C 08.02 - CR IRB 2 - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - Breakdown of exposures assigned to obligor grades or pools by obligor grades





Obligor gradeInternal rating System - PD assigned to the obligor grade or poolOriginal exposure conversion factorsCredit risk mitigation (CRM) techniques with substitution effects on the exposureExposure after CRM substitution effects pre conversion factorsExposure valueCredit risk mitigation techniques taken into account in lgd estimates excluding double default treatmentSubject to double default treatmentExposure weighted average lgd (%)Exposure weighted average LGD (%) for large financial sector entities and unregulated financial entitiesExposure-weighted average maturity value (days)Risk weighted exposure amount pre SME-supporting factorRisk weighted exposure amount after SME-supporting factorMemorandum items:
Of which: large financial sector entities and unregulated financial entitiesUnfunded credit protection(-) Other funded credit protectionSubstitution of the exposure due to CRM Of which: off balance sheet items Of which: off balance sheet itemsOf which: arising from counterparty credit riskOf which: large financial sector entities and unregulated financial entitiesOwn estimates of lgd's are used:Funded credit protectionUnfunded credit protection Of which: large financial sector entities and unregulated financial entitiesExpected loss amount(-) value adjustments and provisionsNumber of obligors
(-) Guarantees(-) Credit derivatives (-) Total outflowsTotal inflows (+) GuaranteesCredit derivativesOwn estimates of lgd's are used:Eligible financial collateralOther eligible collateral
Real estateOther physical collateralReceivables
CodeLabel005 010 020 030 040 050 060 070 080 090 100 110 120 130 140 150 160 170 180 190 200 210 220 230 240 250 255 260 270 280 290 300
999 Obligor Grade82112819808180980205800928031779979798928079280806812908130481318809117964879567796757962179729797027975679594815368145181638824268264482479804878229481740




Dimensions
MetricDetails the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
Metric - Details the data type (e.g. monetary, percentage, string) of the data point. In XBRL, it is the "primary item". Generally, it indicates the "metrics" of the Main category provided (i.e. answers the question: how is measured?). It should be defined for each data point. In the case of monetary values, when the data point is referred to a (change during a) period of time, the member name shall finish in "(flow)". When the member name has other terminations, the data point is a measurement at a date (i.e. "stock").
BaseDefines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It determines whether the data point has a "debit" or a "credit" attribute.
Base items - Defines the basic conceptual meaning of a data point. Identifies the framework in which a data point is included. For FINREP, it indicates in which group of element of the financial statement should be included the data point (e.g. assets, liabilities, equity, income, expenses). For COREP, it indicates whether the data point should be computed in the numerator (own funds) or the denominator (exposures) of the Pillar I solvency ratio. It may determine whether the data point has a "debit" or a "credit" attribute.
Main categorySpecifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Main category - Specifies the nature of the item reported (i.e. answers the question: what is reported?). For financial instruments, defines the instrument (e.g. deposits, debt securities issued...) or range of instruments reported. It should be defined for each data point.
Approach for prudential purposesApproach used for the calculation of capital requirements.
Approach - Approach used for the calculation of capital requirements (or exposure value in LR)
Exposure classDefines the exposure class for capital requirement purposes
Exposure classes - Defines the exposure class for capital requirement purposes
Counterparty sectorDefines the sector of the counterparty of financial instruments (e.g. Central banks or Credit institutions).
Counterparty - Party other than the reporting institution in a contract or transaction.
Type of riskIndicates the type of risk arising from exposures or transactions (e.g. credit risk or market risk).
Type of risk - Indicates the type of risk arising from exposures or transactions (e.g. credit risk or market risk).
CounterpartySpecifies whether the counterparty is to be considered a large regulated financial entity according to the CRR.
Counterparty - Party other than the reporting institution in a contract or transaction.
CRM Effects/CollateralWhen Credit Risk Mitigation techniques are used, it specifies the type of technique that is applied and the effects of that technique.
Credit protection - Concepts related with the application of Credit Risk Mitigation techniques.
Methods to determine risk weightsDefines the relevant method used to determine the risk weights for capital requirements purposes.
Approach - Approach used for the calculation of capital requirements (or exposure value in LR)
Obligor gradeObligor grades or pools of exposures (sequential number, unique per report)
Integers - Integers
Prudential portfolioDefines whether it is reported the trading book business, the "banking" book business, or both of them.
Portfolio - Defined the portfolios reported. It comprises both accounting portfolios (e.g. Available-for-sale) and prudential portfolios (e.g. trading book).
Size of the counterparty
Counterparty - Party other than the reporting institution in a contract or transaction.