1. The capital requirement for the risk of an increase in the term structure of interest rates for a given currency shall be equal to the loss in the basic own funds that would result from an instantaneous increase in basic risk-free interest rates for that currency at different maturities in accordance with the following table:
|
Maturity (in years) |
Increase |
|---|---|
|
1 |
70 % |
|
2 |
70 % |
|
3 |
64 % |
|
4 |
59 % |
|
5 |
55 % |
|
6 |
52 % |
|
7 |
49 % |
|
8 |
47 % |
|
9 |
44 % |
|
10 |
42 % |
|
11 |
39 % |
|
12 |
37 % |
|
13 |
35 % |
|
14 |
34 % |
|
15 |
33 % |
|
16 |
31 % |
|
17 |
30 % |
|
18 |
29 % |
|
19 |
27 % |
|
20 |
26 % |
|
90 |
20 % |
For maturities not specified in the table above, the value of the increase shall be linearly interpolated. For maturities shorter than 1 year, the increase shall be 70 %. For maturities longer than 90 years, the increase shall be 20 %.
2. In any case, the increase of basic-risk-free interest rates at any maturity shall be at least one percenta
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