Article 16 | Delegated Regulation 2024/857

Updated 05/02/2025

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In force

Version from: 24/04/2024

Amendments

Article 16 - Delegated Regulation 2024/857

Article 16

Market value changes for automatic interest rate options held at fair value and maturing beyond the net interest income time horizon

Institutions shall calculate, in accordance with Article 13, the market value changes for automatic interest rate options held at fair value and maturing beyond the net interest income time horizon.

Recitals

CHAPTER I - GENERAL PROVISIONS (Article 1-4)

CHAPTER II - STANDARDISED METHODOLOGY FOR EVALUATING THE RISKS FOR THE ECONOMIC VALUE OF EQUITY OF AN INSTITUTION’S NON-TRADING BOOK ACTIVITIES (Article 5-13)

CHAPTER III - STANDARDISED METHODOLOGY FOR EVALUATING THE RISKS FOR THE NET INTEREST INCOME OF AN INSTITUTION’S NON-TRADING BOOK ACTIVITIES (Article 14-16)Article 14 - Requirements for allocating notional repricing cash flows Article 15 - Net interest income add-on for automatic interest rate options up to the net interest income time horizon Article 16 - Market value changes for automatic interest rate options held at fair value and maturing beyond the net interest income time horizon

CHAPTER IV - CALCULATION OF THE STANDARDISED ECONOMIC VALUE OF EQUITY RISK MEASURE (Article 17)

CHAPTER V - CALCULATION OF THE STANDARDISED NET INTEREST INCOME RISK MEASURE (Article 18-24)

CHAPTER VI - SIMPLIFIED STANDARDISED METHODOLOGY FOR THE CALCULATION OF THE ECONOMIC VALUE OF EQUITY AND THE NET INTEREST INCOME (Article 25-26)

CHAPTER VII - FINAL PROVISION (Article 27)

ANNEX

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Article 16 - Delegated Regulation 2024/857

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