Risk Quantum: Data points

Data points

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Data point Definition Category Source Notes
Datapoint Definition Category Source Notes
CET1 capital (Standardised approach) Comprises common shares issued by the bank that meet the criteria for classification as common shares for regulatory purposes, stock surplus (share premium) resulting from the issue of instruments included in CET1 capital, retained earnings, accumulated other comprehensive income and other disclosed reserves, common shares issued by consolidated subsidiaries of the bank and held by third parties, regulatory adjustments. The bank's highest-quality capital and the first loss-absorbing layer. Capital adequacy FR Y-9C filings Only disclosed by US banks
AT1 capital (Standardised approach) Comprises instruments issued by the bank that meet the criteria for inclusion in AT1 capital and are not included in CET1 capital, stock surplus (share premium) resulting from the issue of instruments included in AT1 capital, instruments issued by consolidated subsidiaries of the bank and held by third parties that meet the criteria for inclusion in AT1 capital and are not included in CET1 capital, regulatory adjustments The bank's second loss-absorbing layer. Capital adequacy FR Y-9C filings Only disclosed by US banks
Tier 1 capital (Standardised approach) Comprises permanent shareholders’ equity and disclosed reserves and minority interests in subsidiaries less than wholly owned, after distribution of net profit or loss. It excludes cumulative preference shares and revaluation reserves. The bank's sum of CET1 capital and AT1 capital, meant to absorb losses while the bank is a going concern. Capital adequacy FR Y-9C filings Only disclosed by US banks
Tier 2 capital (Standardised approach) Comprises instruments issued by the bank that meet the criteria for inclusion in Tier 2 capital and are not included in Tier 1 capital, stock surplus (share premium) resulting from the issue of instruments included in Tier 2 capital, instruments issued by consolidated subsidiaries of the bank and held by third parties that meet the criteria for inclusion in Tier 2 capital and are not included in Tier 1 capital, certain loan-loss provisions (for up to 1.25% of standardised approach RWAs) and regulatory adjustments. The bank's last loss-absorbing layer as a gone concern before depositors and other creditors. Capital adequacy FR Y-9C filings Only disclosed by US banks
Total capital (Standardised approach) The sum of CET1 capital, AT1 capital and Tier 2 capital, calculated according to the Basel framework. Capital adequacy FR Y-9C filings Only disclosed by US banks
CET1 capital ratio (Standardised approach) CET1 capital divided by RWAs, calculated according to the Basel framework. Capital adequacy FR Y-9C filings Only disclosed by US banks
Tier 1 capital ratio (Standardised approach) Tier 1 capital divided by total RWAs, calculated according to the Basel framework. Capital adequacy FR Y-9C filings Only disclosed by US banks
Total capital ratio (Standardised approach) Total capital divided by total RWAs, calculated according to the Basel framework. Capital adequacy FR Y-9C filings Only disclosed by US banks
CET1 capital (Advanced approach) Comprises common shares issued by the bank that meet the criteria for classification as common shares for regulatory purposes, stock surplus (share premium) resulting from the issue of instruments included in CET1 capital, retained earnings, accumulated other comprehensive income and other disclosed reserves, common shares issued by consolidated subsidiaries of the bank and held by third parties, regulatory adjustments. The bank's highest-quality capital and the first loss-absorbing layer. Capital adequacy FR Y-9C filings Only disclosed by US banks subject to the advanced approaches rules
AT1 capital (Advanced approach) Comprises instruments issued by the bank that meet the criteria for inclusion in AT1 capital and are not included in CET1 capital, stock surplus (share premium) resulting from the issue of instruments included in AT1 capital, instruments issued by consolidated subsidiaries of the bank and held by third parties that meet the criteria for inclusion in AT1 capital and are not included in CET1 capital, regulatory adjustments. The bank's second loss-absorbing layer. Capital adequacy FR Y-9C filings Only disclosed by US banks subject to the advanced approaches rules
Tier 1 capital (Advanced approach) Comprises permanent shareholders’ equity and disclosed reserves and minority interests in subsidiaries less than wholly owned, after distribution of net profit or loss. It excludes cumulative preference shares and revaluation reserves. The bank's sum of CET1 capital and AT1 capital, meant to absorb losses while the bank is a going concern. Capital adequacy FR Y-9C filings Only disclosed by US banks subject to the advanced approaches rules
