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Matched Legal Cases: ['art 2', 'art 2', 'art 2', 'art 2', 'art 2', 'art 2']

Market Risk Under Basel Ii by gtw75969
77220931
Market Risk Under Basel Ii document sample
Use cases presented by the expert panel on disclosure
requirements for the implementation of the quantitative
disclosure requirements under the Third Pillar of Basel II
Lead management: Deutsche Bundesbank (Mr Karl-Heinz Hillen)
Last update 1 December 2005
Use cases by the expert panel on disclosure requirements                                                              2
- The following use cases for meeting the quantitative Pillar 3 disclosure requirements were developed by the expert panel on Pillar 3 disclosure
requirements on the basis of a comprehensive and constructive concept developed by the Bundesverband &#246;ffentlicher Banken (Federal Association of
Public Banks) with contributions by Deutsche Bank and Dresdner Bank in order to give the banking industry guidance on how to comply with the
quantitative disclosure requirements. These use cases are not binding requirements but merely one possible way of showing how the Pillar 3 disclosure
requirements can be implemented. They are therefore intended as recommendations by the expert panel and fundamentally reflect the minimum
requirements of Pillar 3. In individual cases, disclosures over and above the minimum requirements were included in the use cases; in these cases, the
relevant fields are shadowed. Fields that cannot or are not to be completed are struck through.
- The expert panel is of the opinion that the reference date for the initial disclosure of information under Pillar 3 should depend upon the date from which an
institution actually begins to use the Basel II Framework to calculate its capital adequacy. Here, in turn, the reference date depends upon the date of the
initial use of one of the Pillar 1 methods (Standardised Approach or IRB Approaches) to calculate credit risk. Until this transition has been made, an
institution will still count as a Basel I bank, which will mean that – since Basel I has no Pillar 3 – no information under Pillar 3 disclosure requirements will be
With the implementation of the use cases, the disclosure regulations of the German Banking Act (Kreditwesengesetz) and the Solvency Directive will
fundamentally complied with.
- Any queries regarding the use cases should be addressed to fachgremium-saeule3@bundesbank.de.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                               4/19/2011
Use cases by the expert panel on disclosure requirements                                                   3
Number      Table                  Designation
1       Table 1b               Consolidation matrix / Differences between supervisory and Commercial Code-based consolidation groups
2       Table 1e               Aggregate amount of all subsidiaries subject to a deduction treatment
3       Table 1f               Capital shares in insurance entities which are risk-weighted
4       Tables 2b to 2e        Capital structure
5       Tables 3b to 3e        Capital requirements
6       Table 3f               Capital ratios
7       Table 4b               Gross credit risk exposures, broken down by types of credit exposure
8       Table 4c               Significant geographical areas, broken down by types of credit exposure
9       Table 4d               Major industries, broken down by types of credit exposure
10      Table 4e               Residual contractual maturities
11      Table 4f               Impaired and past due loans, broken down by major industries
12      Table 4g               Impaired and past due loans, broken down by significant geographical areas
13      Table 4h               Development of allowances
14      Table 4i               Exposure amounts according to the chosen approaches
Volume of counterparty risk exposures (after risk mitigation) for portfolios in the Standardised Approach and for
15     Table 5b
the supervisory risk weights applicable in the IRB Approach, for each risk category
16     Table 6d(I)            Aggregate credit volume, by PD grades (excluding retail)
17     Table 6d(II)           Credit volume, by PD grades (excluding retail), in the Advanced IRB Approach
18     Table 6d(III)          Undrawn commitments and weighted EAD per portfolio in the Advanced IRB Approach
19     Table 6d(IV)           Drawings and commitments for retail portfolios
20     Table 6e               Actual loan losses
21     Table 6f               Estimates of losses and actual loan losses
22     Tables 7b and 7c       Aggregate amount of collateralised exposures (excluding securitisations)
23     Table 8d               Total outstanding exposures securitised
24     Table 8e               Impaired and past due assets securitised and losses recognised by the bank during the current period
25     Table 8f               Aggregate amount of securitisation exposures retained or purchased
26     Tables 8g and 8i(I)    Capital charges for securitisation exposures retained or purchased, broken down into risk weight bands
27     Tables 8h and 8i(II)   Securitisations subject to the early amortisation treatment
28     Table 8j               Securitisation activity in the current year
29     Table 9b               Capital requirements for market risk
30     Table 10d              Overview of the VaR of trading portfolios
31     Tables 12b and 12c     Valuation approaches for equities
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                               4/19/2011
Use cases by the expert panel on disclosure requirements          4
32     Tables 12d and 12e   Realised and unrealised gains/losses from equities
33     Table 12f            Equities with their capital charges
34     Table 13b            Interest rate risk in the banking book
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                   4/19/2011
Use cases by the expert panel on disclosure requirements                                                                              5
Table 1 Scope of application
Last update 1 Sep 2005
Basel II / Pillar 3     An outline of differences in the basis of consolidation for accounting and regulatory purposes, with a brief description of
requirement             the entities116 within the group (a) that are fully consolidated;117 (b) that are pro-rata consolidated;118 (c) that are given a
deduction treatment;119 and (d) from which surplus capital is recognised119 plus (e) that are neither consolidated nor
deducted (eg where the investment is risk-weighted).
Entity = securities, insurance and other financial subsidiaries, commercial subsidiaries, significant minority equity investments in insurance, financial
and commercial entities.
Following the listing of significant subsidiaries in consolidated accounting, eg IAS 27.
Following the listing of subsidiaries in consolidated accounting, eg IAS 31.
May be provided as an extension (extension of entities only if they are significant for the consolidating bank) to the listing of significant subsidiaries in
consolidated accounting, eg IAS 27 and 32.
Approaches concerned    No restrictions
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                   4/19/2011
Use cases by the expert panel on disclosure requirements                                                                                   6
Table :                 “Consolidation matrix / Differences between supervisory and Commercial Code-based consolidation groups”
This information may also be viewed in flow text if desired!!!
Description*                    Name1)
Consolidation               Deduction            Risk-weighted
treatment            investment-2)
Full        Pro-rata                                                         Full         Pro-rata
Entity A                                   X                                                                           X
Entity B                                   X                                                                           X
Entity C                                   X                                                                                          X
Entity G                                                                  X
Entity I                                                                                                               X
Only key entities should be named specifically. For less important entities, we recommend a combined description according to the institution‟s specific materiality
Which are consolidated in accordance with the Commercial Code.
A brief description of the entity may also be necessary in addition to the information presented in the consolidation matrix.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                     4/19/2011
Use cases by the expert panel on disclosure requirements                                                        7
Reporting frequency           Annual (Basel/Brussels)
First reporting period/cut-   The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the
off date for publication      initial reporting period, which begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II
/ Bruessels new. The reference date for the initial disclosure should be set in the light to the reporting frequencies given
in the use-cases.
Companies involved            Supervisory consolidation group (New Principle I)
Pillar 3 expert panel‟s       Can groups be formed when describing subsidiaries?
recommendation for            Listing each individual subsidiary would not make much sense for smaller, insignificant subsidiaries (eg special purpose
implementation                entities) and would lead to information overload on the part of the reader.
The accounting standard according to which the relevant group statement was compiled is the reference measure for
the comparison. Smaller, insignificant subsidiaries (eg special purpose entities) may be summarised. (See also
paragraph 814.)
Notes                         *
The classification scheme in this use case corresponds to that of section 1 of the Banking Act, to which insurance
companies and other entities have been added. We use the following abbreviations here:
CI = credit institution (section 1 (1) of the Banking Act)
FSI = financial services institution (section 1 (1a) of the Banking Act)
FE = financial enterprise (section 1 (3) of the Banking Act)
Insur = insurance companies within the meaning of the Insurance Supervision Act (Versicherungsaufsichtsgesetz)
Other = includes all other companies not falling within one of the above categories.
The possibility of recognising insurance subsidiaries‟ surplus capital envisaged in paragraph 33 of the Basel Framework
has not been translated into European and national law; therefore, no space to list this information is needed
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                          4/19/2011
Use cases by the expert panel on disclosure requirements          8
Outstanding issues      None
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                              4/19/2011
Use cases by the expert panel on disclosure requirements                                                                               9
Basel II / Pillar 3           The aggregate amount of capital deficiencies122 in all subsidiaries not included in the consolidation ie that are deducted and the
requirement                   name(s) of such subsidiaries.
