On 14 April 2021, there was published in the Official Journal of the EU, Commission Delegated Regulation (EU) 2021/598 of 14 December 2020 supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards (RTS) for assigning risk weights to specialised lending exposures. The Delegated Regulation applies from 14 April 2022.
The RTS specify how institutions should take into account the factors of financial strength, political and legal environment, transaction and/or asset characteristics, strength of the sponsor and developer, and security package when assigning risk weights to specialised lending exposures in respect of which an institution is not able to estimate probability of defaults (PDs) or the institutions’ PD estimates do not meet the requirements set out in Section 6 of Chapter 3 of Title II of Part Three of the CRR. Those factors are further specified in the form of sub-factors, which provide further clarification about the assessment criteria for each of them, and for some sub-factors, these sub-factors are further specified in sub-factor components. The RTS specify how institutions should assign each specialised lending exposure to one of the categories listed in Table 1 of Article 153(5) of the CRR.