20.

The institution shall compute the totals of the unmatched weighted long positions for the bands included in each of the zones in Table 2 in order to derive the unmatched weighted long position for each zone. Similarly, the sum of the unmatched weighted short positions for each band in a particular zone shall be summed to compute the unmatched weighted short position for that zone. That part of the unmatched weighted long position for a given zone that is matched by the unmatched weighted short position for the same zone shall be the matched weighted position for that zone. That part of the unmatched weighted long or unmatched weighted short position for a zone that cannot be thus matched shall be the unmatched weighted position for that zone. Table 2 Zone Maturity band Weighting (in %) Assumed interest rate change (in %) Coupon of 3 % or more Coupon of less than 3 % One 0 ≤ 1 month 0 ≤ 1 month 0,00 — > 1 ≤ 3 months > 1 ≤ 3 months 0,20 1,00 > 3 ≤ 6 months > 3 ≤ 6 months 0,40 1,00 > 6 ≤ 12 months > 6 ≤ 12 months 0,70 1,00 Two > 1 ≤ 2 years > 1,0 ≤ 1,9 years 1,25 0,90 > 2 ≤ 3 years > 1,9 ≤ 2,8 years 1,75 0,80 > 3 ≤ 4 years > 2,8 ≤ 3,6 years 2,25 0,75 Three > 4 ≤ 5 years > 3,6 ≤ 4,3 years 2,75 0,75 > 5 ≤ 7 years > 4,3 ≤ 5,7 years 3,25 0,70 > 7 ≤ 10 years > 5,7 ≤ 7,3 years 3,75 0,65 > 10 ≤ 15 years > 7,3 ≤ 9,3 years 4,50 0,60 > 15 ≤ 20 years > 9,3 ≤ 10,6 years 5,25 0,60 > 20 years > 10,6 ≤ 12,0 years 6,00 0,60 > 12,0 ≤ 20,0 years 8,00 0,60 > 20 years 12,50 0,60

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Source: EUR-Lex (Cellar) · retrieved 2026-10-10 · Text as adopted (Official Journal); later amendments are not incorporated in this text.