• Risk Weights

    • Central government and Central Bank asset class

      • PRU A4.12.4 PRU A4.12.4

        Subject to Rules A4.12.5 and A4.12.6, an Authorised Person must risk-weight any CR Exposure in the central government and central bank asset class on the basis of the consensus country risk classifications of export credit agencies (referred to in this Section as "ECA") participating in the OECD's "Arrangement on Officially Supported Export Credits" and in accordance with the table below.


        Risk weights for the central government and central bank asset class

        Country risk
        classification
        0–1 2 3 4 to 6 7
        Risk Weights 0% 20% 50% 100% 150%

        • Guidance

          The consensus country risk classification for the purpose of the "Arrangement on Officially Supported Export Credits" is published by the OECD. At the time of the making of these Rules, the classification was available on the website of the OECD on the Export Credit Arrangement web-page of the Trade and Agriculture Directorate (http://www.oecd.org/trade/xcred/cre-crc-current-english.pdf).

      • PRU A4.12.5

        An Authorised Person must apply a 0% risk weight to any CR Exposure to any central government or any Central Bank of a GCC member country, which is denominated in the domestic currency, and funded in the domestic currency of that GCC member country.

      • PRU A4.12.6

        For any CR Exposure to any other central government or Central Bank which is denominated and funded in the local currency of that jurisdiction, an Authorised Person may apply such risk weights as may be specified by the banking regulator of that jurisdiction.