IRB Asset Classes
From Open Risk Manual
IRB Asset Classes
The list of distinct Advanced Internal Ratings Based assets classes recognized in the Basel II/Basel III and CRD IV Regulation frameworks.
- Central Banks and Central Governments (Sovereigns)
- Institutions
- Corporates
- Corporates – Specialised lending
- Corporates – Specialised lending – Secured by real estate property
- Corporates – Specialised lending – Not secured by real estate property
- Corporates – SME
- Corporates – SME – Secured by real estate property
- Corporates – SME – Not secured by real estate property
- Corporates – Others
- Corporates – Others – Secured by real estate property
- Corporates – Others – Not secured by real estate property
- Corporates – Specialised lending
- Retail
- Retail – Secured by real estate property
- Retail – Secured by real estate property – SME
- Retail – Secured by real estate property – Non-SME
- Retail – Qualifying revolving
- Retail – Other retail
- Retail – Other retail – SME
- Retail – Other retail – Non-SME
- Retail – Secured by real estate property
- Equity
- Securitisation
- Other non-credit obligation assets
Mapping to NII Asset Types
Credit risk asset class | NII – Asset type |
---|---|
Central banks and central governments | Assets – Loans and receivables – Central banks and general governments |
Institutions | Assets – Loans and receivables – Credit institutions and other financial corporations |
Corporates – Specialised lending – Secured by real estate property | Assets – Loans and receivables – Non-financial corporations – Other |
Corporates – Specialised lending – Not secured by real estate property | Assets – Loans and receivables – Non-financial corporations – Other |
Corporates – SME - Secured by real estate property | Assets – Loans and receivables – Non-financial corporations – SMEs |
Corporates – SME – Not secured by real estate property | Assets – Loans and receivables – Non-financial corporations – SMEs |
Corporates – Others – Secured by real estate property | Assets – Loans and receivables – Non-financial corporations – Other |
Corporates – Others – Not secured by real estate property | Assets – Loans and receivables – Non-financial corporations – Other |
Retail – Secured by real estate property – SME | Assets – Loans and receivables – Non-financial corporations – Other |
Retail – Secured by real estate property – Non-SME | Assets – Loans and receivables – Households – Residential mortgage loans |
Retail – Qualifying revolving | Assets – Loans and receivables – Households – Other |
Retail – Other retail – SME | Assets – Loans and receivables – Non-financial corporations – Other |
Retail – Secured by real estate property – SME | Assets – Loans and receivables – Non-financial corporations – Other |
Retail – Other Retail – Non-SME | Assets – Loans and receivables – Households – Other |
Equity | Assets – Other Assets |
Other non-credit obligation assets | Assets – Other Assets |
Securitisation | Assets – Debt Securities - Credit institutions and other financial corporations |
Further subclassification
In the context of regulatory stress testing[1], the class Retail – Secured by real estate property – Non-SME is further optionally subdivided
- Residential guaranteed loans (Prêts cautionnés) insured by an eligible residential property loan guarantor
- Other than Residential guaranteed loans (Prêts cautionnés) insured by an eligible residential property loan guarantor
- Owner occupier
- Buy to let
- Other secured by real estate property
References
- ↑ EBA: 2018 EU-Wide Stress Test - Draft Methodological Note