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- Issued in 1998
- Focuses on Credit Risk and Risk Weighting of Assets
- Assets of banks are classified into 5 groups according to credit risk:
- 0%: (for example cash, bullion, home country debt like Treasuries)
- 20%: (securitisations such as mortgage-backed securities (MBS) with the highest AAA rating)
- 50%: (municipal revenue bonds, residential mortgages)
- 100%: (for example, most corporate debt)
- No Rating:
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