in force 2021-09-30 MODIFIED+8 −60§
Amended by Regulation (EU) 2021/424 32021R0424
applies from: unchanged
Sources disagree — the text comparison found this change; the EU's own amendment metadata does not list it and the amending act's instructions do not mention it. All are shown; none is overruled.
In paragraph 3, the formula text that previously appeared immediately after the phrase introducing the effective notional amount calculation for hedging set j has been removed, leaving only the introductory words followed directly by the 'where' definitions.
Cited: Art. 280a, v1 · Art. 280a, v2
text before / after
02013R0575-20210629 → 02013R0575-20210930
Article 280a
Interest rate risk category add-on
1. For the purposes of Article 278, institutions shall calculate the interest rate risk category add-on for a given netting set as follows:AddOnIRjAddOnIRj
where:
AddOnIR
the interest rate risk category add-on;
j
the index that denotes all the interest rate risk hedging sets established in accordance with point (a) of Article 277a(1) and with Article 277a(2) for the netting set; and
AddOnIRj
the interest rate risk category add-on for hedging set j calculated in accordance with paragraph 2.
2. Institutions shall calculate the interest rate risk category add-on for hedging set j as follows:AddOnIRjєjSFIREffNotIRj
where:
єj
the hedging set supervisory factor coefficient of hedging set j determined in accordance with the applicable value specified in Article 280;
SFIR
the supervisory factor for the interest rate risk category with a value equal to 0,5 %; and
EffNotIRj
the effective notional amount of hedging set j calculated in accordance with paragraph 3.
3. For the purpose of calculating the effective notional amount of hedging set j, institutions shall first map each transaction of the hedging set to the appropriate bucket in Table 2. They shall do so on the basis of the end date of each transaction as determined under point (a) of Article 279b(1):
Table 2
Bucket End date
(in years)
1 > 0 and <= 1
2 > 1 and <= 5
3 > 5
Institutions shall then calculate the effective notional amount of hedging set j in accordance with the following formula:EffNotIRjDj,12Dj,221,4Dj,1Dj,21,4Dj,2Dj,30,6Dj,1Dj,3 formula:
where:
EffNotIRj
the effective notional amount of hedging set j; and
Dj,k
the effective notional amount of bucket k of hedging set j calculated as follows:Dj,kl ∈ Bucket kRiskPositionl
where:
l
the index that denotes the risk position.