Pillar 1 - Market risk data
(data on consolidated sector as of the end of the reported year)
| 31 Dec 2007 | 31 Dec 2008 | 31 Dec 2009 | 31 Dec 2010 | 31 Dec 2011 | 31 Dec 2012 | 31 Dec 2013 | |||
|---|---|---|---|---|---|---|---|---|---|
| Pillar 1 Market Risk data | Own funds requirements market risk % of Total Own Funds requirements | 5.0 | 4.4 | 3.0 | 2.6 | 3.8 | 4.4 | 3.3 | |
| Banks: distribution by approach | % number2) | Standardised approach | 86.7 | 77.8 | 80.0 | 81.8 | 84.6 | 83.3 | 84.6 |
| VAR | 13.3 | 22.2 | 20.0 | 18.2 | 15.4 | 16.7 | 15.4 | ||
| Own funds requirements % of Own Funds requirements on Market Risk | Standardised approach | 89.6 | 65.1 | 82.2 | 88.4 | 69.0 | 81.5 | 81.0 | |
| VAR | 10.4 | 34.9 | 17.8 | 11.6 | 31.0 | 18.5 | 19.0 | ||
| Banks: distribution by type of market risk1) | Own Funds Requirements % of Own Funds Requirements on Market Risk | Traded debt instruments | 60.6 | 32.4 | 47.8 | 55.5 | 43.6 | 43.4 | 64.0 |
| Equity | 3.2 | 1.6 | 2.3 | 3.9 | 1.1 | 0.5 | 1.0 | ||
| Foreign Exchange | 24.9 | 28.5 | 29.2 | 27.0 | 21.9 | 35.2 | 12.8 | ||
| Commodities | 0.9 | 2.7 | 2.7 | 2.0 | 2.3 | 2.4 | 3.2 | ||
| Investment firms: own funds requirement | Own funds requirements market risk % of Total Own Funds requirements | 13.4 | 22.8 | 14.3 | 16.6 | 8.6 | 9.0 | 7.7 | |
| Investment firms: distribution by approach | % number2) | Standardised approach | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 |
| VAR | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||
| Own funds requirements % of Own Funds requirements on Market Risk | Standardised approach | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | 100.0 | |
| VAR | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | 0.0 | ||
| Investment firms: distribution by type of market risk | Own Funds Requirements % of Own Funds Requirements on Market Risk | Traded debt instruments | 0.3 | 46.8 | 19.6 | 15.6 | 14.5 | 44.0 | 43.1 |
| Equity | 20.4 | 9.7 | 17.3 | 26.0 | 13.4 | 6.9 | 8.6 | ||
| Foreign Exchange | 79.3 | 43.5 | 63.1 | 58.4 | 69.2 | 48.3 | 48.2 | ||
| Commodities | 0.0 | 0.0 | 0.0 | 0.0 | 2.9 | 0.8 | 0.0 | ||
1) In the given distribution own funds requirements calculated under VAR are not included, as they are not calculated separately according to risks.
2) If a bank or an investment firm uses more than one approach, it is counted accordingly only in own funds requirements, but not in number of banks or investment firms, which are assigned according to the most advanced approach