1.The capital requirement for the risk of a decrease 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 decrease in basic risk-free interest rates for that currency at different maturities in accordance with the following table:
Maturity (in years) | Decrease |
1 | 75 % |
2 | 65 % |
3 | 56 % |
4 | 50 % |
5 | 46 % |
6 | 42 % |
7 | 39 % |
8 | 36 % |
9 | 33 % |
10 | 31 % |
11 | 30 % |
12 | 29 % |
13 | 28 % |
14 | 28 % |
15 | 27 % |
16 | 28 % |
17 | 28 % |
18 | 28 % |
19 | 29 % |
20 | 29 % |
90 | 20 % |
For maturities not specified in the table above, the value of the decrease shall be linearly interpolated. For maturities shorter than 1 year, the decrease shall be 75 %. For maturities longer than 90 years, the decrease shall be 20 %.
2.Notwithstanding paragraph 1, for negative basic risk-free interest rates the decrease shall be nil.
3.The impact on the value of participations as referred to in Article 92(2) of Directive 2009/138/EC in financial and credit institutions of the decrease in the term structure of basic risk-free interest rates 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.