A capital deficiency is the amount by which actual capital is less than the regulatory capital requirement. Any deficiencies which have been deducted on a
group level in addition to the investment in such subsidiaries are not to be included in the aggregate capital deficiency.
Approaches concerned          No restrictions
Table :                       “Aggregate amount of all subsidiaries that are subject to a deduction treatment”
Names of subsidiaries with a capital Aggregate amount of
deficiency that are deducted       capital deficiency
Subsidiary A                                          ▬▬▬▬▬
Subsidiary B                                          ▬▬▬▬▬
Subsidiary C                                          ▬▬▬▬▬
Subsidiary D                                          ▬▬▬▬▬
Subsidiary E                                          ▬▬▬▬▬
Subsidiary F                                          ▬▬▬▬▬
Reporting frequency           Semi-annual (Basel) / annual (Brussels)
First reporting period/cut-   The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial
off date for publication      reporting period, which begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels
new. The reference date for the initial disclosure should be set in the light to the reporting frequencies given in the use-cases.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                      4/19/2011
Use cases by the expert panel on disclosure requirements                                                           10
Companies involved        Subsidiaries (institutions) deducted from regulatory capital
Pillar 3 expert panel‟s   What does “capital deficiencies” mean?
recommendation for        According to footnote 122, “capital deficiencies” represent the differences between the companies‟ actual capital and the
implementation            regulatory capital requirement. If the companies are not institutions, they are not subject to regulatory capital requirements and
thus “capital deficiencies” cannot exist. With regard to institutions, it is necessary to define which capital requirements are
meant: local capital standards relevant to the individual institution or the capital charges on a subsidiary‟s exposures pursuant to
“Capital deficiencies” are to be examined only for institutions which themselves are subject to capital standards. This
interpretation derives from footnote 122. Local capital standards are the measure for detecting a deficit. Moreover, the expert
panel does not expect a use case for this rule.
Notes                     none
Outstanding issues        none
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                         4/19/2011
Use cases by the expert panel on disclosure requirements                                                                                     11
Basel II / Pillar 3     The aggregate amounts (eg current book value) of the firm&#39;s total interests in insurance entities, which are risk-weighted 123 rather
requirement             than deducted from capital or subjected to an alternate group-wide method,124 as well as their name, their country of incorporation or
residence, the proportion of ownership interest and, if different, the proportion of voting power in these entities. In addition, indicate
the quantitative impact on regulatory capital of using this method versus using the deduction or alternate group-wide method.
Due to issues of competitive equality, some G10 countries will retain their existing risk weighting treatment as an exception to the approaches described above and
introduce risk aggregation only on a consistent basis to that applied domestically by insurance supervisors for insurance firms with banking subsidiaries. The
Committee invites insurance supervisors to develop further and adopt approaches that comply with the above standards.
A bank that owns an insurance subsidiary bears the full entrepreneurial risks of the subsidiary and should recognise on a group-wide basis the risks included in the
whole group. When measuring regulatory capital for banks, the Committee believes that at this stage it is, in principle, appropriate to deduct banks‟ equity and other
regulatory capital investments in insurance subsidiaries and also significant minority investments in insurance entities. Under this approach the bank would remove
from its balance sheet assets and liabilities, as well as third party capital investments in an insurance subsidiary. Alternative approaches that can be applied should, in
any case, include a group-wide perspective for determining capital adequacy and avoid double counting of capital.
Use cases by the expert panel on disclosure requirements                                                                                   12
Table :                       “Capital shares in insurance entities which are risk-weighted”
Aggregate current
Country of                                                      book value of the           Quantitative impact
Name of the risk-weighted
incorporation or              Ownership                             total interests, in           on regulatory
insurance entity*
residence                    interest        Voting power             € million             capital,** in € million
(percentage)       (percentage)
Insurance entity A                                                                   x%                 x%                ▬▬▬▬▬                        ▬▬▬▬▬
Insurance entity B                                                                   y%                 z%                ▬▬▬▬▬                        ▬▬▬▬▬
Insurance entity C                                                                                                        ▬▬▬▬▬                        ▬▬▬▬▬
Insurance entity D                                                                                                        ▬▬▬▬▬                        ▬▬▬▬▬
…                                                                                                                        ▬▬▬▬▬                        ▬▬▬▬▬
Total                                                 ▬▬▬▬▬                      ▬▬▬▬              ▬▬▬▬▬
* Total capital interests in insurance entities, which are risk-weighted and not deducted from capital or subject to an alternative method, are to be listed.
** The quantitative impact of risk-weighting total interests rather using the deduction method or an alternative method is to be indicated.
First reporting period/cut-   The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting
off date for publication      period, which begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The
reference date for the initial disclosure should be set in the light to the reporting frequencies given in the use-cases.
Companies involved            Risk-weighted insurance entities
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                           4/19/2011
Use cases by the expert panel on disclosure requirements                                                     13
Pillar 3 expert panel‟s   What investments in insurance entities are meant by “… which are risk-weighted rather than deducted from capital or
recommendation for        subjected to an alternate group-wide method, …”?
implementation            In this context, this generally means such insurance entities in which the institution holds an ownership interest of at least
20%. Moreover, this can also mean ownership interests in insurance entities where, although the bank holds less than
20% of the capital, it can exert a key influence on the entity‟s business strategy. In the opinion of the expert panel, a use
case for an alternative method is not conceivable for Germany.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                   4/19/2011
Use cases by the expert panel on disclosure requirements                                                                14
Table 2 Capital structure
-Last update 1 Sep 2005
Tables 2b to 2e
Basel II / Pillar 3     (b) The amount of Tier 1 capital, with separate disclosure of
- paid-up share capital/common stock
- minority interests in the equity of subsidiaries
- innovative instruments125
- other capital instruments
- surplus capital from insurance companies
- regulatory calculation differences deducted from Tier 1 capital and
- other amounts deducted from Tier 1 capital, including goodwill and investments.
(c) The total amount of Tier 2 and Tier 3 capital.
(d) Other deductions from capital. .
Innovative instruments are covered under the Committee‟s press release, Instruments eligible for inclusion in Tier 1 capital (27 October 1998).
See paragraph 33
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                    4/19/2011
Use cases by the expert panel on disclosure requirements                                                            15
Table :                     “Capital structure”
- paid-up share capital / common
- Minority interests in the equity of
- Innovative instruments
- Regulatory calculation
differences (only IRB)
Total Tier 2 capital and used
eligible Tier 3 capital
Other deductions2)
50% of the difference (when expected losses as calculated within the IRB Approach exceed total provisions) to be deducted from Tier 1 capital.
Reporting frequency         Quarterly (Basel) / semi-annual (Brussels)
First reporting period/cut- The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting
off date for publication    period, which begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The
Companies involved          Supervisory consolidation group (New Principle I)
Use cases by the expert panel on disclosure requirements                                                                16
Pillar 3 expert panel‟s   None
Notes                     The possibility of recognising insurance subsidiaries‟ surplus capital envisaged in paragraph 33 of the Basel Framework has not been translated into
European and national law; therefore, no space to list this information is needed.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                         4/19/2011
Use cases by the expert panel on disclosure requirements                                                                                    17
Table 3 Capital adequacy
Tables 3b to 3e
Basel II / Pillar 3      (b) Capital requirements for credit risk
requirement              - Portfolios subject to Standardised or simplified Standardised Approach, disclosed separately for each portfolio
- Portfolios subject to the IRB Approaches, disclosed separately for each portfolio under the Foundation IRB Approach and for each
portfolio under the Advanced IRB Approach
- Corporate (including SL not subject to supervisory slotting criteria), sovereign and bank;
- Qualifying revolving retail and
- Securitisation exposures
(c) Capital requirements for equity exposures in the IRB Approach
- Equity portfolios subject to the market-based approaches
- Equity portfolios subject to simple risk-weight method; and
- Equities in the banking book under the Internal Models Approach (for banks using IMA for banking book equity exposures)
- Equity portfolios subject to PD/LGD approaches
(d) Capital requirements for market risk :
- Internal Models Approach – Trading book
(e) Capital requirements for operational risk130:
- Basic Indicator Approach
- Advanced Measurement Approach (AMA)
Banks should distinguish between the separate non-mortgage retail portfolios used for the Pillar 1 capital calculation (ie qualifying revolving retail exposures and other
retail exposures) unless these portfolios are insignificant in size (relative to overall credit exposures) and the risk profile of each portfolio is sufficiently similar such that
separate disclosure would not help users‟ understanding of the risk profile of the banks‟ retail business.
