Interest rate risk positions
Article 281
1. In order to calculate interest rate risk position, institutions shall apply the following provisions. 2. For interest rate risk positions from the following: (a) money deposits received from the counterparty as collateral; (b) a payment legs; (c) 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. 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.