Advanced IRBA Exposure

The advanced IRBA requires differentiating a bank’s credit portfolio into various regulatory defined exposure classes, namely central governments, institutions, corporates and retail clients. We identify the relevant regulatory exposure class for each exposure by taking into account factors like customer-specific characteristics, the rating system used as well as certain materiality thresholds which are regulatory defined.

The tables below show all of our advanced IRBA exposures distributed on a rating scale and separately for each regulatory IRBA exposure class. The presentation also includes Postbank’s retail portfolios as far as assigned to the advanced IRBA as well as its newly to the advanced IRBA assigned exposures within the exposure classes “institutions” and “corporates”. The EAD is presented in conjunction with exposures-weighted average PD and LGD, the risk-weighted assets (“RWA”) and the average risk weight (“RW”) calculated as RWA divided by EAD net. The information is shown after credit risk mitigation obtained in the form of financial, physical and other collateral as well as guarantees and credit derivatives. The effect of double default, as far as applicable outside of Postbank’s retail exposures, is considered in the average risk weight. It implies that for a guaranteed exposure a loss only occurs if the primary obligor and the guarantor fail to meet their obligations at the same time.

It should be noted that the EAD gross information for exposures covered by guarantees or credit derivatives is assigned to the exposure class of the original counterparty respectively whereas the EAD net information assigns the exposures to the protection seller. As a consequence the EAD net can be higher than the EAD gross.

The table below also includes our counterparty credit risk position from derivatives and securities financing transactions (“SFT”) so far as it has been assigned to the advanced IRBA. For the vast majority of these exposures we make use of the IMM to derive the EAD where the appropriate netting and collateral agreements are already considered resulting in an EAD net of collateral. They also provide a ratio of expected loss by EAD for the non-defaulted exposures. For defaulted exposure, we apply a LGD conception already incorporating potential unexpected losses in the loss rate estimate as required by SolvV §132 (9).

EAD of Advanced IRBA Credit Exposures by PD Grade (including Postbank)

 

Dec 31, 2013

 

iAAA–iAA 0.00–
0.04 %

iA
0.04–
0.11 %

iBBB
0.11–
0.5 %

iBB
0.5–
2.27 %

iB
2.27–
10.22 %

iCCC
10.22–
99.99 %

Default1

Total

Delta Total to previous year

N/M – Not meaningful

1

The relative low risk weights in the column “Default” reflect the fact that capital requirements for defaulted exposures are principally considered as a deduction from regulatory capital equal to the difference in expected loss and allowances.

 

 

 

 

 

 

 

 

 

 

Central Governments

EAD gross in € m.

74,299

5,162

3,676

1,893

606

126

55

85,815

(9,847)

EAD net in € m.

81,527

6,462

3,504

603

113

90

55

92,354

(10,845)

Average PD in %

0.00

0.08

0.30

1.40

5.31

13.04

100.00

0.11

0.07 ppt

Average LGD in %

48.67

40.71

43.23

13.80

43.35

38.31

34.93

47.65

(0.61) ppt

Average RW in %

0.83

22.37

48.90

32.84

136.69

170.16

25.65

4.71

1.07 ppt

EL/EAD net in %

0.00

0.03

0.13

0.13

2.19

4.98

N/M

0.02

0.00 ppt

 

 

 

 

 

 

 

 

 

 

Institutions

EAD gross in € m.

16,869

27,549

12,297

2,098

1,070

196

294

60,373

(5,995)

EAD net in € m.

17,872

28,258

11,499

1,776

1,019

195

294

60,913

(4,944)

Average PD in %

0.03

0.07

0.32

1.10

4.64

21.66

100.00

0.77

0.13 ppt

Average LGD in %

38.53

26.98

23.23

21.71

12.42

6.27

4.40

29.09

3.39 ppt

Average RW in %

8.46

11.72

25.15

42.61

47.81

34.73

50.16

15.06

1.48 ppt

EL/EAD net in %

0.01

0.02

0.07

0.23

0.56

1.66

N/M

0.05

0.00 ppt

 

 

 

 

 

 

 

 

 

 

Corporates

EAD gross in € m.

