COREP_FRTB FRTB - COREP - DPM module | DPM Navigator

COREP_FRTB FRTB - COREP - DPM moduleDPM module COREP_FRTB FRTB - COREP: 32 tables in DPM release 4.4, including C_00.01, C_24.01, C_90.00, C_91.00, C_91.01, C_92.01.

C_00.01 Nature of Report (COREP)

C_24.01 Trading book-Banking book boundary: Reclassifications between books (MKR MOV)

C_90.00 Trading book and market risk thresholds (TBT)

C_91.00 Alternative Standardised Approach: Summary (MKR ASA SUM)

C_91.01 Alternative Standardised Approach: Summary (MKR ASA SUM)

C_92.01 Alternative standardised approach: SBM - GENERAL INTEREST RATE RISK (GIRR) (MKR SBM GIRR)

C_92.02 Alternative standardised approach: SBM - CREDIT SPREAD RISK FOR NON-SECURITISATIONS (MKR SBM CSR)

C_92.03 ALTERNATIVE STANDARDISED APPROACH: SBM - CREDIT SPREAD RISK FOR SECURITISATION NOT INCLUDED IN THE ALTERNATIVE CORRELATION TRADING PORTFOLIO (NON-ACTP CSR) (MKR SBM non-ACTP CSR)

C_92.04 ALTERNATIVE STANDARDISED APPROACH: SBM CREDIT SPREAD RISK FOR SECURITISATION INCLUDED IN THE ALTERNATIVE CORRELATION TRADING

C_92.05 ALTERNATIVE STANDARDISED APPROACH: SBM - EQUITY RISK (EQU) (MKR SBM EQU)

C_92.06 C 92.06 ALTERNATIVE STANDARDISED APPROACH: SBM - COMMODITY RISK (COM) (MKR SBM COM)

C_92.07.1 ALTERNATIVE STANDARDISED APPROACH: SBM - FOREIGN EXCHANGE RISK (FX) - DELTA AND CURVATURE RISK (MKR SBM FX1)

C_92.07.2 ALTERNATIVE STANDARDISED APPROACH: SBM - FOREIGN EXCHANGE RISK (FX) - VEGA RISK (MKR SBM FX2)

C_93.00.a Alternative Standardised Approach: Residual Risk Add-On (MKR ASA RRAO) (a)

C_93.00.b Alternative Standardised Approach: Residual Risk Add-On (MKR ASA RRAO) (b)

C_94.01 Alternative Standardised Approach: Default risk charge - Instruments other than securitisations, not included in the alternative correlation trading portfolio (MKR ASA DRC1)

C_94.02 Alternative Standardised Approach: Default risk charge - Securitisations, not included in the alternative correlation trading portfolio (non-ACTP) (MKR ASA DRC2)

C_94.03 Alternative Standardised Approach: Default risk charge - Instruments included in the alternative correlation trading portfolio (MKR ASA DRC3)

C_95.00.a Alternative internal model approach: Summary of own funds requirements (MKR AIMA SUM) (a)

C_95.00.b Alternative internal model approach: Summary of own funds requirements (MKR AIMA SUM) (b)

C_96.01.1 Alternative internal model approach: Risk factor eligibility test (MKR AIMA RFET)

C_96.02 Alternative internal model approach: Daily risk measures (MKR AIMA DRM)

C_96.03 Alternative internal model approach: Partial expected shortfalls (MKR AIMA PES)

C_96.04.1 Alternative internal model approach: Back-testing at institution level (MKR AIMA BTI)

C_96.04.2 Alternative internal model approach: Back-testing at trading desk level and profit and loss attribution test (PLAT) (MKR AIMA BTTD)

C_96.05.1 Alternative internal model approach: Stress scenario risk measure (SSRM) - Own funds requirements (MKR AIMA SSRM1)

C_97.00 Alternative internal model approach: Trading desk structure (MKR AIMA TDS)

C_98.01.1 Alternative internal model approach: Default risk charge - Breakdown by probability of default (MKR AIMA DRC1)

C_98.01.2 Alternative internal model approach: Default risk charge - Breakdown by LGD (MKR AIMA DRC2)

C_98.02.1 Alternative internal model approach: Default risk charge - 25 most significant issuers (MKR AIMA CORR1)

C_98.02.2 Alternative internal model approach: Default risk charge - 25 most significant issuers - Correlations (MKR AIMA CORR1)

C_99.00 Market risk: P&L information (MKR PL)

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