Annex VI Part 1 Risk weights
1. EXPOSURES TO CENTRAL GOVERNMENTS OR CENTRAL BANKS
1.1. Treatment
1. Without prejudice to points 2 to 7, exposures to central governments and central banks shall be assigned a 100 % risk weight.
2. Subject to point 3, exposures to central governments and central banks for which a credit assessment by a nominated ECAI is available shall be assigned a risk weight according to Table 1 in accordance with the assignment by the competent authorities of the credit assessments of eligible ECAIs to six steps in a credit quality assessment scale.
Table 1
|
Credit quality step |
1 |
2 |
3 |
4 |
5 |
6 |
|
Risk weigh |
0 % |
20 % |
50 % |
100 % |
100 % |
150 % |
3. Exposures to the European Central Bank shall be assigned a 0 % risk weight.
1.2. Exposures in the national currency of the borrower