63,599

57,266

65,756

50,198

22,020

4,520

10,596

273,955

(20,508)

EAD net in € m.

66,663

57,687

62,670

44,726

18,912

3,859

10,235

264,751

(16,439)

Average PD in %

0.03

0.07

0.25

1.11

4.70

21.56

100.00

4.79

1.18 ppt

Average LGD in %

27.06

34.75

32.13

26.18

20.41

19.12

25.27

29.13

(1.31) ppt

Average RW in %

8.64

18.26

33.75

53.42

70.92

107.07

24.59

30.74

1.71 ppt

EL/EAD net in %

0.01

0.02

0.08

0.30

1.02

4.26

N/M

0.22

0.01 ppt

 

 

 

 

 

 

 

 

 

 

Retail Exposures Secured by Real Estate Property

EAD gross in € m.

1,357

10,556

47,510

65,038

20,654

5,892

2,550

153,558

59,756

EAD net in € m.

1,357

10,556

47,485

64,936

20,576

5,844

2,518

153,271

59,201

Average PD in %

0.04

0.08

0.28

1.12

4.10

20.19

100.00

3.53

(1.84) ppt

Average LGD in %

12.93

13.13

11.07

10.67

9.47

9.97

17.27

10.90

(9.72) ppt

Average RW in %

1.63

3.08

6.04

14.97

29.33

56.69

9.44

14.69

(7.92) ppt

EL/EAD net in %

0.00

0.01

0.03

0.12

0.39

1.98

N/M

0.19

(0.26) ppt

 

 

 

 

 

 

 

 

 

 

Qualifying Revolving Retail Exposures

EAD gross in € m.

175

998

1,890

1,075

288

83

28

4,537

(72,898)

EAD net in € m.

175

998

1,890

1,075

288

83

28

4,537

(72,784)

Average PD in %

0.04

0.08

0.24

1.04

4.54

19.65

100.00

1.64

(2.21) ppt

Average LGD in %

47.43

46.95

46.81

45.40

48.01

49.99

51.09

46.69

37.22 ppt

Average RW in %

1.34

2.54

6.19

18.73

57.26

130.55

8.55

13.69

0.65 ppt

EL/EAD net in %

0.02

0.04

0.11

0.48

2.22

9.51

N/M

0.49

0.29 ppt

 

 

 

 

 

 

 

 

 

 

Other Retail Exposures

EAD gross in € m.

197

1,336

6,877

12,920

6,687

1,934

2,542

32,493

20,790

EAD net in € m.

411

1,537

7,101

13,041

6,666

1,917

2,409

33,081

21,378

Average PD in %

0.03

0.08

0.29

1.16

4.65

19.68

100.00

9.88

1.93 ppt

Average LGD in %

40.35

43.53

41.09

42.25

42.29

40.13

52.36

42.66

(8.76) ppt

Average RW in %

4.54

9.42

22.11

46.39

65.31

90.86

4.68

42.29

2.17 ppt

EL/EAD net in %

0.01

0.03

0.12

0.49

1.95

7.84

N/M

1.15

(0.17) ppt

 

 

 

 

 

 

 

 

 

 

Total IRBA Exposures

EAD gross in € m.

156,496

102,867

138,005

133,222

51,325

12,751

16,065

610,731

(28,702)

EAD net in € m.

