Title[ Part 2: The First Pillar - Minimum Capital Requirements
Section[ 4. Claims on banks
60. There are two options for claims on banks. National supervisors will apply one option to all banks in their jurisdiction. No claim on an unrated bank may receive a risk weight lower than that applied to claims on its sovereign of incorporation.
61. Under the first option, all banks incorporated in a given country will be assigned a risk weight one category less favourable than that assigned to claims on the sovereign of that country. However, for claims on banks in countries with sovereigns rated BB+ to B- and on banks in unrated countries the risk weight will be capped at 100%.
62. The second option bases the risk weighting on the external credit assessment of the bank itself with claims on unrated banks being risk-weighted at 50%. Under this option, a preferential risk weight that is one category more favourable may be applied to claims with an original maturity 25 of three months or less, subject to a floor of 20%. This treatment will be available to both rated and unrated banks, but not to banks risk weighted at 150%.
63. The two options are summarised in the tables below.
Option 1
Credit AAA to A+ to A- BBB+ to BB+ to B- Below B- Unrated
Assessment AA- BBB-
of Sovereign
Risk 20% 50% 100% 100% 150% 100%
Weight
Under
Option 1
Option 2
Credit AAA to A+ to A- BBB+ to BB+ to B- Below B- Unrated
Assessment AA- BBB-
of Banks
Risk 20% 50% 50% 100% 150% 50%
Weight
Under
Option 2
Risk Weight 20% 20% 20% 50% 150% 20%
for short-
term claims 26
under
Option 2
64. When the national supervisor has chosen to apply the preferential treatment for claims on the sovereign as described in paragraph 54, it can also assign, under both options
1 and 2, a risk weight that is one category less favourable than that assigned to claims on the sovereign, subject to a floor of 20%, to claims on banks of an original maturity of 3 months or less denominated and funded in the domestic currency.
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