X1PART THREECAPITAL REQUIREMENTS
TITLE IICAPITAL REQUIREMENTS FOR CREDIT RISK
CHAPTER 2Standardised approach
Section 2Risk weights
Article 120Exposures to rated institutions
1.
Exposures to institutions with a residual maturity of more than three months for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight in accordance with Table 3 which corresponds to the credit assessment of the ECAI in accordance with Article 136.
Credit quality step | 1 | 2 | 3 | 4 | 5 | 6 |
|---|---|---|---|---|---|---|
Risk weight | 20 % | 50 % | 50 % | 100 % | 100 % | 150 % |
2.
Exposures to an institution of up to three months residual maturity for which a credit assessment by a nominated ECAI is available shall be assigned a risk-weight in accordance with Table 4 which corresponds to the credit assessment of the ECAI in accordance with Article 136:
Credit quality step | 1 | 2 | 3 | 4 | 5 | 6 |
|---|---|---|---|---|---|---|
Risk weight | 20 % | 20 % | 20 % | 50 % | 50 % | 150 % |
3.
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:
(a)
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;
(b)
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;
(c)
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.