Art. 277a

Capital Requirements Regulation · 32013R0575 · every event for this act · on EUR-Lex

Hedging sets

3 changes recorded across 3 events, newest first.

in force 2025-01-01 MODIFIED+236 −0§

Amended by Regulation (EU) 2024/1623 32024R1623 · Regulation (EU) 2024/2987 32024R2987 · Regulation (EU) 2024/2795 32024R2795

applies from: unchanged

The after text adds a new subparagraph to paragraph 2, stating that for the purposes of point (a) of the first subparagraph of that paragraph, institutions shall assign transactions to a separate hedging set of the relevant risk category following the same hedging set construction set out in paragraph 1.

This sentence did not appear in the earlier version of Article 277a(2), which ended after the rule on positively correlated risk drivers in point (b).

Cited: Art. 277a, v2 · Art. 277a, v1

text before / after

02013R0575-20240709 → 02013R0575-20250101

Article 277a Hedging sets 1. Institutions shall establish the relevant hedging sets for each risk category of a netting set and assign each transaction to those hedging sets as follows: (a) transactions mapped to the interest rate risk category shall be assigned to … 576 unchanged words … to in point (b) of the first subparagraph to one of the hedging sets established in accordance with paragraph 1, on the basis of only one of the two risk drivers referred to in point (b) of the first subparagraph. For the purposes of the first subparagraph, point (a), of this paragraph, institutions shall assign transactions to a separate hedging set of the relevant risk category following the same hedging set construction set out in paragraph 1. 3. Institutions shall make available upon request by the competent authorities the number of hedging sets established in accordance with paragraph 2 of this Article for each risk category, with the primary risk driver, or the most material risk driver in the given risk category for transactions referred to in Article 277(3), or the pair of risk drivers of each of those hedging sets and with the number of transactions in each of those hedging sets.

in force 2024-07-09 MODIFIED§

Amended by Regulation (EU) 2024/1623 32024R1623

applies from: unknown

Sources disagree — the amending act's instructions found this change; the text comparison finds no difference in the provision's text and the EU's own amendment metadata does not list it. All are shown; none is overruled.

No explanation shipped — the structural diff did not see this change, so it carries no text; another signal named the unit and the disagreement ships as `disputed`.

text before / after, on the event page →

in force 2021-06-28 INSERTED§

Amended by Regulation (EU) 2019/2033 32019R2033 · Regulation (EU) 2019/876 32019R0876 · Regulation (EU) 2021/558 32021R0558 · Regulation (EU) 2020/873 32020R0873

applies from: unknown (an inserted provision states its own application date only in prose)

Sources disagree — the text comparison found this change; the EU's own amendment metadata does not list it. Both are shown; neither is overruled.

This is a newly inserted Article 277a, which sets out rules for institutions to establish hedging sets for each risk category of a netting set and to assign transactions to them based on criteria such as currency, currency pair, risk category, or identical primary risk driver.

It also requires separate individual hedging sets for transactions whose primary risk driver is volatility, realised volatility, correlation between risk drivers, or a difference between two risk drivers, with further rules on assigning such transactions and on making information about these hedging sets available to competent authorities upon request.

Cited: Art. 277a, v2

text before / after, on the event page →