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
|
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.