Version in force , Inserted +1,015 −0§
Amended by Regulation (EU) 2024/1623 32024R1623 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2987 32024R2987 on EUR-Lex (external, EUR-Lex) · Regulation (EU) 2024/2795 32024R2795 on EUR-Lex (external, EUR-Lex)
Explanation, written by a model and checked against the cited text
A new Article 383k is added, setting out risk weights for interest rate risk, including a table of risk weights by maturity bucket for risk-free rate delta sensitivities in the currencies referred to in Article 383c(2), a separate risk weight for delta sensitivities in other currencies, risk weights for inflation rate delta sensitivities distinguishing between those currencies and other currencies, and a single risk weight applicable to interest rate and inflation rate vega risk factor sensitivities across all currencies.
Cited: Art. 383k, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex
Inserted in this version 02013R0575-20250101
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 Bucket 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 %.