Our Institution has entered into an Equity Option Swap, by which receives the 'Floating Amount' and pays, in the termination date, the 'Equity Amount'. Our Institution receives quarterly cash-flows linked to Euribor 3 months, and at maturity will pay a payoff linked to a basket of listed stocks.
This type of Swap classifies as an interest rate on or an equity one under the Article 274 of Regulation EU 575/2013 (CRR), regarding the couterparty credit risk?
Being so, we would like your confirmation that for counterpart risk capital calculations, this swap classifies as an interest rate one, considering that our risk is only regarding the 'Floating Amount'.
Under the Article 274 CRR, institutions shall multiply the notional amounts or underlying values, as applicable, by the percentages in Table 1, and those are higly different between interest rate swaps and contracts concerning equities.
Given the nature and features of the equity option swap described in the question, this instrument should be treated as an equity contract (column 'contracts concerning equity') for the application of Article 274 of Regulation EU 575/2013 (CRR).
Update 16.09.2021: This Q&A has been archived in light of the change(s) in Article 274 to Regulation (EU) No 575/2013 (CRR), applicable from 28.06.2021.