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Unformatted text preview: older or without the consent of the Reserve Bank of India. 5. Innovative Perpetual Debt Instruments (IPDI) and Perpetual Non­Cumulative Preference Shares (PNCPS) IPDI in excess of 15 per cent of Tier I capital {cf. Annex 2, Para 1(ii)} may be included in Tier II. 02/23/13 Capital Adequacy Framework 18 Capital Charge for Credit Risk Capital Under the Standardised Approach, the rating assigned by the eligible external credit rating agencies will largely support the measure of credit risk. Claims on Domestic Sovereigns Both fund based and non fund based claims on the central government will attract a zero risk weight. Central Government guaranteed claims will attract a zero risk weight. The Direct loan / credit / overdraft exposure, if any, of banks to the State Governments and the investment in State Government securities will attract zero risk weight. State Government guaranteed claims will attract 20 per cent risk weight’. The risk weight applicable to claims on central government exposures will also apply to the claims on the Reserve Bank of India, DICGC and Credit Guarantee Fund Trust for Small Industries (CGTSI). The claims on ECGC will attract a risk weight of 20 per cent. 02/23/13 Capital Adequacy Framework 19 Capital Charge for Credit Risk Capital Claims on Foreign Sovereigns – Risk Weights S & P*/ AAA to FITCH AA ratings Moody’s Aaa to Aa ratings Risk weight 0 A BBB BB to B Below Unrated B A 20 Baa Ba to B 50 100 Below B 150 Unrated 100 (%) 02/23/13 Capital Adequacy Framework 20 Capital Charge for Credit Risk Capital Claims on Foreign PSEs – Risk Weights S&P/ AAA Fitch To AA Ratings Moody’s Aaa to ratings RW (%) Aa 20 02/23/13 A 50 Below BB A BBB to BB Baa to Ba Below Unrated 100 Ba 150 100 Capital Adequacy Framework Unrated 21 Claims on Banks incorporated in India and Foreign Bank Branches in India Foreign Level of All Scheduled Banks All Non­Scheduled Banks CRAR (in%) of (Commercial, Regional (Commercial, Regional Rural the investee Rural Banks, Local Area Banks, Local Area Banks and bank Banks and Co­Operative Banks) Investments All other within 10 % claims limit referred to (in per in paragraph cent) 4.4.8 above (in %) Co­Operative Banks ) Investments within 10 per cent limit referred to in paragraph 4.4.8 above (in %) 20 Higher of 100 % or the risk weight as per the rating of the instrument or counterparty, whichever is higher 100 6 to < 9 Higher of 100 % or the risk weight as per the rating of the instrument or counterparty, whichever is higher 150 250 150 3 to < 6 250 100 350 250 0 to < 3 350 150 625 350 02/23/13 Negative 625 625 Full Deductions 625 (where available) 9 and above 50 Capital Adequacy Framework All Other Claims (in per cent) 22 Long Term Claims on Corporates Long Credit Credit assessment by domestic rating agencies agencies AAA Risk weight Risk % 20 02/23/13 AA 30 A BBB BB and and Below Below 100 150 50 Capital Adequacy Framework Unrated 100 23 Short Term Claims on Corporates Short CARE CRISIL Fitch ICRA Risk Weights (%) PR1+ P1+ F1+ (Ind) A1+ 20 PR1 P1 F1 (Ind) A1 30 PR2 P2 F2 (Ind) A2 50 PR3 P3 F3 (Ind) A3 100 PR4 & PR5 P4 & P5 F4 & F5 A4/A5...
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This note was uploaded on 02/23/2013 for the course BANKING 101 taught by Professor Mehta during the Spring '13 term at Albany State University.

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