Regulation on Bank Capital Adequacy

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ANNEX IClaims on SovereignsRatingAAA toAA-A+ toA-BBB+ toBBB-BB+ toB-BelowB-UnratedRisk Weight 0% 20% 50% 100% 150% 100%Claims on BanksRatingAAA toAA-A+ toA-BBB+ toBBB-BB+ toB-BelowB-UnratedRisk Weights 20% 50% 100% 100% 150% 100%Interpretation Moody's S&P FitchLongtermShorttermLongtermShorttermLongtermShorttermInvestment-grade ratings Rating Rating Rating Rating Rating RatingHighest credit qualityHigh credit qualityStrong payment capacityAdequate payment capacityAaaAAAAAAAa1 AA+ AA+P-1A1+Aa2 AA AAAa3 AA- AA-A1A+A+A2 P-2 A A1 AA3 A- A-Baa1F1+F1BBB+ A-2 BBB+ F2Baa2 P-3 BBBBBBA-3Last rating in investment-grade Baa3 BBB- BBB-Speculative-grade ratingsSpeculativeBa1BB+Credit risk developing Ba2 BB BBBB+due to economic changes Ba3 BB- BB-BHighly speculative B1 B+ B+credit risk present, B2 B Bwith limited margin safetyHigh default risk,B3Caa1NotprimeB-CCC+B-CC+capacity depending on sustained, Caa2 CCC CCCCCCCC-,CCC-,favorable conditionsCaa3CCCCDefault,Although prospect of partial recoveryCa, C C, D D C, D DF3B
ANNEX IIFormula for calculating the operational risk capital charge under BIA is:KBIA = {∑(GI1…n x α)}/nWhereKBIA = capital charge under BIAGI = annual gross income of the banks, where positive, over the preceding three yearsn = number of the preceding three years where annual gross income is positiveα = 15%The formula for calculating the operational risk capital charge under SA:KSA = {∑years 1-3 max[∑(GI1-8 x β1-8), 0]}/3WhereKSA = capital charge under SAGI1-8 = annual gross income in a given year for each of the eight business linesΒ1-8 = a fixed beta factor (as defined in Annex III).ANNEX IIIBusiness line List of activities PercentageUnderwriting of financial instruments and/or placing offinancial instruments on a firm commitment basisCorporate financeServices related to underwritingInvestment adviceAdvice to undertakings on capital structure, industrialstrategy and related matters and advice and servicesrelating to the mergers and the purchase of undertakings18%Investment research and financial analysis and otherforms of general recommendation relating to transactionsin financial instruments
Page 1 and 2: Pursuant to Article 35, paragraph 1
Page 3 and 4: and from which future economic bene
Page 5 and 6: component of the own funds of those
Page 7: Article 9Leverage Ratio1. Under par

Regulation on Bank Capital Adequacy

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