under the IMM

K_08.00 EU CCR8 – Exposures to CCPs

K_09.01 EU-SEC1 - Securitisation exposures in the non-trading book

K_09.02 EU-SEC2 - Securitisation exposures in the trading book

K_09.03 EU-SEC3 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as originator or as sponsor

K_09.04 EU-SEC4 - Securitisation exposures in the non-trading book and associated regulatory capital requirements - institution acting as investor

K_09.05 EU-SEC5 - Exposures securitised by the institution - Exposures in default and specific credit risk adjustments

K_10.00 EU MR1 - Market risk under the standardised approach

K_11.00.a EU MR2-A - Market risk under the internal Model Approach (IMA) - RWEA

K_11.00.b EU MR2-A - Market risk under the internal Model Approach (IMA) - Own funds requirements

K_12.00 EU MR2-B - RWA flow statements of market risk exposures under the IMA

K_13.00 EU MR3 - IMA values for trading portfolios

K_14.00 EU MR1 - Market risk under the alternative standardised approach (ASA)

K_15.00.a EU MR2 - Market risk under the alternative internal model approach (AIMA) - Risk components

K_15.00.b EU MR2 - Market risk under the alternative internal model approach (AIMA) - Number of back-testing overshootings

K_15.00.c EU MR2 - Market risk under the alternative internal model approach (AIMA) - Own funds requirements

K_16.00 EU MR3 - Market risk under the simplified standardised approach (SSA)

K_18.01.a EU CVA 1 – Credit valuation adjustment risk under the Reduced Basic Approach - OFR components (a)

K_18.01.b EU CVA 1 – Credit valuation adjustment risk under the Reduced Basic Approach - OFRs (b)

K_18.02.a EU CVA 2 – Credit valuation adjustment risk under the Full Basic Approach - OFRs

K_18.02.b EU CVA 2 – Credit valuation adjustment risk under the Full Basic Approach - Hedges

K_18.03 EU CVA3 – Credit valuation adjustment risk under the Standardised Approach

K_18.04 EU CVA4 – RWEA flow statements of credit valuation adjustment risk under the Standardised Approach

K_19.01 EU OR1 -Operational risk losses

K_19.02.a EU OR2 - Business Indicator, components and subcomponents .a

K_19.02.b EU OR2 - Business Indicator, components and subcomponents .b

K_19.02.c EU OR2 - Business indicator, components and subcomponents .c

K_19.02.d EU OR2 - Business Indicator, components and subcomponents .d

K_19.03 EU OR3 - Operational risk own funds requirements and risk exposure amounts

K_24.00 EU CR4 – standardised approach – Credit risk exposure and CRM effects

K_25.00 EU CR5 – standardised approach

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_27.01 EU CR7 – IRB approach – Effect on the RWEAs of credit derivatives used as CRM techniques

K_27.02.a EU CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques (a)

K_27.02.b EU CR7-A – IRB approach – Disclosure of the extent of the use of CRM techniques (b)

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_29.01.b 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) (II)

K_29.02.a EU CR10 – Specialised lending and equity exposures (i)

K_29.02.b EU CR 10.5 - Specialised lending and equity exposures (ii)

K_29.02.c EU CR10 – Specialised lending and equity exposures under the simple riskweighted approach (iii)

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)

K_60.00.c EU OV1 – Overview of total risk exposure amounts (III)

K_61.00 EU KM1 - Key metrics template

K_62.01 EU INS1 - Insurance participations

K_62.02 EU INS2 - Financial conglomerates information on own funds and capital adequacy ratio

K_63.01.a EU CMS1 – Comparison of modelled and standardised risk weighted exposure amounts at risk level (a)

K_63.01.b EU CMS1 – Comparison of modelled and standardised risk weighted exposure amounts at risk level (b)

K_63.01.c EU CMS1 – Comparison of modelled and standardised risk weighted exposure amounts at risk level (c)

K_63.01.d EU CMS1 – Comparison of modelled and standardised risk weighted exposure amounts at risk level (d)

K_63.01.e EU CMS1 – Comparison of modelled and standardised risk weighted exposure amounts at risk level (e)

K_63.02.a EU CMS2 – Comparison of modelled and standardised risk weighted exposure amounts for credit risk at asset class level (a)

K_63.02.b EU CMS2 – Comparison of modelled and standardised risk weighted exposure amounts for credit risk at asset class level (b)

K_63.02.c EU CMS2 – Comparison of modelled and standardised risk weighted exposure amounts for credit risk at asset class level (c)

K_64.01.a EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories (a)

K_64.01.b EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories (b)

K_64.01.c EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories (c)

K_64.01.d EU LI1 - Differences between the accounting scope and the scope of prudential consolidation and mapping of financial statement categories with regulatory risk categories (d)

K_64.02 EU LI3 - Outline of the differences in the scopes of consolidation (entity by entity)

K_64.03.a EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements (a)

K_64.03.b EU LI2 - Main sources of differences between regulatory exposure amounts and carrying values in financial statements (b)

K_65.00 EU PV1: Prudent valuation adjustments (PVA)

K_66.01.a EU CC1 - Composition of regulatory own funds (a)

K_66.01.b EU CC1 - Composition of regulatory own funds (b)

K_66.02.a EU CC2 - reconciliation of regulatory own funds to balance sheet in the audited financial statements (a)

K_66.02.b EU CC2 - reconciliation of regulatory own funds to balance sheet in the audited financial statements (b)

K_66.02.c EU CC2 - reconciliation of regulatory own funds to balance sheet in the audited financial statements (c)

K_66.02.d EU CC2 - reconciliation of regulatory own funds to balance sheet in the audited financial statements (d)

K_66.02.e EU CC2 - reconciliation of regulatory own funds to balance sheet in the audited financial statements (e)

K_66.02.f EU CC2 - reconciliation of regulatory own funds to balance sheet in the audited financial statements (f)

K_67.01.a EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (a)

K_67.01.b EU CCyB1 - Geographical distribution of credit exposures relevant for the calculation of the countercyclical buffer (b)

K_67.02 EU CCyB2 - Amount of institution-specific countercyclical capital buffer

K_70.00 EU LR1 - LRSum: Summary reconciliation of accounting assets and leverage ratio exposures

K_71.00 EU LR2 - LRCom: Leverage ratio common disclosure

K_72.00 EU LR3 - LRSpl: Split-up of on balance sheet exposures (excluding derivatives, SFTs and exempted exposures)

K_73.00.a EU LIQ1 - Quantitative information of LCR (a)

K_73.00.b EU LIQ1 - Quantitative information of LCR (b)

K_73.00.c EU LIQ1 - Quantitative information of LCR (c)

K_73.00.d EU LIQ1 - Quantitative information of LCR (d)

K_73.00.e EU LIQ1 - Quantitative information of LCR (e)

K_74.00.a EU LIQ2: Net Stable Funding Ratio (a)

K_74.00.b EU LIQ2: Net Stable Funding Ratio (b)

K_74.00.c EU LIQ2: Net Stable Funding Ratio (c)

K_74.00.d EU LIQ2: Net Stable Funding Ratio (d)

K_74.00.e EU LIQ2: Net Stable Funding Ratio (e)

K_74.00.f EU LIQ2: Net Stable Funding Ratio (f)

K_75.00 EU SB1 - Aggregate exposure to shadow banking entities

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