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i Risk free rate Regulatory Capital Capital Requirement Weight

2.38% 2.25% 1.16% 8.0% 14.44%


2.44% 2.25% 1.57% 8.0% 19.65%
2.56% 2.25% 2.37% 8.0% 29.65%
2.84% 2.25% 3.96% 8.0% 49.47%
3.07% 2.25% 5.02% 8.0% 62.72%
3.22% 2.25% 5.57% 8.0% 69.61%
3.54% 2.25% 6.62% 8.0% 82.78%
3.85% 2.25% 7.39% 8.0% 92.32%
4.20% 2.25% 8.08% 8.0% 100.95%
4.33% 2.25% 8.29% 8.0% 103.62%
4.42% 2.25% 8.45% 8.0% 105.59%
4.97% 2.25% 9.19% 8.0% 114.86%
5.14% 2.25% 9.55% 8.0% 119.33%
5.50% 2.25% 9.77% 8.0% 122.16%
6.04% 2.25% 10.28% 8.0% 128.44%
6.58% 2.25% 10.78% 8.0% 134.81%
7.11% 2.25% 11.17% 8.0% 139.58%
8.20% 2.25% 11.99% 8.0% 149.86%
8.75% 2.25% 12.41% 8.0% 155.16%
9.30% 2.25% 12.77% 8.0% 159.61%
13.89% 2.25% 15.45% 8.0% 193.09%
16.78% 2.25% 16.65% 8.0% 208.15%
20.01% 2.25% 17.32% 8.0% 216.54%
24.35% 2.25% 17.75% 8.0% 221.88%
31.30% 2.25% 18.67% 8.0% 233.40%
42.44% 2.25% 19.20% 8.0% 240.00%

Corporates weights

i holding period come in

4.42% 5 100
Cost of Capital PD LGD EL s&p

9.0% 0.03% 90% 0.03% AAA


9.0% 0.05% 90% 0.05% AAA-
9.0% 0.10% 90% 0.09% AA+
9.0% 0.25% 90% 0.23% AA

Investment grade
9.0% 0.40% 90% 0.36% AA-
9.0% 0.50% 90% 0.45% A+
9.0% 0.75% 90% 0.68% A
9.0% 1.00% 90% 0.90% A-
9.0% 1.30% 90% 1.17% BBB+
9.0% 1.42% 90% 1.28% BBB
9.0% 1.50% 90% 1.35% BBB-
9.0% 2.00% 90% 1.80% BB+

Speculative grade
9.0% 2.15% 90% 1.94% BB
9.0% 2.50% 90% 2.25% BB-
9.0% 3.00% 90% 2.70% B+
9.0% 3.50% 90% 3.15% B
9.0% 4.00% 90% 3.60% B-
9.0% 5.00% 90% 4.50% CCC+
9.0% 5.50% 90% 4.95% CCC
High yield investment
9.0% 6.00% 90% 5.40% CCC-
9.0% 10.00% 90% 9.00% CC+
9.0% 12.40% 90% 11.16% CC
9.0% 15.00% 90% 13.50% CC-
9.0% 18.32% 90% 16.49% C+
9.0% 23.16% 90% 20.84% C
9.0% 30.00% 90% 27.00% C-

orates weights

exit way target

124.14