Tier 2 capital (Advanced approach) Comprises instruments issued by the bank that meet the criteria for inclusion in Tier 2 capital and are not included in Tier 1 capital, stock surplus (share premium) resulting from the issue of instruments included in Tier 2 capital, instruments issued by consolidated subsidiaries of the bank and held by third parties that meet the criteria for inclusion in Tier 2 capital and are not included in Tier 1 capital, certain loan-loss provisions (for up to 1.25% of standardised approach RWAs) and regulatory adjustments. Includes excess eligible credit reserves for up to 0.6% of advanced approach credit RWAs. The bank's last loss-absorbing layer as a gone concern before depositors and other creditors. Capital adequacy FR Y-9C filings Only disclosed by US banks subject to the advanced approaches rules
Total capital (Advanced approach) The sum of CET1 capital, AT1 capital and Tier 2 capital, calculated according to the bank's internal models. Capital adequacy FR Y-9C filings Only disclosed by US banks subject to the advanced approaches rules
CET1 capital ratio (Advanced approach) CET1 capital divided by total RWAs, calculated according to the bank's internal models. Capital adequacy FR Y-9C filings Only disclosed by US banks subject to the advanced approaches rules
Tier 1 capital ratio (Advanced approach) Tier 1 capital divided by total RWAs, calculated according to the bank's internal models. Capital adequacy FR Y-9C filings Only disclosed by US banks subject to the advanced approaches rules
Total capital ratio (Advanced approach) Total capital divided by total RWAs, calculated according to the bank's internal models. Capital adequacy FR Y-9C filings Only disclosed by US banks subject to the advanced approaches rules
CET1 capital (Transitional position) Comprises common shares issued by the bank that meet the criteria for classification as common shares for regulatory purposes, stock surplus (share premium) resulting from the issue of instruments included in CET1 capital, retained earnings, accumulated other comprehensive income and other disclosed reserves, common shares issued by consolidated subsidiaries of the bank and held by third parties, regulatory adjustments. The bank's highest-quality capital – inclusive of transitional add-backs for IFRS 9 provisions – and the first loss-absorbing layer. Capital adequacy Pillar 3 reports Not disclosed by US banks
AT1 capital (Transitional position) Comprises instruments issued by the bank that meet the criteria for inclusion in AT1 capital and are not included in CET1 capital, stock surplus (share premium) resulting from the issue of instruments included in AT1 capital, instruments issued by consolidated subsidiaries of the bank and held by third parties that meet the criteria for inclusion in AT1 capital and are not included in CET1 capital, regulatory adjustments. The bank's second loss-absorbing layer – inclusive of transitional add-backs for IFRS 9 provisions. Capital adequacy Pillar 3 reports Not disclosed by US banks
Tier 1 capital (Transitional position) Comprises permanent shareholders’ equity and disclosed reserves and minority interests in subsidiaries less than wholly owned, after distribution of net profit or loss. It excludes cumulative preference shares and revaluation reserves. The bank's sum of CET1 capital and AT1 capital – inclusive of transitional add-backs for IFRS 9 provisions – meant to absorb losses while the bank is a going concern. Capital adequacy Pillar 3 reports Not disclosed by US banks
Tier 2 capital (Transitional position) Comprises instruments issued by the bank that meet the criteria for inclusion in Tier 2 capital and are not included in Tier 1 capital, stock surplus (share premium) resulting from the issue of instruments included in Tier 2 capital, instruments issued by consolidated subsidiaries of the bank and held by third parties that meet the criteria for inclusion in Tier 2 capital and are not included in Tier 1 capital, certain loan-loss provisions (for up to 1.25% of standardised approach RWAs) and regulatory adjustments. The bank's last loss-absorbing layer as a gone concern before depositors and other creditors – inclusive of transitional add-backs for IFRS 9 provisions. Capital adequacy Pillar 3 reports Not disclosed by US banks
Total capital (Transitional position) Sum of CET1 capital, AT1 capital and Tier 2 capital – inclusive of transitional add-backs for IFRS 9 provisions – calculated according to the Basel framework. Capital adequacy Pillar 3 reports Not disclosed by US banks
