1.The capital requirement for the risk of an increase in the term structure of interest rates for a given currency shall be equal to the loss in the basic own funds that would result from an instantaneous increase in basic risk-free interest rates for that currency at different maturities. The increased basic risk-free interest rate for a given maturity shall be calculated in accordance with paragraphs 2 and 2a.
2.For a given currency and for maturities up to and including the first smoothing point, the increased basic risk-free interest rate shall be equal to the following:
r_\mathrm{m}^\mathrm{up}=
s_{\mathrm{m}}^{\mathrm{up}} +
b_{m}^{\mathrm{up}}
where:
m denotes the maturity in years;
r_{\mathrm{m}}^{\mathrm{up}}
denotes the increased risk-free interest rate at maturity m;
rm denotes the current risk-free interest rate at maturity m;
s_{\mathrm{m}}^{\mathrm{up}} \text{ and } b_{\mathrm{m}}^{\mathrm{up}}
shall be calculated as follows:
s_{\mathrm{m}}^{\mathrm{up}}
b_{m}^{\mathrm{up}}
for maturities m lower than one year, shall be equal to 61 % and shall be equal to 2,14 %;
s_{\mathrm{m}}^{\mathrm{up}} \text{ and } b_{\mathrm{m}}^{\mathrm{up}}
for maturities m expressed in years which are an integer number between 1 and 50 years, shall take values in accordance with the following table:
Maturity m (in years) | s_{\mathrm{m}}^{\mathrm{up}} | b_{m}^{\mathrm{up}} |
1 | 61 % | 2,14 % |
2 | 53 % | 1,86 % |
3 | 49 % | 1,72 % |
4 | 46 % | 1,61 % |
5 | 45 % | 1,58 % |
6 | 41 % | 1,44 % |
7 | 37 % | 1,30 % |
8 | 34 % | 1,19 % |
9 | 32 % | 1,12 % |
10 | 30 % | 1,05 % |
11 | 30 % | 1,05 % |
12 | 30 % | 1,05 % |
13 | 30 % | 1,05 % |
14 | 29 % | 1,02 % |
15 | 28 % | 0,98 % |
16 | 28 % | 0,98 % |
17 | 27 % | 0,95 % |
18 | 26 % | 0,91 % |
19 | 26 % | 0,91 % |
20 | 25 % | 0,88 % |
21 | 25 % | 0,87 % |
22 | 24 % | 0,85 % |
23 | 24 % | 0,82 % |
24 | 23 % | 0,80 % |
25 | 22 % | 0,78 % |
26 | 22 % | 0,76 % |
27 | 21 % | 0,74 % |
28 | 21 % | 0,72 % |
29 | 20 % | 0,70 % |
30 | 20 % | 0,69 % |
31 | 20 % | 0,70 % |
32 | 20 % | 0,71 % |
33 | 20 % | 0,71 % |
34 | 20 % | 0,71 % |
35 | 20 % | 0,71 % |
36 | 20 % | 0,72 % |
37 | 21 % | 0,72 % |
38 | 21 % | 0,72 % |
39 | 21 % | 0,73 % |
40 | 21 % | 0,73 % |
41 | 21 % | 0,74 % |
42 | 21 % | 0,74 % |
43 | 21 % | 0,75 % |
44 | 21 % | 0,75 % |
45 | 21 % | 0,75 % |
46 | 21 % | 0,75 % |
47 | 21 % | 0,75 % |
48 | 21 % | 0,74 % |
49 | 21 % | 0,74 % |
50 | 21 % | 0,73 % |
b_{m}^{\mathrm{up}}
s_{\mathrm{m}}^{\mathrm{up}}
for maturities m of at least 60 years, shall be equal to 0 %; for maturities of at least 90 years, shall be equal to 20 %;
s_{\mathrm{m}}^{\mathrm{up}}
b_{m}^{\mathrm{up}}
for other maturities m not specified in points (i) to (iii), the values of and shall be linearly interpolated.
2a.For a given currency and for maturities larger than the first smoothing point, the increased basic risk-free interest rates shall be derived by applying the extrapolation method referred to in Article 77a of Directive 2009/138/EC to a stressed relevant risk-free interest rate term structure, where that stressed relevant risk-free interest rate term structure is determined by applying the following assumptions:
the stressed ultimate forward rate shall be equal to the sum of 15 basis points and the current ultimate forward rate;
the stress to the last liquid forward rates shall be determined by applying the weights used for the determination of the current last liquid forward rate referred to in Article 46(1c) to the stresses applied to the interest rates corresponding to maturities referred to in points (a) and (b) of that Article, under the assumption that paragraph 2 of this Article applies to those maturities.
3.The impact of the increase in the term structure of basic risk-free interest rates on the value of participations as referred to in Article 92(2) of Directive 2009/138/EC in financial and credit institutions shall be considered only on the value of the participations that are not deducted from own funds pursuant to Article 68 of this Regulation. The part deducted from own funds shall be considered only to the extent that such impact increases the basic own funds.