Institutions may also calculate the regulatory capital charges for credit risk using a more risk-sensitive approach based on their own rating procedures, the Internal Ratings-Based Approach (IRBA), under which the risk weights are determined using borrower-based risk parameters (Part 2 Chapter 4 of the Solvency Regulation). Institutions can choose between a Foundation Approach (under which the institution only has to estimate the borrower's probability of default (PD)) and an Advanced Approach (under which the institution calculates not only the PD but also the loss given default (LGD), conversion factors for off-balance-sheet business and residual maturities). The risk weights are calculated for individual risk exposures using an IRBA based on individually estimated parameters and classified by given asset classes, using risk weighting formulas. Since the institutions themselves estimate the risk parameters using IRBAs, supervisory approval, which can be given based on an on-site approval examination, is necessary prior to using these approaches.

Approvals granted for the use of an IRBA

Overview of institutions in Germany with approval to use supervisory models to determine capital charges for default risk. Institutions that are part of groups whose parent institution is not based in Germany are not included in this list.

Less significant institutions (LSI)

• Alte Leipziger Bauspar AG
• BMW Bank GmbH
• Deutsche Bausparkasse Badenia AG
• IKB Deutsche Industriebank AG
• KfW IPEX-Bank GmbH
• Landesbank Saar
• Lloyds Bank GmbH
• Oldenburgische Landesbank AG
• Süd-West-Kreditbank Finanzierung GmbH
• Toyota Kreditbank GmbH

 Significant institutions (SI)

• Aareal Bank AG
• Bayerische Landesbank
• Commerzbank AG
• DekaBank Deutsche Girozentrale
• Deutsche Apotheker- und Ärztebank eG
• Deutsche Bank AG
• Deutsche Pfandbriefbank AG
• DZ Bank AG
• Hamburg Commercial Bank AG
• Landesbank Baden-Württemberg
• Landesbank Berlin
• Landesbank Hessen-Thüringen Girozentrale
• Morgan Stanley Europe Holding SE
• Münchener Hypothekenbank
• Norddeutsche Landesbank Girozentrale
• Wüstenrot Bausparkasse AG

Other (neither LSI nor SI)

• Kreditanstalt für Wiederaufbau
• S-Kreditpartner GmbH