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Version date: 27 June 2019 - onwards
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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

1

All

Central government, including central banks, of Member States

2

Credit quality step 1 to 3

Central government, including central banks, of a third country, multilateral development banks and international organisations referred to in Article 117(2) or Article 118

3

Regional or local authority and public sector entities

4

Financial sector entities including credit institutions incorporated or established by a central government, a regional government or a local authority and promotional lenders

5

Basic materials, energy, industrials, agriculture, manufacturing, mining and quarrying