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D. Claims on Banks

C 52/2017 STA Effective from 1/4/2021

20.The types of claims that fall under this asset class are claims not limited to those due from banks, nostro accounts, certificates of deposit (CD) issued by banks, and repurchase agreements (repos). A risk weight of 50% (long term) and 20% (short term) is applied to claims on unrated banks. However, this treatment is subject to the provision that no claim on an unrated bank may receive a risk weight lower than that applied to claims on its sovereign of incorporation.

21.Exposure to intra-group of the bank have to be risk weighted according to the external rating of the counterparty entity (e.g. exposures to the head office shall receive the risk weight according to the rating of the head office).