Transcription of Basel III: Post-Crisis Reforms - Deloitte
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Basel III: Post-Crisis Reforms - Deloitte
Basel III: Post-Crisis ReformsStandardised Approach for Credit RiskRevisions to the Existing Standardised ApproachNew Categories of Exposures Exposures to Banks Bankexposureswillberisk-weightedbasedone ithertheExternalCreditRiskAssessmentAppr oach(ECRA)orStandardisedCreditRiskAssess mentApproach(SCRA).BanksaretoapplyECRA whereregulatorsdoallowtheuseofexternalra tingsforregulatorypurposesandSCRA forregulatorsthatdon t. Exposures to Multilateral Development Banks (MDBs)For exposures that do not fulfil the eligibility criteria, risk weights are to be determined by either SCRA or ECRA. Exposures to CorporatesA more granular look-up table as well as a specific risk weight for small and medium-sized enterprises (SMEs) have been developed. Retail Exposures (Excluding Real Estate) (QRRE) Residential Real Estate (RRE) and Commercial Real Estate (CRE) ,basedonmortgages Loan-to-Value(LTV)ratios,willreplacethep reviousflatriskweightsof35%and100%forRRE andCRErespectively.
Probability of Default (PD) Loss Given Default (LGD) Exposure at Default (EAD) Unsecured Secured Corporate 5 bps 25% By collateral type: • 0% financial • 10% receivables • 10% CRE/RRE • 15% other physical Sum of (i) on balance sheet exposures; and (ii)50% of off balance sheet exposure
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