CRR › Article 383k
Article 383k Risk weights for interest rate risk
official text, verbatim
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 % |
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 %.
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 %.
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 %.
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 %.