Approaches concerned     No restrictions
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                      4/19/2011
Use cases by the expert panel on disclosure requirements         18
Table :                  “Capital requirements”
Credit risk                          (€ million)
- Commercial real estate exposures
- Residential real estate exposures
- Other real estate exposures
- Qualifying revolving retail exposures
- Other retail exposures
- Corporate (…), sovereign and bank
- Equity portfolios
- Corporate (…),1 sovereign and bank
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                 4/19/2011
Use cases by the expert panel on disclosure requirements                                                          19
Equity if method retained/grandfathered
Equity subject to the market-based approaches
- Simple risk-weight approach
Equity subject to PD/LGD approaches
Market risk under
Operational risk under
Including SMEs and specialised lending.
Reporting frequency           Quarterly (Basel) / semi-annual (Brussels)
off date for publication      period, which begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference
date for the initial disclosure should be set in the light to the reporting frequencies given in the use-cases.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                       4/19/2011
Use cases by the expert panel on disclosure requirements         20
Companies involved        Supervisory consolidation group (New Principle I)
Use cases by the expert panel on disclosure requirements                                                            21
Basel II / Pillar 3           Total and Tier 1 capital ratio131:
- For the top consolidated group and
- For significant bank subsidiaries (stand-alone or sub-consolidated depending on how the Framework is applied)
Including proportion of innovative capital instruments
Table :                       &quot;Capital ratios&quot;
Total capital ratio    Tier 1 capital
(percentage)      ratio (percentage)
Parent (stand-alone)
sub-consolidated/subsidiaries
First reporting period/cut-   The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting period, which begins
off date for publication      after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for the initial disclosure should be
set in the light to the reporting frequencies given in the use-cases.
Companies involved            Supervisory consolidation group / only significant banking subsidiaries are to be indicated
Pillar 3 expert panel‟s       None
Notes                         Significant banking subsidiaries are to be defined by the institutions themselves (using their own materiality concepts).
If using the floors from the transitional arrangements results in higher capital requirements, the relevant ratio could be indicated and explained in a footnote
to Table 3f.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                            4/19/2011
Use cases by the expert panel on disclosure requirements         22
Outstanding issues:     None
Use cases by the expert panel on disclosure requirements                                                                                                23
Table 4132 Credit risk: general disclosures for all banks
Basel II / Pillar 3          Total gross credit risk exposures,133 plus average gross exposure134 over the period135 broken down by major types of credit exposure.136
That is, after accounting offsets in accordance with the applicable accounting regime and without taking into account the effects of credit risk mitigation techniques, eg collateral and netting.
Where average amounts are disclosed in accordance with an accounting standard or other requirement which specifies the calculation method to be used, that method should be followed. Otherwise, the
average exposures should be calculated using the most frequent interval that an entity‟s systems generate for management, regulatory or other reasons, provided that the resulting averages are
representative of the bank‟s operations. The basis used for calculating averages need be stated only if not on a daily average basis.
This breakdown could be that applied under accounting rules, and might, for instance, be (a) loans, commitments and other non-derivative off-balance-sheet exposures, (b) debt securities and (c) OTC
Approaches concerned         No restrictions
Table :                      &quot;Gross credit risk exposures, broken down by types of credit exposure&quot;
Loans, commitments and other
non-derivative off-balance-sheet                      Debt Securities                             Derivatives
Amount in € million                        Amount in € million                       Amount in € million
“Gross credit risk exposures, broken down by types of credit exposure” in Tables 4c, 4d and 4e
Reporting frequency          Semi-annual (Basel) / annual (Brussels)
First reporting period/cut- The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting period, which begins after the
off date for publication    transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for the initial disclosure should be set in the light to
the reporting frequencies given in the use-cases.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                            4/19/2011
Use cases by the expert panel on disclosure requirements                                                                             24
Companies involved           Depending on the bank‟s internal definition; the definition chosen should be explained
Pillar 3 expert panel‟s      How is the term “credit risk” as used in Table 4 to be defined?
recommendation for           The disclosure criteria are, in some cases, oriented to accounting [primarily the information for letters f, g and h] and, in part, to risk analysis [letter i], which can lead
implementation               to problems with their use in practice.
The credit volume and the group entities to be included can therefore be defined according to the institution‟s internal criteria, with account being taken of the
various references. The definition of gross credit risk exposures and the method of determining the valuation approaches should be explained.
Where is the information content in “… average gross exposure” and what underlying frequency should be used when calculating average values?
Information on the average risk volume will need to be provided only in exceptional cases. Representatives of the banking industry have explained that more major
changes will be explained over time anyway.
Notes                        According to footnote 132, equities are not included.
The gross credit risk exposures can be defined, for instance, pursuant to section 19 (1) of the Banking Act. The total credit risk exposure pursuant to section 19 (1)
of the Banking Act is also broken down in the external auditors‟ report.
The table can be merged with Table 4(c) as appropriate.
Since Tables 4b to 4h are based on the same body of data, it is assumed that the figures will be shown after write-downs and prior to risk mitigation (see explicit
arrangement concerning Table 4b).
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                 4/19/2011
Use cases by the expert panel on disclosure requirements         25
Outstanding issues           None
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                  4/19/2011
Use cases by the expert panel on disclosure requirements                                                                        26
Table 4          : Credit risk: general disclosures for all banks
Basel II / Pillar 3           Geographic137 distribution of exposures, broken down in significant areas by major types of credit exposure.
Geographical areas may comprise individual countries, groups of countries or regions within countries. Banks might choose to define the
geographical areas based on the way the bank‟s portfolio is geographically managed. The criteria used to allocate the loans to geographical
areas should be specified.
Table :                       &quot;Significant geographical areas, broken down by types of credit exposure &quot;
Loans, commitments and
other non-derivative off-                  Securities                        Derivatives
Significant geographical areas
balance-sheet exposures
Amount in € million                Amount in € million               Amount in € million
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                 4/19/2011
Use cases by the expert panel on disclosure requirements                                                           27
Companies involved            Depending on the bank‟s internal definition; the definition chosen should be explained
Pillar 3 expert panel‟s       How is the term “credit risk” as used in Table 4 to be defined?
recommendation for             The disclosure criteria are, in some cases, oriented to accounting standards [primarily the information for letters f, g and h] and,
implementation                in part, to risk analysis [letter i], which can lead to problems with their use in practice. The credit volume and the group entities
to be included can therefore be defined according to the institution‟s internal criteria, with account being taken of the various
references. The definition of gross credit risk exposures and the method of determining the valuation approaches should be
Notes                         Significant geographical areas are to be defined individually for each institution and should be explained for clarity.
Since Tables 4b to 4h are based on the same body of data, it is assumed that the figures will be shown after write-downs and
prior to risk mitigation (see explicit arrangement concerning Table 4b).
Outstanding issues            None
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                              4/19/2011
Use cases by the expert panel on disclosure requirements                                                                          28
Table 4132: Credit risk: general disclosures for all banks
Basel II / Pillar 3         Industry or counterparty type distribution of exposures, broken down by major types of credit exposure.
Approaches concerned        No restrictions
Table :                     &quot;Major industries, broken down by types of credit exposure &quot;
other non-derivative off-               Securities                       Derivatives
Amount in € million             Amount in € million               Amount in € million
Reporting frequency         Semi-annual (Basel) / annual (Brussels)
First reporting period/cut- The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting period, which begins
off date for publication    after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for the initial disclosure should be
Companies involved          Depending on the bank‟s internal definition; the definition chosen should be explained.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                          4/19/2011
Use cases by the expert panel on disclosure requirements                                                                    29
Pillar 3 expert panel‟s     How is the term “credit risk” as used in Table 4 to be defined?
recommendation for          The disclosure criteria are, in some cases, oriented to accounting standards [primarily the information for letters f, g and h] and, in part, to risk analysis
implementation              [letter i], which can lead to problems with their use in practice.
The credit volume and the group entities to be included can therefore be defined according to the institution‟s internal criteria, with account being taken of
the various references. The definition of gross credit risk exposures and the method of determining the valuation approaches should be explained.
Notes                       Industries are to be defined individually for each institution and should be explained for clarity.
Since Tables 4b to 4h are based on the same body of data, it is assumed that the figures will be shown after write-downs and prior to risk mitigation (see
explicit arrangement concerning Table 4b).
