Exposures to rated institutions
On this provision: 3 EBA Q&As
Amendment details· last amended 1 Jan 2025
Last amended 1 Jan 2025 by Commission Delegated Regulation (EU) 2024/2795 of 24 July 2024 and/or Regulation (EU) 2024/1623 of 31 May 2024.
Exposures to institutions for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight in accordance with Table 1 which corresponds to the credit assessment of the ECAI in accordance with Article 136.
Table 1
Credit quality step | 1 | 2 | 3 | 4 | 5 | 6 |
Risk weight | 20 % | 30 % | 50 % | 100 % | 100 % | 150 % |
Exposures to institutions with an original maturity of three months or less for which a credit assessment by a nominated ECAI is available and exposures which arise from the movement of goods across national borders with an original maturity of six months or less and for which a credit assessment by a nominated ECAI is available, shall be assigned a risk weight in accordance with Table 2 which corresponds to the credit assessment of the ECAI in accordance with Article 136.
Table 2
Credit quality step | 1 | 2 | 3 | 4 | 5 | 6 |
Risk weight | 20 % | 20 % | 20 % | 50 % | 50 % | 150 % |
The interaction between the treatment of short term credit assessment under Article 131 and the general preferential treatment for short term exposures set out in paragraph 2 shall be as follows:
If there is no short-term exposure assessment, the general preferential treatment for short-term exposures as specified in paragraph 2 shall apply to all exposures to institutions of up to three months residual maturity;
If there is a short-term assessment and such an assessment determines the application of a more favourable or identical risk weight than the use of the general preferential treatment for short-term exposures, as specified in paragraph 2, then the short-term assessment shall be used for that specific exposure only. Other short-term exposures shall follow the general preferential treatment for short-term exposures, as specified in paragraph 2;
If there is a short-term assessment and such an assessment determines a less favourable risk weight than the use of the general preferential treatment for short-term exposures, as specified in paragraph 2, then the general preferential treatment for short-term exposures shall not be used and all unrated short-term claims shall be assigned the same risk weight as that applied by the specific short-term assessment.