credit risk tables
TRANSCRIPT
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Capital requirement against credit risk Y01
Reporting period
period
/
Balance sheet value / Credit equivalent Risk weight Risk-weighted+C184
Calculation of capital adequacy ratio Nominal amount conversion factor, % % amount
05 10
Own funds (Regulation No. 106.6/203.23/306.6)Line No. C.No Ref. No.
05 7 1 Total own funds
05 05 2 11 Original own funds
05 10 9 1705 Additional own funds, net
05 15 4 13 Deductions from total own funds
05 20 1 1710 Items eligible for covering market risk
Risk-weighted amount of credit risk and market risk (Regulations Nos. 106.7/203.24/306.7 and 106.12/203.26/306.12)
10 4 6 Total risk-weighed items
Risk-weighted amount of credit risk (Regulation No. 106.7/203.24/306.7)
10 05 9 4 Total risk-weighed asset and off-balance-sheet items
Asset items
10 05 05 4 2 Total assets/Balance sheet total
10 05 05 05 9 21 Category I (risk weight 0 per cent) 0 %
10 05 05 05 05 4 2101 Cash
10 05 05 05 10 1 2102 Claims on the central government of Finland and comparable items
10 05 0 5 05 1 0 05 6 Counterparty
10 05 0 5 05 1 0 10 3 Guarantee
10 05 0 5 05 1 0 15 8 Collateral
10 05 05 05 15 6 2103 Claims on Finnish municipalities and comparable items
10 05 0 5 05 1 5 05 1 Counterparty
10 05 0 5 05 1 5 10 8 Guarantee
10 05 0 5 05 1 5 15 3Collateral
10 05 05 05 20 3 2104 Claims on the Bank of Finland and comparable items
10 05 0 5 05 2 0 05 8 Counterparty
10 05 0 5 05 2 0 10 5 Guarantee
10 05 0 5 05 2 0 15 0 Collateral
10 05 05 05 25 8 2105 Claims on the European Communities
10 05 0 5 05 2 5 05 3 Counterparty
10 05 0 5 05 2 5 10 0 Guarantee
10 05 0 5 05 2 5 15 5 Collateral
10 05 05 05 30 5 2106 Claims on other central governments or central banks denominated and funded in national currencies
10 05 0 5 05 3 0 05 0 Counterparty
10 05 0 5 05 3 0 10 7 Guarantee
10 05 05 05 35 0 2107 Claims secured by collateral in the form of deposits
10 05 05 05 40 7 2108Trading-book items
10 05 05 05 45 2 2109a The amount of derivative contracts shown in the balance sheet (credit risk)
10 05 05 05 50 0 2109b The amount of derivative contracts shown in the balance sheet (market risk)
10 05 05 10 6 22 Category II (risk weight 20 per cent) 20 %
10 05 05 10 05 1 2201 Claims on Finnish credit institutions, investment firms and comparable items 20 %
10 05 0 5 10 0 5 05 6 Counterparty 20 %
10 05 0 5 10 0 5 10 3 Guarantee 20 %
10 05 05 10 10 8 2202 Short-term claims on foreign credit institutions 20 %
10 05 0 5 10 1 0 05 3 Counterparty 20 %
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Balance sheet value / Credit equivalent Risk weight Risk-weighted+C184
Calculation of capital adequacy ratio Nominal amount conversion factor, % % amount
05 10
Off-balance-sheet items
10 05 10 1 3 Total off-balance-sheet items
10 05 10 05 6 31 Guarantees and other direct credit substitutes
10 05 10 05 05 1 311 Category I (risk weight 0 per cent) 100 % 0 %
10 05 1 0 05 0 5 05 6 Counterparty 100 % 0 %
10 05 1 0 05 0 5 10 3 Guarantee 100 % 0 %
10 05 1 0 05 0 5 15 8 Collateral 100 % 0 %
