Article 281

In order to calculate interest rate risk position, institutions shall apply the following provisions. 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. 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 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 2026-09-25 · Text as adopted (Official Journal); later amendments are not incorporated in this text.