Article 15
Net interest income add-on for automatic interest rate options up to the net interest income time horizon
1.
Institutions shall calculate the net interest income add-ons for automatic interest rate options of their non-trading book positions as referred to in Article 5(3), point (a), up to the net interest income time horizon.
2.
For the purposes of paragraph 1, Article 13 shall apply mutatis mutandis, subject to the derogations set out in paragraphs 3 to 6 of this Article.
3.
Institutions shall exclude from the calculation of the net interest income add-ons referred to in paragraph 1 automatic interest rate options that can only be exercised beyond the net interest income time horizon.
4.
When calculating the net interest income add-ons referred to in paragraph 1, institutions shall disregard the relative increase in implicit volatility.
5.
Institutions shall calculate the value referred to in Article 13(2) and (3) on the basis of pay-outs expected in the baseline scenario and the applicable scenarios.
6.
Institutions shall assume that the instruments the optionality or non-linearity of which is automatically activated are rolled over with comparable characteristics up to the end of the net interest income time horizon.