Chart 1
Basel II Capital Requirements Are Highly Risk Sensitive

S&P Rating 10% LGD 45% LGD 90% LGD Current Accord 8%
AAA 0.31% 1.18% 2.36% 8.00%
AA+ 0.31% 1.18% 2.36% 8.00%
AA 0.31% 1.18% 2.36% 8.00%
AA- 0.31% 1.18% 2.36% 8.00%
A+ 0.31% 1.18% 2.36% 8.00%
A 0.36% 1.60% 3.20% 8.00%
A- 0.36% 1.60% 3.20% 8.00%
BBB+ 0.60% 2.69% 5.37% 8.00%
BBB 0.84% 3.78% 7.56% 8.00%
BBB- 1.07% 4.83% 9.66% 8.00%
BB+ 1.20% 5.42% 10.83% 8.00%
BB 1.69% 7.60% 15.21% 8.00%
BB- 1.93% 8.70% 17.39% 8.00%
B+ 2.55% 11.49% 22.98% 8.00%
B 4.06% 18.28% 36.57% 8.00%
B- 4.52% 20.34% 40.69% 8.00%
CCC 6.54% 29.41% 58.82% 8.00%

Note: Calculations assume M=2.5 years, PD=S&P's default rate by rating modifier.

Source: FDIC calculations based on Basel QIS-3