CET1 capital ratio (Transitional position) CET1 capital divided by RWAs – inclusive of transitional add-backs for IFRS 9 provisions – calculated according to the Basel framework. Capital adequacy Pillar 3 reports Not disclosed by US banks
Tier 1 capital ratio (Transitional position) Tier 1 capital divided by total RWAs – inclusive of transitional add-backs for IFRS 9 provisions – calculated according to the Basel framework. Capital adequacy Pillar 3 reports Not disclosed by US banks
Total capital ratio (Transitional position) Total capital divided by total RWAs – inclusive of transitional add-backs for IFRS 9 provisions – calculated according to the Basel framework. Capital adequacy Pillar 3 reports Not disclosed by US banks
CET1 capital (Fully loaded position) Comprises common shares issued by the bank that meet the criteria for classification as common shares for regulatory purposes, stock surplus (share premium) resulting from the issue of instruments included in CET1 capital, retained earnings, accumulated other comprehensive income and other disclosed reserves, common shares issued by consolidated subsidiaries of the bank and held by third parties, regulatory adjustments. The bank's highest-quality capital – without transitional add-backs for IFRS 9 provisions – and the first loss-absorbing layer. Capital adequacy Pillar 3 reports Not disclosed by US banks
AT1 capital (Fully loaded position) Comprises instruments issued by the bank that meet the criteria for inclusion in AT1 capital and are not included in CET1 capital, stock surplus (share premium) resulting from the issue of instruments included in AT1 capital, instruments issued by consolidated subsidiaries of the bank and held by third parties that meet the criteria for inclusion in AT1 capital and are not included in CET1 capital, regulatory adjustments. The bank's second loss-absorbing layer – without transitional add-backs for IFRS 9 provisions. Capital adequacy Pillar 3 reports Not disclosed by US banks
Tier 1 capital (Fully loaded position) Comprises permanent shareholders’ equity and disclosed reserves and minority interests in subsidiaries less than wholly owned, after distribution of net profit or loss. It excludes cumulative preference shares and revaluation reserves. The bank's sum of CET1 capital and AT1 capital – without transitional add-backs for IFRS 9 provisions – meant to absorb losses while the bank is a going concern. Capital adequacy Pillar 3 reports Not disclosed by US banks
Tier 2 capital (Fully loaded position) Comprises instruments issued by the bank that meet the criteria for inclusion in Tier 2 capital and are not included in Tier 1 capital, stock surplus (share premium) resulting from the issue of instruments included in Tier 2 capital, instruments issued by consolidated subsidiaries of the bank and held by third parties that meet the criteria for inclusion in Tier 2 capital and are not included in Tier 1 capital, certain loan-loss provisions (for up to 1.25% of standardised approach RWAs) and regulatory adjustments. The bank's last loss-absorbing layer as a gone concern before depositors and other creditors – without transitional add-backs for IFRS 9 provisions. Capital adequacy Pillar 3 reports Not disclosed by US banks
Total capital (Fully loaded position) Sum of CET1 capital, AT1 capital and Tier 2 capital – without transitional add-backs for IFRS 9 provisions – calculated according to the Basel framework. Capital adequacy Pillar 3 reports Not disclosed by US banks
CET1 capital ratio (Fully loaded position) CET1 capital divided by RWAs – without transitional add-backs for IFRS 9 provisions – calculated according to the Basel framework. Capital adequacy Pillar 3 reports Not disclosed by US banks
Tier 1 capital ratio (Fully loaded position) Tier 1 capital divided by total RWAs – without transitional add-backs for IFRS 9 provisions – calculated according to the Basel framework. Capital adequacy Pillar 3 reports Not disclosed by US banks
Total capital ratio (Fully loaded position) Total capital divided by total RWAs – without transitional add-backs for IFRS 9 provisions – calculated according to the Basel framework. Capital adequacy Pillar 3 reports Not disclosed by US banks
Credit risk (Standardised approach) Risk of a borrower defaulting on a loan or related financial obligation, calculated according to the Basel framework. Risk-weighted assets FR Y-9C, FFIEC 101 filings Only disclosed by US banks
Market risk (Standardised approach) Risk of losses on financial investments caused by adverse price movements, calculated according to the Basel framework. Risk-weighted assets FR Y-9C, FFIEC 101 filings Only disclosed by US banks
Total risk-weighted assets (Standardised approach) Bank's total RWAs, calculated according to the Basel framework. Risk-weighted assets FR Y-9C, FFIEC 101 filings Only disclosed by US banks
