http://www.legislation.gov.uk/eudr/2006/49/annex/I/division/B/division/9/adoptedDirective 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) (repealed)Directive 2006/49/EC of the European Parliament and of the Council (repealed)Directive 2006/49/EC of the European Parliament and of the Council of 14 June 2006 on the capital adequacy of investment firms and credit institutions (recast) (repealed)2020-12-12King's Printer of Acts of Parliamenthttps://webarchive.nationalarchives.gov.uk/eu-exit/https://eur-lex.europa.eu/legal-content/EN/TXT/?uri=CELEX:32006L0049texttext/xmlenANNEX ICALCULATING CAPITAL REQUIREMENTS FOR POSITION RISKB.TREATMENT OF THE PROTECTION BUYER9.

Institutions which mark to market and manage the interest‐rate risk on the derivative instruments covered in points 4 to 7 on a discounted‐cash‐flow basis may use sensitivity models to calculate the positions referred to in those points and may use them for any bond which is amortised over its residual life rather than via one final repayment of principal. Both the model and its use by the institution must be approved by the competent authorities. These models should generate positions which have the same sensitivity to interest‐rate changes as the underlying cash flows. This sensitivity must be assessed with reference to independent movements in sample rates across the yield curve, with at least one sensitivity point in each of the maturity bands set out in Table 2 of point 20. The positions shall be included in the calculation of capital requirements according to the provisions laid down in points 17 to 32.

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<num>ANNEX I</num>
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<heading>TREATMENT OF THE PROTECTION BUYER</heading>
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<p>Institutions which mark to market and manage the interest‐rate risk on the derivative instruments covered in points 4 to 7 on a discounted‐cash‐flow basis may use sensitivity models to calculate the positions referred to in those points and may use them for any bond which is amortised over its residual life rather than via one final repayment of principal. Both the model and its use by the institution must be approved by the competent authorities. These models should generate positions which have the same sensitivity to interest‐rate changes as the underlying cash flows. This sensitivity must be assessed with reference to independent movements in sample rates across the yield curve, with at least one sensitivity point in each of the maturity bands set out in Table 2 of point 20. The positions shall be included in the calculation of capital requirements according to the provisions laid down in points 17 to 32.</p>
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