5.7. Calculation of RWAs – for On-Balance Sheet Exposures

(1) A Bank’s total RWAs for its on-balance-sheet items must be calculated as the sum of the riskweighted amounts of each of its on balance-sheet items.

(2) The RWA of an on-balance-sheet item must be calculated by multiplying its exposure (after taking into account any applicable Credit Risk Mitigation) by the applicable risk-weight in table 5B.

(3) If column 3 of table 5B states that the risk weight is “based on ECRA rating” for a particular asset, the applicable risk-weight for that asset item must be derived from the table 5C. If a claim or asset’s risk-weight is to be based on the ECRA rating and there is no such rating from an ECRA, the Bank must apply the risk-weight in the last column of table 5C.

Table 5B Risk-weights for on-balance-sheet items

Column 1 Item	Column 2 Description of Assets or Items	Column 3 Risk-Weight (%)
1	cash
	(a)      notes, gold bullion	0
	(b)      cash items in the process of collection	20
2	claims on sovereigns	0
	(a)    claims on Kazakhstan including National Bank of Kazakhstan	0
	(b)    claims on other sovereigns including respective central banks	based on ECRA rating
3	claims on public sector enterprises:
	(a)    claims on non-commercial public sector enterprises in Kazakhstan	0
	(b)    claims on other sovereign non- commercial public sector enterprises	based on ECRA rating
	(c)    claims on commercial public sector enterprises	based on ECRA rating
4	claims on multilateral development banks:
	(a)    claims on multilateral development banks eligible for 0% risk-weight	0
	(b)    claims on other multilateral development banks	based on ECRA rating
5	claims on banks (financial undertakings)
	(a)    claims on banks with an original maturity of more than 3 months	based on ECRA rating
	(b)    claims on banks with an original maturity of 3 months or less	based on ECRA rating
6	claims on securities and investment entities
	(a)    claims on securities and investment entities that are subject to capital requirements similar to banks	based on ECRA rating
	(b)    claims on securities and investment entities that are not subject to capital requirements similar to banks	based on ECRA rating
7	claims on corporates	based on ECRA rating
8	claims on small and medium enterprises	100
9	claims on securitisation exposures	based on ECRA rating
10	claims secured against mortgages
	(a)    residential mortgages
	(i)     if the loan-to-value ratio is 0% to 80%	35
	(ii)    if the loan-to-value ratio is more than 80% but less than 100%	75
	(iii)    if the loan-to-value ratio is 100% or more	100
	(b)    commercial mortgages	100
11	Unsettled and failed transactions— delivery-versus-payment transactions:
	(a)    5 to 15 days	100
	(b)    16 to 30 days	625
	(c)    31 to 45 days	937.5
	(d)    46 or more days	1250
12	Unsettled and failed transactions—non-delivery-versus-payment transactions	100
13	Investments in funds
	(a)    rated funds	based on ECRA rating
	(b)    unrated funds that are listed	100
	(c)    unrated funds that are unlisted	150
14	Equity exposures
	(a)    equity exposures that are not deducted from capital and are listed on a regulated exchange	300
	(b)    equity exposures that are not deducted from capital and are not listed on a regulated exchange	400
15	Investment property	150
16	all other items	100

Table 5C Risk-weights based on ratings determined by ECRAs

Note In table 5C, the ratings are shown according to Standard & Poor’s conventions. If a claim or asset is not rated by Standard & Poor’s, its rating must be mapped to the equivalent Standard & Poor’s rating.

item	description of claim or asset	AAA to AA-	A+ to A-	BBB+ to BBB-	BB+ to BB-	B+ to B-	below B-	unrated
1	claims on other sovereigns including central bank	0	20	50	100	100	150	100
2	claims on other sovereign non- commercial public sector enterprises -	20	50	100	100	100	150	100
3	claims on commercial public sector enterprises	20	50	100	100	100	150	100
4	claims on multilateral development banks not eligible for 0% risk- weight	20	50	50	100	100	150	50
5	claims on banks with an original maturity of more than 3 months	20	50	50	100	100	150	50
6	claims on banks with an original maturity of 3 months or less	20	20	20	50	50	150	20
7	claims on securities and investment entities that are subject to capital requirements similar to banks	20	50	50	100	100	150	50
8	claims on securities and investment entities that are not subject to capital requirements similar to banks	20	50	100	100	150	150	100
9	claims on corporates	20	50	100	100	150	150	100
10	securitisation exposures	50	100	100	150	150	250	150
11	investments in rated funds	20	50	100	100	150	150	n/a