Basel III International Banking Framework CRE32-33: Apply IRB risk component rules, input floors and supervisory slotting

Floors do not apply to sovereign-guaranteed portions (CRE32.2). PD is a one-year PD floored at 0.05% for corporate and bank exposures, sovereigns excepted (CRE32.3 to 32.4). Foundation IRB LGD is 45% for senior unsecured claims on financial institutions, 40% for other corporates and 75% for subordinated claims, with secured LGDs of 0%, 20%, 20% and 25% and 40% haircuts for non-financial collateral (CRE32.6 to 32.14). Own-estimate LGD for corporates is floored at 25% unsecured and 0%, 10%, 10% or 15% secured (CRE32.16 to 32.17). Own EAD is allowed only for revolving commitments not at a 100% CCF and is floored at the on-balance amount plus 50% of the standardised off-balance exposure (CRE32.36, 32.64). Foundation maturity is 2.5 years, or 6 months for repos; measured maturity has a floor of one year and cap of five years with short-term exemptions (CRE32.44 to 32.55). Retail PD floors are 0.1% for QRRE revolvers and 0.05% otherwise; LGD floors are 5% for mortgages, 50% for QRRE and 30% for other unsecured retail (CRE32.58 to 32.59). Banks unable to estimate PD for specialised lending must slot exposures into five categories at 70%, 90%, 115%, 250% and 0% (HVCRE 95%, 120%, 140%, 250%), with optional 50% and 70% below 2.5 years (CRE33.1 to 33.12).