Article 120

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE II > CHAPTER 2 > Section 2 > Article 120
Title:
Article 120
Description: 
Exposures to rated institutions
Main content: 

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.

Table 3
Credit quality step 1 2 3 4 5 6
Risk weight 20 % 50 % 50 % 100 % 100 % 150 %

 

 

Table 4
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.
 

Topic: