The following section on “Counterparty Credit Risk: Regulatory Assessment” presents specific disclosures in relation to Pillar 3. Per regulation it is not required to audit Pillar 3 disclosures. As such this section, which ends with the beginning of section “Securitization”, is labeled unaudited. Quantitative information presented follows the regulatory scope of consolidation.
General Considerations for the Regulatory Assessment of Counterparty Risk
As a general rule, we applied the advanced IRBA for the majority of our advanced IRBA eligible credit portfolios to calculate the regulatory capital requirements according to the CRR/CRD 4 framework, based on respective approvals received from BaFin.
A prerequisite for the development of rating methodologies and the determination of risk parameters is a proper definition, identification and recording of the default event of a customer. We apply a default definition in accordance with the requirements of Article 178 CRR as confirmed by the BaFin as part of the IRBA approval process.
The BaFin approvals obtained as a result of the advanced IRBA audit processes for our counterparty credit exposures allow the usage of 68 internally developed rating systems for regulatory capital calculation purposes excluding for exposures in Postbank. Thereof, 37 rating systems were authorized in December 2007; a further 31 followed until year end 2014. Overall they cover all of our material exposures, excluding Postbank, in the advanced IRBA eligible exposure classes “central governments and central banks”, “institutions”, “corporates”, and “retail”.
At Postbank, the retail portfolio is also assigned to the advanced IRBA based on respective BaFin approvals Postbank received and the fact that we have an advanced IRBA status. Moreover, during 2014 Postbank obtained BaFin approvals for one Postbank specific rating system as well as nine rating systems already applied at Group level to start applying the advanced IRBA within the exposure classes “institutions” and “corporates” subsequent to respective audit processes. For a significant portion of Postbank’s remaining IRBA eligible credit portfolio we apply the foundation IRBA based on respective BaFin approvals Postbank received in recent years.
In summary, the approvals Postbank obtained from the BaFin as a result of its IRBA audit processes for the counterparty credit exposures allow the usage of eight internally developed rating systems for regulatory capital calculation purposes under the IRBA and the use of nine rating systems already used at Group level. Overall they cover Postbank’s material exposures in the advanced IRBA eligible exposure class “retail” as well as Postbank’s material exposures in the advanced and foundation IRBA eligible exposure classes “central governments and central banks”, “institutions” and “corporates”.
When referring to RWA and EAD as of December 31, 2014 in the following tables, we generally report according to the CRR/CRD 4 transitional rules if not stated otherwise.
Details of the advanced IRBA and the advanced IRBA exposures are provided in sections “Advanced Internal Ratings Based Approach” and “Advanced IRBA Exposure”. The foundation IRBA and the foundation IRBA exposures are discussed in Sections “Foundation Internal Ratings Based Approach” and “Foundation IRBA Exposure”.
As an IRBA institution, we are required to treat specific equity positions and other non-credit obligation assets generally within the IRBA. For these exposure types typically regulatory defined IRBA risk weights are applied. Our specialized lending exposures reported under the foundation IRBA also receive regulatory risk weights.
At Group level excluding Postbank, we assign a few remaining advanced IRBA eligible portfolios of small size temporarily to the standardized approach. With regard to these, an implementation plan and approval schedule have been set up and agreed with the Bundesbank, the BaFin and the ECB. A portion of Postbank’s IRBA eligible portfolios is also still temporarily assigned to the standardized approach. During 2014, the implementation plans for the Group excluding Postbank and for Postbank have been combined to an overall Group level implementation plan with a combined approval schedule set up and agreed with the BaFin and the Bundesbank.
Details of the standardized approach and the standardized approach exposures are discussed in the Section “Standardized Approach”.
