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Updated Financial Institutions Risk-Adjusted Capital Framework Methodology Published


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Updated Financial Institutions Risk-Adjusted Capital Framework Methodology Published

PARIS (S&P Global Ratings) April 30, 2024--S&P Global Ratings today published "Risk-Adjusted Capital Framework Methodology." This article presents our criteria for evaluating the capital adequacy of bank and certain non-bank financial institutions. The criteria apply to banks and certain nonbank financial institutions and financial services companies (including nonoperating holding companies of such groups). These criteria do not apply to insurance companies.

This methodology follows our request for comment (RFC), titled "Request For Comment: Risk-Adjusted Capital Framework Methodology," published Jan. 25, 2024. For the changes between the RFC and the final criteria, as well as a summary of the comments received during the RFC process, see "RFC Process Summary: Risk-Adjusted Capital Framework Methodology."


The criteria address recently implemented Basel III framework reporting for market risk on trading activities including the introduction of the sensitivities-based and simplified approaches. We also updated our criteria to address the recently implemented Basel III fallback approach applied in computing the regulatory credit valuation adjustment (CVA) charge to which we apply a multiplier.

In addition, we revised the approach for jurisdictions that exempt some asset classes from the regulatory CVA charge by applying a multiplier based on the average proportion of nonexempted counterparties from a large sample of banks unless we believe applying a bank-specific multiplier may be material to our analysis.


We anticipate no rating impact upon implementation of the criteria given that the changes are targeted to a limited aspect of the criteria (market risk on the trading book and CVA charge), for which a very limited number of banks currently apply the revised Basel III reporting. Furthermore, this is not a fundamental change to the criteria.

Fully Superseded Criteria

This report does not constitute a rating action.

The report is available free of charge at and to RatingsDirect subscribers at

Analytical Contacts:Mathieu Plait, Paris + 33 14 420 7364;
Thierry Grunspan, Columbia + 1 (212) 438 1441;
Matthew B Albrecht, CFA, Englewood + 1 (303) 721 4670;
Emmanuel F Volland, Paris + 33 14 420 6696;
Methodology Contacts:Michelle M Brennan, London + 44 20 7176 7205;
Steven Ader, New York + 1 (212) 438 1447;
Analytical Contacts:Mehdi El mrabet, Paris + 33 14 075 2514;
Guilherme Machado, Sao Paulo + 30399700;
Chizuru Tateno, Tokyo + 81 3 4550 8578;
Goksenin Karagoz, FRM, Paris + 33.1.44206724;
Deepali V Seth Chhabria, Mumbai + 912233424186;
Nico N DeLange, Sydney + 61 2 9255 9887;
Mohamed Damak, Dubai + 97143727153;
Nicolas Malaterre, Paris + 33 14 420 7324;
Alejandro Peniche, Madrid 52 55 5081 2874;
Osman Sattar, FCA, London + 44 20 7176 7198;
Methodology Contacts:Marta Castelli, Buenos Aires + 54 11 4891 2128;
Terry Sham, CFA, FRM, London + 44 20 71760432;
Mark Button, London + 44 20 7176 7045;
Nik Khakee, New York + 1 (212) 438 2473;
Russell J Bryce, Charlottesville + 1 (214) 871 1419;
Media Contact:Jeff Sexton, New York + 1 (212) 438 3448;

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