Note 12 - Credit risk exposure for each internal risk rating
The Bank uses a special classification system for monitoring credit risk in the portfolio. Risk classification is based on each individual exposure's probability of default. In the table below this classification is collated with corresponding rating classes at Moody’s.
Historical default data are parent bank figures showing the default ratio (DR) per credit quality step. The figures are an unweighted average of customers with normal scores in the period 2006-2012.
Historical data are restated in accordance with new calculations of estimated defaults. See note 6 Risk factors, and the section on probability of default.
| Probability of default | Collateral cover | |||||||
| Credit quality step | From | To | Moody's | Historical default | Collateral class | Lower limit | Upper limit | |
| A | 0.00 % | 0.10 % | Aaa-A3 | 0.04 % | 1 | 120 | ||
| B | 0.10 % | 0.25 % | Baa1-Baa2 | 0.10 % | 2 | 100 | 120 | |
| C | 0.25 % | 0.50 % | Baa3 | 0.23 % | 3 | 80 | 100 | |
| D | 0.50 % | 0.75 % | Ba1 | 0.56 % | 4 | 60 | 80 | |
| E | 0.75 % | 1.25 % | Ba2 | 0.68 % | 5 | 40 | 60 | |
| F | 1.25 % | 2.50 % | 1.57 % | 6 | 20 | 40 | ||
| G | 2.50 % | 5.00 % | Ba2-B1 | 3.67 % | 7 | 0 | 20 | |
| H | 5.00 % | 10.00 % | B1-B2 | 6.97 % | ||||
| I | 10.00 % | 99.99 % | B3-Caa3 | 19.61 % | ||||
| J | Default | |||||||
| K | Written down | |||||||
The Bank's exposures are classified into one of five risk groups based on credit quality step. Previously this was a combination of credit quality step and collateral class. "Defaulted and written down" is also present. See the table below.
| Credit quality step | Risk groups |
| A - C | Lowest risk |
| D - E | Low risk |
| F - G | Medium risk |
| H | High risk |
| I | Highest risk |
| J - K | Default and written down |
| Parent bank | Averaged unhedged exposure | Total exposure | Averaged unhedged exposure | Total exposure |
| (NOK million) | 2012 | 2012 | 2011 | 2011 |
| Lowest risk | 4.6 % | 38,451 | 4.6 % | 39,296 |
| Low risk | 7.3 % | 23,748 | 8.1 % | 20,185 |
| Medium risk | 9.2 % | 19,483 | 12.5 % | 21,743 |
| High risk | 12.8 % | 2,994 | 9.3 % | 2,063 |
| Highest risk | 6.3 % | 2,059 | 10.0 % | 1,811 |
| Default and written down | 25.2 % | 417 | 29.1 % | 463 |
| Total | 87,152 | 85,561 | ||
| Group | Averaged unhedged exposure | Total exposure | Averaged unhedged exposure | Total exposure |
| (NOK million) | 2012 | 2012 | 2011 | 2011 |
| Lowest risk | 4.5 % | 38,760 | 4.5 % | 39,478 |
| Low risk | 7.1 % | 24,474 | 7.5 % | 20,891 |
| Medium risk | 8.8 % | 20,241 | 11.8 % | 22,177 |
| High risk | 11.5 % | 3,344 | 9.3 % | 2,494 |
| Highest risk | 5.4 % | 2,406 | 10.0 % | 2,168 |
| Default and written down | 20.4 % | 517 | 29.1 % | 542 |
| Total | 89,744 | 87,750 |
Financial results
Annual report and notes