168,004

105,497

134,148

126,157

47,573

11,987

15,540

608,906

(24,432)

Average PD in %

0.02

0.07

0.27

1.12

4.43

20.52

100.00

3.61

0.52 ppt

Average LGD in %

38.71

31.11

24.88

19.90

18.79

18.17

27.86

28.21

(1.01) ppt

Average RW in %

4.76

14.97

22.60

32.36

51.72

79.38

19.50

21.69

1.10 ppt

EL/EAD net in %

0.01

0.02

0.06

0.22

0.88

3.72

N/M

0.21

0.00 ppt

 

Dec 31, 2012

 

iAAA–iAA 0.00–
0.04 %

iA
0.04–
0.11 %

iBBB
0.11–
0.5 %

iBB
0.5–
2.27 %

iB
2.27–
10.22 %

iCCC
10.22–
99.99 %

Default1

Total

Delta Total to previous year

N/M – Not meaningful

1

The relative low risk weights in the column “Default” reflect the fact that capital requirements for defaulted exposures are principally considered as a deduction from regulatory capital equal to the difference in expected loss and allowances.

 

 

 

 

 

 

 

 

 

 

Central Governments

EAD gross in € m.

85,351

4,948

2,804

1,404

732

423

0

95,662

(14,939)

EAD net in € m.

93,599

6,227

2,533

583

207

50

0

103,199

(15,925)

Average PD in %

0.00

0.08

0.30

1.40

5.67

13.05

100.00

0.04

(0.13) ppt

Average LGD in %

49.24

39.44

42.77

11.04

42.70

48.91

5.00

48.26

0.75 ppt

Average RW in %

0.49

23.16

49.88

25.96

165.01

215.08

62.50

3.65

1.47 ppt

EL/EAD net in %

0.00

0.03

0.13

0.10

2.46

6.37

N/M

0.01

0.01 ppt

 

 

 

 

 

 

 

 

 

 

Institutions

EAD gross in € m.

15,719

31,913

13,132

2,706

2,251

481

166

66,368

(17,969)

EAD net in € m.

16,636

32,136

11,890

2,356

2,191

481

166

65,856

(24,116)

Average PD in %

0.04

0.07

0.25

1.08

3.00

21.77

100.00

0.64

0.31 ppt

Average LGD in %

31.64

27.03

19.44

21.83

4.59

5.51

13.43

25.70

(0.32) ppt

Average RW in %

5.54

11.10

22.18

53.91

16.29

30.79

25.55

13.58

(0.56) ppt

EL/EAD net in %

0.01

0.02

0.06

0.26

0.14

1.23

N/M

0.05

3.48 ppt

 

 

 

 

 

 

 

 

 

 

Corporates

EAD gross in € m.

76,225

65,701

66,759

50,632

21,795

5,753

7,598

294,463

(41,477)

EAD net in € m.

78,535

64,830

62,096

45,023

18,351

4,993

7,361

281,190

(40,521)

Average PD in %

0.03

0.07

0.24

1.17

4.70

23.56

100.00

3.61

0.12 ppt

Average LGD in %

32.63

34.72

30.90

24.84

22.79

16.78

28.19

30.44

1.09 ppt

Average RW in %

9.50

17.86

31.06

49.72

79.28

92.15

24.14

29.04

(2.24) ppt

EL/EAD net in %

0.01

0.02

0.07

0.28

1.08

3.74

N/M

0.21

(0.05) ppt

 

 

 

 

 

 

 

 

 

 

Retail Exposures Secured by Real Estate Property

EAD gross in € m.

2,766

9,976

45,086

67,241

12,762

5,432

2,680

145,943

10,613

EAD net in € m.

2,766

9,976

45,078

67,203

12,730

5,410

2,665

145,828

10,615

Average PD in %

0.03

0.08

0.29

1.05

4.70

21.24

100.00

3.58

(0.11) ppt

Average LGD in %

12.13

15.18

10.40

12.21

9.69

8.85

17.99

11.04

0.14 ppt

Average RW in %

1.36

4.88

5.72

16.50

31.73

53.92

14.53

13.89

0.00 ppt

EL/EAD net in %

0.00

0.01

0.05

0.22

1.60

5.38

N/M

0.45

(1.11) ppt

 

 

 

 

 

 

 

 

 

 

Qualifying Revolving Retail Exposures

EAD gross in € m.

176

1,012

1,863

1,080

292

91

35

4,550

(580)

EAD net in € m.

