Article 22
Market value changes for instruments held at fair value maturing beyond the net interest income time horizon
1.
Institutions shall calculate the market value changes beyond the net interest income time horizon for instruments held at fair value by applying Article 17(3), (4) and (5) mutatis mutandis to the allocation performed in accordance with paragraph 2.
2.
For the allocation referred to in paragraph 1, institutions shall apply Article 17(2) mutatis mutandis, and shall include the commercial margins and other spread components in interest payments in the notional repricing cash flows, and with the following derogations:
(a)
institutions shall exclude notional repricing cash flows related to instruments not held at fair value;
(b)
institutions shall exclude the notional cash flows repricing in the net interest income time horizon by setting those cash flows to zero in the repricing time buckets referred to in point 4 of the Annex.