Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 (Text with EEA relevance)
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Version Superseded: 01/01/2022
Point in time view as at 28/06/2013. This version of this provision has been superseded.
There are currently no known outstanding effects by UK legislation for Regulation (EU) No 575/2013 of the European Parliament and of the Council,
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:
money deposits received from the counterparty as collateral;
a payment legs;
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.
| 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.]
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