176

1,012

1,863

1,080

292

91

35

4,550

(580)

Average PD in %

0.04

0.08

0.24

1.04

4.77

19.86

100.00

1.98

0.10 ppt

Average LGD in %

44.30

45.49

45.67

44.63

47.92

48.20

48.33

47.12

(13.81) ppt

Average RW in %

1.26

2.46

6.03

18.44

59.70

140.05

7.33

16.22

(12.45) ppt

EL/EAD net in %

0.00

0.01

0.03

0.10

0.35

1.94

N/M

0.20

0.18 ppt

 

 

 

 

 

 

 

 

 

 

Other Retail Exposures

EAD gross in € m.

257

1,436

6,920

12,256

6,477

2,310

2,792

32,448

1,546

EAD net in € m.

294

1,625

7,053

12,272

6,497

2,278

2,697

32,716

1,612

Average PD in %

0.03

0.08

0.30

1.15

4.83

19.96

100.00

11.13

3.91 ppt

Average LGD in %

41.61

46.82

43.50

44.91

49.81

46.43

48.51

45.81

0.05 ppt

Average RW in %

4.77

9.99

23.91

49.52

77.41

114.21

6.60

47.22

2.38 ppt

EL/EAD net in %

0.02

0.04

0.11

0.62

3.32

9.99

N/M

1.32

0.68 ppt

 

 

 

 

 

 

 

 

 

 

Total IRBA Exposures

EAD gross in € m.

180,494

114,986

136,564

135,320

44,308

14,490

13,271

639,433

(62,805)

EAD net in € m.

192,006

115,806

130,514

128,517

40,267

13,304

12,924

633,338

(68,915)

Average PD in %

0.02

0.07

0.26

1.14

4.58

21.96

100.00

3.08

0.41 ppt

Average LGD in %

40.46

31.75

25.83

19.89

22.03

18.25

30.12

29.36

(0.51) ppt

Average RW in %

4.64

15.22

23.61

32.41

59.49

78.67

17.38

20.61

(0.85) ppt

EL/EAD net in %

0.01

0.02

0.06

0.22

1.01

3.91

N/M

0.21

0.40 ppt

The decrease in exposure value is mainly driven within the exposure class corporate, resulting from the ongoing reduction initiatives in NCOU throughout 2013, the exposure class central governments, primarily due to lower levels of interest earning deposits with central banks, and the exposure class institutions, driven by lower levels in derivatives and securities financing transactions in CB&S. This was partly offset by the segment retail exposures secured by real estate property mainly due to an increase in our Mortgage Portfolio in PBC.

The tables below show our advanced IRBA exposures excluding counterparty credit risk exposures from derivatives and SFT for central governments, institutions and corporates, distributed on our internal rating scale, showing also the PD range for each grade. Our internal rating grades take into account the respective external Standard & Poor’s rating grade equivalents. The EAD net is presented in conjunction with exposures-weighted average PD and LGD, the RWA and the average RW. The information is shown after credit risk mitigation obtained in the form of financial, physical and other collateral as well as guarantees and credit derivatives. The effect of double default, as far as applicable to exposures outside of Postbank, is considered in the average risk weight. It implies that for a guaranteed exposure a loss only occurs if the primary obligor and the guarantor fail to meet their obligations at the same time.

EAD net for Advanced IRBA Credit Exposures by PD Grade with Central Governments (excluding derivatives and SFTs)

in € m. (unless stated otherwise)

