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Documenti di Professioni
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Usha Janakiraman
NIBM Pune
Scope of application
Insurance business
Business not pertaining to financial services
Capital Funds
Capital Funds
On implementation of Basel
II, minimum capital shall be
subjected to a prudential
floor
Adequacy & need for
capital floors to be
reviewed periodically
Prudential Floor
Specified
percent
of minimum capital as
Minimum capital as per
per Basel I ( credit & market)
Basel II
as below
March 2008/09
100%
March 2009/10
90%
March 2010/11
80%
Capital Funds
OffSovereigns Foreign
Balance
Sovereigns
Sheet
PSEs
Other Assets
Specified
Higher Risk
Categories
SA
Banks
NPAs
Commercial
Real Estate
PDs
Residential
Corporates
Property Regulatory
Retail
Standardised Approach-RBI
Standardised Approach-RBI
BB
B
BB to < B
B
Unrated
Aaa
To
Aa
Ba
a
Ba to <B
B
Unrated
20
50
100
100
S&P/Fitch AAA
To
AA
Moodys
Risk weights
as per rating
assigned to the
sovereigns/sov
ereign claims Risk
by rating
Weight
agencies
(%)
Claims in domestic currency of foreign sovereign met out of resources in the same currency
raised in the jurisdiction Of that sovereign will attract RW of 0%
150
Standardised Approach-RBI:
10
S&P/FITCH
AAA to
AA
BBB
<BB
Unra
ted
Moodys
Aaa to
Aa
Baa to
Ba
<Ba
Unra
ted
50
100
150
100
Risk Weight 20
(%)
Standardised Approach-RBI
Claims on BIS , IMF & eligible MDBs
11
Excludes investment in equity shares and other instruments eligible for capital
status
Claims on banks not complying with minimum CAR : ( includes equity & other
instruments eligible for capital status )
CAR (%)
Scheduled Banks RW
Non-scheduled banks
RW
50%
100%
150%
625%
150%
250%
350%
625%
12
6 to < 9
3 to < 6
0 to < 3
negative
13
S&P/FITC
H
AAA to
AA
BBB
BB to B <B
Unrated
Moodys
Aaa to
Aa
Baa
Ba to B
<B
Unrated
Risk
Weight
(%)
20
50
50
100
150
50
Claims on a bank in domestic foreign currency met out of resources in the same currency
raised in that jurisdiction will be risk weighted at 20% provided the bank meets the prescribed
minimum CAR of that country; if host supervisor requires a more conservative treatment
for such claims in the books of foreign branches of Indian banks, that should prevail.
14
15
Risk
16
17
18
CRISIL Limited
FITCH India
ICRA Limited
19
FITCH
Moodys
Standard & Poors
20
21
Other issues:
22
23
AAA
SA Risk
Weights
20%
AA
30%
50%
BBB
100%
BB & Below
150%
Unrated
100%*
If issuer has an external long term/short term rating warranting a RW of 150%, all unrated claims (ST & LT)
shall receive 150% RW ( unless recognised CRM are available)
24
Shortterm Ratings
SA Risk
Weights
PR1+,P1+,F1+,A1+
20%
30%
50%
100%
150%
PR1,P1,F1,A1
PR2, P2,F2,A2
PR3, P3, F3, A3
PR4&PR5;P4& P5;B, C, &D;
A4& A5
CARE, CRISIL, FITCH & ICRA
25
26
27
28
Issuer has requested rating agency for the rating and has accepted
the rating assigned
S&P/FITCH
AAA to
AA
BBB
<BB
Unrated*
Moodys
Aaa to
Aa
Baa to
Ba
<Ba
Unrated
Risk Weight
(%)
20
50
100
150
100*
*Unrated exposures could carry higher risk weight of 150%. Thresholds* for 150% RW for unrated
exposures to corporates:
For F.Y. 2008-09: all fresh sanctions/renewals of unrated corporates >Rs. 50 crore will have a
RW of 150%
From April 1, 2009: all fresh sanctions/renewals of unrated corporates > Rs. 10 crore will have
a RW of 150%
29
Threshold ( Rs. 50/Rs. 10 crore) with reference to aggregate exposure on a single counterparty for bank as a
whole
criteria
Product criterion
Granularity criterion
Low value of individual exposures
30
31
32
Revolving credits
Lines of credits
Overdrafts
Term Loans ( installment loans, student loans)
Small business facilities & commitments
33
Maximum
34
RBI
35
Loans
All
36
Exposures
37
will
carry RW as below:
38
39
Consumer
RW of 125%
More , if warranted by external rating of the counterparty
Capital
40
RW of 125%
More , if warranted by external rating of
the counterparty
Investments
41
Loans
42
If
43
Broadly
44
45
CCFs
46
CCFs
47
CCFs
48
49
Exemptions
50
51
Residual
Maturity
Add-on
Factor:
interest rate
contract
Add-on
Factor: Gold
& Exchange
rate contract
</= 1 year
0.25%
1.0%
0.5%
5.0%
> 5 years
1.5%
7.5%
52
53
54
55
56
57
58
Standardised Approach-RBI
Credit Risk Mitigation
Comprehensive approach
59
60
Daily mark-to-market
Daily re-margining
10 business day
holding period ( time normally
required for realising the collateral value)
Unrated bank exposures or bank lends
non-eligible instruments, eg.NI grade corp
sec, haircut on exposure to be same as for
equity traded on recognised SE not part
of main index,i.e 25%
61
62
Maturity of exposure
External rating assigned to exposure
Counterparty category
63
Type of transaction
Frequency of remargining or revaluation
Formula:
H=haircut
H10=10 business day standard supervisory haircut for instrument
NR= actual no. of business days between remargining for capital
market transactions or revaluation for secured transactions
TM= minimum holding period for the type of transaction
64
65
66
67
68
69
70