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Risk weights for counterparty credit spread risk

1. The risk weights for the delta sensitivities to counterparty credit spread risk factors shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket in Table 1 and shall be the following: Table 1 Bucket number Credit quality Sector Risk weight 1 All Central government, including central banks, of Member States 0,5 % 2 Credit quality step 1 to 3 Central government, including central banks, of third countries, multilateral development banks and international organisations referred to in Article 117(2) and Article 118 0,5 % 3 Regional government or local authority and public sector entities 1,0 % 4 Financial sector entities, including credit institutions incorporated or established by a central government, a regional government or a local authority, and promotional lenders 5,0 % 5 Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying 3,0 % 6 Consumer goods and services, transportation and storage, administrative and support service activities 3,0 % 7 Technology, telecommunications 2,0 % 8 Health care, utilities, professional and technical activities 1,5 % 9 Covered bonds issued by credit institutions established in Member States 1,0 % 10 Credit quality step 1 Covered bonds issued by credit institutions in third countries 1,5 % Credit quality steps 2 to 3 2,5 % 11 Credit quality steps 1 to 3 Other sector 5,0 % 12 Qualified indices 1,5 % 13 Credit quality step 4 to 6 and unrated Central government, including central banks, of third countries, multilateral development banks and international organisations referred to in Article 117(2) and Article 118 2,0 % 14 Regional government or local authority and public sector entities 4,0 % 15 Financial sector entities, including credit institutions incorporated or established by a central government, a regional government or a local authority, and promotional lenders 12,0 % 16 Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying 7,0 % 17 Consumer goods and services, transportation and storage, administrative and support service activities 8,5 % 18 Technology, telecommunications 5,5 % 19 Health care, utilities, professional and technical activities 5,0 % 20 Other sector 12,0 % 21 Qualified indices 5,0 % Where there are no external ratings for a specific counterparty, institutions may, subject to approval by the competent authorities, map the internal rating to a corresponding external rating and assign a risk weight corresponding to either credit quality step 1 to 3 or credit quality step 4 to 6. Otherwise, the risk weights for unrated exposures shall be applied.

2. To assign a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by sector. Institutions shall assign each issuer to only one of the sector buckets set out in Table 1. Risk exposures from any issuer that an institution cannot assign to a sector in such a manner shall be assigned to either bucket 11 or bucket 20 in Table 1, depending on the credit quality of the issuer.

3. Institutions shall assign to buckets 12 and 21 in Table 1 only exposures that reference qualified indices as referred to in Article 383b(4).

4. Institutions shall use a look-through approach to determine the sensitivities of an exposure referencing a non-qualified index.