Interest rate risk on derivative instruments
Institutions which do not use models under paragraph 1 may, treat as fully offsetting any positions in derivative instruments covered in Articles 328 to 330 which meet the following conditions at least:
the positions are of the same value and denominated in the same currency;
the reference rate (for floating-rate positions) or coupon (for fixed-rate positions) is closely matched;
the next interest-fixing date or, for fixed coupon positions, residual maturity corresponds with the following limits:
less than one month hence: same day;
between one month and one year hence: within seven days;
over one year hence: within 30 days.