Article 3, Paragraph 2. · Commission Delegated Regulation (EU) 2025/1265

Contents

2.For bonds which consist in fixed-rate debt instruments without optionality features, institutions shall use the following approach:

(a)institutions shall identify the main risk driver depending on the credit quality step and sector of the bond referred to in Article 325ah of Regulation (EU) No 575/2013 and the residual maturity of the bond, on the basis of either of the following:

(i)Table 1 in the Annex to this Regulation, where the cash flows of the bond are not functionally dependent on inflation rates;

(ii)Table 2 in the Annex to this Regulation, where the cash flows of the bond are functionally dependent on inflation rates;

(b)where the main risk driver identified in accordance with point (a) of this paragraph is the risk-free rate, that main risk driver shall be in the currency in which the bond is denominated and with one of the maturities set out in Article 325l(1) of Regulation (EU) No 575/2013, selected to match as close as possible the maturity of the bond;

(c)where the main risk driver identified in accordance with point (a) of this paragraph is the issuer credit spread rate, that main risk driver shall be the credit spread of the issuer of the bond and with one of the maturities set out in Article 325m(1) of Regulation (EU) No 575/2013, selected to match as close as possible the maturity of the bond;

(d)institutions shall determine whether the position represents a long or a short position in its main risk driver on the basis of the following:

(i)where the main risk driver identified under points (a), (b) and (c) of this paragraph is the risk-free rate or the issuer credit spread rate, the position shall be long in its main risk driver where the bond is sold, and short where the bond is bought;

(ii)where the main risk driver identified under points (a), (b) and (c) of this paragraph is the inflation rate, the position shall be long in its main risk driver where the bond is bought, and short where the bond is sold.