10 05 10 05 10 8 312 Category II (risk weight 20 per cent) 100 % 20 %
10 05 1 0 05 1 0 05 3 Counterparty 100 % 20 %
10 05 1 0 05 1 0 10 0 Guarantee 100 % 20 %
10 05 1 0 05 1 0 15 5 Collateral 100 % 20 %
10 05 10 05 15 3 313 Category III (risk weight 50 per cent) 100 % 50 %
10 05 10 05 20 0 314 Category IV (risk weight 100 per cent) 100 % 100 %
10 05 10 10 3 32 Asset sales with recourse
10 05 10 10 05 8 321 Category I (risk weight 0 per cent) 100 % 0 %
10 05 1 0 10 0 5 05 3 Counterparty 100 % 0 %
10 05 1 0 10 0 5 10 0 Guarantee 100 % 0 %
10 05 1 0 10 0 5 15 5 Collateral 100 % 0 %
10 05 10 10 10 5 322 Category II (risk weight 20 per cent) 100 % 20 %
10 05 1 0 10 1 0 05 0 Counterparty 100 % 20 %
10 05 1 0 10 1 0 10 7 Guarantee 100 % 20 %
10 05 1 0 10 1 0 15 2 Collateral 100 % 20 %
10 05 10 10 15 0 323 Category III (risk weight 50 per cent) 100 % 50 %
10 05 10 10 20 7 324 Category IV (risk weight 100 per cent) 100 % 100 %
10 05 10 15 8 33 Forward asset purchases
10 05 10 15 05 3 331 Category I (risk weight 0 per cent) 100 % 0 %
10 05 1 0 15 0 5 05 8 Counterparty 100 % 0 %
10 05 1 0 15 0 5 10 5 Guarantee 100 % 0 %
10 05 1 0 15 0 5 15 0 Collateral 100 % 0 %
10 05 10 15 10 0 332 Category II (risk weight 20 per cent) 100 % 20 %
10 05 1 0 15 1 0 05 5 Counterparty 100 % 20 %
10 05 1 0 15 1 0 10 2 Guarantee 100 % 20 %
10 05 1 0 15 1 0 15 7 Collateral 100 % 20 %
10 05 10 15 15 5 333 Category III (risk weight 50 per cent) 100 % 50 %
10 05 10 15 20 2 334 Category IV (risk weight 100 per cent) 100 % 100 %
10 05 10 20 5 34 Forward/forward deposits
10 05 10 20 05 0 341 Category I (risk weight 0 per cent) 100 % 0 %
10 05 1 0 20 0 5 05 5 Counterparty 100 % 0 %
10 05 1 0 20 0 5 10 2 Guarantee 100 % 0 %
10 05 1 0 20 0 5 15 7 Collateral 100 % 0 %
10 05 10 20 10 7 342 Category II (risk weight 20 per cent) 100 % 20 %
10 05 1 0 20 1 0 05 2 Counterparty 100 % 20 %
10 05 1 0 20 1 0 10 9 Guarantee 100 % 20 %
10 05 1 0 20 1 0 15 4 Collateral 100 % 20 %
10 05 10 20 15 2 343 Category III (risk weight 50 per cent) 100 % 50 %
10 05 10 20 20 9 344 Category IV (risk weight 100 per cent) 100 % 100 %
10 05 10 25 0 35 Partly-paid securities
10 05 10 25 05 5 351 Category I (risk weight 0 per cent) 100 % 0 %
10 05 1 0 25 0 5 05 0 Counterparty 100 % 0 %
10 05 1 0 25 0 5 10 7 Guarantee 100 % 0 %
10 05 1 0 25 0 5 15 2 Collateral 100 % 0 %
10 05 10 25 10 2 352 Category II (risk weight 20 per cent) 100 % 20 %
10 05 1 0 25 1 0 05 7 Counterparty 100 % 20 %
10 05 1 0 25 1 0 10 4 Guarantee 100 % 20 %
10 05 1 0 25 1 0 15 9 Collateral 100 % 20 %
10 05 10 25 15 7 353 Category III (risk weight 50 per cent) 100 % 50 %
10 05 10 25 20 4 354 Category IV (risk weight 100 per cent) 100 % 100 %
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Balance sheet value / Credit equivalent Risk weight Risk-weighted+C184
Calculation of capital adequacy ratio Nominal amount conversion factor, % % amount
05 10
10 05 10 40 05 4 381 Category I (risk weight 0 per cent) 50 % 0 %
10 05 1 0 40 0 5 05 9 Counterparty 50 % 0 %
10 05 1 0 40 0 5 10 6 Guarantee 50 % 0 %10 05 1 0 40 0 5 15 1 Collateral 50 % 0 %
