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 grade	Internal rating scale - PD assigned to the obligor grade or pool	Original exposure conversion factors		Credit risk mitigation (CRM) techniques with substitution effects on the exposure					Exposure after CRM substitution effects pre conversion factors		Exposure value				Credit risk mitigation techniques taken into account in lgd estimates excluding double default treatment										Subject to double default treatment	Exposure weighted average lgd (%)	Exposure weighted average LGD (%) for large financial sector entities and unregulated financial entities	Exposure-weighted average maturity value (days)	Risk weighted exposure amount pre supporting factor	(-) Adjustment to risk-weighted exposure amount due to SME supporting factor	(-) Adjustment to risk-weighted exposure amount due to infrastructure projects supporting factor	Risk weighted exposure amount after supporting factor		Memorandum items:
					Of which: large financial sector entities and unregulated financial entities	Unfunded credit protection		(-) Other funded credit protection	Substitution of the exposure due to CRM			Of which: off balance sheet items		Of which: off balance sheet items	Of which: arising from counterparty credit risk	Of which: large financial sector entities and unregulated financial entities	Own estimates of lgd's are used:		Funded credit protection								Unfunded credit protection								Of which: large financial sector entities and unregulated financial entities	Expected loss amount	(-) value adjustments and provisions	Number of obligors	Pre-credit derivatives risk weighted exposure amount
						(-) Guarantees	(-) Credit derivatives		(-) Total outflows	Total inflows (+)							Guarantees	Credit derivatives	Own estimates of lgd's are used:				Eligible financial collateral	Other eligible collateral
																				Cash on deposit	Life insurance policies	Instruments held by a third party		Real estate	Other physical collateral	Receivables
Code	Label	0005	0010	0020	0030	0040	0050	0060	0070	0080	0090	0100	0110	0120	0130	0140	0150	0160	0170	0171	0172	0173	0180	0190	0200	0210	0220	0230	0240	0250	0255	0256	0257	0260	0270	0280	0290	0300	0310
999	Obligor Grade		82112	81980	81809	80205	80092	409248	79979	447708	80792	80806	81290	81304	81318	80911	79648	79567	447656	447667	459133	447678	79621	79729	79702	79756	79594	81536	81451	81638	451647	450340	450461	451623	82479	80487	82294	81740

Dimensions

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").
	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").
Base	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 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 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.
	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 purposes	Approach used for the calculation of capital requirements.
	Approach - Approach used for the calculation of capital requirements (or exposure value in LR)
Exposure class	Defines the exposure class for capital requirement purposes
	Exposure classes - Defines the exposure class for capital requirement purposes
Counterparty sector	Defines 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 risk	Indicates 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).
Counterparty nature	Specifies or constrains the nature of a counterparty, such as whether the counterparty is to be considered a large regulated financial entity according to the CRR or whether the counterparty is a central bank (cf. Counterparty Sector).
	Counterparty - Party other than the reporting institution in a contract or transaction.
CRM Effects/Collateral	When 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 weights	Defines 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 grade	Obligor grades or pools of exposures (sequential number, unique per report)
	Integers - Integers
Prudential portfolio	Defines 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	Specifies the size category of the counterpart
	Counterparty - Party other than the reporting institution in a contract or transaction.