Credit risk (Advanced approach) Risk of a borrower defaulting on a loan or related financial obligation, calculated according to the bank's internal models. Risk-weighted assets FR Y-9C, FFIEC 101 filings Only disclosed by US banks subject to the advanced approaches rules
Market risk (Advanced approach) Risk of losses on financial investments caused by adverse price movements, calculated according to the bank's internal models. Risk-weighted assets FR Y-9C, FFIEC 101 filings Only disclosed by US banks subject to the advanced approaches rules
Operational risk (Advanced approach) Risk that a firm’s internal practices, policies and systems are inadequate to prevent a loss being incurred, either because of market conditions or operational difficulties, calculated according to the bank's internal models. Such deficiencies may arise from failure to measure or report risk correctly, or from a lack of controls over trading staff. Risk-weighted assets FR Y-9C, FFIEC 101 filings Only disclosed by US banks subject to the advanced approaches rules
CVA simple (Advanced approach) Change to the market value of derivative instruments to account for counterparty credit risk. It represents the discount to the standard derivative value that a buyer would offer after taking into account the possibility of a counterparty’s default. The simple approach applies internally calculated probabilities of default to a supervisory formula. Risk-weighted assets FR Y-9C, FFIEC 101 filings Only disclosed by US banks subject to the advanced approaches rules
CVA advanced (Advanced approach) Change to the market value of derivative instruments to account for counterparty credit risk. It represents the discount to the standard derivative value that a buyer would offer after taking into account the possibility of a counterparty’s default. The simple approach applies internally calculated probabilities of default to a supervisory formula. The advanced approach uses the VAR model that also underpins market RWAs. Risk-weighted assets FR Y-9C, FFIEC 101 filings Only disclosed by US banks subject to the advanced approaches rules
Excess eligible credit reserves not included in Tier 2 capital (Advanced approach) Excess loan-loss reserves – ie amounts above expected credit loss – beyond the maximum that can be included in Tier 2 capital. Risk-weighted assets FR Y-9C, FFIEC 101 filings Only disclosed by US banks subject to the advanced approaches rules
Total risk-weighted assets (Advanced approach) Bank's total RWAs, calculated according to its internal models. Risk-weighted assets FR Y-9C, FFIEC 101 filings Only disclosed by US banks subject to the advanced approaches rules
Credit risk Risk of a borrower defaulting on a loan or related financial obligation. Expressed as the sum of credit RWAs calculated according to both the Basel framework and the bank's internal models where applicable. Risk-weighted assets Pillar 3 reports, OV1 template Not disclosed by US banks
Counterparty credit risk (CCR) Risk of one or more parties in a financial transaction defaulting on or otherwise failing to meet their obligations on that trade. Expressed as the sum of counterparty credit RWAs calculated according to both the Basel framework and the bank's internal models where applicable. Risk-weighted assets Pillar 3 reports, OV1 template Not disclosed by US banks
Credit valuation adjustment (CVA) Change to the market value of derivative instruments to account for counterparty credit risk. It represents the discount to the standard derivative value that a buyer would offer after taking into account the possibility of a counterparty’s default, calculated according to the Basel framework. Risk-weighted assets Pillar 3 reports, OV1 template Only disclosed by Swiss, Canadian banks
Equity positions under the simple risk-weight approach and internal models method Amount of RWAs where the bank applies the simple risk-weight approach or the internal model method to calculate their equity positions. Risk-weighted assets Pillar 3 reports, OV1 template Only disclosed by Swiss, Canadian, Japanese banks
Equity investments in funds Amount of RWAs linked to equity investments in funds, calculated according to the Basel framework. Risk-weighted assets Pillar 3 reports, OV1 template Only disclosed by Swiss, Canadian, Japanese banks
Settlement risk Risk that arises when payments are not exchanged simultaneously, calculated according to the Basel framework. Risk-weighted assets Pillar 3 reports, OV1 template Not disclosed by US banks