Our advanced IRBA coverage ratio, excluding Postbank, exceeded, with 96,5 % by exposure value (“EAD”) as well as with 93 % by RWA as of December 31, 2014, the European regulatory requirement, remaining nearly unchanged from the levels at December 31, 2013 (96,7 % EAD and 93 % by RWA), using applicable measures according to Section 11 SolvV. These ratios excluded the exposures permanently assigned to the standardized approach (according to Article 150 CRR), other IRBA exposure as well as securitization positions. The regulatory minimum requirements with regard to the respective coverage ratio thresholds have been met at all times. Subsequent to the combination of the implementation plans for the Group excluding Postbank and Postbank the overall Group-wide advanced IRBA coverage ratios have also been established. They were measured according to Section 11 SolvV and were well above the regulatory defined initial thresholds during 2014.
The following table provides an overview of our credit risk exposure broken down by model approaches and business division.
The line item “Other” in Advanced IRBA reflects EAD from securitization positions in the banking book, specific equity positions and other non-credit obligation assets. Within the Standardized Approach, the line item “central governments and central banks” includes exposures to regional governments or local authorities, public sector entities, multilateral developments banks and international organizations. “Other” in the Standardized Approach includes EAD from exposures secured by mortgages on immovable property, exposures in default, items associated with particular high risk, covered bonds, claims on institutions and corporates with a short-term credit assessment, collective investments undertakings (CIU), equity positions (grandfathered), securitization positions in the banking book and other items.
EAD net by model approach and business division |
|||||||
|
Dec 31, 2014 |
||||||
in € m. |
Corporate Banking & Securities |
Private & Business Clients |
Global Transaction Banking |
Deutsche Asset & Wealth Management |
Non-Core Operations Unit |
Consoli- |
Total |
Credit Risk |
|
|
|
|
|
|
|
Advanced IRBA |
298,982 |
225,016 |
115,780 |
50,954 |
20,890 |
8,248 |
719,868 |
Central governments and central banks |
58,284 |
989 |
30,048 |
1,694 |
390 |
574 |
91,978 |
Institutions |
41,988 |
7,651 |
10,662 |
1,000 |
1,497 |
297 |
63,095 |
Corporates |
151,859 |
19,570 |
72,600 |
46,275 |
11,970 |
1,239 |
303,513 |
Retail |
823 |
188,652 |
112 |
1,604 |
1,936 |
0 |
193,127 |
Other |
46,028 |
8,154 |
2,359 |
380 |
5,097 |
6,138 |
68,156 |
Foundation IRBA |
2,410 |
7,708 |
142 |
0 |
10 |
0 |
10,269 |
Central governments and central banks |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Institutions |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Corporates |
2,410 |
7,708 |
142 |
0 |
10 |
0 |
10,269 |
Standardized Approach |
84,565 |
31,721 |
15,734 |
3,767 |
8,702 |
26,572 |
171,060 |
Central governments or central banks |
48,777 |
19,474 |
7,910 |
264 |
565 |
185 |
77,175 |
Institutions |
29,195 |
2,973 |
98 |
20 |
32 |
173 |
32,491 |
Corporates |
5,323 |
1,522 |
5,720 |
1,529 |
1,340 |
548 |
15,982 |
Retail |
10 |
5,761 |
743 |
64 |
1,523 |
24 |
8,124 |
Other |
1,260 |
1,990 |
1,264 |
1,891 |
5,243 |
25,641 |
37,288 |
Risk exposure amount for default funds contributions |
1,531 |
62 |
1 |
0 |
2 |
0 |
1,595 |
Total |
387,487 |
264,506 |
131,656 |
54,720 |
29,603 |
34,820 |
902,793 |
The table below shows the credit risk exposures before credit risk mitigation, the average amount of the exposures and RWA broken down by model approach and regulatory exposure class. The EAD as defined for regulatory purposes is presented on a gross basis, i.e. information for exposures covered by guarantees or credit derivatives is assigned to the exposure class of the original counterparty. The average EAD is calculated over the last four quarter of this fiscal year. In contrast to the EAD gross the RWA is shown after credit risk mitigation.
