On 14 December 2020, the European Commission adopted a Delegated Regulation supplementing the Capital Requirements Regulation (CRR) with regard to regulatory technical standards (RTS) for assigning risk weights to specialised lending exposures together with an annex.
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.
The next step is for the Council of the EU and the European Parliament to consider the Delegated Regulation. If neither the Council nor the Parliament object, the Delegated Regulation will be published in the Official Journal of the EU (OJ) and enter into force on the twentieth day following its publication in the OJ.