Article 2
Non-trading book positions included in the evaluation
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:
non-trading book positions in financial assets;
non-trading book positions in liabilities;
non-trading book positions in off-balance sheet items.
The non-trading book positions referred to in paragraph 1 shall include all of the following:
interest rate derivatives;
non-interest rate derivatives for which the cash flows are determined in total or in part by referencing an interest rate;
pension obligations and pension plan assets, except where their interest rate risk is captured in another risk measure;
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;
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;
interest rate sensitive off-balance sheet items, other than those referred to in points (a), (b) and (c);
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.