EAD gross, average EAD gross and RWA by model approach and exposure class |
|||
|
Dec 31, 2014 |
||
in € m. |
EAD gross |
Average EAD gross |
RWA |
Advanced IRBA |
|
|
|
Central governments and central banks |
85,182 |
91,911 |
5,385 |
Institutions |
61,785 |
67,954 |
13,869 |
Corporates |
311,791 |
295,878 |
101,533 |
thereof: SMEs |
21,661 |
7,200 |
6,040 |
Retail |
192,891 |
191,604 |
38,867 |
thereof: |
|
|
|
Secured by real estate SME |
1,093 |
3,860 |
327 |
Secured by real estate non-SME |
155,145 |
150,999 |
24,863 |
Qualifying revolving |
4,417 |
4,376 |
532 |
Other SME |
3,159 |
3,562 |
973 |
Other non-SME |
29,078 |
28,807 |
12,172 |
Equity |
4,318 |
4,056 |
12,216 |
Securitization positions |
53,670 |
49,804 |
13,296 |
Other non-credit obligation assets |
10,168 |
7,638 |
14,258 |
Total advanced IRBA |
719,805 |
708,845 |
199,422 |
Foundation approach |
|
|
|
Central governments and central banks |
0 |
2 |
0 |
Institutions |
0 |
1,230 |
0 |
Corporates |
10,358 |
14,010 |
5,490 |
thereof: SMEs |
235 |
115 |
83 |
Total foundation approach |
10,359 |
15,242 |
5,491 |
Standardized approach |
|
|
|
Central governments or central banks |
40,445 |
45,438 |
0 |
Regional governments or local authorities |
18,322 |
18,231 |
7 |
Public sector entities |
10,182 |
9,185 |
107 |
Multilateral development banks |
4,931 |
2,585 |
0 |
International organizations |
2,357 |
1,438 |
0 |
Institutions |
32,449 |
29,759 |
810 |
Corporates |
16,381 |
19,961 |
11,759 |
thereof: SMEs |
1,399 |
1,519 |
1,125 |
Retail |
8,613 |
8,444 |
5,697 |
thereof: SMEs |
690 |
787 |
357 |
Secured by mortgages on immovable property |
3,956 |
4,448 |
1,345 |
thereof: SMEs |
9 |
6 |
4 |
Exposures in default |
3,423 |
3,566 |
4,275 |
Items associated with particular high risk |
161 |
219 |
229 |
Covered bonds |
22 |
25 |
2 |
Claims on institutions and corporates with a short-term credit assessment |
0 |
0 |
0 |
Collective investments undertakings (CIU) |
25,262 |
23,892 |
9,046 |
Equity |
2,707 |
2,563 |
2,707 |
Other items |
419 |
311 |
350 |
Securitization positions |
1,404 |
1,950 |
1,188 |
Total standardized approach |
171,034 |
172,016 |
37,522 |
Risk exposure amount for default funds contributions |
1,595 |
1,587 |
1,693 |
Total |
902,793 |
897,690 |
244,128 |
thereof counterparty credit risk from |
|
|
|
Derivatives |
122,742 |
115,728 |
37,690 |
Securities financing transactions |
44,208 |
54,357 |
3,427 |
The following three tables set out the distribution of the credit risk portfolio by model approach and regulatory exposure class before credit risk mitigation into geographical region, industry and residual maturity.
