Data related to Credit Risk

The following table provides statistical information on key aspects of the implementation of Basel II related to credit risk.

Data related to Credit Risk 2009 2008 2007
Credit Institutions:
Own Funds Requirements
Own Funds Requirements Credit Risk % of Total Own Funds Requirements

86,57%

85,03 %  
Credit Institutions:
Distribution by Approach
% Number ** Standardised Approach (SA)

84,78%

86,05 % 100 %
Foundation IRB Approach (FIRB)

4,35%

6,98 % 28,60 %
Advanced IRB Approach (AIRB)

10,86%

6,98 % 14,29 %
Own Funds Requirements % of Own Funds Requirements Credit Risk Standardised Approach (SA)

30,11%

29,43 % C
Foundation IRB Approach (FIRB)

18,64%

17,31 % C
Advanced IRB Approach (AIRB)

51,25%

53,26 % C
Credit Institutions:
Distribution by Asset Class*
Exposures % of Risk Weighted Assets Central Government & Central Banks

1,50%

1,42 %  
Institutions

13,49%

17,14 %  
Corporate

57,55%

56,70 %  
Retail

13,80%

9,90 %  
Equity

1,51%

1,29 %  
Securitisation positions

9,05%

10,62 %  
Other Non Credit Obligation Assets

3,11%

2,93 %  
Other Items

0,01%

0,01 %  
Credit institutions: distribution by SA exposure class * Exposures % of Risk Weighted Assets** Central Governments
or Central banks
1,66 % 1,53 %  
Regional Governments or local authorities 0,39 % 0,20 %  
Administrative bodies and non-commercial undertakings 3,59 % 3,51 %  
Multilateral Development Banks 0,01 % 0,02 %  
Banks      
International Organisations 0 0  
Institutions

11,17%

9,17 %  
Corporates

35,97%

44,07 %  
Retail

16,62%

15,86 %  
Secured by real estate property

10,25%

11,50 %  
Past due items

2,64%

1,62 %  
Items belonging to regulatory high-risk categories

2,68%

3,90 %  
covered bonds

0,07%

0,06 %  
Securitisation positions

1,24%

0  
short-term claims on institutions and corporate

5,53%

1,58 %  
Collective investment undertakings (CIU)

0,34%

0,47 %  
Other items

7,85%

6,02 %  
Credit Institutions:
Distribution by Credit Risk Mitigation Approach
Percentage of Credit Institutions** Financial Collateral Simple Method

23,91%

25,58 % 0 %
Financial Collateral Comprehensive Method

17,39%

16,28 % 28,57 %
Investment Firms Own Funds Requirements Own Funds Requirements Credit Risk % of Total Own Funds Requirements

36,58%

46,37%  
Investment Firms: Distribution by Approach Own Funds Requirements % of Own Funds Requirements Credit Risk Standardised Approach (SA)

98,87%

98,77 % N/M
IRB Approach

1,13%

1,23% N/M
Aditional information on securitization: Credit institutions - Originator Total amount of securitized exposures originated - on balance and off balance

1.873

9.542  
Total amount of securitization positions retained (Securitization positions - original exposure pre conversion factors) - on balance and off balance

499

7.879

* For the mapping of the asset classes, please refer to definition list (see further links).
** If an institution uses more than one approach, it will be counted accordingly.

Index:
N/A: not available
C: confidential
N/M: non material

For an overview regarding statistical data of the EU Member States related to credit risk see the corresponding table on the CEBS homepage.