Assessment of risk weighting

Assessment of risk weighting for the EAA's credit risk exposures

The Managing Board of the EAA hereby states the following:
  • Based on the standard approach (Art. 113-116 CRR) or the IRB approach (Art. 142 ff. CRR), the exposure amount imposed on EAA for credit risk can be determined based on NRW's risk weighting (0% weighting). EAA is included in the list of public sector entities that can be treated as exposures to regional governments, local authorities or central governments (in case of EAA: the state of North Rhine-Westphalia) pursuant to Art. 116 (4) CRR. The list can be consulted at the following link: http://www.eba.europa.eu/-/eba-publishes-list-of-public-sector-entities-for-the-calculation-of-capital-requirements
  • Similarly, the assessment of whether loans to the EAA are required to be reported based on the total volume of large exposures involved, or whether such loans exceed the large exposure thresholds, can be performed assuming NRW is the legal debtor. However, in this case, the large exposures subject to reporting requirements under Art. 392 CRR also need to be taken into account if the loans to the EAA are not to be used to count towards the large exposure threshold pursuant to Art. 395 (1) CRR.
  • Furthermore - similar to the guarantees of NRW pursuant to § 8a (4) 1b StFG1 - guarantees provided by the EAA qualify for privileged treatment and can therefore be recognised as eligible warranties when determining the credit/default risk.

1 formerly known as Financial Market Stabilisation Fund Act (FMStFG)