EAD gross by model approach, exposure class and geographical region |
|||||||||
|
Dec 31, 2014 |
||||||||
in € m. |
Germany |
Western Europe (excluding Germany) |
Eastern Europe |
North America |
Central and South America |
Asia/ Pacific |
Africa |
Other |
Total |
Advanced IRBA |
|
|
|
|
|
|
|
|
|
Central governments and central banks |
0 |
5,983 |
3,579 |
54,008 |
1,405 |
13,060 |
1,135 |
6,011 |
85,182 |
Institutions |
7,411 |
25,959 |
620 |
12,873 |
2,042 |
9,355 |
450 |
3,075 |
61,785 |
Corporates |
42,305 |
86,364 |
6,331 |
107,428 |
6,207 |
48,578 |
2,643 |
11,935 |
311,791 |
thereof: SMEs |
2,229 |
3,739 |
1,510 |
2,185 |
288 |
9,930 |
322 |
1,459 |
21,661 |
Retail |
160,601 |
26,101 |
5,719 |
100 |
126 |
98 |
77 |
71 |
192,891 |
thereof: |
|
|
|
|
|
|
|
|
|
Secured by real estate SME |
23 |
739 |
327 |
2 |
0 |
0 |
1 |
1 |
1,093 |
Secured by real estate non-SME |
133,332 |
16,795 |
4,799 |
69 |
19 |
67 |
14 |
49 |
155,145 |
Qualifying revolving |
4,351 |
38 |
5 |
5 |
5 |
7 |
2 |
3 |
4,417 |
Other SME |
291 |
2,529 |
336 |
1 |
0 |
2 |
0 |
0 |
3,159 |
Other non-SME |
22,601 |
5,999 |
254 |
23 |
102 |
22 |
60 |
18 |
29,078 |
Equity |
934 |
241 |
0 |
383 |
4 |
2,614 |
4 |
138 |
4,318 |
Securitization positions |
3,459 |
12,568 |
592 |
22,023 |
273 |
14,194 |
33 |
528 |
53,670 |
Other non-credit obligation assets |
N/M |
N/M |
N/M |
N/M |
N/M |
N/M |
N/M |
N/M |
10,168 |
Total advanced IRBA |
214,710 |
157,216 |
16,841 |
196,814 |
10,057 |
87,899 |
4,343 |
21,758 |
719,805 |
Foundation approach |
|
|
|
|
|
|
|
|
|
Central governments and central banks |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Institutions |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Corporates |
6,379 |
2,487 |
223 |
645 |
50 |
108 |
8 |
459 |
10,358 |
thereof: SMEs |
201 |
32 |
1 |
0 |
0 |
1 |
0 |
0 |
235 |
Total foundation approach |
6,380 |
2,487 |
223 |
645 |
50 |
108 |
8 |
458 |
10,359 |
Standardized approach |
|
|
|
|
|
|
|
|
|
Central governments or central banks |
10,895 |
29,467 |
49 |
15 |
0 |
0 |
0 |
20 |
40,445 |
Regional governments or local authorities |
17,993 |
329 |
0 |
0 |
0 |
0 |
0 |
0 |
18,322 |
Public sector entities |
9,430 |
719 |
0 |
32 |
0 |
0 |
0 |
0 |
10,182 |
Multilateral development banks |
0 |
724 |
0 |
0 |
0 |
0 |
0 |
4,207 |
4,931 |
International organizations |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
2,357 |
2,357 |
Institutions |
6,501 |
12,830 |
1 |
10,064 |
627 |
2,326 |
0 |
101 |
32,449 |
Corporates |
2,504 |
10,840 |
206 |
1,556 |
147 |
788 |
94 |
244 |
16,381 |
thereof: SMEs |
90 |
1,287 |
11 |
0 |
0 |
3 |
0 |
7 |
1,399 |
Retail |
2,345 |
5,088 |
411 |
143 |
0 |
616 |
0 |
10 |
8,613 |
thereof: SMEs |
43 |
637 |
8 |
0 |
0 |
0 |
0 |
2 |
690 |
Secured by mortgages on immovable property |
258 |
3,263 |
24 |
4 |
0 |
251 |
0 |
156 |
3,956 |
thereof: SMEs |
6 |
2 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
