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:
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:
\sqrt{2}
for risk-free rate risk factors, the risk weights referred to in paragraph 1, Table 3, of this Article divided by;
\sqrt{2}
for inflation risk factor and cross currency basis risk factors, the risk weights referred to in paragraph 2 of this Article divided by.