Anda di halaman 1dari 1

Credit quality step 1 2 3 4 5 6 Unrated Special cases (non-exhaustive)

- ECB: 0%
Central governments or central banks 0% 20% 50% 100% 100% 150% 100%
- EU central govts and central banks, denominated and funded in own currency: 0%

- Denominated and funded in own currency: 20%


Regional governments or local authorities Treated as banks - No difference in risk compared to the sovereign: treated as central government (EBA
list)

Rated Treated as banks


- No difference in risk compared to the sovereign: treated as central government
Public sector entities
(1)
(exceptional)
Non-rated 20% 50% 100% 100% 100% 150% 100%

Multilateral development banks Treated as banks - A number of entities are assigned a RW of 0%

International organisations (e.g. EU, IMF, BIS, EFSF, ESM) 0%

Rated 20% 50% 50% 100% 100% 150%


Banks
Non-rated(1) 20% 50% 100% 100% 100% 150% 100%

max
Corporates 20% 50% 100% 100% 150% 150% (100%;
RW sov)

Retail portfolios 75%

Residential 35%
Loans secured by properties - RW can be increased up to 150% based o financial stability considerations
Commercial 50%

Specific credit risk


150%
adjust < 20%
Past due loans
Specific credit risk
100%
adjust >= 20%

Higher risk categories (e.g. venture capital, AIF, private


150%
equity, speculative property financing)

Covered bonds (2)


10% 20% 20% 50% 50% 100%

Securitisation positions Specific rules apply

Banks and corporates with short-term credit assessment 20% 50% 100% 150% 150% 150%

Units or shares in collective investment undertakings 20% 50% 100% 100% 150% 150% 100% - A look through approach may be applied, with the calculation of an average RW

Equity exposures 100% - Higher RW are applicable in some cases

Other items E.g.: tangible assets (100%); Cash (20% or 0%), etc.

(1)
relative to CQS of sovereign
(2)
lower than the RW assigned to senior unsecured exposures of the issuer