C 08.01.a - CR IRB 1 - Credit and counterparty credit risks and free deliveries: IRB Approach to capital requirements - TOTAL





Internal rating system - PD assigned to the obligor grade or poolOriginal exposure pre 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: large financial sector entities and unregulated financial entitiesOwn estimates of lgd's are used: unfunded credit protectionFunded 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: other funded credit protectionEligible financial collateralOther eligible collateral
Real estateOther physical collateralReceivables
CodeLabel010 020 030 040 050 060 070 080 090 110 140 150 160 170 180 190 200 210 220 230 240 250 255 260 270 280 290 300
010 Total exposures82115819938181380209800968032479983798698080581303809137965179570796787962479732797057975979597815398145381641824298265782481804988230781743
015 of which: exposures subject to SME-supporting factor116955116944116943116790116779116801116768116757116834116878116875116742116739116743116741116745116744116746116740116900116899116911116977116999116998116812116966116922
019 - Breakdown of total exposures by exposure types:
020 On balance sheet items subject to credit risk821178199580211800988032679985798718081981317796537957279680796267973479707797617959981541816438243182659805008230981745
030 Off balance sheet items subject to credit risk821168199480210800978032579984798708081881316796527957179679796257973379706797607959881540816428243082658804998230881744
039 - Exposures / Transactions subject to counterparty credit risk
040 Securities Financing Transactions8211981997802138010080328799877987380821813337965579574796827962879736797097976379601815438164582433112230805028231181747
050 Derivatives & Long Settlement Transactions8211181979802048009180320799787986580791812897964779566796747962079728797017975579593815358163782425112228804868229381739
060 From Contractual Cross Product Netting8211881996802128009980327799867987280820813327965479573796817962779735797087976279600815428164482432112229805018231081746
070 Exposures assigned to obligor grades or pools: Total82113819818181080206800938032179980798668079381291809127964979568796767962279730797037975779595815378145281639824278264582480804888229581741
080 Specialized lending slotting criteria (b)819928080481302826568049782306
085 - Breakdown by risk weights of total exposures under specialized lending slotting criteria:
090 0%819868079881296826508049182300
100 50%819878079981297826518049282301
110 70%819888080081298826528049382302
120 Of which: in category 1819858079781295826498049082299
130 90%819898080181299826538049482303
140 115%819908080281300826548049582304
150 250%819918080381301826558049682305
160 Alternative treatment: secured by real estate8198380795812938264782297
170 Exposures from free deliveries applying risk weights under the alternative treatment or 100% and other exposures subject to risk weights81984802088009580323799827986880796812948264882298
180 Dilution risk: total purchased receivables821148198280207800948032279981798678079481292796507956979677796237973179704797587959681538816408242882646804898229681742




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)
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).
Residual maturityTime remaining from the reporting date to the maturity date.
Time interval - Time bands (e.g. > 60 days <= 90 days).
Risk weightsSpecifies the value of the risk weights that are applied to an exposure for capital requirement purposes.
Percentages - Percentages
Size of the counterparty
Counterparty - Party other than the reporting institution in a contract or transaction.