INTRODUCTION: OBJECTIVES OF THE STANDARDISED APPROACH.............................................. 1
A. THE RISK WEIGHTS IN THE STANDARDISED APPROACH........................................................ 1
1. INDIVIDUAL CLAIMS............................................................................................................................. 2
(i) Sovereign risk weights ...................................................................................................................... 2
(ii) Risk weights for Non-Central Government Public Sector Entities (PSEs) ....................................... 4
(iii) Risk weights for multilateral development banks (MDBs)................................................................ 5
(iv) Risk weights for banks ...................................................................................................................... 6
(v) Risk weights for securities firms ....................................................................................................... 7
(vi) Risk weights for corporates............................................................................................................... 7
(vii) Risk weights of retail assets .............................................................................................................. 8
(viii) Risk weights of claims secured by residential property .................................................................... 8
(ix) Risk weights of claims secured on commercial real estate ............................................................... 9
(x) Higher risk categories...................................................................................................................... 9
(xi) Other assets...................................................................................................................................... 9
(xii) Off-balance sheet items..................................................................................................................... 9
(xiii) Maturity ......................................................................................................................................... 10
2. EXTERNAL CREDIT ASSESSMENTS................................................................................................... 11
(i) The recognition process.................................................................................................................. 11
(ii) Eligibility criteria........................................................................................................................... 11
3. IMPLEMENTATION CONSIDERATIONS............................................................................................. 12
(i) The mapping process ...................................................................................................................... 12
(ii) Multiple assessments...................................................................................................................... 13
(iii) Issuer versus issue assessment........................................................................................................ 13
(iv) Short term/long term assessments................................................................................................... 14
(v) Level of application of the assessment ............................................................................................ 14
(vi) Unsolicited ratings......................................................................................................................... 14
B. CREDIT RISK MITIGATION IN THE STANDARDISED APPROACH ........................................ 14
1. INTRODUCTION..................................................................................................................................... 14
2. COLLATERAL......................................................................................................................................... 16
(i) Minimum conditions....................................................................................................................... 17
(ii) The methodologies .......................................................................................................................... 19
(iii) Eligible collateral ........................................................................................................................... 19
(iv) The comprehensive approach ......................................................................................................... 20
(v) The simple approach....................................................................................................................... 28
3. NETTING ................................................................................................................................................. 30
(i) On-balance sheet netting ................................................................................................................ 30
(ii) Off-balance sheet netting/PFEs ...................................................................................................... 31
4. GUARANTEES AND CREDIT DERIVATIVES..................................................................................... 31
(i) Introduction ................................................................................................................................... 31
(ii) Minimum conditions....................................................................................................................... 32
(iii) Operational requirements for guarantees....................................................................................... 33
(iv) Operational requirements for credit derivatives............................................................................. 33
(v) Range of eligible guarantors/protection providers......................................................................... 35
(vi) Risk weights ................................................................................................................................... 35
(vii) Sovereign guarantees..................................................................................................................... 37
(viii) The level of w ................................................................................................................................. 37
5. MATURITY MISMATCHES.................................................................................................................... 38
(i) Definition of maturity...................................................................................................................... 38
(ii) Risk weights for maturity mismatches............................................................................................. 38

6. CURRENCY MISMATCHES................................................................................................................... 39
(i) Collateral ....................................................................................................................................... 39
(ii) On-balance sheet netting ................................................................................................................ 39
(iii) Guarantees/credit derivatives ......................................................................................................... 40
7. DISCLOSURE REQUIREMENTS ........................................................................................................... 40
(i) Collateral/on-balance sheet netting................................................................................................ 40
(ii) Guarantees/credit derivatives ......................................................................................................... 40