Securitisation exposures in the banking book Securitisation exposures can include, but are not restricted to, the following: asset-backed securities, mortgage-backed securities, credit enhancements, liquidity facilities, interest rate or currency swaps, credit derivatives and tranched cover. Reserve accounts, such as cash collateral accounts, recorded as an asset by the originating bank are also treated as securitisation exposures. They refer to retained or purchased exposures and not to underlying pools. Risk-weighted assets Pillar 3 reports, OV1 template Only disclosed by Swiss, Canadian, Japanese banks
Market risk Risk of losses on financial investments caused by adverse price movements. Expressed as the sum of market RWAs calculated according to both the Basel framework and the bank's internal models where applicable. Risk-weighted assets Pillar 3 reports, OV1 template Not disclosed by US banks
Operational risk Risk that a firm’s internal practices, policies and systems are not adequate to prevent a loss being incurred, either because of market conditions or operational difficulties. Such deficiencies may arise from failure to measure or report risk correctly, or from a lack of controls over trading staff. Expressed as the sum of operational RWAs calculated according to both the Basel framework and the bank's internal models where applicable. Risk-weighted assets Pillar 3 reports, OV1 template Not disclosed by US banks
Amounts below the thresholds for deduction Amounts correspond to items subject to a 250% risk weight according to the Basel framework. They include significant investments in the capital of banking, financial and insurance entities that are outside the scope of regulatory consolidation and below the threshold for deduction, after application of the 250% risk weight. Risk-weighted assets Pillar 3 reports, OV1 template Not disclosed by US banks
Floor adjustment Impact of the capital floor either before or after the application of the transitional cap. Risk-weighted assets Pillar 3 reports, OV1 template Only disclosed by Swiss, Canadian, Japanese banks
Interest rate risk in the banking book (IRRBB) Risk posed by adverse movements in interest rates that cause a mismatch between the rates banks set on customer loans and on deposits. Risk-weighted assets Pillar 3 reports Only disclosed by Australian banks
Other risk Risks not captured under any other regulatory framework. Risk-weighted assets Pillar 3 reports Not disclosed by US banks
Total risk-weighted assets Bank's total RWAs expressed as the sum of total RWAs calculated under both the Basel framework and the bank's internal models where applicable. Risk-weighted assets Pillar 3 reports, OV1 template Not disclosed by US banks
Management VAR – average Bank's own measure of the potential loss due to adverse market movements over a defined time horizon to a specified confidence level, expressed as a quarterly average. Market risk Pillar 3 reports Not disclosed by Canadian banks
Management VAR – end period Bank's own measure of the potential loss due to adverse market movements over a defined time horizon to a specified confidence level, calculated at the end of each quarter. Market risk Pillar 3 reports Not disclosed by Canadian banks
Management VAR – high Bank's own measure of the potential loss due to adverse market movements over a defined time horizon to a specified confidence level, at its highest point in the quarter. Market risk Pillar 3 reports Not disclosed by Canadian banks
Management VAR – low Bank's own measure of the potential loss due to adverse market movements over a defined time horizon to a specified confidence level, at its lowest point in the quarter. Market risk Pillar 3 reports Not disclosed by Canadian banks
Management VAR – holding window Time frame used to calculate the bank's own VAR. Most banks calculate it either over a one-day or a 10-day horizon. Market risk Pillar 3 reports Not disclosed by Canadian banks
Management VAR – confidence interval Level of confidence the management VAR model is calibrated to. Most banks set this to a pre-defined level of 95–99%. Market risk Pillar 3 reports Not disclosed by Canadian banks
Regulatory VAR – average Measure of potential loss due to adverse market movements over a defined time horizon to a specified confidence level, calculated according to regulator-set rules, expressed as a quarterly average. Market risk Pillar 3 reports Not disclosed by US banks
Regulatory VAR – end period Measure of potential loss due to adverse market movements over a defined time horizon to a specified confidence level, calculated according to regulator-set rules, calculated at the end of each quarter. Market risk Pillar 3 reports Not disclosed by US banks
Regulatory VAR – high Measure of potential loss due to adverse market movements over a defined time horizon to a specified confidence level, calculated according to regulator-set rules, at its highest point in the quarter. Market risk Pillar 3 reports Not disclosed by US banks
