{
  "url": "https://openlegislation.uk/eu-regulation-2013-231/annex-III/division-1",
  "json_url": "https://openlegislation.uk/eu-regulation-2013-231/annex-III/division-1.json",
  "legislation": "eur/2013/231",
  "legislation_title": "Commission Delegated Regulation (EU) No 231/2013 of 19 December 2012 supplementing Directive 2011/61/EU of the European Parliament and of the Council with regard to exemptions, general operating conditions, depositaries, leverage, transparency and supervision (Text with EEA relevance)",
  "legislation_url": "https://openlegislation.uk/eu-regulation-2013-231",
  "path": "annex/III/division/1",
  "kind": "division",
  "number": "1",
  "heading": "An interest rate derivative shall be converted into its equivalent underlying asset position in accordance with the following methodology:",
  "text": "The equivalent underlying asset position of each interest rate derivative instrument shall be calculated as its duration divided by the target duration of the AIF and multiplied by the equivalent underlying asset position:\nEquivalent underlying asset position = duration FDI duration target × CV derivative\nwhere:\nduration FDI is the duration (sensitivity of the market value of the financial derivative instrument to interest rate movements) of the interest rate derivative instrument,\nduration target is in line with the investment strategy, the directional positions and the expected level of risk at any time and will be regularised otherwise. It is also in line with the portfolio duration under normal market conditions,\nCVderivative is the converted value of the derivative position as defined by the Annex II.",
  "extent": "E+W+S+N.I.",
  "status": null,
  "version": "current",
  "annotations": [],
  "outstanding_effects": [],
  "provenance": {
    "source": "legislation.gov.uk",
    "source_url": "https://www.legislation.gov.uk/eur/2013/231/annex/III/division/1",
    "retrieved_at": "2026-11-01T14:48:47.465765+00:00"
  },
  "licence": "Open Government Licence v3.0",
  "licence_url": "https://www.nationalarchives.gov.uk/doc/open-government-licence/version/3/",
  "attribution": "Contains public sector information licensed under the Open Government Licence v3.0. Source: legislation.gov.uk, The National Archives."
}