Bank for International Settlements's Basel II: International Convergence of Capital Measurement PDF

By Bank for International Settlements

ISBN-10: 9291317209

ISBN-13: 9789291317202

ISBN-10: 9291977209

ISBN-13: 9789291977208

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Extra info for Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework - Comprehensive Version

Sample text

37 5. Short-term/long-term assessments 103. For risk-weighting purposes, short-term assessments are deemed to be issuespecific. They can only be used to derive risk weights for claims arising from the rated facility. They cannot be generalised to other short-term claims, except under the conditions of paragraph 105. In no event can a short-term rating be used to support a risk weight for an unrated long-term claim. Short-term assessments may only be used for short-term claims against banks and corporates.

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 - 24 Commercial undertakings owned by central governments, regional governments or by local authorities may be treated as normal commercial enterprises.

105. In cases where national supervisors have decided to apply option 2 under the standardised approach to short term interbank claims to banks in their jurisdiction, the interaction with specific short-term assessments is expected to be the following: • The general preferential treatment for short-term claims, as defined under paragraphs 62 and 64, applies to all claims on banks of up to three months original maturity when there is no specific short-term claim assessment. e. lower) or identical to that derived from the general preferential treatment, the short-term assessment should be used for the specific claim only.

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Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework - Comprehensive Version by Bank for International Settlements

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