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FINREP 4.4validation

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Annex V text editions

What's new FINREP 4.2.1 → 4.4

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CRR — Regulation (EU) No 575/2013 on prudential requirements for credit institutions (Capital Requirements Regulation) · version 2026-06-26 · CELEX 32013R0575 · consolidated text, no legal effect (EUR-Lex)

CRR › Article 325ae

Article 325ae Risk weights for general interest rate risk

official text, verbatim

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

BucketMaturityRisk Weight
1(1)
10,25 years1,7 %
1(2)
20,5 years1,7 %
1(3)
31 year1,6 %
1(4)
42 years1,3 %
1(5)
53 years1,2 %
1(6)
65 years1,1 %
1(7)
710 years1,1 %
1(8)
815 years1,1 %
1(9)
920 years1,1 %
1(10)
1030 years1,1 %
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:

3(a)

for risk-free rate risk factors, the risk weights referred to in paragraph 1, Table 3, of this Article divided by formula (image in the official text);

3(b)

for inflation risk factor and cross currency basis risk factors, the risk weights referred to in paragraph 2 of this Article divided by formula (image in the official text).