Definitions (para. 7)
7. Unless otherwise specified, terms used and defined in Directive 2013/36/EU [Directive 2013/36/EU of the European Parliament and of the Council of 26 June 2013 on access to the activity of credit institutions and the prudential supervision of credit institutions and investment firms, amending Directive 2002/87/EC and repealing Directives 2006/48/EC and 2006/49/EC (1) - OJ L 176 , 27.6.2013] and in Regulation (EU) No 575/2013 [Regulation (EU) No 575/2013 of the European Parliament and of the Council of 26 June 2013 on prudential requirements for credit institutions and investment firms and amending Regulation (EU) No 648/2012 - OJ L 176, 27.6.2013] have the same meaning in the guidelines. In addition, for the purposes of these guidelines, the following definitions apply:
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Interest rate risk arising from non-trading book activities |
The current or prospective risk to both the earnings and the economic value of an institution arising from adverse movements in interest rates that affect interest rate sensitive instruments, including gap risk, basis risk and option risk. |
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Interest rate sensitive instruments |
Assets, liabilities and off-balance-sheet items in the non-trading book, excluding assets deducted from CET1 capital, e.g. real estate or intangible assets or equity exposures in the non-trading book. |
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Gap risk |