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Are government sponsored entities (GSEs) corporate or bank exposures?

April 26, 2017Bank corporate entities exposures government gses sponsored

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Are government sponsored entities (GSEs) corporate or bank exposures?

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Under the advanced internal ratings-based (AIRB) approach, it doesn’t matter if GSEs are treated as corporate or bank exposures: the same risk-weight function applies to both. The important point to note is that they are subject to the probability of default (PD) floor of three basis points.