Question
Column 240: of which: with a credit assessment derived from Central Government, is this column only applicable to exposure classes institutions, public sector entities or regional governments and local authorities? Or should it also include corporates under CRR Article 122.2 where the risk weight was derived from the central government of the jurisdiction in which the corporate is incorporated?
Background on the question
The requirements for assigning a risk weight when a nominated ECAI is not available differs between (a) corporates and (b) institutions, public sector entities or regional governments and local authorities (a) Corporate exposures for which a credit assessment is not available shall be assigned a 100% risk weight or the risk weight of exposures to the central government of the jurisdiction in which the corporate is incorporated, whichever is the higher. (Article 122.2 of the CRR) (b) Exposure to institutions, public sector entities or regional governments and local authorities for which a credit assessment by a nominated ECAI is not available shall be assigned a risk weight in accordance with the credit quality step to which exposures to the central government of the jurisdiction in which the institution, public sector entity or regional government and local authority is incorporated are assigned in accordance with: 22 Article 116 Table 2 for public sector entities 22 Article 121 Table 5 for institutions and regional governments and local authorities
Answer
Where for exposures to corporates no credit assessment of a nominated ECAI is available, Article 122 (2) of Regulation (EU) No 5725/2013 (CRR) is applicable. In this case, if the risk weight assigned is the risk weight of the central government, these exposures shall be included in column 240 of template C 07.00 of Annex I to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting). If applicable, column 240 should be populated for the following exposure classes, where the risk weight could be derived from the central government: 22 Exposures to institutions, public sector entities or regional governments and local authorities 22 Exposures to multilateral development banks 22 Exposures to corporates 22 Exposures in the form of covered bonds 22 Exposures in the form of units or shares in CIUs.