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I 06.11

K - factor requirement

Exposure value

Replacement cost (RC)

Potential future exposure (PFE)

Collateral (C)

0010

0020

0030

0040

0050

concept	eba_met:mi184	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x

concept	eba_met:mi119	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x

concept	eba_met:mi650	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x

concept	eba_met:mi430	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x

concept	eba_met:mi889	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x

Breakdown by method for determining the exposure value

0009

concept	eba_met:mi184	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x

concept	eba_met:mi119	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x

concept	eba_met:mi650	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x

concept	eba_met:mi430	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x

concept	eba_met:mi889	x
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x

Application of IFR: K-TCD

0010

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x206	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x206	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi650	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x206	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi430	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x206	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi889	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x206	y
eba_dim:TRI	eba_TR:x41	y

Alternative approaches: Exposure value determined in accordance with CRR

0020

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x208	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x208	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi650	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x208	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi430	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x208	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi889	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x208	y
eba_dim:TRI	eba_TR:x41	y

SA-CCR

0030

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x184	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x184	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi650	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x184	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi430	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x184	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi889	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x184	y
eba_dim:TRI	eba_TR:x41	y

Simplified SA-CCR

0040

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x183	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x183	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi650	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x183	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi430	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x183	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi889	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x183	y
eba_dim:TRI	eba_TR:x41	y

Original exposure method

0050

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x38	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x38	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi650	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x38	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi430	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x38	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi889	x
eba_dim:APR	eba_AP:x206	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x38	y
eba_dim:TRI	eba_TR:x41	y

Alternative approaches: Full application of CRR framework

0060

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x45	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x209	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x45	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x209	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi650	x
eba_dim:APR	eba_AP:x45	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x209	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi430	x
eba_dim:APR	eba_AP:x45	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x209	y
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi889	x
eba_dim:APR	eba_AP:x45	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:MDE	eba_AP:x209	y
eba_dim:TRI	eba_TR:x41	y

Memorandum item: CVA component

0070

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x207	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x66	y

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x207	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x66	y

concept	eba_met:mi650	x
eba_dim:APR	eba_AP:x207	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x66	y

concept	eba_met:mi430	x
eba_dim:APR	eba_AP:x207	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x66	y

concept	eba_met:mi889	x
eba_dim:APR	eba_AP:x207	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x66	y

of which: calculated in accordance with CRR framework

0080

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x55	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x66	y

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x55	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x66	y

concept	eba_met:mi650	x
eba_dim:APR	eba_AP:x55	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x66	y

concept	eba_met:mi430	x
eba_dim:APR	eba_AP:x55	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x66	y

concept	eba_met:mi889	x
eba_dim:APR	eba_AP:x55	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x66	y

Breakdown by type of counterparty

0089

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi650	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi430	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi889	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

Central governments, central banks and public sector entities

0090

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x34	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x34	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi650	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x34	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi430	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x34	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi889	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x34	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

Credit institutions and investment firms

0100

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x631	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x631	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi650	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x631	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi430	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x631	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi889	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x631	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

Other counterparties

0110

concept	eba_met:mi184	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x632	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi119	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x632	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi650	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x632	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi430	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x632	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y

concept	eba_met:mi889	x
eba_dim:APR	eba_AP:x210	y
eba_dim:BAS	eba_BA:x9	x
eba_dim:CPS	eba_CT:x632	y
eba_dim:MCY	eba_MC:x973	x
eba_dim:TRI	eba_TR:x41	y