Regulatory VAR – low Measure of potential loss due to adverse market movements over a defined time horizon to a specified confidence level, calculated according to regulator-set rules, at its lowest point in the quarter. Market risk Pillar 3 reports Not disclosed by US banks
Regulatory SVAR – average Measure of potential loss due to adverse market movements against a historical period of significant financial stress, expressed as a quarterly average. Market risk Pillar 3 reports Not disclosed by US banks
Regulatory SVAR – end period Measure of potential loss due to adverse market movements against a historical period of significant financial stress, calculated at the end of each quarter. Market risk Pillar 3 reports Not disclosed by US banks
Regulatory SVAR – high Measure of potential loss due to adverse market movements against a historical period of significant financial stress, at its highest point in the quarter. Market risk Pillar 3 reports Not disclosed by US banks
Regulatory SVAR – low Measure of potential loss due to adverse market movements against a historical period of significant financial stress, at its lowest point in the quarter. Market risk Pillar 3 reports Not disclosed by US banks
Regulatory VAR – holding window Time frame used to calculate the bank's regulatory VAR. Most banks calculate it either over a one-day or a 10-day horizon. Market risk Pillar 3 reports Not disclosed by US banks
Regulatory VAR – confidence interval Level of confidence the regulatory VAR model is calibrated to. Most banks set this to a pre-defined level of 95–99%. Market risk Pillar 3 reports Not disclosed by US banks
Regulatory VAR – backtesting exceptions Number of occurences over a defined time horizon when trading losses exceeded what was forecast by the VAR model. Market risk Pillar 3 reports Not disclosed by US banks
On-balance sheet exposures Includes all on-balance sheet items (excluding derivatives and securities financing transaction exposures, but including collateral) minus assets amounts deducted in determining Tier 1 capital. Leverage ratio Pillar 3 reports n/a
Derivatives exposures Exposure arising from the underlying of the derivatives contract and a counterparty credit risk exposure, according to the leverage ratio framework. Leverage ratio Pillar 3 reports n/a
Securities financing transaction (SFT) exposures Includes gross SFT assets after adjusting for sale accounting transactions, CCR exposure for SFT assets and agent transaction exposures, minus netted amounts of cash payables and cash receivable of gross SFT assets. Leverage ratio Pillar 3 reports n/a
Off-balance sheet exposures Includes all off-balance sheet exposures at gross notional amount, minus any adjustments for conversion to credit-equivalent amounts. Leverage ratio Pillar 3 reports n/a
Total leverage exposures Sum of on-balance sheet exposures, derivatives exposures, SFT exposures and off-balance sheet exposures. Leverage ratio Pillar 3 reports n/a
Central bank exposures subject to relief Exposures deposited at qualifying central banks which are deducted from the bank's total amount. Leverage ratio Pillar 3 reports n/a
Total leverage exposures before relief Sum of on-balance sheet exposures, derivatives exposures, SFT exposures and off-balance sheet exposures, including exposures deposited at qualifying central banks which are deducted from the bank's total amount. Leverage ratio Pillar 3 reports n/a
Supplementary leverage ratio (SLR) Tier 1 capital divided by total leverage exposures, calculated according to the Basel framework. Leverage ratio Pillar 3 reports Only disclosed by US banks
Supplementary leverage ratio (SLR) before relief Tier 1 capital divided by total leverage exposures, calculated according to the Basel framework, including exposures deposited at qualifying central banks which are deducted from the bank's total amount. Leverage ratio Pillar 3 reports Only disclosed by US banks
Tier 1 leverage ratio Tier 1 capital divided by total leverage exposures, calculated according to the Basel framework. Leverage ratio Pillar 3 reports n/a
Tier 1 leverage ratio before relief Tier 1 capital divided by total leverage exposures, calculated according to the Basel framework, including exposures deposited at qualifying central banks which are deducted from the bank's total amount. Leverage ratio Pillar 3 reports n/a
Total leverage exposures (UK average) Sum of on-balance sheet exposures, derivatives exposures, SFT exposures and off-balance sheet exposures, expressed as average measure over the quarter, according to the Bank of England framework. Leverage ratio Pillar 3 reports Only disclosed by UK banks
Total leverage exposures (UK end-period) Sum of on-balance sheet exposures, derivatives exposures, SFT exposures and off-balance sheet exposures, expressed as an end-quarter measure, according to the Bank of England framework. Leverage ratio Pillar 3 reports Only disclosed by UK banks
