Article 11
Derivative instruments without optionality
1.
Institutions shall separate derivative instruments without optionality into a paying and a receiving leg.
2.
Institutions shall treat the receiving leg of a derivative instrument without optionality as an incoming cash flow and the paying leg as an outgoing cash flow.
Institutions shall allocate the notional repricing cash flows to the relevant repricing time buckets referred to in point 1 of the Annex.
3.
Institutions shall treat cross-currency interest rate swaps involving swapping principal or interest in different currencies separately for each leg in each currency.
4.
Institutions shall treat the interest income and expenses of derivative instruments used for hedging separately from the income and expenses deriving from the hedged position.