OpenChainGraph Suite · ART-362 · Lending & Credit Risk

RAROC Loan Pricing Calculator

Risk-Adjusted Return on Capital loan pricing per Basel II BCBS 128 (2006) / Basel III BCBS 189 (2010), a simplified public approximation of the IRB economic-capital formula (single-factor Vasicek model at 99.9% confidence) or the SA risk-weight bucket table. Returns RAROC versus hurdle rate, the net income waterfall, and the break-even spread. Provable version of tools/437-raroc-loan-pricing.html and tools/203-raroc-loan-pricing-model.html.

Basel II BCBS 128 Basel III BCBS 189 AIRB / FIRB / SA

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⚠ Simplified public approximation of the IRB economic-capital formula. Not a substitute for an internally approved IRB model.

Loan Facility

EAD ($M)

Tenor (years)

Margin over benchmark (bps)

Benchmark rate (%)

Arrangement fee (bps, upfront)

Commitment fee (bps, on undrawn)

Utilization (%)

Probability of default (%)

Loss given default (%)

Capital & Funding

Capital approach

Capital buffer (bps)

Hurdle rate (%)

Cost of funds (%)

Operating cost ($K/yr)

Tax rate (%)

Waterfall Detail

Execution Hash (SHA-256)