Outstanding issues          None
Use cases by the expert panel on disclosure requirements                                                                 30
Table 4             : Credit risk: general disclosures for all banks
Basel II / Pillar 3          Residual contractual maturity breakdown of the whole portfolio,138 broken down by major types of credit exposure.
Table :                      &quot;Residual contractual maturities&quot;
other non-derivative off-                     Securities                              Derivatives
Amount in € million                   Amount in € million                      Amount in € million
&gt; 5 years to unlimited
First reporting period/cut- The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting period, which
off date for publication    begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for the initial disclosure
should be set in the light to the reporting frequencies given in the use-cases.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                       4/19/2011
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recommendation for           The disclosure criteria are, in some cases, oriented to accounting standards [primarily the information for letters f, g and h] and, in part, to risk analysis
implementation               [letter i], which can lead to problems with their use in practice.
Can different maturity bands be used to break down credit exposure by maturity?
Owing to differences regarding the maturity structure between parts of the credit portfolio, the only sensible way to show exposure is by using different
maturity bands. We recommend showing maturities only if the maturity is to be classified as a key risk factor.
Maturities can be shown individually in an appropriate breakdown depending on the type of credit exposure, eg separately by loan or bill-based lending,
other types of credit and derivatives. In this connection, to avoid redundancy, reference is also made to footnote 138, which allows the use of maturity
groupings based on accounting standards.
Notes                        Maturity groupings are to be defined individually for each institution and should be explained for clarity. The example is based on the outline in the
Annex/Notes.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                  4/19/2011
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Basel II / Pillar 3           By major industry or counterparty type
requirement                   • Amount of impaired loans and, if available, past due loans, provided separately139
• Specific and general allowances and
• Charges for specific allowances and charge-offs during the period.
Table :                       &quot;Impaired and past due loans, broken down by major industries&quot;
Drawdown from                  Stock of specific        Stock of general                                                                               Past due
Stock of provisions to/dissolution of specific Charge-offs/recoveries
Major industries                impaired loans                   allowances               allowances                                                                                    loans
Amount in € million            Amount in € million       Amount in € million    Amount in € million     Amount in € million      Amount in € million     million
First reporting period/cut-   The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting period, which begins after the transition of the
off date for publication      supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for the initial disclosure should be set in the light to the reporting frequencies given in the
Companies involved            Depending on the bank‟s internal definition; the definition chosen should be explained.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                                   4/19/2011
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recommendation for            The disclosure criteria are, in some cases, oriented to accounting standards [primarily the information for letters f, g and h] and, in part, to risk analysis [letter i], which can lead to problems
implementation                with their use in practice.
The credit volume and the group entities to be included can therefore be defined according to the institution‟s internal criteria, with account being taken of the various references. The
definition of gross credit risk exposures and the method of determining the valuation approaches should be explained.
How should general allowances be broken down by industry and counterparty type?
It should be noted that it may not be possible to break down general allowances by the borrower‟s industry, region etc since general allowances are not formed for specific exposures.
Where it appears reasonably possible to break down general allowances by industry and customer group, this should be shown.
• Do specific allowances affect only credit risk or also country risk?
The specific allowances relate to both the credit risk and the country risk.
• How are the term “impaired loans” and the criterion “past due” defined?
Impaired loans and past due loans can be defined on the basis of the accounting standards or internal definitions used. The definition chosen should be explained for clarity.
Where Pillar 3 disclosures are published within a year, projected risk provisioning from reports within a time-frame of less than one year may be used to present the trend in risk
Notes                         According to footnote 132, equities are not included.
The ageing of past-due loans will not be broken down and analysed as suggested in footnote 139.
Since Tables 4b to 4h are based on the same body of data, it is assumed that the figures will be shown after write-downs and prior to risk mitigation (see explicit arrangement concerning
Table 4b).
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                              4/19/2011
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Basel II / Pillar 3          Amount of impaired loans and, if available, past due loans provided separately broken down by significant geographic areas including, if practical, the amounts of specific
requirement                  and general allowances related to each geographical area.140
Table :                      &quot;Impaired and past due loans, broken down by significant geographical areas&quot;
Stock of specific      Stock of general
Drawdown from impaired loans                                                             Stock of provisions    Past due loans
allowance             allowances
Amount in € million                Amount in € million   Amount in € million    Amount in € million   Amount in € million
Area     1
Area     2
Area     3
Area     4
off date for publication    transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for the initial disclosure should be set in the light to the
reporting frequencies given in the use-cases.
Companies involved           Depending on the bank‟s internal definition; the definition chosen should be explained.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                               4/19/2011
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recommendation for           The disclosure criteria are, in some cases, oriented to accounting standards [primarily the information for letters f, g and h] and, in part, to risk analysis [letter i], which can
implementation               lead to problems with their use in practice. The credit volume and the group entities to be included can therefore be defined according to the institution‟s internal criteria,
with account being taken of the various references. The definition of gross credit risk exposures and the method of determining the valuation approaches should be
It should be noted that it may not be possible to break down general allowances by the borrower‟s industry, region etc since general allowances are not formed for specific
• How are the term “impaired exposures” and the criterion “past due” defined?
Impaired exposures and past due loans can be defined on the basis of the accounting standards or internal definitions used. The definition chosen should be explained for
Where Pillar 3 disclosures are published within a year, projected risk provisioning from reports within a time-frame of less than one year may be used to present the trend
in risk provisioning.
Notes                        Since Tables 4b to 4h are based on the same body of data, it is assumed that the figures will be shown after write-downs and prior to risk mitigation (see explicit
Use cases by the expert panel on disclosure requirements                                                                                                    36
Credit risk: general disclosures for all Banks
Basel II / Pillar 3      Reconciliation of changes in the allowances for loan impairment.141
The reconciliation shows separately specific and general allowances; the information comprises: a description of the type of allowance; the opening balance of the allowance; charge-offs taken against the
allowance during the period; amounts set aside (or reversed) for estimated probable loan losses during the period; any other adjustments (eg exchange rate differences, business combinations, acquisitions and
disposals of subsidiaries), including transfers between allowances; and the closing of the allowance.
Charge-offs and recoveries that have been recorded directly to the income statement should be disclosed separately.
Table :                  &quot;Development of allowances&quot; 1)
Opening          adjustment in the
dissolution          Consumption          related and other Closing balance
balance               period
Amount in € million    Amount in € million    Amount in € million    Amount in € million    Amount in € million    Amount in € million
The reader is advised to see Table 4f regarding the development of direct charge-offs.
Reporting frequency      Semi-annual (Basel) / annual (Brussels)halbj&#228;hrlich (Basel) / j&#228;hrlich (Br&#252;ssel)
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                           4/19/2011
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Companies involved         Depending on the bank‟s internal definition; the definition chosen should be explained.
Pillar 3 expert panel‟s    • Do specific allowances affect only credit risk or also country risk?
recommendation for         The specific allowances relate to both the credit risk and the country risk.
implementation             • How are the term “impaired loan” and the criterion “past due” defined?
Impaired loans and past due loans can be defined on the basis of the accounting standards or internal definitions used. The definition chosen should be explained for
Where Pillar 3 disclosures are published within a year, projected risk provisioning from reports within a time-frame of less than one year may be used to present the
trend in risk provisioning
Notes                      Since Tables 4b to 4h are based on the same body of data, it is assumed that the figures will be shown after write-downs and prior to risk mitigation (see explicit
Outstanding issues         None
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                               4/19/2011
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Basel II / Pillar 3          For each portfolio, the amount of exposures (for IRB banks, drawn plus EAD on undrawn) subject to the (1) Standardised, (2) Foundation
requirement                  IRB and (3) Advanced IRB Approaches.
Table :                      &quot;Exposure amounts according to the chosen approaches&quot;
Corporate (…),1 sovereign and bank
Use cases by the expert panel on disclosure requirements                                          39
Corporate (…), sovereign and bank
Including SMEs and specialised lending
off date for publication    period, which begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference
Pillar 3 expert panel‟s      What does “amount of exposures” mean?
recommendation for           The expert panel on Pillar 3 believes that the &quot;amount of exposures“ means the amount deriving from Pillar 1; this cannot be coordinated
implementation               with external accounting.
