Requirements for allocating notional repricing cash flows
Article 14
1. When using the standardised methodology for evaluating the risks arising from potential changes in interest rates that affect the net interest income of their non-trading book activities, institutions shall allocate the notional repricing cash flows of their non-trading book positions to the relevant repricing time buckets referred to in point 1 of the Annex. 2. Articles 5 to 12 shall apply to the allocation of the notional repricing cash flows as referred to in paragraph 1, subject to the derogations set out in paragraphs 3 to 6 of this Article. 3. By way of derogation from Article 5(2), first subparagraph, institutions shall include the commercial margins and other spread components in interest payments in the notional repricing cash flows. 4. In addition to the allocation of the notional repricing cash flows referred to in Article 6, Article 9(5), Article 10(7) and Article 12 to the relevant repricing time buckets referred to in point 1 of the Annex, institutions shall allocate those notional repricing cash flows to the reference term time buckets referred to in point 3 of the Annex. Notional repricing cash flows that are interest payments shall assume the reference term of the instrument that generated them. 5. In addition to the allocation of the notional repricing cash flows referred to in Article 7 and Article 8 to the relevant repricing time buckets referred to in point 1 of the Annex, institutions shall allocate those notional repricing cash flows to the reference term time bucket referred to in point 3(a) of the Annex. 6. Institutions shall treat fixed legs of the derivative instruments referred to in Article 11 in accordance with paragraph 4 of this Article. Institutions shall treat floating legs of the derivative instruments referred to in Article 11 in accordance with paragraph 5 of this Article.