Non-trading book positions included in the evaluation
Article 2
1. Institutions shall, for the purposes of the standardised methodology and the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU, for each currency in which the institution has a position that is material as referred to in Article 3, evaluate all non-trading book positions. Those non-trading book positions shall include the following: (a) non-trading book positions in financial assets; (b) non-trading book positions in liabilities; (c) non-trading book positions in off-balance sheet items. 2. The non-trading book positions referred to in paragraph 1 shall include all of the following: (a) interest rate derivatives; (b) non-interest rate derivatives for which the cash flows are determined in total or in part by referencing an interest rate; (c) pension obligations and pension plan assets, except where their interest rate risk is captured in another risk measure; (d) interest rate-sensitive assets, other than those referred to in points (a), (b) and (c), and that are not deducted from Common Equity Tier 1 capital; (e) interest rate-sensitive liabilities, other than those referred to in points (a), (b) and (c), that are neither Common Equity Tier 1 instruments as referred to in Article 28 of Regulation (EU) No 575/2013, nor other perpetual instruments without any call dates; (f) interest rate sensitive off-balance sheet items, other than those referred to in points (a), (b) and (c); (g) small trading book positions as referred to in Article 94 of Regulation (EU) No 575/2013, except where their interest rate risk is captured in another risk measure. For the purposes of point (e), interest rate-sensitive liabilities shall include non-remunerated deposits.