in force 2025-01-01 MODIFIED+496 −36§
Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795
applies from: unchanged
In Table 6, the credit quality step ranges in bucket rows 2 and 11 have been changed from 'credit quality step 1 to 3' and 'credit quality step 4 to 6 and unrated' to 'credit quality step 1 to 10' and 'credit quality step 11 to 17' respectively.
The sector description for bucket 13 now also includes covered bonds alongside financial sector entities, credit institutions, and promotional lenders, whereas before it did not mention covered bonds.
Two new paragraphs have been added after the table specifying how an exposure's credit quality category is to be assigned by reference to the standardised approach for credit risk under Title II, Chapter 2, and allowing institutions to assign an unrated covered bond exposure to bucket 4 where the issuing institution has a credit quality step 1 to 3, neither of which appeared in the prior text.
Cited: Art. 325ak, v2 · Art. 325ak, v1
text before / after
02013R0575-20240709 → 02013R0575-20250101
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:
Table 6
Bucket number Credit quality Sector Risk weight
1 All Central government, including central banks, of Member States 4,0 %
2 Credit quality step 1 to 3 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 Credit quality step 4 11 to 6 and unrated 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 Financial sector entities entities, including credit institutions incorporated or established by a central government, a regional government or a local authority and 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 %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.