Dec 31, 2013

Internal rating

PD range in %

EAD net

Average PD in %

Average LGD in %

RWA

Average RW in %

EL/EAD in %

N/M – Not meaningful

iAAA

> 0.00 ≤ 0.01

75,749

0.00

49.69

264

0.35

0.00

iAA+

> 0.01 ≤ 0.02

589

0.02

29.73

28

4.81

0.01

iAA

> 0.02 ≤ 0.03

189

0.03

29.68

18

9.49

0.01

iAA–

> 0.03 ≤ 0.04

148

0.04

27.84

26

17.24

0.01

iA+

> 0.04 ≤ 0.05

965

0.05

49.95

134

13.94

0.02

iA

> 0.05 ≤ 0.07

1,304

0.07

49.45

469

35.93

0.03

iA–

> 0.07 ≤ 0.11

1,659

0.09

48.59

563

33.93

0.04

iBBB+

> 0.11 ≤ 0.18

339

0.14

42.56

71

20.97

0.06

iBBB

> 0.18 ≤ 0.30

848

0.23

41.15

313

36.83

0.09

iBBB–

> 0.30 ≤ 0.50

1,509

0.39

49.05

820

54.33

0.19

iBB+

> 0.50 ≤ 0.83

87

0.64

26.15

50

57.98

0.17

iBB

> 0.83 ≤ 1.37

22

1.07

47.69

23

103.98

0.51

iBB–

> 1.37 ≤ 2.27

377

1.76

2.79

32

8.55

0.05

iB+

> 2.27 ≤ 3.75

44

2.92

47.63

60

136.12

1.39

iB

> 3.75 ≤ 6.19

22

4.82

49.88

31

138.78

2.40

iB–

> 6.19 ≤ 10.22

45

7.95

36.40

62

138.37

2.89

iCCC+

> 10.22 ≤ 16.87

88

13.00

38.22

150

169.45

4.97

iCCC

> 16.87 ≤ 27.84

0

22.00

0.10

0

0.58

0.02

iCCC–

> 27.84 ≤ 99.99

0

31.00

8.06

0

50.39

2.50

Default

100.00

55

100.00

34.93

14

25.65

N/M

Total

 

84,040

0.11

49.05

3,127

3.72

0.02

in € m. (unless stated otherwise)

Dec 31, 2012

Internal rating

PD range in %

EAD net

Average PD in %

Average LGD in %

RWA

Average RW in %

EL/EAD in %

N/M – Not meaningful

iAAA

> 0.00 ≤ 0.01

88,889

0.00

49.65

181

0.20

0.00

iAA+

> 0.01 ≤ 0.02

627

0.02

30.00

28

4.53

0.01

iAA

> 0.02 ≤ 0.03

221

0.03

30.47

14

6.49

0.01

iAA–

> 0.03 ≤ 0.04

81

0.04

30.20

11

13.36

0.01

iA+

> 0.04 ≤ 0.05

345

0.05

49.51

49

14.32

0.02

iA

> 0.05 ≤ 0.07

1,413

0.07

49.53

448

31.71

0.03

iA–

> 0.07 ≤ 0.11

1,783

0.09

48.79

582

32.65

0.04

iBBB+

> 0.11 ≤ 0.18

308

0.14

47.94

61

19.66

0.07

iBBB

> 0.18 ≤ 0.30

616

0.23

37.91

241

39.16

0.09

iBBB–

> 0.30 ≤ 0.50

1,048

0.39

48.72

589

56.23

0.19

iBB+

> 0.50 ≤ 0.83

24

0.64

44.10

24

100.70

0.28

iBB

> 0.83 ≤ 1.37

100

1.07

11.89

26

25.93

0.13

iBB–

> 1.37 ≤ 2.27

343

1.76

1.48

15

4.40

0.03

iB+

> 2.27 ≤ 3.75

42

2.92

45.08

57

133.24

1.32

iB

> 3.75 ≤ 6.19

78

4.82

39.01

127

163.31

1.88

iB–

> 6.19 ≤ 10.22

42

7.95

41.84

67

159.36

3.33

iCCC+

> 10.22 ≤ 16.87

48

13.00

49.08

103

214.37

6.38

iCCC

> 16.87 ≤ 27.84

0

22.00

11.38

0

70.77

2.50

iCCC–

> 27.84 ≤ 99.99

0

31.00

3.30

0

503.75

18.96

Default

100.00

0

100.00

5.00

0

62.50

N/M

Total

 

