Article 281 — Interest rate risk positions

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. 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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Source: EUR-Lex CELLAR · retrieved 2026-09-04