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Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 Text with EEA relevance article 325ae CELEX: 02013R0575-20250629 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. The risk weights of risk factors based on the currencies included in the most liquid currency sub-category as referred to in Article 325bd(7), point (b), and the domestic currency of the institution shall be the following: (a) for risk-free rate risk factors, the risk weights referred to in paragraph 1, Table 3, of this Article divided by ; (b) for inflation risk factor and cross currency basis risk factors, the risk weights referred to in paragraph 2 of this Article divided by . |