Skip to main content
Custom print
Download Original PDF

Risk-Weighted Assets for Exposures that are in Default

Effective from Dec 28 2022 - Dec 31 2022
To view other versions open the versions tab on the right

11.3The capital requirement (K) for a defaulted exposure is equal to the greater of zero and the difference between its LGD (described in paragraph 16.82) and the bank’s best estimate of expected loss (described in paragraph 16.85). The risk- weighted asset amount for the defaulted exposure is the product of K, 12.5, and the EAD.