Tier 1 leverage ratio (UK average) Tier 1 capital divided by total leverage exposures, calculated according to the Bank of England framework, based on the average of the month-end Tier 1 capital position and average exposure measure over the quarter. Leverage ratio Pillar 3 reports Only disclosed by UK banks
Tier 1 leverage ratio (UK end-period) Tier 1 capital divided by total leverage exposures, expressed as an end-quarter measure, according to the Bank of England framework. Leverage ratio Pillar 3 reports Only disclosed by UK banks
Total high-quality liquid assets (HQLAs) Assets that can easily and immediately be converted into cash at little or no loss of value. A bank must hold a stock of unencumbered HQLAs to cover the total net cash outflows over a 30-day period of stress. Liquidity risk Pillar 3 reports n/a
Total cash outflows Calculated by multiplying the outstanding balances of various categories or types of liabilities and off-balance sheet commitments by the rates at which they are expected to run off or be drawn down. Liquidity risk Pillar 3 reports n/a
Total cash inflows Calculated by multiplying the outstanding balances of various categories of contractual receivables by the rates at which they are expected to flow in under the scenario up to an aggregate cap of 75% of total expected cash outflows. Liquidity risk Pillar 3 reports n/a
Total net cash outflows Total expected cash outflows minus total expected cash inflows in the specified stress scenario for the subsequent 30 calendar days. Liquidity risk Pillar 3 reports n/a
Liquidity coverage ratio (LCR) Total high-quality liquid assets divided by total net cash outflows. Liquidity risk Pillar 3 reports n/a
Provision for credit losses (PCLs) Estimation of potential losses that a company might experience due to credit risk. The amount is deducted from total revenue in the income statement. Credit risk Quarterly results n/a
Total exposures Sum of derivatives, securities financing transactions, other assets, off-balance-sheet items and regulatory adjustments. Systemic indicators G-Sib disclosures Disclosed annually
Intra-financial system assets Sum of funds deposited with or lent to other financial institutions, unused portion of committed lines extended to other financial institutions, holdings of securities issued by other financial institutions, net positive current exposure of securities financing transactions with other financial institutions, and OTC derivatives with other financial institutions that have a net positive fair value. Systemic indicators G-Sib disclosures Disclosed annually
Intra-financial system liabilities Sum of funds deposited by or borrowed from other financial institutions, unused portion of committed lines obtained from other financial institutions, net negative current exposure of securities financing transactions with other financial institutions, and OTC derivatives with other financial institutions that have a net negative fair value. Systemic indicators G-Sib disclosures Disclosed annually
Securities outstanding Sum of secured debt securities, senior unsecured debt securities, subordinated debt securities, commercial paper, certificates of deposit, common equity, preferred shares and any other forms of subordinated funding. Systemic indicators G-Sib disclosures Disclosed annually
Payments Payments made in the reporting year, excluding intragroup payments. Systemic indicators G-Sib disclosures Disclosed annually
Assets under custody Assets under custody. Systemic indicators G-Sib disclosures Disclosed annually
Underwriting activity indicator Underwritten transactions in debt and equity markets. Systemic indicators G-Sib disclosures Disclosed annually
Notional amount of OTC derivatives Sum of OTC derivatives cleared through a central counterparty and OTC derivatives settled bilaterally. Systemic indicators G-Sib disclosures Disclosed annually
Trading and available-for-sale securities Sum of held-for-trading securities and available-for-sale securities. Systemic indicators G-Sib disclosures Disclosed annually
Level 3 assets Level 3 assets. Systemic indicators G-Sib disclosures Disclosed annually
Cross-jurisdictional claims Sum of foreign claims on an ultimate risk basis and foreign derivatives claims on an ultimate risk basis. Systemic indicators G-Sib disclosures Disclosed annually
Cross-jurisdictional liabilities Sum of foreign liabilities on an immediate risk basis, excluding derivatives and including local liabilities in local currency, and foreign derivatives liabilities on an immediate risk basis. Systemic indicators G-Sib disclosures Disclosed annually
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