In lending to governments, Commonwealth Bank is clearly the leader when using the EAD (or exposure at default measure), with NAB not far behind. CBA has also assigned the highest risk weight in this category.
The guess of the Ozrisk blog is that most of this is from lending to overseas governments as the Australian governments' risk weights should approximate nil. Even so, the risk weights are so low this has little effect on the overall capital numbers - with one exception.
Sovereign lending typically has a risk weight of less than 10 per cent.
Commonwealth, though, has one interesting little anomaly - they have a EAD for sovereigns of $479 million with a risk weighted assets of $430 million - which lead to a a risk weight of 90 per cent.
This is high - almost as if they were undertaking lending to some of the dodgier governments. But the numbers are small.
Ozrisk