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Report 7: EAD Results

Query Query: 0BADRMC01_Q0007

 

This query shows you the total undrawn but committed credit amount for EAD categories on the report date; EAD estimates in percentage, and the average EAD percentage for defaulted credits during the year.

You can use additional characteristics, such as portfolio, risk class, approach, and subapproach as filters or drilldown characteristics.

The query is only relevant for the advanced IRB approach.

Structure

Filters
Object TypeNameTechnical NameValue Restriction / Calculation
Characteristic CharacteristicFilter for the risk type 0BA_1HELPM1

Credit risk, capital

Characteristic CharacteristicCalculation approach 0BA_1APPRO

IRB approach
Free Characteristics
Object TypeNameTechnical Name
Characteristic CharacteristicPortfolio 0BA_1PORTF
Characteristic CharacteristicRisk class 0BA_1RISKCL
Characteristic CharacteristicCalculation subapproach 0BA_1SAPPR
Characteristic CharacteristicRisk type 0BA_1RISKTY
Characteristic CharacteristicSegment ID 0BA_1SEGID
Variables
Object TypeNameTechnical Name
Characteristic CharacteristicReport date 0P_REPD1
Characteristic CharacteristicPortfolio (range) 0I_PORTF
Characteristic CharacteristicRisk class (range) 0I_RISCL
Variable VariableSAP exit RSVAREXIT_0S_ULTLY
Variable VariableSAP exit RSVAREXIT_0S_CALYY
Variable VariableSAP exit RSVAREXIT_0S_BAYYP
Rows
Object TypeNameTechnical NameValue Restriction / Calculation
EAD category 0BA_1CCFCL

Characteristic CharacteristicEAD estimations in % 0BA_1CCF

Columns
Object TypeNameTechnical NameValue Restriction / Calculation
Key Figure Key FigureTotal amount of the undrawn parts of traditional off-balance-sheet transactions 0BA_1EAD

Constraints: Product class = traditional off-balance-sheet and Date = report date
Key Figure Key FigureExposure weighted by EAD during the year, in %

Formula: (Average amount of closing year * 100)/EAD amount for reporting period
Key Figure Key FigureExposure weighted by LGD during the year, in %

(EAD*LGD for year*100)/EAD amount for reporting period