Document ID: chunk:federal_register_of_legislation:F2024L01073:front:0:p15
Version: federal_register_of_legislation:F2024L01073
Segment Type: other
Provision Reference: 
Character Range: 39180–42204

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
(long-term exposure)

 1.              For the purpose of Table 7, an ADI may apply the short-term exposure risk weights to its bank exposures, where the exposure:
         1.           has an original maturity of three months or less; or
         2.           arises from the movement of goods across national borders, with an original maturity of six months or less.[7]
 2.          Unrated bank exposures must be risk-weighted as the higher of:
         1.           20 per cent for short-term exposures and 50 per cent for long-term exposures; and
         2.           the risk weight applicable to exposures to the sovereign of the country where the bank counterparty is incorporated.
    The sovereign risk-weight floor does not apply to short-term self-liquidating, trade-related contingent items that arise from the movement of goods.[8]
 1.          An ADI must apply the risk weights in Table 8 to short-term bank exposures with an issue-specific external credit rating.

 1.              Risk weights for bank exposures (short-term issue-specific credit ratings)
Credit rating grade (short term)  1   2   3    4
Risk weight (%)                   20  50  100  150

 1.          If an ADI has a bank exposure with an issue-specific short-term external credit rating that maps to a credit rating grade:
         1.           that requires a higher risk weight than would be assigned under Table 7 (short-term exposure), then an ADI must risk-weight the exposure in accordance with Table 8 and not Table 7;
         2.           of 2 or 3 under Table 8, then all unrated short-term exposures to that counterparty must be risk-weighted at 100 per cent; and
         3.           of 4 under Table 8, then all unrated exposures to that counterparty, whether they are short-term or long-term exposures, must be risk-weighted at 150 per cent.
 2.          When assigning risk-weights to bank exposures based on external credit ratings, an ADI must not use ratings that incorporate assumptions of implicit government support.

Covered bonds
 1.          An ADI may apply the risk weights in Table 9 to its covered bond exposures with an issue-specific external credit rating, where the requirements set out in paragraphs 15 and 16 of this Attachment are met.

 1.              Risk weights for rated covered bond exposures
Credit rating grade  1   2, 3  4, 5  6
Risk weight (%)      10  20    50    100

 1.          An ADI may apply the risk weights in Table 9 where:
         1.           the cover pool includes only the following assets:
                 1.             loans to, or guaranteed by, sovereigns or domestic PSEs;
                 2.          loans to, or guaranteed by, banks that qualify for a risk weight of 30 per cent or lower