Report CR_18: Credit Risk for Specialized Lending Category 1

Query Query: 0BADRMC22_Q0018

This query gets the data for the workbook 0BADR_Credit_Risk_IRB_Approaches.

Structure

Filters
Object Type	Name	Technical Name	Value Restriction / Calculation
Characteristic	Slotting Approach Category	`0BA_1SLACAT`	Restricted to "1"
Characteristic	Risk type	`0BA_1RISKTY`	Restricted to the following risk types: credit risk, commercial real estate, delivery risk, dilution risk, residual risk, specific market risk (1, 2, 11, 12, 13, and 14).
Characteristic	Asset Class Report	`0BA_1EXPCLO`	Restricted to the asset class (0I_EXPOB)
Characteristic	Approach	`0BA_1APPRO`	Approach (01_APPR), foundation IRB approach, advanced IRB approach, CCF, advanced IRB approach, LGD, advanced CCF/LGD (3, 4, 5, 6)
Characteristic	Calendar day	`0CALDAY`	Restricted to the report date (0P_REPD1)

Rows
Object Type	Name	Technical Name	Value Restriction / Calculation
Characteristic	Risk weight	`0BA_1RISKW`

Columns
Object Type	Name	Technical Name	Value Restriction / Calculation
Key Figure	EAD * PD	`0BA_1EADPD`	#
Key Figure	Exposure-weighted PD		Formula: 'EAD * PD' / 'IRB EAD amount (without outflows)'
Key Figure	IRB original exposure before conversion (normal + outflows)	`0BADRMC22_RK013`
Key Figure	Of which derived from the CCR
Key Figure	Guarantees
Key Figure	Credit derivatives
Key Figure	Additional Financial Collateral
Key Figure	IRB total outflows	`0BADRMC22_CK005`
Key Figure	IRB total inflows	`0BADRMC22_CK006`
Key Figure	IRB exposure after risk mitigation	`0BADRMC22_CK007`
Key Figure	Of which not effecting the balance sheet
Key Figure	IRB EAD amount (without outflows)
Key Figure	Of which not effecting the balance sheet
Key Figure	Guarantees
Key Figure	Credit derivatives
Key Figure	Additional Financial Collateral
Key Figure	Eligible financial collateral (IRB approach)
Key Figure	Eligible financial collateral (foundation IRB approach)
Key Figure	Eligibility of financial collateral		Formula: 'Eligible financial collateral (IRBA)' + 'Eligible financial collateral (FIRB)'
Key Figure	Real estate (IRB approach)
Key Figure	Real estate (foundation IRB approach)
Key Figure	Real estate		Formula: 'Real Estate / (IRBA)' + 'Real Estate / (FIRB)'
Key Figure	Other physical collateral (IRB approach)
Key Figure	Other physical collateral (foundation IRB approach)
Key Figure	Other physical collateral		Formula: 'Eligible financial collateral (IRBA)' + 'Eligible financial collateral (FIRB)'
Key Figure	Receivables (IRB approach)
Key Figure	Receivables (foundation IRB approach)
Key Figure	Receivables		Formula: "Receivables (IRB approach)" and " Receivables (foundation IRB approach)"
Key Figure	Unsecured credit collateral/double default
Key Figure	Auxiliary Key Figure for EAD x LGD
Key Figure	Exposure: weighted average LGD
Key Figure	EAD*Residual maturity in days
Key Figure	Exposure: weighted average residual maturity		Formula: 'EAD * Mat. Days' / 'IRB EAD amount (without outflows)'
Key Figure	RWA (without outflows)	`0BADRMC22_RK008`
Key Figure	Credit risk (without disposals)	`0BADRMC22_RK009`
Key Figure	Expected loss amount (without outflows)	`0BADRMC22_RK014`
Key Figure	Provisions (without outflows)	`0BADRMC22_CK008`
Key Figure	Number of counterparties		= 0
Key Figure	Dummy		= 1