Notes                        None
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                     4/19/2011
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Table 5: Credit risk: disclosures for portfolios subject to the Standardised Approach and supervisory risk
weights in the IRB Approaches
Basel II / Pillar 3                                • For exposure amounts after risk mitigation subject to the Standardised Approach, amount of a bank‟s outstandings (rated and unrated) in
requirement                                        each risk bucket as well as those that are deducted; and
• for exposures subject to the supervisory risk weights in the IRB Approach (HVCRE, any SL products subject to supervisory slotting criteria
and equities under the simple risk weight method) the aggregate amount of a bank‟s outstandings in each risk bucket.
Approaches concerned                               No restrictions
Table:                                             &quot;Volume of counterparty risk exposures for portfolios in the Standardised Approach and for the supervisory risk weights applicable
in the IRB Approach, for each risk category &quot;
Aggregate amount of outstandings after
outstandings prior to risk
Risk weight                         mitigation
(percentage)*
Standardised Approach                              IRB Approaches
Amount in € million   Amount in € million   Amount in € million
0                                                                             ▬▬▬▬▬▬
15                                    ▬▬▬▬▬▬             ▬▬▬▬▬▬
20                                                                              ▬▬▬▬▬▬
35                                    ▬▬▬▬▬▬             ▬▬▬▬▬▬
50                                                                              ▬▬▬▬▬▬
125                                    ▬▬▬▬▬▬             ▬▬▬▬▬▬
175                                    ▬▬▬▬▬▬             ▬▬▬▬▬▬
300                                    ▬▬▬▬▬▬             ▬▬▬▬▬▬
400                                    ▬▬▬▬▬▬             ▬▬▬▬▬▬
625                                    ▬▬▬▬▬▬             ▬▬▬▬▬▬
1250                                    ▬▬▬▬▬▬             ▬▬▬▬▬▬
Reporting frequency                                Semi-annual (Basel) / annual (Brussels)
Use cases by the expert panel on disclosure requirements                                        41
First reporting period/cut-                        The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting period,
off date for publication                           which begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for the
initial disclosure should be set in the light to the reporting frequencies given in the use-cases.
Companies involved                                 Supervisory consolidation group (New Principle I)
Pillar 3 expert panel‟s                            None
Notes                                              * The risk weights assumed here are illustrative risk weights. The applicable risk weights are yet to be determined by supervisors. Information
is to be provided for HVCRE, SL in the Foundation IRB Approach and equity exposures under the simplified risk-weighting method.
The materiality principle, which permits insignificant exposures, eg those under &quot;Other assets”, to be disregarded, may come into play here,
particularly as concerns the 0% risk weight.
Outstanding issues                                 None
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                  4/19/2011
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Table 6: Credit risk: disclosures for portfolios subject to IRB Approaches – risk assessment*
*In this section of the Framework, disclosures marked with an asterisk are conditions for use of a particular approach or methodology for the calculation of regulatory capital.
Table 6d (I)
Basel II / Pillar 3 requirement                             For each portfolio (as defined above) except retail, present the following information across a sufficient number of PD grades (including default) to allow for a meaningful
differentiation of credit risk:148
• Total exposures (for corporate, sovereign and bank, outstanding loans and EAD on undrawn commitments; 149 for equities, outstanding amount);
The PD, LGD and EAD disclosures below should reflect the effects of collateral, netting and guarantees/credit derivatives, where recognised under Part 2. Disclosure of each PD grade should include the exposure-weighted-average PD for each grade. Where banks are aggregating PD grades for
the purposes of disclosure, this should be a representative breakdown of the distribution of PD grades used in the IRB Approach.
Approaches concerned                                        Foundation IRB Approach
Table:                                                      &quot;Aggregate credit volume, by PD grades (excluding retail)&quot;
 = average
PD 1                                            PD 2                               Default                                 Total
0,00 - 10%*                                      11 - 50%*
Portfolio                                                                                                                                                                    
EAD in € PD in            2)
RW     3)
EAD in €        PD     2)
RW   3)
EAD in € PD in RW
2)           3)
EAD in €   2)  RW
million     %                     in %            million         in %           in %         million     %     in %           million PD in  in %
Corporate,4 sovereign5
Equities6)
Examples of PD grades
Where IRB institutions use a different portfolio definition from the ones above, they are to disclose on the basis of this definition.
Exposure-weighted  PD =            (PD  EAD )   EAD
Exposure-weighted  RW =
 ( RW
i    EAD i )   EAD
iIncluding SMEs, SL and purchased receivables.
Outstanding loans and undrawn commitments, after risk mitigation
Outstanding amounts/equities need only be disclosed here as a separate portfolio where the bank uses the PD/LGD approach for equities held in the banking book.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                                                                                                                                                         4/19/2011
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Reporting frequency                                         Semi-annual (Basel) / annual (Brussels)
First reporting period/cut-off date The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting period, which begins after the transition
for publication                     of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for the initial disclosure should be set in the light to the reporting
frequencies given in the use-cases.
Companies involved                                          Supervisory consolidation group (New Principle I)
Pillar 3 expert panel‟s                                     Does footnote 144 (“Equities need only be disclosed here as a separate portfolio where the bank uses the PD/LGD approach for equities held in the banking book”), which
recommendation for                                          currently refers only to letter c of Table 6, also refer to letters d to f?
implementation                                              Footnote 144 also relates to the disclosure of quantitative data for letters d to f.
Notes                                                       The portfolios relevant to disclosure derive from the qualitative requirements of Table 6c.
Outstanding issues                                          None
Use cases by the expert panel on disclosure requirements                                                                                                         44
Table 6d (II)
Basel II / Pillar 3 requirement                         For each portfolio (as defined above) except retail, present the following information across a sufficient number of PD grades (including
default) to allow for a meaningful differentiation of credit risk: 148
• For banks on the IRB Advanced Approach, exposure-weighted average LGD (percentage); and
• Exposure-weighted average risk weight.
The PD, LGD and EAD disclosures below should reflect the effects of collateral, netting and guarantees/credit derivatives, where recognised under Part 2. Disclosure of each PD grade should include the exposure-weighted-
average PD for each grade. Where banks are aggregating PD grades for the purposes of disclosure, this should be a representative breakdown of the distribution of PD grades used in the IRB Approach.
Approaches concerned                                    Advanced IRB Approach
Tabelle:                                                &quot;Credit volume, by PD grades (excluding retail), in the Advanced IRB Approach&quot;
PD 1                                           PD 2                               Default                               Total
Portfolio               EAD                          EAD                                   EAD                           EAD                    
in €   LGD2)            PD3) RW 4) in in € LGD2)                  PD3)      RW 4) in € LGD2)           PD3)      RW 4) in €   PD3)              RW4)
million in %              in %   %     million in %                  in %      in % million in %           in %      in % million in %              in %
Corporate,5
* Examples of PD grades
1) Where IRB institutions use a different portfolio definition from the ones above, they are to disclose on the basis of this definition.
Exposure-weighted  LGD =                  (LGD  EAD )   EAD
Exposure-weighted  PD =                  ( PD i  EAD i )   EAD
i 1                                i 1
Exposure-weighted  RW =                     ( RW
i    EAD i )       EAD
ncluding SMEs, SL and purchased receivables.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                                                                                 4/19/2011
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Reporting frequency                                     Semi-annual (Basel) / annual (Brussels)
First reporting period/cut-off                          The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting
date for publication                                    period, which begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference
Companies involved                                      Supervisory consolidation group (New Principle I)
Pillar 3 expert panel‟s                                 Does footnote 144 (“Equities need only be disclosed here as a separate portfolio where the bank uses the PD/LGD approach for equities
recommendation for                                      held in the banking book”), which currently refers only to letter c of Table 6, also refer to letters d to f?
implementation                                          Footnote 144 also relates to the disclosure of quantitative data for letters d to f.
Notes                                                   None
Outstanding issues                                      None
Use cases by the expert panel on disclosure requirements                                                                                                                 46
Table 6d (III)
Basel II / Pillar 3                          For banks on the IRB Advanced Approach, amount of undrawn commitments and exposure-weighted average EAD for each
requirement                                  portfolio.150
Banks need only provide one estimate of EAD for each portfolio. However, where banks believe it is helpful, in order to give a more meaningful assessment of risk, they may also disclose EAD estimates across a
number of EAD categories, against the undrawn exposures to which these relate.
Approaches concerned                         Advanced IRB Approach
Table:                                       &quot;Undrawn commitments and weighted EAD per portfolio in the Advanced IRB Approach&quot;
Portfolio1)                                                              EAD2 in € million
Corporate,3 sovereign and bank
Recognised commitments
Including SMEs, SL and purchased receivables.
