Subsection 1 Delta risk weights and correlations

1. Overview

Article 325ae Risk weights for general interest rate risk

Article 325af Intra bucket correlations for general interest rate risk

Article 325ag Correlations across buckets for general interest rate risk

Article 325ah Risk weights for credit spread risk for non-securitisations

Article 325ai Intra-bucket correlations for credit spread risk for non-securitisations

Article 325aj Correlations across buckets for credit spread risk for non-securitisations

Article 325aj

Correlations across buckets for credit spread risk for non-securitisations

The correlation parameter γbc that applies to the aggregation of sensitivities between different buckets shall be set as follows:

γbc = γbc (rating) · γbc (sector)

where:

▼M17

γbc (rating) shall be equal to:

(a)

1, where buckets b and c are buckets 1 to 17 and both buckets have the same credit quality category (either credit quality step 1 to 3 or credit quality step 4 to 6); otherwise it shall be equal to 50 %; for the purposes of that calculation, bucket 1 shall be considered as belonging to the same credit quality category as buckets that have credit quality step 1 to 3;

(b)

1, where either bucket b or c is bucket 18;

(c)

1, where bucket b or c is bucket 19 and the other bucket has credit quality step 1 to 3; otherwise it shall be equal to 50 %;

(d)

1, where bucket b or c is bucket 20 and the other bucket has credit quality step 4 to 6; otherwise it shall be equal to 50 %;

▼M8

γbc (sector) shall be equal to 1 where the two buckets belong to the same sector, and otherwise shall be equal to the corresponding percentage set out in Table 5:

▼M12

Table 5

Bucket	1, 2 and 11	3 and 12	4 and 13	5 and 14	6 and 15	7 and 16	8 and 17	9 and 10	18	19	20
1, 2 and 11		75 %	10 %	20 %	25 %	20 %	15 %	10 %	0 %	45 %	45 %
3 and 12			5 %	15 %	20 %	15 %	10 %	10 %	0 %	45 %	45 %
4 and 13				5 %	15 %	20 %	5 %	20 %	0 %	45 %	45 %
5 and 14					20 %	25 %	5 %	5 %	0 %	45 %	45 %
6 and 15						25 %	5 %	15 %	0 %	45 %	45 %
7 and 16							5 %	20 %	0 %	45 %	45 %
8 and 17								5 %	0 %	45 %	45 %
9 and 10									0 %	45 %	45 %
18										0 %	0 %
19											75 %
20

▼M8

Article 325ak Risk weights for credit spread risk for securitisations included in the ACTP

Article 325ak

Risk weights for credit spread risk for securitisations included in the ACTP

Risk weights for the sensitivities to credit spread risk factors for securitisations included in the ACTP risk factors shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket and shall be specified for each bucket in Table 6 pursuant to the delegated act referred to in Article 461a:

▼M12

Table 6

Bucket number	Credit quality	Sector	Risk weight
1	All	Central government, including central banks, of Member States	4,0 %
2	►M17 Credit quality step 1 to 10 ◄	Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118	4,0 %
3		Regional or local authority and public sector entities	4,0 %
4		Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders	8,0 %
5		Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying	5,0 %
6		Consumer goods and services, transportation and storage, administrative and support service activities	4,0 %
7		Technology, telecommunications	3,0 %
8		Health care, utilities, professional and technical activities	2,0 %
9		Covered bonds issued by credit institutions established in Member States	3,0 %
10		Covered bonds issued by credit institutions in third countries	6,0 %
11	►M17 Credit quality step 11 to 17 ◄	Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118	13,0 %
12		Regional or local authority and public sector entities	13,0 %
13		►M17 Financial sector entities, including credit institutions incorporated or established by a central government, a regional government or a local authority, promotional lenders and covered bonds ◄	16,0 %
14		Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying	10,0 %
15		Consumer goods and services, transportation and storage, administrative and support service activities	12,0 %
16		Technology, telecommunications	12,0 %
17		Health care, utilities, professional and technical activities	12,0 %
18	Other sector		13,0 %

▼M17

For the purposes of this Article, an exposure shall be assigned the credit quality category corresponding to the credit quality category that it would be assigned under the standardised approach for credit risk set out in Title II, Chapter 2.

By way of derogation from the second paragraph, institutions may assign a risk exposure of an unrated covered bond to bucket 4 where the institution that issues the covered bond has a credit quality step 1 to 3.

▼M8

Article 325al Correlations for credit spread risk for securitisations included in the ACTP

Article 325am Risk weights for credit spread risk for securitisations not included in the ACTP

Article 325an Intra-bucket correlations for credit spread risk for securitisations not included in the ACTP

Article 325ao Correlations across buckets for credit spread risk for securitisations not included in the ACTP

Article 325ap Risk weights for equity risk

Article 325aq Intra-bucket correlations for equity risk

Article 325ar Correlations across buckets for equity risk

Article 325ar

Correlations across buckets for equity risk

The correlation parameter γbc shall apply to the aggregation of sensitivities between different buckets.

It shall be set in relation to the buckets of Table 8 in Article 325ap as follows:

(a)

15 % where the two buckets fall within bucket numbers 1 to 10;

(b)

0 % where either of the two buckets fall within bucket number 11;

(c)

75 % where the two buckets fall within bucket number 12 and 13;

(d)

45 % otherwise.

Article 325as Risk weights for commodity risk

Article 325as

Risk weights for commodity risk

Risk weights for sensitivities to commodity risk factors shall be the following:

Table 9

Bucket number	Bucket name	Risk weight
1	Energy — solid combustibles	30 %
2	Energy — liquid combustibles	35 %
3	►M17 Energy — electricity ◄	60 %
▼M17
3a	Energy — EU ETS carbon trading	40 %
3b	Energy — non-EU ETS carbon trading	60 %
▼M12
4	Freight	80 %
5	Metals — non-precious	40 %
6	Gaseous combustibles	45 %
7	Precious metals (including gold)	20 %
8	Grains and oilseed	35 %
9	Livestock and dairy	25 %
10	Softs and other agricultural commodities	35 %
11	Other commodities	50 %

Article 325at Intra-bucket correlations for commodity risk

Article 325au Correlations across buckets for commodity risk

Article 325au

Correlations across buckets for commodity risk

The correlation parameter γb c applying to the aggregation of sensitivities between different buckets shall be set at:

(a)

20 % where the two buckets fall within bucket numbers 1 to 10;

(b)

0 % where either of the two buckets is bucket number 11.

Article 325av Risk weights for foreign exchange risk

Article 325aw Correlations for foreign exchange risk

Article 325aw

Correlations for foreign exchange risk

A uniform correlation parameter γb c equal to 60 % shall apply to the aggregation of sensitivities to foreign exchange risk factors.

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements
Source	Requirement

3. Related Standards

Standards
Source	Requirement

Builddate: 26.06.2026 00:00:00 -Doknr: CELEX:32013R0575
EULAW -
European Regulation published on http://eur-lex.europa.eu/