Article 325ak
Risk weights for credit spread risk for securitisations included in the ACTP
Risk weights for the sensitivities to credit spread risk factors for securitisations included in the ACTP risk factors shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket and shall be specified for each bucket in Table 6 pursuant to the delegated act referred to in Article 461a:
Table 6
|
Bucket number |
Credit quality |
Sector |
Risk weight |
|
1 |
All |
Central government, including central banks, of Member States |
4,0 % |
|
2 |
Credit quality step 1 to 10 |
Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 |
4,0 % |
|
3 |
Regional or local authority and public sector entities |
4,0 % |
|
|
4 |
Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders |
8,0 % |
|
|
5 |
Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying |
5,0 % |
|
|
6 |
Consumer goods and services, transportation and storage, administrative and support service activities |
4,0 % |
|
|
7 |
Technology, telecommunications |
3,0 % |
|
|
8 |
Health care, utilities, professional and technical activities |
2,0 % |
|
|
9 |
Covered bonds issued by credit institutions established in Member States |
3,0 % |
|
|
10 |
Covered bonds issued by credit institutions in third countries |
6,0 % |
|
|
11 |
Credit quality step 11 to 17 |
Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 |
13,0 % |
|
12 |
Regional or local authority and public sector entities |
13,0 % |
|
|
13 |
Financial sector entities, including credit institutions incorporated or established by a central government, a regional government or a local authority, promotional lenders and covered bonds |
16,0 % |
|
|
14 |
Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying |
10,0 % |
|
|
15 |
Consumer goods and services, transportation and storage, administrative and support service activities |
12,0 % |
|
|
16 |
Technology, telecommunications |
12,0 % |
|
|
17 |
Health care, utilities, professional and technical activities |
12,0 % |
|
|
18 |
Other sector |
13,0 % |
|
For the purposes of this Article, an exposure shall be assigned the credit quality category corresponding to the credit quality category that it would be assigned under the standardised approach for credit risk set out in Title II, Chapter 2.
By way of derogation from the second paragraph, institutions may assign a risk exposure of an unrated covered bond to bucket 4 where the institution that issues the covered bond has a credit quality step 1 to 3.