Reporting frequency                          Semi-annual (Basel) / annual (Brussels)
First reporting period/cut- The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial
off date for publication    reporting period, which begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                                                          4/19/2011
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Companies involved                           Supervisory consolidation group (New Principle I)
Pillar 3 expert panel‟s                      Does footnote 144 (“Equities need only be disclosed here as a separate portfolio where the bank uses the PD/LGD approach
recommendation for                           for equities held in the banking book”), which currently refers only to letter c of Table 6, also refer to letters d to f?
implementation                               Footnote 144 also relates to the disclosure of quantitative data for letters d to f.
Notes                                        None
Outstanding issues                           None
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                           4/19/2011
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Table 6d (IV)
Basel II / Pillar 3 requirement For each retail portfolio (as defined above), either 151 :
• Disclosures as outlined above on a pool basis (ie same as for non-retail portfolios); or
• Analysis of exposures on a pool basis (outstanding loans and EAD on commitments) against a sufficient number of EL grades
to allow for a meaningful differentiation of credit risk.
Banks would normally be expected to follow the disclosures provided for the non-retail portfolios. However, banks may choose to adopt EL grades as the basis of disclosure where they believe this can provide
the reader with a meaningful differentiation of credit risk. Where banks are aggregating internal grades (either PD/LGD or EL) for the purposes of disclosure, this should be a representative breakdown of the
distribution of those grades used in the IRB Approach.
Approaches concerned                                IRB Approach
Table (Alternative 1):                              &quot;Drawings and commitments for retail portfolios&quot;
IRB Pool Approach
Retail IRB Approach relating to PD/LGD
PD 1                                                  PD 2                                            Default                                         Total
0,00 - 10%*                                                11 - 50%*
Portfolio1)                         EAD in €                                          EAD in €                          EAD in                                            EAD in                     
million       LGD2) in PD3) in               RW 4) in % million          LGD2) in PD3) in RW 4) in € million LGD2) in PD3) in RW 4) in                           €      LGD2) in   PD3) in   RW4) in
%         %                                                %         %      %                  %        %       %                             million     %          %         %
Residential mortgage5)
exposures5)
Other retail 5)
Exposure-weighted  LGD =                   ( LGD  EAD )   EAD
Exposure-weighted  PD =                 ( PD  EAD )   EAD
Exposure-weighted  RW =                   ( RW  EAD )   EAD
Outstanding loans and undrawn commitments after using recognised risk mitigation techniques
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                                                                                                 4/19/2011
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Table (Alternative 2):                              Retail IRB Approach relating to EL
EL-grade 12)                   EL-grade 22)                  EL-grade 32)
Residential mortgage1)
exposures 1)
Other retail 1)
Outstanding loans and undrawn commitments after using recognised credit risk mitigation techniques;
EAD given in € million
Specifying the EL range used as a percentage of EAD.
Reporting frequency                                 Semi-annual (Basel) / annual (Brussels)
First reporting period/cut-off                      The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to
date for publication                                the end of the initial reporting period, which begins after the transition of the supervisory reporting
system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for the initial disclosure
Companies involved                                  Supervisory consolidation group (New Principle I)
Pillar 3 expert panel‟s                             Does footnote 144 (“Equities need only be disclosed here as a separate portfolio where the bank uses
recommendation for                                  the PD/LGD approach for equities held in the banking book”), which currently refers only to letter c of
implementation                                      Table 6, also refer to letters d to f?
Footnote 144 also relates to the disclosure of quantitative data for letters d to f.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                            4/19/2011
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Notes                                               145
In both the qualitative disclosures and quantitative disclosures that follow, banks should distinguish
between the qualifying revolving retail exposures and other retail exposures unless these portfolios are
insignificant in size (relative to overall credit exposures) and the risk profile of each portfolio is sufficiently
similar such that separate disclosure would not help users‟ understanding of the risk profile of the banks‟
Outstanding issues                                  None
Use cases by the expert panel on disclosure requirements                                          51
Table 6: Credit risk: disclosures for portfolios subject to IRB Approaches – historical results*
* In this section of the Framework, disclosures marked with an asterisk are conditions for use of a particular approach or methodology for the calculation of regulatory capital.
Basel II / Pillar 3                          Actual losses (eg charge-offs and specific provisions) in the preceding period for each portfolio (as defined above) and how this differs from past experience. A discussion
requirement                                  of the factors that impacted on the loss experience in the preceding period – for example, has the bank experienced higher than average default rates, or higher than
Approaches concerned                         IRB Approaches
Table:                                       &quot;Actual loan losses&quot;
Portfolio1)                                               Losses t0 in € Losses t-1 in € Change in €   Notes2
million        million        million
Equities4)
Total                                                                                                                                          ▬▬▬▬▬
Only significant changes are to be explained; significance is defined individually for each bank.
Reporting frequency                           Semi-annual (Basel) / annual (Brussels)
Pillar 3 expert panel‟s                      Does footnote 144 (“Equities need only be disclosed here as a separate portfolio where the bank uses the PD/LGD approach for equities held in the banking book”), which
recommendation for                           currently refers only to letter c of Table 6, also refer to letters d to f?
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                             4/19/2011
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Notes                                        It is at the discretion of the bank to define “actual losses”, ie the sum of the specific allowances used, recoveries and charge-offs/provisions, or the sum of transfers to and
closing of specific allowances, charge-offs/provisions and recoveries. The definition chosen is to be given.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                 4/19/2011
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Basel II / Pillar 3                          Banks‟ estimates against actual outcomes over a longer period. 152 At a minimum, this should include information on estimates of losses against actual losses in each
requirement                                  portfolio (as defined above) over a period sufficient to allow for a meaningful assessment of the performance of the internal rating processes for each portfolio. 153
Where appropriate, banks should further decompose this to provide analysis of PD and, for banks on the Advanced IRB Approach, LGD and EAD outcomes against
estimates provided in the quantitative risk assessment disclosures above. 154
These disclosures are a way of further informing the reader about the reliability of the information provided in the “quantitative disclosures: risk assessment” over the long run. The disclosures are requirements
from year-end 2009; in the meantime, early adoption would be encouraged. The phased implementation is to allow banks sufficient time to build up a longer run of data that will make these disclosures meaningful.
The Committee will not be prescriptive about the period used for this assessment. Upon implementation, it might be expected that banks would provide these disclosures for as long run of data as possible – for
example, if banks have 10 years of data, they might choose to disclose the average default rates for each PD grade over that 10-year period.
Annual amounts need not be disclosed.
Banks should provide this further decomposition where it will allow users greater insight into the reliability of the estimates provided in the „quantitative disclosures: risk assessment‟. In particular, banks should
provide this information where there are material differences between the PD, LGD or EAD estimates given by banks compared to actual outcomes over the long run. Banks should also provide explanations for
Table:                                       &quot;Estimates of losses and actual loan losses&quot;
Losses in to                         Losses in t-1                  Losses in t-2             Losses in t-...              Losses in t-n
1)                                                                                                                  Actual loss
EL* in        Actual loss in          EL* in        Actual loss in    EL* in                    EL* in     Actual loss in    EL* in     Actual loss in
Portfolio                                                                                                                             in
€ million        € million            € million        € million      € million                 € million     € million      € million     € million
Corporate,2 sovereign and bank
Equities3)
Other retailAndere Retailforderungen
* EL = Expected loss for exposures not in default in traditional lending business (ie excluding securities in the banking book, derivatives et al).
Equities need only be disclosed as a separate portfolio where the bank uses the PD/LGD approach for equities held in the banking book.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                                                                           4/19/2011
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Pillar 3 expert panel‟s                      Does footnote 144 (“Equities need only be disclosed here as a separate portfolio where the bank uses the PD/LGD approach for equities held in the banking book”),
recommendation for                           which currently refers only to letter c of Table 6, also refer to letter e?
implementation                               Footnote 144 also relates to the disclosure of quantitative data for letters e and f.
Notes                                        It is at the discretion of the bank to define “actual losses”, ie the sum of the specific allowances used, recoveries and charge-offs/provisions, or the sum of transfers to
and closing of specific allowances, charge-offs/provisions and recoveries. The definition chosen is to be given.
It is up to each bank to individually define the longer time-span (number of periods).
