Question
Which risk-free interest rate curves per currency should be considered as different curves?
Background on the question
Article 325l(1) CRR specifies that delta GIRR factors applicable to interest rate-sensitive instruments shall be the relevant risk-free rates per currency. Article 325af CRR specifies the correlation for the aggregation of different GIRR curves within the same bucket. MAR21.8(1)(c) requires considering certain types of curves as different curves for purposes of the Delta GIRR calculation. More specifically, it is required to consider OIS curve and BOR curve as different curves. Two BOR curves at different maturities (e.g. three-month Euribor and six-month Euribor) must be considered as two different curves. An onshore and an offshore currency curve (e.g. onshore Indian rupee and offshore Indian rupee) must be considered as two different curves. The FAQ6 of MAR21.8 also explains that a relevant repo curve should be considered by currency.
Answer
For the purposes of calculating the own funds requirements for General Interest Rate Risk (GIRR) on the basis of the sensitivities-based method, institutions should distinguish the GIRR curves as used in the the pricing models that serve as a basis for reporting profit and loss to senior management, in line with requirements for the calculation of sensitivities set out in Article 325t of Regulation (EU) No 575/2013 (CRR). In particular, if the institution's pricing models use different risk-free yield curves per currency in the meaning of Article 325l CRR, such as an OIS curve (e.g. Eonia or a new benchmark rate) and a BOR swap curve (such as 3-month Euribor or other benchmarks), BOR curves at different maturities, or an onshore and offshore currency curve, or a relevant repo curve (in case of trading-related fixed income repos), these curves should be considered as separate curves in the delta GIRR calculation. While onshore and offshore variants of a currency should be considered separate curves, they should fall into the same currency bucket.