Document ID: chunk:federal_register_of_legislation:F2024L01073:front:0:p14
Version: federal_register_of_legislation:F2024L01073
Segment Type: other
Provision Reference: 
Character Range: 36475–39446

with the exception of:
         1.           unsettled and failed transactions, which must be risk-weighted in accordance with Attachment D to this Prudential Standard; and
         2.           defaulted exposures, which must be risk-weighted in accordance with Attachment E to this Prudential Standard.
 2.              Where this Attachment requires an ADI to assign risk weights based on external credit ratings, an ADI must also comply with the requirements set out in Attachment F to this Prudential Standard.

Sovereign exposures
 1.              A sovereign exposure includes:
         1.           all exposures to Australian and overseas central and subnational governments, where a subnational government is defined as a government of a geographically defined part of a state which has powers to raise revenue and borrow money;
         2.           all exposures to the Reserve Bank of Australia and overseas central banks, where a central bank is defined as an entity which is responsible for overseeing and implementing the monetary policy of a state or group of states; and
         3.           all exposures to institutions and multilateral development banks eligible for a zero per cent risk weight.[6]
 1.              An ADI must apply the risk weights in Table 5 to its sovereign exposures, based on the external credit rating of the sovereign, with the exception of those sovereign exposures eligible for a zero per cent risk weight under paragraph 3(c) of this Attachment.

 1.              Risk weights for sovereign exposures
Credit rating grade  1  2   3   4, 5  6    Unrated
Risk weight (%)      0  20  50  100   150  100

 1.              Exposures to the Australian Government and Reserve Bank of Australia that are denominated and funded in Australian dollars may be risk-weighted at zero per cent.

Domestic public sector entities
 1.              An ADI must apply the risk weights in Table 6 to its exposures to domestic public sector entities (PSEs) that do not meet the definition of a sovereign exposure, based on the external credit rating of the domestic PSE.

 1.              Risk weights for domestic PSEs
Credit rating grade  1   2   3   4, 5  6    Unrated
Risk weight (%)      20  50  50  100   150  50

Bank exposures
 1.              An exposure to a bank counterparty includes all exposures, other than equity or subordinated debt, to an ADI or overseas bank. It includes any exposures to multilateral development banks that are not eligible to be risk-weighted at zero per cent in accordance with paragraph 3(c) of this Attachment.
 2.              An ADI must apply the risk weights in Table 7 to its bank exposures, based on the external credit rating of the bank.

 1.              Risk weights for bank exposures
Credit rating grade (long-term)  1   2   3   4, 5  6    Unrated
Risk weight (%)                  20  20  20  50    150  20
(short-term exposure)
Risk weight (%)                  20  30  50  100   150  50