Article 383k
Risk weights for interest rate risk
1.
For the currencies referred to in Article 383c(2), the risk weights of risk-free rate delta sensitivities for each bucket in Table 1 shall be the following:
Table 1
|
Maturity |
Risk weight |
|
|
1 |
1 year |
1,11 % |
|
2 |
2 years |
0,93 % |
|
3 |
5 years |
0,74 % |
|
4 |
10 years |
0,74 % |
|
5 |
30 years |
0,74 % |
2.
For currencies other than the currencies referred to in Article 383c(2), the risk weight of risk-free rate delta sensitivities shall be 1,58 %.
3.
For inflation rate risk denominated in one of the currencies referred to in Article 383c(2), the risk weight of the delta sensitivity to the inflation rate risk shall be 1,11 %.
4.
For inflation rate risk denominated in a currency other than the currencies referred to in Article 383c(2), the risk weight of the delta sensitivity to the inflation rate risk shall be 1,58 %.
5.
The risk weights to be applied to sensitivities to interest rate vega risk factors and to inflation rate vega risk factors for all currencies shall be 100 %.