Exposures in default |
651 |
1,905 |
13 |
665 |
1 |
185 |
0 |
4 |
3,423 |
Items associated with particular high risk |
1 |
136 |
0 |
0 |
0 |
0 |
0 |
24 |
161 |
Covered bonds |
22 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
22 |
Claims on institutions and corporates with a short-term credit assessment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Collective investments undertakings (CIU) |
16,431 |
7,108 |
0 |
1,630 |
28 |
66 |
0 |
0 |
25,262 |
Equity |
295 |
1,593 |
0 |
611 |
0 |
79 |
0 |
129 |
2,707 |
Other items |
88 |
327 |
0 |
5 |
0 |
0 |
0 |
0 |
419 |
Securitization positions |
294 |
646 |
0 |
464 |
0 |
0 |
0 |
0 |
1,404 |
Total standardized approach |
67,708 |
75,042 |
704 |
15,189 |
803 |
4,311 |
94 |
7,184 |
171,034 |
Risk exposure amount for default funds contributions |
N/M |
N/M |
N/M |
N/M |
N/M |
N/M |
N/M |
N/M |
1,595 |
Total |
288,798 |
234,744 |
17,768 |
212,648 |
10,910 |
92,317 |
4,445 |
29,400 |
902,793 |
Thereof counterparty credit risk from |
|
|
|
|
|
|
|
|
|
Derivatives |
12,831 |
53,911 |
1,290 |
38,924 |
2,034 |
10,726 |
689 |
2,337 |
122,742 |
Securities financing transactions |
1,056 |
15,242 |
1,160 |
18,534 |
1,499 |
3,436 |
393 |
2,887 |
44,208 |
N/M – Not meaningful |
|
|
|
|
|
|
|
|
|
EAD gross by model approach, exposure class and industry |
|||||||||
|
Dec 31, 2014 |
||||||||
in € m. |
Banks and insurance |
Fund management activities |
Manufactoring |
Wholesale and retailtrade |
Households |
Commercial real estate activites |
Public sector |
Other |
Total |
Advanced IRBA |
|
|
|
|
|
|
|
|
|
Central governments and central banks |
66,993 |
49 |
0 |
0 |
0 |
0 |
12,068 |
6,072 |
85,182 |
Institutions |
49,192 |
364 |
465 |
221 |
0 |
129 |
2,072 |
9,342 |
61,785 |
Corporates |
25,334 |
8,889 |
45,262 |
19,952 |
31,536 |
23,758 |
1,328 |
155,731 |
311,791 |
thereof: SMEs |
13,691 |
205 |
2,519 |
938 |
232 |
256 |
4 |
3,814 |
21,661 |
Retail |
2 |
38 |
1,989 |
2,108 |
171,826 |
12,519 |
3 |
4,405 |
192,891 |
thereof: |
|
|
|
|
|
|
|
|
|
Secured by real estate SME |
0 |
0 |
0 |
0 |
642 |
451 |
0 |
0 |
1,093 |
Secured by real estate non-SME |
0 |
0 |
0 |
0 |
143,497 |
11,647 |
0 |
1 |
155,145 |
Qualifying revolving |
0 |
0 |
0 |
0 |
4,417 |
0 |
0 |
0 |
4,417 |
Other SME |
0 |
0 |
1,020 |
890 |
490 |
55 |
1 |
704 |
3,159 |
Other non-SME |
2 |
38 |
969 |
1,218 |
22,781 |
366 |
3 |
3,701 |
29,078 |
Equity |
93 |
22 |
7 |
16 |
0 |
155 |
0 |
4,025 |
4,318 |
Securitization positions |
950 |
17,521 |
0 |
0 |
672 |
340 |
156 |
34,032 |
53,670 |
Other non-credit obligation assets |
N/M |
N/M |
N/M |
N/M |
N/M |
N/M |
N/M |
N/M |
10,168 |
Total advanced IRBA |
142,563 |
26,883 |
47,723 |
22,298 |
204,034 |
36,901 |
15,628 |
213,607 |
719,805 |
Foundation approach |
|
|
|
|
|
|
|
|
|
Central governments and central banks |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Institutions |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Corporates |