96,008

0.03

49.13

2,624

2.73

0.01

EAD net for Advanced IRBA Credit Exposures by PD Grade with Institutions (excluding derivatives and SFTs)

 

in € m. (unless stated otherwise)

Dec 31, 2013

Internal rating

PD range in %

EAD net

Average PD in %1

Average LGD in %

RWA

Average RW in %

EL/EAD in %

N/M – Not meaningful

1

Higher average PD in % than defined for the internal rating scales iAAA and iAA+ results for Institutions and Corporates exposure subject to a PD floor of 3 basis points.

iAAA

> 0.00 ≤ 0.01

2,036

0.02

41.53

311

15.27

0.01

iAA+

> 0.01 ≤ 0.02

108

0.03

41.53

15

13.59

0.01

iAA

> 0.02 ≤ 0.03

3,483

0.03

43.72

195

5.59

0.01

iAA–

> 0.03 ≤ 0.04

4,313

0.04

40.19

317

7.34

0.02

iA+

> 0.04 ≤ 0.05

2,774

0.05

34.39

284

10.24

0.02

iA

> 0.05 ≤ 0.07

7,220

0.07

25.66

585

8.10

0.02

iA–

> 0.07 ≤ 0.11

4,713

0.09

28.23

655

13.89

0.03

iBBB+

> 0.11 ≤ 0.18

865

0.14

34.93

259

29.91

0.05

iBBB

> 0.18 ≤ 0.30

1,097

0.23

25.26

310

28.25

0.06

iBBB–

> 0.30 ≤ 0.50

3,319

0.39

31.43

1,222

36.81

0.12

iBB+

> 0.50 ≤ 0.83

307

0.64

30.66

131

42.65

0.20

iBB

> 0.83 ≤ 1.37

299

1.07

37.81

220

73.64

0.40

iBB–

> 1.37 ≤ 2.27

222

1.76

18.63

104

46.80

0.33

iB+

> 2.27 ≤ 3.75

114

2.92

23.75

83

72.51

0.69

iB

> 3.75 ≤ 6.19

784

4.82

10.69

349

44.57

0.52

iB–

> 6.19 ≤ 10.22

17

7.95

22.98

16

91.92

1.83

iCCC+

> 10.22 ≤ 16.87

7

13.00

38.50

13

186.27

5.01

iCCC

> 16.87 ≤ 27.84

141

22.00

3.36

25

18.12

0.74

iCCC–

> 27.84 ≤ 99.99

0

31.00

20.03

0

111.29

6.21

Default

100.00

272

100.00

4.56

143

52.33

N/M

Total

 

32,092

1.20

32.06

5,235

16.31

0.06

in € m. (unless stated otherwise)

Dec 31, 2012

Internal rating

PD range in %

EAD net

Average PD in %1

Average LGD in %

RWA

Average RW in %

EL/EAD in %

N/M – Not meaningful

1

Higher average PD in % than defined for the internal rating scales iAAA and iAA+ results for Institutions and Corporates exposure subject to a PD floor of 3 basis points.

