Risk weights in Compliance with CRR (RGW)
- Assessment of the credit default risk
- Individual delivery based on rating agency licenses
- Inventory-based data provision in various formats
Data for Compliance with Basel III Capital Requirements
Regulation (EU) No 575/2013 (CRR) governs the capital adequacy of financial institutions as set forth by the Basel Committee on Banking Supervision (Basel III). The regulation became effective on January 1, 2014, and replaces in large parts the German Solvency Ordinance (SolvV).
In addition to operational risks and those related to market prices, the credit default risk plays an important role in this context (three pillar principle).
The determination of the required capital according to CRR can either be based on the Internal Ratings-Based (IRB) Approach or on the Standard Credit Risk Approach (CRA). This latter approach uses ratings provided by external rating agencies.
Key factors in this regard are:
- Exposure class assignment
- Determination of exposure risk weights (per Article 114 ff. CRR)
The product Risk Weights in Compliance with CRR offers risk weights using the Standard Credit Risk Approach (CRA). They are provided based on ratings by Fitch, Moody’s, and S+P. However, risk weights are also determined independent (neu-tral) of any ratings. We always deliver the rating-independent risk weights. Rating-dependent risk weights are delivered in addition if:
- risk weights are available for the financial instrument (rating exists and CRR provides for the use of ratings in this case)
- the customer holds a license for the respective rating agency.
The selection of risk weights relevant for the determination of capital requirements (per Art. 138 CRR) is made by the customer.
The following data will be provided per financial instrument: exposure class, risk weight, date of the last risk weight change, legal reference, additional information (if applicable), and the used rating.
For the determination of the risk weight, WM Datenservice also considers various types of master data, such as the issuer classification and the zone classification (e.g., European Union Economic Area).
The data is provided daily in VF1 and EDDY-XML format. Upon request, we will gladly provide you with inventory-based test data.