127 |
25 |
1,961 |
3,545 |
314 |
1,238 |
1 |
3,148 |
10,358 |
thereof: SMEs |
0 |
0 |
115 |
107 |
0 |
0 |
0 |
13 |
235 |
Total foundation approach |
128 |
25 |
1,961 |
3,545 |
314 |
1,238 |
1 |
3,147 |
10,359 |
Standardized approach |
|
|
|
|
|
|
|
|
|
Central governments and central banks |
10,174 |
2 |
0 |
0 |
0 |
0 |
29,476 |
793 |
40,445 |
Regional governments or local authorities |
0 |
0 |
0 |
50 |
0 |
59 |
17,593 |
620 |
18,322 |
Public sector entities |
6,697 |
0 |
0 |
42 |
0 |
8 |
2,258 |
1,176 |
10,182 |
Multilateral development banks |
724 |
0 |
0 |
0 |
0 |
0 |
4,207 |
0 |
4,931 |
International organizations |
1,602 |
0 |
0 |
0 |
0 |
0 |
0 |
755 |
2,357 |
Institutions |
1,090 |
2 |
0 |
0 |
0 |
0 |
0 |
31,357 |
32,449 |
Corporates |
175 |
1,650 |
1,356 |
1,873 |
364 |
1,933 |
38 |
8,991 |
16,381 |
thereof: SMEs |
10 |
0 |
177 |
345 |
10 |
275 |
0 |
581 |
1,399 |
Retail |
0 |
0 |
105 |
210 |
7,286 |
464 |
0 |
546 |
8,613 |
thereof: SMEs |
0 |
0 |
71 |
175 |
50 |
58 |
0 |
336 |
690 |
Secured by mortgages on immovable property |
0 |
0 |
0 |
4 |
3,428 |
368 |
0 |
156 |
3,956 |
thereof: SMEs |
0 |
0 |
0 |
0 |
1 |
2 |
0 |
0 |
3 |
Exposures in default |
147 |
9 |
224 |
138 |
911 |
583 |
5 |
1,407 |
3,423 |
Items associated with particular high risk |
0 |
0 |
5 |
10 |
100 |
8 |
0 |
38 |
161 |
Covered bonds |
22 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
22 |
Claims on institutions and corporates with a short-term credit assessment |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
Collective investments undertakings (CIU) |
0 |
0 |
9 |
0 |
0 |
0 |
1,569 |
23,684 |
25,262 |
Equity |
1,354 |
15 |
25 |
1 |
0 |
137 |
14 |
1,161 |
2,707 |
Other items |
84 |
0 |
0 |
0 |
0 |
0 |
0 |
335 |
419 |
Securitization positions |
5 |
514 |
0 |
0 |
784 |
0 |
0 |
101 |
1,404 |
Total standardized approach |
22,076 |
2,191 |
1,724 |
2,329 |
12,873 |
3,559 |
55,161 |
71,120 |
171,034 |
Risk exposure amount for default funds contributions |
N/M |
N/M |
N/M |
N/M |
N/M |
N/M |
N/M |
N/M |
1,595 |
Total |
164,767 |
29,099 |
51,408 |
28,172 |
217,222 |
41,699 |
70,789 |
287,874 |
902,793 |
Thereof counterparty credit risk from |
|
|
|
|
|
|
|
|
|
Derivatives |
21,586 |
6,133 |
4,073 |
1,776 |
1,348 |
2,826 |
9,046 |
75,955 |
122,742 |
Securities financing transactions |
16,710 |
184 |
18 |
6 |
420 |
131 |
85 |
26,654 |
44,208 |
N/M – Not meaningful |
|
|
|
|
|
|
|
|
|
EAD gross by model approach, exposure class and residual maturity |
||||||
|
Dec 31, 2014 |
|||||
in € m. |
Up to one month |
Over 1 month to not more than 1 year |
Over 1 year to not more than 2 years |
Over 2 years to not more than 5 years |
Over 5 years |
Total |
Advanced IRBA |
|
|
|
|
|
|
Central governments and central banks |
60,299 |
9,280 |
1,408 |
14,010 |
184 |
85,182 |
Institutions |
13,513 |
23,081 |
6,503 |
18,509 |
179 |
61,785 |
Corporates |
38,426 |
106,617 |
