CRR/CRD regulatory measures
Our regulatory assets, exposures, risk-weighted assets, capital and ratios thereof are calculated for regulatory purposes and set forth throughout our financial reports under the regulation on prudential requirements for credit institutions and investment firms (CRR) and the Capital Requirements Directive (CRD) as currently applicable.
For the comparative periods, we present in our financial reports certain figures based on the CRR definition of own fund instruments applicable for Additional Tier 1 (AT1) capital and Tier 2 (T2) capital and figures based thereon, including Tier 1 capital, Total capital and Leverage Ratio, on a fully loaded basis. We calculate such fully loaded figures excluding the transitional arrangements for own fund instruments as provided in the currently applicable CRR/CRD. For those comparative periods, our CET1 and RWA figures also include the transitional impacts from the IFRS 9 add-back in the fully-loaded figures, given it is an immaterial difference.
Transitional arrangements are applicable for AT1 and T2 instruments. Capital instruments issued on or prior to December 31, 2011 that no longer qualify as AT1 or T2 capital under the fully loaded CRR/CRD as currently applicable are subject to grandfathering rules during the transitional period and were phased out from 2013 to 2022 with their recognition capped at 20 % in 2020 and 10 % in 2021 (in relation to the portfolio eligible for grandfathering which was still in issue on December 31, 2012), with grandfathering phased out completely from January 1, 2022.
The current CRR as applicable since June 27, 2019 provides further grandfathering rules for AT1 and T2 instruments issued prior to June 27, 2019. Thereunder, AT1 and T2 instruments issued through special purpose entities were grandfathered until December 31, 2021. Beyond 2021, transitional arrangements only exist for AT1 and T2 instruments which continue to qualify until June 26, 2025 even if they do not meet certain new requirements that apply since June 27, 2019. We had immaterial amounts of such instruments outstanding at year-end 2021, which practically removes the difference between fully loaded and transitional AT1 and T2 instruments starting from January 1, 2022.
We believe that these fully loaded calculations provide useful information to investors as they reflect our progress against the regulatory capital standards and as many of our competitors have been describing calculations on a fully loaded basis. As our competitors assumptions and estimates regarding fully loaded calculations may vary, our fully loaded measures may not be comparable with similarly labelled measures used by our competitors.
For descriptions of these fully loaded CRR/CRD measures and the differences from the most directly comparable measures under the CRR/CRD transitional rules, please refer to: (i) the sections Risk information and Non-GAAP financial measures: CRR/CRD regulatory measures of Exhibit 99.1 hereto, (ii) the section Management Report: Risk Report: Risk and Capital Performance: Capital, Leverage Ratio, TLAC and MREL, in particular the subsections thereof entitled Development of Own Funds, Development of Risk-Weighted Assets and Leverage Ratio, on pages 120 to 135 of our Annual Report 2021 and (iii) the section Supplementary Information (Unaudited): Non-GAAP Financial Measures: Regulatory fully loaded measures on page 397 of our Annual Report 2021.