Updated 05/02/2025
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Version from: 24/04/2024
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Article 2 - Delegated Regulation 2024/857

Article 2

Non-trading book positions included in the evaluation

1.  

Institutions shall, for the purposes of the standardised methodology and the simplified standardised methodology referred to in Article 84(1) of Directive 2013/36/EU, for each currency in which the institution has a position that is material as referred to in Article 3, evaluate all non-trading book positions. Those non-trading book positions shall include the following:

(a) 

non-trading book positions in financial assets;

(b) 

non-trading book positions in liabilities;

(c) 

non-trading book positions in off-balance sheet items.

2.  

The non-trading book positions referred to in paragraph 1 shall include all of the following:

(a) 

interest rate derivatives;

(b) 

non-interest rate derivatives for which the cash flows are determined in total or in part by referencing an interest rate;

(c) 

pension obligations and pension plan assets, except where their interest rate risk is captured in another risk measure;

(d) 

interest rate-sensitive assets, other than those referred to in points (a), (b) and (c), and that are not deducted from Common Equity Tier 1 capital;

(e) 

interest rate-sensitive liabilities, other than those referred to in points (a), (b) and (c), that are neither Common Equity Tier 1 instruments as referred to in Article 28 of Regulation (EU) No 575/2013, nor other perpetual instruments without any call dates;

(f) 

interest rate sensitive off-balance sheet items, other than those referred to in points (a), (b) and (c);

(g) 

small trading book positions as referred to in Article 94 of Regulation (EU) No 575/2013, except where their interest rate risk is captured in another risk measure.

For the purposes of point (e), interest rate-sensitive liabilities shall include non-remunerated deposits.