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Capital Requirements Regulation (CRR)
Article 325ae

Article 325ae - Risk weights for general interest rate risk

Status
In force
Selected consolidated version from
30/09/2021
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Article 325ae

Risk weights for general interest rate risk

1.  

For currencies not included in the most liquid currency sub-category as referred to in point (b) Article 325bd(7), the risk weights of the sensitivities to the risk-free rate risk factors shall be the following:



Table 3

Bucket

Maturity

Risk Weight

1

0,25 years

1,7 %

2

0,5 years

1,7 %

3

1 year

1,6 %

4

2 years

1,3 %

5

3 years

1,2 %

6

5 years

1,1 %

7

10 years

1,1 %

8

15 years

1,1 %

9

20 years

1,1 %

10

30 years

1,1 %

2.  
Institutions shall apply a risk weight of 1,6 % to all sensitivities of inflation and to cross currency basis risk factors.
3.  
For the currencies included in the most liquid currency sub-category as referred to in point (b) of 325bd(7) and the domestic currency of the institution, the risk weights of the risk-free rate risk factors shall be the risk weights referred to in Table 3 divided by √2.

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