- Single-name risk weights are obtained by scaling the SA-CVA risk weights for counterparty credit spreads to a one-year horizon.
- Broad index risk weights are set equal to the minimum of the single-name
risk weights across sectors.
Risk Bucket
Investment Grade
Non-invest. Grade
Sovereigns including central banks, multilateral development banks
8.8%
20.4%
Financials including government-backed financials
10.2%
17.3%
Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying
7.1%
13.0%
Consumer goods and services, transportation and storage, administrative and support service activities
6.1%
14.4%
Technology, telecommunications
5.1%
13.0%
Health care, utilities, local government, government-backed non-financials, education, public administration, professional and technical activities
4.1%
8.7%
Indices spanning multiple buckets
4.1%
8.7%
Excel
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