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Standard Approach Capital Requirement Engine
Capital Requirement:
Risk Weighted Asset:
Portfolio:
Non central government public sector entities as Sovereign
Sovereign
Corporate and Securities Firms as Corporate
Non central government Public Sector Entities as Banks Option 1
Banks and Securities Firms Option 1
Non central government Public Sector Entities as Banks Option 2
Multilateral Development Banks
Banks and Securities Firms Option 2
Banks and Securities Firms Option 2 - Short Term
Retail
Residencial Real Estate
Claims Secured by Commercial Real Estate
Claims Secured by Commercial Real Estate 50% Risk Weight
Past Due Loans Specific Provision not less than 50%
Past Due Residencial Mortgage Provision not less than 20%
Securitization Exposures
Other assets
Higher Risk Categories
Past Due Loans Specific Provision less than 20%
Multilateral Development Banks 0% Risk Weight
Past Due Loans Specific Provision no less than 20%
Past Due Loans Specific fully secured by not recognized and provision not less than 15%
Past Due Residencial Mortgage
EAD:
Standard & Poors
Moodys
Fitch
BISII Rating
Long Term Issuer Rating:
AAA
AA+
AA
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
D
Unrated
Aaa
Aa1
Aa2
Aa3
A1
A2
A3
Baa1
Baa2
Baa3
Ba1
Ba2
Ba3
B1
B2
B3
Caa1
Caa2
Caa3
Ca
C
D
Unrated
AAA
AA+
AA
AA-
A+
A
A-
BBB+
BBB
BBB-
BB+
BB
BB-
B+
B
B-
CCC+
CCC
CCC-
CC
C
D
Unrated
Short Term Issue Rating:
Unrated
A-1
A-2
A-3
Unrated
P-1
P-2
P-3
ECA Rating:
Unrated
0
1
2
3
4
5
6
7
EAD not positive !!!
EAD is not a number !!!