Enumeration | Definition |
---|---|
CVA risk | The total CVA risk capital components should reconcile to total COREP CVA risk capital values at the reporting date. |
Market risk | This structured data template is to capture RWAs related to the trading book positions. Reported values should be in terms of RWA (i.e. own funds requirements multiplied by 12.5) in terms of reporting currency (captured in the submission header). Note that counterparty credit risk RWAs for default risk are captured elsewhere. The sum of the market risk capital components should reconcile to the total market risk capital COREP field at the reporting date. |