iAAA

> 0.00 ≤ 0.01

806

0.02

45.55

62

7.74

0.01

iAA+

> 0.01 ≤ 0.02

187

0.03

36.23

21

10.99

0.01

iAA

> 0.02 ≤ 0.03

2,836

0.03

41.91

131

4.62

0.01

iAA–

> 0.03 ≤ 0.04

3,961

0.04

38.79

278

7.03

0.02

iA+

> 0.04 ≤ 0.05

3,277

0.05

41.19

420

12.81

0.02

iA

> 0.05 ≤ 0.07

5,013

0.07

36.60

635

12.67

0.03

iA–

> 0.07 ≤ 0.11

3,486

0.09

33.68

534

15.32

0.03

iBBB+

> 0.11 ≤ 0.18

750

0.14

29.67

178

23.76

0.04

iBBB

> 0.18 ≤ 0.30

645

0.23

25.74

195

30.24

0.06

iBBB–

> 0.30 ≤ 0.50

3,052

0.39

27.33

1,060

34.72

0.11

iBB+

> 0.50 ≤ 0.83

505

0.64

17.29

138

27.22

0.11

iBB

> 0.83 ≤ 1.37

1,115

1.07

13.89

382

34.26

0.15

iBB–

> 1.37 ≤ 2.27

113

1.76

19.78

46

40.89

0.35

iB+

> 2.27 ≤ 3.75

2,071

2.92

4.31

319

15.40

0.13

iB

> 3.75 ≤ 6.19

29

4.80

7.02

7

22.54

0.34

iB–

> 6.19 ≤ 10.22

17

7.95

5.61

4

24.13

0.45

iCCC+

> 10.22 ≤ 16.87

11

13.00

14.84

8

67.92

1.93

iCCC

> 16.87 ≤ 27.84

217

22.00

5.72

65

30.02

1.26

iCCC–

> 27.84 ≤ 99.99

0

31.00

20.44

0

121.97

6.28

Default

100.00

148

100.00

14.98

42

28.45

N/M

Total

 

28,241

1.07

32.34

4,525

16.02

0.06

EAD net for Advanced IRBA Credit Exposures by PD Grade with Corporates (excluding derivatives and SFTs)

in € m. (unless stated otherwise)

Dec 31, 2013

Internal rating

PD range in %

EAD net

Average PD in %1

Average LGD in %

RWA

Average RW in %

EL/EAD in %

N/M – Not meaningful

1

Higher average PD in % than defined for the internal rating scales iAAA and iAA+ results for Institutions and Corporates exposure subject to a PD floor of 3 basis points.

iAAA

> 0.00 ≤ 0.01

3,084

0.03

24.81

196

6.35

0.01

iAA+

> 0.01 ≤ 0.02

5,448

0.03

19.67

286

5.25

0.01

iAA

> 0.02 ≤ 0.03

7,555

0.03

18.29

420

5.56

0.01

iAA–

> 0.03 ≤ 0.04

11,213

0.04

31.29

922

8.22

0.01

iA+

> 0.04 ≤ 0.05

11,167

0.05

28.56

1,293

11.58

0.01

iA

> 0.05 ≤ 0.07

14,927

0.07

31.28

2,349

15.73

0.02

iA–

> 0.07 ≤ 0.11

17,690

0.09

35.62

3,705

20.95

0.03

iBBB+

> 0.11 ≤ 0.18

18,121

0.14

31.90

4,512

24.90

0.04

iBBB

> 0.18 ≤ 0.30

18,145

0.23

32.54

5,984

32.98

0.07

iBBB–

> 0.30 ≤ 0.50

16,884

0.39

31.05

6,885

40.78

0.11

iBB+

> 0.50 ≤ 0.83

9,958

0.64

32.21

5,436

54.60

0.20

iBB

> 0.83 ≤ 1.37

11,819

1.07

28.10

6,835

57.83

0.30

iBB–

> 1.37 ≤ 2.27

9,062

1.76

24.59

5,625

62.07

0.43

iB+

> 2.27 ≤ 3.75

6,452

2.92

19.94

3,969

61.51

0.84

iB

> 3.75 ≤ 6.19

5,167

4.79

21.45

3,948

76.42

1.02

iB–

> 6.19 ≤ 10.22

3,935

7.94

15.90

2,664

67.71

1.26

iCCC+

> 10.22 ≤ 16.87

1,140

13.00

14.58

809

70.94

1.89

iCCC

> 16.87 ≤ 27.84

738

21.95

23.77

1,035

140.38

5.19

iCCC–

> 27.84 ≤ 99.99

802

31.00

12.15

569

70.92

3.77

Default

100

9,975

100.00

25.77

2,405

24.11

N/M

Total

 

183,284

6.44

28.70

59,847

32.65

0.23

in € m. (unless stated otherwise)