10 05 10 40 10 1 382 Category II (risk weight 20 per cent) 50 % 20 %
10 05 1 0 40 1 0 05 6 Counterparty 50 % 20 %
10 05 1 0 40 1 0 10 3 Guarantee 50 % 20 %
10 05 1 0 40 1 0 15 8 Collateral 50 % 20 %
10 05 10 40 15 6 383 Category III (risk weight 50 per cent) 50 % 50 %
10 05 10 40 20 3 384 Category IV (risk weight 100 per cent) 50 % 100 %
10 05 10 45 4 39 Other commitments with a maturity of more than one year
10 05 10 45 05 9 391 Category I (risk weight 0 per cent) 50 % 0 %
10 05 1 0 45 0 5 05 4 Counterparty 50 % 0 %
10 05 1 0 45 0 5 10 1 Guarantee 50 % 0 %
10 05 1 0 45 0 5 15 6 Collateral 50 % 0 %10 05 10 45 10 6 392 Category II (risk weight 20 per cent) 50 % 20 %
10 05 1 0 45 1 0 05 1 Counterparty 50 % 20 %
10 05 1 0 45 1 0 10 8 Guarantee 50 % 20 %
10 05 1 0 45 1 0 15 3 Collateral 50 % 20 %
10 05 10 45 15 1 393 Category III (risk weight 50 per cent) 50 % 50 %
10 05 10 45 20 8 394 Category IV (risk weight 100 per cent) 50 % 100 %
10 05 10 50 2 40 Short-term trade-related contingent items
10 05 10 50 05 7 401 Category I (risk weight 0 per cent) 20 % 0 %
10 05 1 0 50 0 5 05 2 Counterparty 20 % 0 %
10 05 1 0 50 0 5 10 9 Guarantee 20 % 0 %
10 05 1 0 50 0 5 15 4 Collateral 20 % 0 %
10 05 10 50 10 4 402 Category II (risk weight 20 per cent) 20 % 20 %10 05 1 0 50 1 0 05 9 Counterparty 20 % 20 %
10 05 1 0 50 1 0 10 6 Guarantee 20 % 20 %
10 05 1 0 50 1 0 15 1 Collateral 20 % 20 %
10 05 10 50 15 9 403 Category III (risk weight 50 per cent) 20 % 50 %
10 05 10 50 20 6 404 Category IV (risk weight 100 per cent) 20 % 100 %
10 05 10 55 7 41 Other commitments with a maturity of one year or less 0 %
10 05 10 60 4 42 Total derivatives
10 05 10 65 9 Total amount of derivatives to which a 0% risk weighting applies
10 05 10 65 05 4 Foreign exchange contracts
10 05 10 65 10 1 Other contracts
Risk-weighted amount of market risk (Regulation No. 106.12/203.26/306.12) Capital requirementConversion
factor
Risk-weighted
amount
10 10 6 5 Total risk-weighted amount of market risk
10 10 05 1 56 Total capital requirement
10 10 05 05 6 51 Own funds required to cover position risk on debt instruments 12,5
10 10 05 10 3 52 Own funds required to cover position risk on equities 12,5
10 10 05 15 8 53 Own funds required to cover settlement risk 12,5
10 10 05 20 5 54 Own funds required to cover counterparty risk 12,5
10 10 05 25 0 55 Capital requirement against foreign exchange risk and gold risk 12,5
10 10 05 30 7 Capital requirement against commodity risk 12,5
10 10 05 35 2 Capital requirement when an internal model is used 12,5
15 9 CAPITAL ADEQUACY RATIO (%)
Capital adequacy ratio calculated on the basis of data input (%)
(enter in line15 either the amount calculated by the undertaking itself or
the adjacent amount computed by the formula)Carry forward to line 15
2 2 2
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Capital requirement against credit risk Y02a
er vat ves Reporting period
period/
Nominal amount Conversion factor Credit equivalent Risk weight Risk-weighted+C184
% amount % amount
A 'Original exposure' method 05 10 15
Line No. C.No Ref. No.
