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7.1
Exposures to sovereigns and their central banks will be risk-weighted based on the external rating of the sovereign as follows:
Risk weight table for sovereigns and central banks
Table 1
External rating
AAA to AA–
A+ to A–
BBB+ to BBB–
BB+ to B–
Below B–
Unrated
Risk weight
0%
20%
50%
100%
150%
100%
7.2
A 0% risk weight can be applied to banks’ exposures to Saudi sovereign (or SAMA) of incorporation denominated in Saudi Riyal and funded2 in Saudi Riyal (SAR).3 Exposures to Saudi sovereign of incorporation denominated in foreign currencies should be treated according to the Saudi sovereign external rating.
7.3
Sovereign exposures to the member countries of Gulf Cooperation Council (GCC) will also be risk-weighted based on the external rating of the respective country as per Table 1.
7.4
Exposures to the Bank for International Settlements, the International Monetary Fund, the European Central Bank, the European Union, the European Stability Mechanism and the European Financial Stability Facility may receive a 0% risk weight.
2 This is to say that the bank would also have corresponding liabilities denominated in the domestic currency. 3 This lower risk weight may be extended to the risk-weighting of collateral and guarantees under the CRM framework (chapter 9)