Banks are requested to explain their calculation methods in order to verify the information on PDs, LGDs and EADs. Furthermore, they are requested to develop suitable
forms of presentation that are oriented to their internal procedures and can also be published in due course in order to validate PDs in lending business.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                    4/19/2011
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Table 7: Credit risk mitigation: disclosures for Standardised and IRB Approaches155,156
Tables 7b + 7c
Basel II / Pillar 3     For each separately disclosed credit risk portfolio under the Standardised and/or Foundation IRB Approach, the total exposure (after, where applicable,
requirement                                                                                                                                                                     157
on- or off-balance sheet netting) that is covered by eligible financial collateral and other eligible IRB collateral after the application of haircuts.
Credit derivatives that are treated, for the purposes of this Framework, as part of synthetic securitisation structures should be excluded from the credit risk mitigation disclosures and included
within those relating to securitisation.
Approaches concerned    Standardised Approach/IRB Approaches
Table:                                                                                                                             1)
&quot;Aggregate amount of collateralised exposures (excluding securitisations)&quot;
Other/physical           Guarantees and
Financial collateral 2)
Portfolio                                                               collateral3)4)         credit derivatives5)
in Mio €                     in Mio €                   in Mio €
Corporate, sovereign and bank
Equities7)
If different credit risk measurement approaches are applied, each approach should be presented separately.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                   4/19/2011
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Applicable to: Standardised Approach and Foundation IRB Approach.
Applicable to: Foundation IRB Approach.
Means all other collateral that is not included under financial collateral or guarantees and credit derivatives.
Applicable to: Standardised Approach and both IRB Approaches.
First reporting period/cut-   The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting period, which
off date for publication      begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for the initial disclosure
Notes                         Where institutions use different portfolio definitions from the ones above, these definitions are to be used as the basis for disclosures.
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Table 8: Securitisation: disclosure for Standardised and IRB Approaches
Basel II / Pillar 3     The total outstanding exposures securitised by the bank and subject to the securitisation framework (broken
requirement             down into traditional/synthetic) by exposure type.159,160,161
Securitisation transactions in which the originating bank does not retain any securitisation exposure should be shown separately but need
only be reported for the year of inception.
Where relevant, banks are encouraged to differentiate between exposures resulting from activities in which they act only as sponsors, and
exposures that result from all other bank securitisation activities that are subject to the securitisation framework.
Approaches concerned    Standardised Approach and IRB Approaches
Table:                  &quot;Total outstanding exposures securitised&quot;
Outstanding exposures
Portfolio1)
- Instalment loans
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                4/19/2011
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First reporting period/cut-   The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end
off date for publication      of the initial reporting period, which begins after the transition of the supervisory reporting system to the Pillar 1
rules of Basel II / Bruessels new. The reference date for the initial disclosure should be set in the light to the
Notes                         Only those own exposures securitised by the bank as the originator need to be included.
The Annex to the use cases for Table 8 includes a sample calculation developed by Dresdner Bank in order to
explain in greater detail the assignment of individual securitisation items to the Pillar 3 requirements; moreover,
this represents a further appropriate form of presenting securitisations.
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Basel II / Pillar 3     For exposures securitised by the bank and subject to the securitisation framework:161
requirement             • amount of impaired/past due assets securitised; and
• losses recognised by the bank during the current period162
For example, charge-offs/allowances (if the assets remain on the bank‟s balance sheet) or write-downs of I/O strips and other residual
Table:                  &quot;Impaired and past due assets securitised and losses recognised by the bank during the current period&quot;
Outstanding amounts1)
Portfolio2)
Impaired/past due3)                              Losses4)
in € million                                 in € million
Period to be presented is the business year (analogous to Table 4h)
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The information to be disclosed relates to the quality of securitised lending. The internal information structures underlying the individual
securitisations may serve as a basis for the quality assessment.
Need for charge-offs/allowances for retained risks
First reporting period/cut-   The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of
off date for publication      the initial reporting period, which begins after the transition of the supervisory reporting system to the Pillar 1 rules
of Basel II / Bruessels new. The reference date for the initial disclosure should be set in the light to the reporting
Pillar 3 expert panel‟s       Only those own exposures securitised by the bank as the originator need to be included. The information to be
recommendation for            disclosed relates to the quality of securitised lending. The internal information structures underlying the individual
implementation                securitisations may serve as a basis for the quality assessment.
Notes                         The Annex to the use cases for Table 8 includes a sample calculation developed by Dresdner Bank in order to
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Basel II / Pillar 3      Aggregate amount of securitisation exposures retained or purchased163 broken down by exposure type.159
Securitisation exposures, as noted in Part 2, Section IV, include, but are not restricted to, securities, liquidity facilities, other commitments and credit enhancements such as
I/O strips, cash collateral accounts and other subordinated assets.
Approaches concerned     All approaches
Table:                   &quot;Aggregate amount of securitisation exposures retained or purchased&quot;
Outstanding amounts1 in  Outstanding amounts1 in
Securitisation exposures                                                                               the Standardised Approach    the IRB Approach
in € million                            in € million
Investments in ABS
Other On-Balance-Sheet Items
Sum On-Balance-Sheet Items
Off-Balance-Sheet items resulting from synthetic transactions
Other Off-Balance-Sheet Items
Sum Off-Balance-Sheet Items (
Retained or purchased amounts according to the definition of exposure in Part 2, Section IV of the Basel Revised Framework.
Reporting frequency      Semi-annual (Basel) / annual (Brussels)
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                       4/19/2011
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Notes                         (a) Both retained securitisation exposures from own exposures securitised by the bank as the originator and securitisation exposures
related to external assets (sponsors/investors) are to be included.
(b) The exposure amounts are deemed to be the starting values for determining the capital charge in the relevant securitisation approach
according to Part 2, Section IV of the Basel Revised Framework; for instance, in the Standardised Approach, the book value of the assets
after deduction of specific allowances; in the IRB Approach, amounts owed (prior to the deduction of specific allowances); for interest and
foreign exchange derivatives as well as sureties and guarantees, the credit equivalent amounts; for credit derivatives, the nominal hedging
(c)A further breakdown by type of exposure (see footnote 159: credit cards, home equity, auto etc) in a matrix will make the presentation
very complex and is only a suggestion. In this regard, qualitative information may, as appropriate, also be regarded as sufficient.
The Annex to the use cases for Table 8 includes a sample calculation developed by Dresdner Bank in order to explain in greater detail the
assignment of individual securitisation items to the Pillar 3 requirements; moreover, this represents a further appropriate form of presenting
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Tables 8g und 8i (I)
Basel II / Pillar 3     (g)
requirement             Aggregate amount of securitisation exposures retained or purchased 163 and the associated IRB capital charges for
these exposures broken down into a meaningful number of risk weight bands. Exposures that have been deducted
entirely from Tier 1 capital, credit enhancing I/Os deducted from total capital, and other exposures deducted from total
capital should be disclosed separately by type of underlying asset.
Banks using the Standardised Approach are also subject to disclosures (g) and (h), but should use the capital
charges for the Standardised approach.
Securitisation exposures, as noted in Part 2, Section IV, include, but are not restricted to, securities, liquidity facilities, other commitments and
credit enhancements such as I/O strips, cash collateral accounts and other subordinated assets.
Approaches concerned    All approaches
Table:                  &quot;Capital charges for securitisation exposures retained or purchased, broken down into risk weight bands&quot;
Retained / purchased securitisation exposures
Risk weight bands                                                                                   Capital charges, IRB
Exposure amount1)                 Standardised
Approach3)
Approach2)
in € million                 in € million                    in € million
&gt;10% ≤ 20%
&gt;20 ≤ 50%
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&gt;50 ≤ 100%
&gt;100 ≤ 650%
1250% / Deduction
Assessment base / Exposure at default (EAD)
Information relating to Table 8i
Information relating to Table 8g
off date for publication      initial reporting period, which begins after the transition of the supervisory reporting system to the Pillar 1 rules of
Basel II / Bruessels new. The reference date for the initial disclosure should be set in the light to the reporting
Notes                         The risk weights provided here as examples can also be merged to form other meaningful risk weight bands.
The table can be expanded to include a breakdown by type of exposure and, regarding deductions, by the type of
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In some cases, it may make sense to divide the information into two tables (amounts in the Standardised Approach
and amounts in the IRB Approach), which would make it clear which exposure amounts are being allocated to which
capital charges for each risk weight band.