005 7 42 Total derivatives
005 005 8 437 Total interest-rate-related contracts
005 005 005 3 421 Remaining time-to-maturity t 1, risk weight 0 % 0,50 % 0 %
005 005 010 0 Remaining time-to-maturity t 1, risk weight 0 % (lower conversion factor) 0,35 % 0 %
005 005 015 5 Remaining time-to-maturity t 1, risk weight 20 % 0,50 % 20 %
005 005 020 2 Remaining time-to-maturity t 1, risk weight 20 % (lower conversion factor) 0,35 % 20 %
005 005 025 7 Remaining time-to-maturity t 1, risk weight 50 % 0,50 % 50 %
005 005 030 4 Remaining time-to-maturity t 1, risk weight 50 % (lower conversion factor) 0,35 % 50 %
005 005 035 9 Remaining time-to-maturity t 1, risk weight 100 % 0,50 % 100 %
005 005 040 6 Remaining time-to-maturity t 1, risk weight 100 %, (lower conversion factor) 0,35 % 100 %
005 005 045 1 422 Remaining time-to-maturity 1 < t 2, risk weight 0 % 1,00 % 0 %
005 005 050 9 Remaining time-to-maturity 1 < t 2, risk weight 0 % (lower conversion factor) 0,75 % 0 %
005 005 055 4 Remaining time-to-maturity 1 < t 2, risk weight 20 % 1,00 % 20 %
005 005 060 1 Remaining time-to-maturity 1 < t 2, risk weight 20 % (lower conversion factor) 0,75 % 20 %
005 005 065 6 Remaining time-to-maturity 1 < t 2, risk weight 50 % 1,00 % 50 %
005 005 070 3 Remaining time-to-maturity 1 < t 2, risk weight 50 % (lower conversion factor) 0,75 % 50 %
005 005 075 8 Remaining time-to-maturity 1 < t 2, risk weight 100 % 1,00 % 100 %
005 005 080 5 Remaining time-to-maturity 1 < t 2, risk weight 100 % (lower converson factor) 0,75 % 100 %
005 005 085 0 423 Remaining time-to-maturity 2 < t 3, risk weight 0 % 2,00 % 0 %
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Nominal amount Conversion factor Credit equivalent Risk weight Risk-weighted+C184
% amount % amount
A 'Original exposure' method 05 10 15
005 010 570 8 Original time-to-maturity 14 < t 15, risk weight 0% (lower conversion factor) 33,00 % 0 %
005 010 575 3 Original time-to-maturity 14 < t 15, risk weight 20% 44,00 % 20 %
005 010 580 0 Original time-to-maturity 14 < t 15, risk weight 20% (lower conversion factor) 33,00 % 20 %
005 010 585 5 Original time-to-maturity 14 < t 15, risk weight 50% 44,00 % 50 %
005 010 590 2 Original time-to-maturity 14 < t 15, risk weight 50% (lower conversion factor) 33,00 % 50 %
005 010 595 7 Original time-to-maturity 14 < t 15, risk weight 100% 44,00 % 100 %
005 010 600 4 Original time-to-maturity 14 < t 15, risk weight 100% (lower conversion factor) 33,00 % 100 %
005 010 605 9 456 Original time-to-maturity more than 15 years, risk weight 0% 0 %
005 010 610 6 Original time-to-maturity more than 15 years, risk weight 20% 20 %
005 010 615 1 Original time-to-maturity more than 15 vyears, risk weight 50% 50 %
005 010 620 8 Original time-to-maturity more than 15 years, risk weight 100% 100 %
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Capital requirement against credit risk Y02b
Derivatives Reporting periodperiod
/
Replacement Nominal Conv. fact. Future Credit equivalent Risk Risk-weighted+C184
cost amount % Credit exposure amount weight amount
%
B 'Mark-to-market' method 05 10 15 20 25
Line No. C.No ef. No.
05 4 42 Total derivatives
05 03 0 Total value of netted derivatives
05 05 5 Total interest-rate-related contracts
05 05 05 6 421 Remaining maturity 1, risk weight 0% 0 % 0 %
05 05 10 6 422 Remaining maturity 1, risk weight 20% 0 % 20 %
05 05 15 7 423 Remaining maturity 1, risk weight 50% 0 % 50 %
05 05 20 7 424 Remaining maturity 1, risk weight 100% 0 % 100 %
05 05 25 8 425 Remaining maturity 1 < t 5, risk weight 0% 0,5 % 0 %
05 05 30 8 426 Remaining maturity 1 < t 5, risk weight 20% 0,5 % 20 %
05 05 35 9 427 Remaining maturity 1 < t 5, risk weight 50% 0,5 % 50 %
05 05 40 9 428 Remaining maturity 1 < t 5, risk weight 100% 0,5 % 100 %05 05 45 0 Remaining maturity t > 5, risk weight 0% 1,5 % 0 %
05 05 50 0 Remaining maturity t > 5, risk weight 20% 1,5 % 20 %
