1.In order to calculate interest rate risk position, institutions shall apply the following provisions.
2.For interest rate risk positions from the following:
money deposits received from the counterparty as collateral;
a payment legs;
underlying debt instruments,
to which in each case a capital charge of 1,60 % or less applies in accordance with Table 1 of Article 336, institutions shall assign those positions to one of the six hedging sets for each currency set out in Table 4.
Government referenced interest rates | Non-government referenced interest rates | |
Maturity | < 1 year | < 1 year |
>1 ≤ 5 years | > 5 years | |
>1 ≤ 5 years | > 5 years |
3.For interest rate risk positions from underlying debt instruments or payment legs for which the interest rate is linked to a reference interest rate that represents a general market interest level, the remaining maturity shall be the length of the time interval up to the next re-adjustment of the interest rate. In all other cases, it shall be the remaining life of the underlying debt instrument or, in the case of a payment leg, the remaining life of the transaction.