From banking
Activate for: credit risk RWA, risk-weighted assets, standardised approach, SA risk weight, risk weight table, CCF, credit conversion factor, EAD, exposure at default, IRB approach, mortgage risk weight, LTV band, corporate risk weight, SME risk weight, CRE risk weight. NOT for: market risk RWA or FRTB calculations (use basel-rwa-market), overall capital adequacy ratios or buffer stacking (use basel-capital), IFRS 9 ECL provisioning or impairment (use ifrs9-ecl).
npx claudepluginhub panaversity/agentfactory-business-plugins --plugin bankingThis skill uses the workspace's default tool permissions.
| Credit Assessment | Risk Weight |
Activate for: CET1, Tier 1, Total Capital, capital ratio, RWA, risk-weighted assets, Basel III, Basel IV, capital adequacy, capital buffers, MDA, maximum distributable amount, leverage ratio, ICAAP, output floor, Pillar 2, CCB, CCyB, G-SIB, D-SIB, capital conservation buffer. NOT for: credit risk RWA calculation detail (use basel-rwa-credit), market risk FRTB capital (use basel-rwa-market), liquidity ratios LCR/NSFR (use liquidity-lcr / liquidity-nsfr).
Performs customer risk scoring with four-factor weighted model (Geographic 30%, Customer 35%, Product 25%, Channel 10%) aligned with Basel III, EBA, FATF, FinCEN. Classifies into LOW/MEDIUM/HIGH/CRITICAL bands for onboarding.
Computes cost of equity (CAPM), cost of debt (synthetic rating), and WACC for companies in any currency. Handles emerging market premiums, bottom-up beta, and multi-country operations.
Share bugs, ideas, or general feedback.
| Credit Assessment | Risk Weight |
|---|---|
| AAA to AA− | 0% |
| A+ to A− | 20% |
| BBB+ to BBB− | 50% |
| BB+ to B− | 100% |
| Below B− | 150% |
| Unrated | 100% |
Domestic currency sovereign claims (where funded in same currency): 0% (national discretion).
| Credit Assessment | Short-term (≤3M) | Long-term |
|---|---|---|
| AAA to AA− | 20% | 20% |
| A+ to A− | 20% | 50% |
| BBB+ to BBB− | 20% | 50% |
| BB+ to B− | 50% | 100% |
| Below B− | 150% | 150% |
| Unrated | 20% | 50% |
| Credit Assessment | Risk Weight |
|---|---|
| AAA to AA− | 20% |
| A+ to A− | 50% |
| BBB+ to BB− | 75% (Basel IV; 100% pre-Basel IV) |
| Below BB− | 150% |
| Unrated | 100% |
Investment-grade corporates (BCBS Basel IV): 65% if criteria met. SME corporate (qualifying): 75% (SME supporting factor may apply — check jurisdiction overlay).
Qualifying revolving retail: 45% Other retail (consumer loans, personal loans): 75% Qualifying SME retail: 75%
| LTV | Risk Weight (General) |
|---|---|
| ≤ 50% | 20% |
| 50–60% | 25% |
| 60–80% | 30% |
| 80–90% | 40% |
| 90–100% | 50% |
| > 100% | 70% |
Note: Pre-Basel IV (current in many jurisdictions): flat 35–50%. Load jurisdiction overlay to confirm whether Basel IV LTV table has been implemented.
Income-producing CRE: 75% (LTV-based table in Basel IV, higher than residential) Land acquisition, development, construction (ADC): 150% CRE securing a residential or SME loan (ancillary): follows the underlying loan RW. Check jurisdiction overlay — CRE risk weights vary significantly.
Unsecured past-due (>90 days, net of specific provisions): Provision < 20% of outstanding: 150% Provision ≥ 20% of outstanding: 100% Provision ≥ 50% of outstanding: 50%
| Facility Type | CCF |
|---|---|
| Unconditionally cancellable commitments | 10% |
| Commitments with original maturity ≤ 1 year | 20% |
| Commitments with original maturity > 1 year | 40% |
| Note issuance facilities / revolving underwriting | 50% |
| Direct credit substitutes (guarantees) | 100% |
| Forward asset purchases | 100% |
EAD for off-balance-sheet = Notional amount × CCF Then apply the risk weight for the underlying exposure type.
Credit RWA = Σ (EAD × Risk Weight) For off-balance-sheet: EAD = Drawn + (Undrawn × CCF), then × Risk Weight.
IRB RWA = K × 12.5 × EAD Where K = WCDR × LGD − PD × LGD (simplified form of Basel IRB formula) WCDR = Conditional PD under the worst-case systematic risk scenario Advanced IRB: bank supplies PD, LGD, EAD Foundation IRB: bank supplies PD; regulator supplies LGD and EAD Basel IV restrictions: AIRB no longer permitted for banks and large corporates.
Eligible financial collateral: cash, sovereign bonds, bank bonds, equities in main index CRM reduces EAD (collateralised portion gets lower or 0% risk weight). Guarantees: substitute risk weight of guarantor for the guaranteed portion. Netting: bilateral netting agreements reduce gross derivative exposure to net.
Portfolio: Mixed lending book (simplified)
| Exposure Class | Gross Exposure (M) | CCF (if OBS) | EAD (M) | Risk Weight | RWA (M) |
|---|---|---|---|---|---|
| Domestic sovereign (AAA, domestic ccy) | 500 | — | 500 | 0% | 0 |
| Bank (A+ rated, long-term) | 200 | — | 200 | 50% | 100 |
| Corporate (BBB+ rated) | 300 | — | 300 | 75% | 225 |
| Corporate (unrated) | 150 | — | 150 | 100% | 150 |
| Residential mortgage (LTV 70%) | 400 | — | 400 | 30% | 120 |
| Retail revolving | 100 | — | 100 | 45% | 45 |
| Undrawn commitment > 1yr (corporate, BBB) | 200 | 40% | 80 | 75% | 60 |
| Guarantee (on BB- rated entity) | 50 | 100% | 50 | 150% | 75 |
| Total | 1,900 | 1,780 | 775 |
Credit RWA = 775M At 8% total capital requirement: minimum capital = 775 x 8% = 62M
CREDIT RWA SUMMARY
Entity: [Bank / Group name]
Reporting Date: [YYYY-MM-DD]
Approach: [SA / F-IRB / A-IRB]
Jurisdiction: [Overlay applied: UK PRA / EU CRR / US Fed / etc.]
EXPOSURE BREAKDOWN (M):
Sovereigns: EAD [X] RW [X%] RWA [X]
Banks: EAD [X] RW [X%] RWA [X]
Corporates: EAD [X] RW [X%] RWA [X]
Retail: EAD [X] RW [X%] RWA [X]
Residential Mortgage: EAD [X] RW [X%] RWA [X]
Commercial Real Estate: EAD [X] RW [X%] RWA [X]
Past Due: EAD [X] RW [X%] RWA [X]
Off-Balance-Sheet: Notional [X] CCF [X%] EAD [X] RWA [X]
TOTAL CREDIT RWA: [Amount]
of which Output Floor (if IRB): [Amount if binding]
CRM APPLIED:
Eligible collateral: [Amount]
Guarantees (substitution): [Amount]
RWA reduction from CRM: [Amount]
ALL OUTPUTS REQUIRE REVIEW BY A QUALIFIED PROFESSIONAL BEFORE USE IN REGULATORY FILINGS OR BUSINESS DECISIONS.