32,795 |
129,733 |
4,220 |
311,791 |
thereof: SMEs |
4,063 |
10,459 |
1,627 |
4,924 |
588 |
21,661 |
Retail |
10,981 |
6,136 |
4,526 |
16,573 |
154,675 |
192,891 |
thereof: |
|
|
|
|
|
|
Secured by real estate SME |
2 |
3 |
6 |
98 |
985 |
1,093 |
Secured by real estate non-SME |
1,558 |
2,712 |
2,761 |
8,359 |
139,755 |
155,145 |
Qualifying revolving |
4,238 |
179 |
0 |
0 |
0 |
4,417 |
Other SME |
821 |
1,067 |
182 |
759 |
331 |
3,159 |
Other non-SME |
4,363 |
2,174 |
1,577 |
7,359 |
13,605 |
29,078 |
Equity |
1 |
44 |
22 |
3,573 |
678 |
4,318 |
Securitization positions |
1,445 |
4,313 |
1,738 |
20,684 |
25,490 |
53,670 |
Other non-credit obligation assets |
N/M |
N/M |
N/M |
N/M |
N/M |
10,168 |
Total advanced IRBA |
124,666 |
149,470 |
46,994 |
203,082 |
185,425 |
719,805 |
Foundation approach |
|
|
|
|
|
|
Central governments and central banks |
0 |
0 |
0 |
0 |
0 |
0 |
Institutions |
0 |
0 |
0 |
0 |
0 |
0 |
Corporates |
524 |
880 |
261 |
3,026 |
5,668 |
10,358 |
thereof: SMEs |
23 |
5 |
1 |
28 |
178 |
235 |
Total foundation approach |
524 |
880 |
261 |
3,026 |
5,669 |
10,359 |
Standardized approach |
|
|
|
|
|
|
Central governments or central banks |
9,569 |
2,175 |
4,706 |
23,995 |
0 |
40,445 |
Regional governments or local authorities |
468 |
7,052 |
1,253 |
6,087 |
3,462 |
18,322 |
Public sector entities |
129 |
817 |
1,463 |
7,551 |
222 |
10,182 |
Multilateral development banks |
17 |
54 |
247 |
4,614 |
0 |
4,931 |
International organizations |
0 |
51 |
123 |
2,184 |
0 |
2,357 |
Institutions |
1,854 |
7,610 |
9,679 |
13,232 |
73 |
32,449 |
Corporates |
2,460 |
3,625 |
1,812 |
7,919 |
565 |
16,381 |
thereof: SMEs |
355 |
170 |
89 |
734 |
51 |
1,399 |
Retail |
1,430 |
881 |
400 |
2,285 |
3,617 |
8,613 |
thereof: SMEs |
182 |
30 |
52 |
404 |
22 |
690 |
Secured by mortgages on immovable property |
125 |
920 |
146 |
745 |
2,020 |
3,956 |
thereof: SMEs |
0 |
0 |
0 |
6 |
3 |
9 |
Exposures in default |
842 |
463 |
212 |
1,561 |
345 |
3,423 |
Items associated with particular high risk |
14 |
13 |
33 |
53 |
48 |
161 |
Covered bonds |
22 |
0 |
0 |
0 |
0 |
22 |
Claims on institutions and corporates with a short-term credit assessment |
0 |
0 |
0 |
0 |
0 |
0 |
Collective investments undertakings (CIU) |
9 |
0 |
0 |
17,836 |
7,417 |
25,262 |
Equity |
0 |
480 |
6 |
2,143 |
78 |
2,707 |
Other items |
5 |
35 |
22 |
242 |
116 |
419 |
Securitization positions |
19 |
67 |
165 |
436 |
716 |
1,404 |
Total standardized approach |
16,964 |
24,242 |
20,265 |
90,884 |
18,679 |
171,034 |
Risk exposure amount for default funds contributions |
N/M |
N/M |
N/M |
N/M |
N/M |
1,595 |
Total |
142,153 |
174,592 |
67,519 |
296,992 |
209,774 |
902,793 |
Thereof counterparty credit risk from |
|
|
|
|
|
|
Derivatives |
265 |
33,504 |
23,697 |
63,770 |
1,506 |
122,742 |
Securities financing transactions |
29,488 |
10,566 |
1,621 |
2,533 |
0 |
44,208 |
N/M – Not meaningful |
|
|
|
|
|
|