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
  • 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
  • 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

  1. EBA: 2018 EU-Wide Stress Test - Draft Methodological Note