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Capital_requirements
This worksheet examines risk weighted assets (RWA) by capital requirements level 1 and 2 for all scenarios. The credit risk RWA projections should match the total RWA projections in the risk measures by portfolio template. The structured finance RWA projections (securitisation positions, covered bonds) should match the total RWA projections in the more detailed structured finance STDF template for the corresponding asset classes. The counterparty credit risk (counterparty default, counterparty CVA) and Market risk RWA projections should match the total RWA projections in the more detailed ‘market risk’ and the ‘counterparty credit risk’ STDF templates. The ‘Other’ risk type has been split further into ‘level 2’ to capture more granular RWA.