1.
Date: November 2017
INTERNAL -
EXTERNAL
Regulations:
What is changing? How does this impact Global Trade?

2.
2
What Is Happening With Credit Risk – Likely Final Rules
INTERNAL - External
Asset Class Existing Approach Proposed Approach Likely Final Rules
Banks + FI Internal Ratings Based
Approach (IRBA)
Standardised IRBF
Corporate Assets > Eur 50 bln IRBA, IRBF, Standardised Standardised Asset Threshold Increased to
Eur100bln
IRBF
Corporate Assets ≤ Eur 50 bln
Revenues > Eur 200 mln
IRBA, IRBF, Standardised IRBF Revenue Threshold Increased
to Eur ?
Remains on IRBF
Corporate Assets ≤ Eur 50 bln
Revenues < Eur 200 mln
IRBA, IRBF, Standardised IRBA Revenue Threshold Increased
to Eur ?
Remains on IRBA
Commodity Lending
IRBA, IRBF, Slotting,
Standardised
Slotting, Standardised IRBA, IRBF
Pending Finalisation of
Granular Slotting Approach
* Source: Basel Committee Publications
Based on IIF/AFME Proposals

3.
3
What Is Happening With Credit Risk – Likely Final Rules
INTERNAL - External
Risk Parameter Existing Treatment Proposed Treatment Likely Final Rules
Probability of default
(PD)
3bps 5bps 5bps
Loss-given-default
(LGD) Unsecured
No Floor 25% 25%
Loss-given-default
(LGD)
Secured
Collateral
Financial : 0%
Receivables : 35%
Commercial Real
Estate (CRE) : 35%
Collateral
Financial : 0%
Receivables : 15%
CRE : 15%
Other Physical: 20%
Collateral
Financial : 0%
Receivables : 15%
CRE : 15%
Other Physical: 20%
Loss-Given Default (LGD)
• Floors applicable only to IRBA
• Increase in haircuts for non-financial collateral
• Decrease in LGDs for non-financial collateral
• Removal of required minimum collateral

4.
4
What Is Happening With Credit Risk – Likely Final Rules
INTERNAL - External
Risk Parameter Existing Treatment Proposed Treatment Likely Final Rules
Exposed-At-Default (EAD) :
Credit Conversion Factor
(CCF)
IRBF : 20 / 50 / 100%
IRBA : Modelled values
IRBF : No Change
IRBA : Floored at 50%
Using STD Approach CCF
Removal of 0% CCF
IRBF: ?
IRBA: ?
Maturity (M) IRBF : 2.5 years
(National Discretion to
Waive)
IRBF : No Change
IRBF: No Change (National
Discretion to wave)
Maturity (M)
IRBA : Based on Transaction
tenor + cashflows. Subject to
a cap 5 years
IRBA : Based on facility
review date
Residual Maturity?

5.
5
What is Happening with the Standardised Approach
INTERNAL - External
External rating of counterparty AAA to AA- A+ to A- BBB+ to BBB- BB+ to B- Below B-
Base Risk Weight 20% 50% 50% 100% 150%
Risk Weight for short term exposure 20% 20% 20% 50% 150%
Bank Exposures
External Credit Risk Assessment Approach (ECRA)
Standardised Credit Risk Assessment Approach (SCRA)
Credit Risk Assessment of
counterparty
Grade A Grade B Grade C
Base Risk Weight 50% 100% 150%
Risk Weight for short term exposure 20% 50% 150%
Base Risk Weight Multilateral Development Bank’s (MDB)
External rating of
counterparty
AAA to AA- A+ to A- BBB+ to BBB- BB+ to BB- Below BB- Unrated
Base Risk Weight 20% 50% 50% 100% 150% 50%

6.
6
What is Happening with the Standardised Approach
INTERNAL - External
External rating of
counterparty
AAA to AA- A+ to A- BBB+ to BBB- BB+ to BB- Below BB- Unrated*
Base Risk Weight 20% 50% 100% 100% 150% 100%
Corporate Exposures
External Credit Risk Assessment Approach (ECRA)
Specialised lending
Risk Weight
Commodities Finance 120%
Project Finance (Pre-operational phase) 150%
Project Finance (Operational phase) 100%
Land acquisition / Development 150%
Loan to Value Ratio (LTV)
Commercial Real Estate Finance
LTV ≤ 60% 60% < LTV ≤ 80% LTV > 80%
80% 100% 130%
• In jurisdictions where there are no external ratings, base risk weight is 100%
• Small + Medium Enterprises (SME): 85% Risk Weight (Turnover less than 50mln)

7.
7
Capital Floor
INTERNAL - External
• Ensure level of capital across the banking system does not fall below a certain level
• Mitigate model risk and measurement error stemming from internally modelled approaches
• Enhance comparability of capital outcomes across banks
Key questions to be addressed
• Is the floor applied to each major risk category - credit , market and operational risk
• Alternatively is it a floor based on aggregate RWA’s
• Risk category based floors do not allow offsetting across risk types: Market, Credit, Operational
• What level will the capital floor be set at ?