The Annex to the use cases for Table 8 includes a sample calculation developed by Dresdner Bank in order to explain
in greater detail the assignment of individual securitisation items to the Pillar 3 requirements; moreover, this
represents a further appropriate form of presenting securitisations.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                      4/19/2011
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Tables 8h und 8i (II)
Basel II / Pillar 3           (h)
requirement                   For securitisations subject to the early amortisation treatment, the following items by underlying asset type for securitised facilities:
• the aggregate drawn exposures attributed to the seller‟s and investors‟ interests;
• The aggregate IRB capital charges incurred by the bank against its retained (ie the seller‟s) shares of the drawn balances and undrawn lines; and
• The aggregate IRB capital charges incurred by the bank against the investor‟s shares of drawn balances and undrawn lines.
Banks using the Standardised Approach are also subject to disclosures (g) and (h), but should use the capital charges for the Standardised Approach.
Approaches concerned          All approaches
Table:                        &quot;Securitisations subject to the early amortisation treatment&quot;
Capital charges, Standardised
Drawn amounts1)                      Aggregate amounts2)                                                            Capital charges, IRB Approach4)
Originator‟s share   Investor‟s share   Originator‟s share   Investor‟s share    Originator‟s share     Investor‟s share     Originator‟s share     Investor‟s share
in € million       in € million        in € million        in € million          in € million          in € million          in € million          in € million
Retail committed
Retail uncommitted
Non-retail committed
Non-retail uncommitted
Drawn and undrawn exposures
Information relating to Table 8h
First reporting period/cut-   The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting period, which begins after the transition of the supervisory
off date for publication      reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for the initial disclosure should be set in the light to the reporting frequencies given in the use-cases.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                                     4/19/2011
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Notes                     The table covers only those banks that, as originators, securitise their own exposures.
As regards the portfolio types “retail committed” (not cancellable at any time) and “retail uncommitted” (cancellable at any time), the table can be enlarged to include a more detailed breakdown by
type of underlying asset (credit card, home equity, auto, instalment loans …).
In some cases, it may make sense to divide the information into two tables (amounts in the Standardised Approach and amounts in the IRB Approach), which would make it clear which exposure
amounts are being allocated to which capital charges for each portfolio.
The Annex to the use cases for Table 8 includes a sample calculation developed by Dresdner Bank in order to explain in greater detail the assignment of individual securitisation items to the Pillar 3
requirements; moreover, this represents a further appropriate form of presenting securitisations.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                                                                                          4/19/2011
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Basel II / Pillar 3           Summary of current year‟s securitisation activity, including the amount of exposures securitised (by exposure type) and recognised gain or
requirement                   loss on sale by asset type.
Tabelle:                      &quot;Securitisation activity in the current year&quot;
Securitisation activity in the current year
Exposure1)                       Gains/losses on
Portfolio                                                                        traditional transactions
Traditional                 Synthetic
in € million                in € million           in € million
First reporting period/cut-   The reference date for the initial disclosure of the quantitative information under Pillar 3 corresponds to the end of the initial reporting period,
off date for publication      which begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for
the initial disclosure should be set in the light to the reporting frequencies given in the use-cases.
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Table 9: Market risk: disclosures for banks using the Standardised Approach
Basel II / Pillar 3     The capital requirements for:
requirement             • interest rate risk;
The Standardised Approach here refers to the “standardised measurement method” as defined in the Market Risk Amendment (of 1996).
Approaches concerned    Market risk for banks using the standardised method
Table :                 &quot;Capital requirements for market risk&quot;
Reporting frequency     Semi-annual (Basel) / annual (Brussels)
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Notes                         None
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                             4/19/2011
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Table 10: Market risk: disclosures for banks using the Internal Models Approach (IMA) for
Basel II / Pillar 3           For trading portfolios under the IMA:
requirement                   • aggregate value at risk (VaR)
• the high, mean and low VaR values over the reporting period and period-end; and
• a comparison of VaR estimates with actual gains/losses experienced by the bank, with analysis of important “outliers” in backtest results.
Approaches concerned          Trading portfolios for banks using the Internal Models Approach (IMA)
Table :                       &quot;Overview of the VaR of trading portfolios &quot;
VaR values over the reporting period
Period-end VaR
High            Low           periods,
in € million        in € million    in € million   in € million
off date for publication      begins after the transition of the supervisory reporting system to the Pillar 1 rules of Basel II / Bruessels new. The reference date for the initial
disclosure should be set in the light to the reporting frequencies given in the use-cases.
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Pillar 3 expert panel‟s   The expert panel believes that the chart form commonly used in the risk report presents a proper picture of a comparison of VaR values with actual
recommendation for        daily portfolio value changes. Outliers are to be explained.
Notes                     The table also contains non-trading-book foreign exchange risk and commodity price risk.
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Table 12: Equities: disclosures for banking book positions
Tables 12b und 12c
Basel II / Pillar 3      (b)
requirement              Value disclosed in the balance sheet of investments, as well as the fair value of those investments; for quoted securities, a
comparison to publicly quoted share values where the share price is materially different from fair value.
The types and nature of investments, including the amount that can be classified as
Table:                   &quot;Valuation approaches for equities&quot;
Groups of equities1)
Book value      Fair value      Share value
in € million    in € million    in € million
Equity group A
Equity group ...
Equity group n
Equity groups to be formed individually by institutions.
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                                 4/19/2011
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Pillar 3 expert panel‟s       It may be assumed that the share value and fair value will generally not differ from one another. The book value can be given as the
recommendation for            fair value if the latter is not calculated for either internal or external purposes.
implementation                Equity groups can be defined, for instance, according to
• type of instrument (stocks, shares in private limited companies)
• industry or
• balance sheet classification.
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Tables 12d und 12e
Basel II / Pillar 3      (d)
requirement              The cumulative realised gains (losses) arising from sales and liquidations in the reporting period.
• Total unrealised gains (losses),165
• Total latent revaluation gains (losses),166
• any amounts of the above included in Tier 1 and/or Tier 2 capital.
Table:                   &quot;“Realised and unrealised gains/losses from equities” (German Commercial Code)
Latent revaluation gains/losses2)
from sales/liquidations1)                                               Amounts included in Tier 2
in € million                       in € million                           in € million
Information relating to Table 12d
Information relating to Table 12e in conjunction with footnote 166; institutions that do not include latent revaluation gains in Tier 2 capital are still required to
disclose total latent revaluation gains. In determining total latent revaluation gains, for individual equities, the book value can be given as the fair value if the
latter is not calculated for either internal or external purposes.
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&quot;Realised and unrealised gains/losses from equities” (IAS)
Unrealised revaluation gains/losses2)
from sales/liquidations1)
Tier 1 capital   Tier 2 capital
in € million               in € million          in € million      in € million
Notes                         Latent or unrealised revaluation gains/losses are to be shown on balance and based on the accounting standard used (IAS,
German Commercial Code) provided that there are no offsetting hedge accounting gains and losses. Here, the effects of
converting to and from foreign currencies etc also have to be noted.
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Basel II / Pillar 3     Capital requirements broken down by appropriate equity groupings, consistent with the bank‟s methodology, as well as the aggregate
requirement             amounts and the type of equity investments subject to any supervisory transition or grandfathering provisions regarding regulatory
Basel II approaches
Table:                  &quot;Equities with their capital charges&quot;
Equity groups subject to grandfathering provisions                    requirement
in € million    in € million
c0decb85-0432-4d6a-a0b9-252fdadc544a.xls                                                                                                             4/19/2011
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Notes                         Only those equities that are eligible for grandfathering are to be listed in Table 12f. The capital charge for all equities, broken down by
supervisory calculation method, is given in Table 3 “Capital Adequacy”. The breakdown of equities may be oriented to the relevant
definitions for equity exposures in Pillar 1. The reference date for the grandfathering option is 31 December 2007; this transitional
arrangement will expire on 31 December 2017.
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Table 13: Interest rate risk in the banking book (IRRBB)
Basel II / Pillar 3           The increase (decline) in earnings or economic value (or relevant measure used by management) for upward and downward rate shocks according to
requirement                   management&#39;s method for measuring IRRBB, broken down by currency (as relevant).
Table:                        &quot;Interest rate risk in the banking book&quot;
Currency1)                                    (+/- x bp)
Decline in earnings       Increase in earnings
Currency       A
Currency       B
Currency       ...
Currency       n
Breakdown by currency only as relevant
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Notes                     The value of the interest rate shock chosen can differ from the Basel Pillar 2 requirement (200 basis points). If an interest rate shock different from
that defined by Basel is assumed by an individual institution, this is to be given.
"Market Risk Under Basel Ii"