Dec 31, 2012

Internal rating

PD range in %

EAD net

Average PD in %1

Average LGD in %

RWA

Average RW in %

EL/EAD in %

N/M – Not meaningful

1

Higher average PD in % than defined for the internal rating scales iAAA and iAA+ results for Institutions and Corporates exposure subject to a PD floor of 3 basis points.

iAAA

> 0.00 ≤ 0.01

6,209

0.03

21.99

332

5.35

0.01

iAA+

> 0.01 ≤ 0.02

4,018

0.03

31.40

290

7.23

0.01

iAA

> 0.02 ≤ 0.03

6,406

0.03

19.20

333

5.19

0.01

iAA–

> 0.03 ≤ 0.04

12,073

0.04

27.36

939

7.78

0.01

iA+

> 0.04 ≤ 0.05

12,553

0.05

30.89

1,543

12.29

0.01

iA

> 0.05 ≤ 0.07

14,201

0.07

30.99

2,152

15.16

0.02

iA–

> 0.07 ≤ 0.11

20,571

0.09

37.20

4,503

21.89

0.03

iBBB+

> 0.11 ≤ 0.18

18,108

0.14

32.92

4,676

25.82

0.04

iBBB

> 0.18 ≤ 0.30

19,811

0.23

27.15

5,121

25.85

0.06

iBBB–

> 0.30 ≤ 0.50

13,699

0.39

29.28

4,939

36.06

0.10

iBB+

> 0.50 ≤ 0.83

10,284

0.64

28.43

4,966

48.29

0.18

iBB

> 0.83 ≤ 1.37

10,388

1.07

24.13

5,331

51.32

0.26

iBB–

> 1.37 ≤ 2.27

13,386

1.76

23.01

6,191

46.25

0.36

iB+

> 2.27 ≤ 3.75

6,154

2.92

20.14

3,743

60.83

0.58

iB

> 3.75 ≤ 6.19

5,305

4.82

19.46

3,673

69.23

0.94

iB–

> 6.19 ≤ 10.22

3,362

7.95

19.71

2,731

81.26

1.56

iCCC+

> 10.22 ≤ 16.87

1,485

13.00

16.16

1,210

81.47

2.10

iCCC

> 16.87 ≤ 27.84

682

22.00

24.09

972

142.56

5.29

iCCC–

> 27.84 ≤ 99.99

1,612

31.00

6.88

637

39.53

2.13

Default

100

7,141

100.00

28.73

1,664

23.30

N/M

Total

 

187,450

4.94

27.98

55,958

29.85

0.21

The majority of these exposures in all exposure classes is assigned to investment-grade customers. The exposures in the lower rating classes are largely collateralized.

The table below shows our undrawn commitment exposure treated within the advanced IRBA, including the respective portfolios from Postbank. It is broken down by regulatory exposure class and also provides the corresponding exposure-weighted credit conversion factors and resulting EADs.

Undrawn commitment exposure within the advanced IRBA by regulatory exposure class (including Postbank)

 

Dec 31, 2013

Dec 31, 2012

 

Undrawn commitments in € m.

Weighted Credit Conversion Factor (CCF) in %

Exposure value for undrawn commitments (EAD) in € m.

Undrawn commitments in € m.

Weighted Credit Conversion Factor (CCF) in %

Exposure value for undrawn commitments (EAD) in € m.

Central governments

782

79

614

847

84

712

Institutions

1,673

37

621

1,885

51

955

Corporates

138,047

33

46,058

135,850

40

53,868

Retail exposures secured by real estate property

6,827

74

5,085

6,755

77

5,210

Qualifying revolving retail exposures

5,779

65

3,780

5,726

66

3,799

Other retail exposures

7,799

51

3,980

7,357

52

3,830

Total EAD of undrawn commitments in the advanced IRBA

160,906

37

60,137

158,420

43

68,375

A year-on-year comparison shows an increase in undrawn commitments in particular driven by the transfer of certain corporate exposures at Postbank from the foundation IRBA to the advanced IRBA. The simultaneous decrease in EAD of undrawn commitments is driven by recalibrations of CCF across all segments during 2013.


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