15
Exposures and Risk Weights
(cont’d)
Standardised Banks
Standardised Banks
Retail Claims
•Generally: 75% risk weight if
§The exposure is to an individual or small business
§The exposure takes the form of revolving credits, lines
of credit, personal loans, leases,
or small business facilities (mortgage loans are excluded to the extent otherwise covered (see
below))
§The portfolio is sufficiently diversified (granular);
the Accord suggests that
sufficient granularity could be achieved if no aggregate exposure to any one counterparty exceeds 0.2% of the overall
portfolio
§Maximum aggregate exposure to any one counterparty
cannot exceed $1
million
•Past due: the unsecured portion of
any exposure that is past due for
more than 90 days, net of specific provisions, will be risk-weighted as follows:
§150% when specific provisions are less than 20% of the
outstanding amount of
the loan
§100% when specific provisions are no less than 20% of
the loan
§100% when the specific provisions are no less than 50%
of the loan, with
supervisory discretion to reduce the risk weight to 50%
Overview