Article 167 Decrease in the term structure of interest rates
1. The capital requirement for the risk of a decrease 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 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 |