Basel IV risk weights for covered bonds
| Credit rating score | Risk weight |
|---|---|
| Risk weights for rated covered bonds | |
| Between AAA and AA- | 10% |
| Between A+ and BBB- | 20% |
| Between BB+ and B- | 50% |
| Below B- | 150% |
| Risk weights for unrated covered bonds | |
| Risk weight of issuing bank | Risk weight |
| 20% | 10% |
| 30% | 15% |
| 40% | 20% |
| 50% | 25% |
| 75% | 35% |
| 100% | 50% |
| 150% | 100% |
| Credit rating score | Risk weight |
|---|---|
| Between AAA and AA- | 10% |
| Between A+ and BBB- | 20% |
| Between BB+ and B- | 50% |
| Below B- | 150% |
| Risk weight of issuing bank | Risk weight |
| 20% | 10% |
| 30% | 15% |
| 40% | 20% |
| 50% | 25% |
| 75% | 35% |
| 100% | 50% |
| 150% | 100% |
Source(s): BCBS, High-level summary of Basel III reforms, December 2017, https://www.bis.org/bcbs/publ/d424_hlsummary.pdf
Sharing content requires targeting cookies to be enabled. Please update your cookie preferences to use this feature.