IAS19 Defined Benefit Pension + Mortgage Portfolio Analysis
Risk Weighted Assets (RWAs) / Leverage ratio
Customer lending average credit risk weights - Jun 20231,2
EBA Transparency Exercise 2022
Country by Country Average IRB risk weights
Residential Mortgages - Jun 2022
(Based on regulatory exposure class)
EAD³
RWA
(€bn)
(€bn)
Avg. Risk
Weight
Ireland Mortgages
30.9
8.1
26%
UK Mortgages
SME
Corporate
16.2
3.6
22%
Sweden
Netherlands
Belgium
France
Denmark
Austria
United Kingdom
3.9%
9.7%
10.4%
12.4%
14.0%
14.0%
14.5%
Portugal
15.3%
15.7
11.6
74%
Germany
15.5%
12.6
11.5
91%
Spain
15.8%
Finland
16.7%
Other Retail
6.9
5.1
74%
Norway
19.9%
Italy
20.0%
Customer lending credit risk
82.3
39.8
48%
Ireland
31.0%
•
IRB approach accounts for:
54% of credit EAD (Dec 2022: 55%)
66% of credit RWA (Dec 2022: 70%)
1 EAD and RWA include both IRB and Standardised approaches and comprise both non-defaulted and defaulted loans
2 Securitised exposures are excluded from the table (i.e. excludes exposures included in CRT transactions)
Bank of Ireland
EBA Risk Dashboard - Jun 2022
Country by Country Average Regulatory Leverage ratios
Sweden
4.7%
Denmark
4.9%
Germany
4.9%
France
4.9%
Spain
5.1%
Belgium
5.1%
Italy
5.4%
Netherlands
5.5%
Finland
5.6%
Portugal
6.2%
Norway
6.4%
Austria
6.6%
Ireland
3 Exposure at default (EAD) is a regulatory estimate of credit risk exposure consisting of both on balance exposures and off balance sheet commitments
7.9%
23View entire presentation