Data granularity Basel

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Data will be captured by the Basel II Financial Model at three different levels of granularity, dependent on its segmentation, as follows:

Level 1: representing the Facility/Transaction data for individual credit exposures (in order to comply with the firms Risk’s existing credit risk data collection);

Level 2: representing the Credit Risk Model results for individual credit exposures; and

Level 3: representing summarised segmental Credit Risk Model results with be used for “other” business exposures.Within this category will be any mid- Corporates where facilities are not individually sanctioned nor separately underwritten. - Basel II

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