+Article 3 2

Article 3 2

2.   Institutions shall include the following in their calculations of the economic value of equity:

(a)

all non-trading book positions from interest rate sensitive instruments;

(b)

small trading book business within the meaning of Article 94(1) of Regulation (EU) No 575/2013 of the European Parliament and of the Council (5) unless its interest rate risk is captured in another risk measure;

(c)

automatic and behavioural options;

(d)

pension obligations and pension plan assets unless their interest rate risk is captured in another risk measure;

(e)

the cash flows from interest rate sensitive instruments, which shall include any repayment of principal, any repricing of principal and any related interest payments;

(f)

instrument-specific interest rate caps and floors.

For the purpose of point (c), institutions shall adjust key behavioural modelling assumptions of interest rate sensitive instruments to the features of different interest rate scenarios taking into account the proportionality and materiality thresholds set out in Article 8(10), Article 9(2), Article 10(4), Article 12(2) and Article 23(1) of Commission Delegated Regulation (EU) 2024/857 (6).

1. Overview

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Summary Regulation

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements
Source Requirement

3. Related Standards

Standards
Source Requirement