Article 325ah

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE IV > CHAPTER 1a > Section 6 > Subsection 1 > Article 325ah
Title:
Article 325ah
Description: 
Risk weights for credit spread risk for non-securitisations
Main content: 

1. Risk weights for the sensitivities to credit spread risk factors for non-securitisations shall be the same for all maturities (0,5 years, 1 year, 3 years, 5 years, 10 years) within each bucket in Table 4:

Table 4
Bucket numberCredit qualitySectorRisk weight (percentage points)
1AllCentral government, including central banks, of a Member State0,50 %
2Credit quality step 1 to 3Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 1180,5 %
3Regional or local authority and public sector entities1,0 %
4Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders5,0 %
5Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying3,0 %
6Consumer goods and services, transportation and storage, administrative and support service activities3,0 %
7Technology, telecommunications2,0 %
8Health care, utilities, professional and technical activities1,5 %
9Covered bonds issued by credit institutions in Member States1,0 %
11Credit quality step 4 to 6Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118 
12Regional or local authority and public sector entities4,0 %
13Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders12,0 %
14Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying7,0 %
15Consumer goods and services, transportation and storage, administrative and support service activities8,5 %
16Technology, telecommunications5,5 %
17Health care, utilities, professional and technical activities5,0 %
18Other sector12,0 %

2. To assign a risk exposure to a sector, institutions shall rely on a classification that is commonly used in the market for grouping issuers by sector. Institutions shall assign each issuer to only one of the sector buckets in Table 4. Risk exposures from any issuer that an institution cannot assign to a sector in such a manner shall be assigned to bucket 18 in Table 4.