The Capital Requirements Regulation contains, among others, specific mandates for the European Banking Authority (EBA) to develop regulatory technical standards (RTS) to specify how institutions shall take into account the following factors in assigning risk weights to specialised lending exposures: “financial strength, political and legal environment, transaction and/or asset characteristics, strength of the sponsor and developer, including any public private partnership income stream, and security package.”
The EBA has now issued a consultation on draft RTS on specialised lending exposures. Specialised lending exposures are a special type of exposure within the corporate exposure class in the Internal Models Based approach.
The draft RTS define four classes of specialised lending – project finance, real estate, object finance, and commodities finance. For each of these four classes, the draft RTS specify a list of factors that institutions shall take into account and propose two options on how these factors should be combined in order to determine the risk weight assigned to the specialised lending exposure.
View EBA consults on technical standards on specialised lending exposures, 11 May 2015