05 05 55 1 Remaining maturity t > 5, risk weight 50% 1,5 % 50 %
05 05 60 1 Remaining maturity t > 5, risk weight 100% 1,5 % 100 %
05 10 5 Total foreign exchange and gold instruments
05 10 05 6 430 Remaining maturity 1, risk weight 0% 1 % 0 %
05 10 10 6 431 Remaining maturity 1, risk weight 20% 1 % 20 %
05 10 15 7 432 Remaining maturity 1, risk weight 50% 1 % 50 %05 10 20 7 433 Remaining maturity 1, risk weight 100% 1 % 100 %
05 10 25 8 434 Remaining maturity 1 < t 5, risk weight 0% 5 % 0 %
05 10 30 8 435 Remaining maturity 1 < t 5, risk weight 20% 5 % 20 %
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Replacement Nominal Conv. fact. Future Credit equivalent Risk Risk-weighted+C184
cost amount % Credit exposure amount weight amount
%
B 'Mark-to-market' method 05 10 15 20 25
05 10 35 9 436 Remaining maturity 1 < t 5, risk weight 50% 5 % 50 %
05 10 40 9 437 Remaining maturity 1 < t 5, risk weight 100% 5 % 100 %
05 10 45 0 Remaining maturity t > 5, risk weight 0% 7,5 % 0 %
05 10 50 0 Remaining maturity t > 5, risk weight 20% 7,5 % 20 %
05 10 55 1 Remaining maturity t > 5, risk weight 50% 7,5 % 50 %
05 10 60 1 Remaining maturity t > 5, risk weight 100% 7,5 % 100 %
05 15 6 Total equity instruments
05 15 05 7 Remaining maturity 1, risk weight 0% 6 % 0 %
05 15 10 7 Remaining maturity 1, risk weight 20% 6 % 20 %
05 15 15 8 Remaining maturity 1, risk weight 50% 6 % 50 %
05 15 20 8 Remaining maturity 1, risk weight 100% 6 % 100 %
05 15 25 9 Remaining maturity 1 < t 5, risk weight 0% 8 % 0 %
05 15 30 9 Remaining maturity 1 < t 5, risk weight 20% 8 % 20 %
05 15 35 0 Remaining maturity 1 < t 5, risk weight 50% 8 % 50 %
05 15 40 0 Remaining maturity 1 < t 5, risk weight 100% 8 % 100 %
05 15 45 1 Remaining maturity t > 5, risk weight 0% 10 % 0 %
05 15 50 1 Remaining maturity t > 5, risk weight 20% 10 % 20 %
05 15 55 2 Remaining maturity t > 5, risk weight 50% 10 % 50 %
05 15 60 2 Remaining maturity t > 5, risk weight 100% 10 % 100 %
05 20 6 Total precious metal and other commodity instruments
05 20 05 7 Total precious metal instruments
05 20 05 05 8 Remaining maturity 1, risk weight 0% 7 % 0 %
05 20 05 10 8 Remaining maturity 1, risk weight 20% 7 % 20 %
05 20 05 15 9 Remaining maturity 1, risk weight 50% 7 % 50 %
05 20 05 20 9 Remaining maturity 1, risk weight 100% 7 % 100 %
05 20 05 25 0 Remaining maturity 1 < t 5, risk weight 0% 7 % 0 %
05 20 05 30 0 Remaining maturity 1 < t 5, risk weight 20% 7 % 20 %
05 20 05 35 1 Remaining maturity 1 < t 5, risk weight 50% 7 % 50 %
05 20 05 40 1 Remaining maturity 1 < t 5, risk weight 100% 7 % 100 %
05 20 05 45 2 Remaining maturity t > 5, risk weight 0% 8 % 0 %
05 20 05 50 2 Remaining maturity t > 5, risk weight 20% 8 % 20 %
05 20 05 55 3 Remaining maturity t > 5, risk weight 50% 8 % 50 %
05 20 05 60 3 Remaining maturity t > 5, risk weight 100% 8 % 100 %
05 20 10 7 Total other commodity instruments
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Replacement Nominal Conv. fact. Future Credit equivalent Risk Risk-weighted+C184
cost amount % Credit exposure amount weight amount
%
B 'Mark-to-market' method 05 10 15 20 25
05 20 10 05 8 Remaining maturity 1, risk weight 0% 10 % 0 %
05 20 10 10 8 Remaining maturity 1, risk weight 20% 10 % 20 %
05 20 10 15 9 Remaining maturity 1, risk weight 50% 10 % 50 %
05 20 10 20 9 Remaining maturity 1, risk weight 100% 10 % 100 %
05 20 10 25 0 Remaining maturity 1 < t 5, risk weight 0% 12 % 0 %
05 20 10 30 0 Remaining maturity 1 < t 5, risk weight 20% 12 % 20 %
05 20 10 35 1 Remaining maturity 1 < t 5, risk weight 50% 12 % 50 %
05 20 10 40 1 Remaining maturity 1 < t 5, risk weight 100% 12 % 100 %
05 20 10 45 2 Remaining maturity t > 5, risk weight 0% 15 % 0 %
05 20 10 50 2 Remaining maturity t > 5, risk weight 20% 15 % 20 %
05 20 10 55 3 Remaining maturity t > 5, risk weight 50% 15 % 50 %
05 20 10 60 3 Remaining maturity t > 5, risk weight 100% 15 % 100 %