+Article 3 5

Article 3 5

5.   Commercial margins and other spread components in interest payments in terms of their exclusion from or inclusion in the cash flows shall be treated in accordance with the institutions’ internal management and measurement approach for interest rate risk in the non-trading book. If commercial margins and other spread components are excluded, institutions shall:

(a)

use a transparent methodology for identifying the risk-free rate at inception of each instrument;

(b)

use a methodology that is applied consistently across business units;

(c)

ensure that the exclusion of commercial margins and other spread components from the cash flows is consistent with how the institution manages and hedges interest rate risk arising from non-trading book activities;

(d)

notify their exclusion to the competent authority.

1. Overview

,
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