3D6 Decrease In The Term Structure Of Interest Rates
1.
A firm must calculate the capital requirement for the risk of a decrease in the term structure of interest rates for a given currency as equal to the loss in its basic own funds that would result from an instantaneous decrease in basic risk-free interest rates for that currency at different maturities in accordance with the following table:
| Maturity (in years) |
Decrease |
| 1 | 75% |
| 2 | 65% |
| 3 | 56% |
| 4 | 50% |
| 5 | 46% |
| 6 | 42% |
| 7 | 39% |
| 8 | 36% |
| 9 | 33% |
| 10 | 31% |
| 11 | 30% |
| 12 | 29% |
| 13 | 28% |
| 14 | 28% |
| 15 | 27% |
| 16 | 28% |
| 17 | 28% |
| 18 | 28% |
| 19 | 29% |
| 20 | 29% |
| 90 | 20% |
- 31/12/2024
2.
For maturities not specified in the table above, the value of the decrease must be linearly interpolated, provided that:
- (1) for maturities shorter than 1 year, the decrease must be 75%; and
- (2) for maturities longer than 90 years, the decrease must be 20%.
- 31/12/2024
3.
- 31/12/2024
4.
The impact on the value of participations as referred to in Own Funds 3K.6 in financial institutions and credit institutions of the decrease in the basic relevant risk-free interest rate term structure must only be taken into account on the value of the participations that are not deducted from own funds pursuant to Own Funds 3K and the part deducted from own funds must only be taken into account to the extent that such impact increases the basic own funds.
- 31/12/2024