Basel III International Banking Framework CRE20: Assign standardised risk weights by exposure class after counterparty due diligence

The bank must risk-weight exposures net of specific provisions and perform due diligence on every counterparty at origination and at least annually, never letting that analysis lower a rating-based weight and moving at least one bucket higher where it shows more risk (CRE20.1 to 20.6, 20.20, 20.42). Sovereigns follow Table 1 (0% to 150%, unrated 100%); banks use ECRA or SCRA Grades A, B and C at 40%, 75% and 150%, with 30% for Grade A banks holding CET1 of at least 14% and a leverage ratio of at least 5% (CRE20.7 to 20.32). Covered bonds need 10% overcollateralisation (CRE20.33 to 20.39). Corporates use Table 10 or 100%, 65% for investment grade, 85% for SMEs with sales of EUR 50 million or less; project finance is 130% pre-operational, 100% operational, 80% high quality (CRE20.41 to 20.52). Equity is 250%, speculative unlisted 400%, subordinated debt 150%, with 1250% above the 15% and 60% significant-investment thresholds (CRE20.53 to 20.62), phased in linearly over five years from 1 January 2023 (CRE90.1 to 90.3). Regulatory retail is 75%, transactors 45%, other retail 100%, subject to the EUR 1 million and 0.2% granularity limits (CRE20.63 to 20.68). Defaulted exposures (over 90 days past due) take 150%, or 100% with provisions of at least 20%; CCFs range from 10% to 100% (CRE20.94 to 20.110).