Article 281

Path:
Capital Requirements Regulation (CRR) > PART THREE > TITLE II > CHAPTER 6 > Section 5 > Article 281
Title:
Article 281
Description: 
Interest rate risk positions
Main content: 

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 ratesNon-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.