Definition of Delta GIRR risk-free interest rate curves

For the purposes of calculating the own funds requirements for General Interest Rate Risk (GIRR) on the basis of the sensitivities-based method, institutions should distinguish the GIRR curves as used in the the pricing models that serve as a basis for reporting profit and loss to senior management, in line with requirements for the calculation of sensitivities set out in Article 325t of Regulation (EU) No 575/2013 (CRR). In particular, if the institution's pricing models use different risk-free yield curves per currency in the meaning of Article 325l CRR, such as an OIS curve (e.g. Eonia or a new benchmark rate) and a BOR swap curve (such as 3-month Euribor or other benchmarks), BOR curves at different maturities, or an onshore and offshore currency curve, or a relevant repo curve (in case of trading-related fixed income repos), these curves should be considered as separate curves in the delta GIRR calculation. While onshore and offshore variants of a currency should be considered separate curves, they should fall into the same currency bucket.