Art. 281

texts differ too much for an inline diff; shown separately

before (02013R0575-20201228)

Article 281
Interest rate risk positions
1. In order to calculate interest rate risk position, institutions shall apply the following provisions.
2. For interest rate risk positions from the following:
(a) money deposits received from the counterparty as collateral;
(b) a payment legs;
(c) underlying debt instruments,
to which in each case a capital charge of 1,60 % or less applies in accordance with Table 1 of Article 336, institutions shall assign those positions to one of the six hedging sets for each currency set out in Table 4.
Table 4
Government referenced interest rates Non-government referenced interest rates
Maturity < 1 year < 1 year
>1 ≤ 5 years > 5 years
>1 ≤ 5 years > 5 years
3. For interest rate risk positions from underlying debt instruments or payment legs for which the interest rate is linked to a reference interest rate that represents a general market interest level, the remaining maturity shall be the length of the time interval up to the next re-adjustment of the interest rate. In all other cases, it shall be the remaining life of the underlying debt instrument or, in the case of a payment leg, the remaining life of the transaction.

after (02013R0575-20210629)

Article 281
Calculation of the exposure value
1. Institutions shall calculate a single exposure value at netting set level in accordance with Section 3, subject to paragraph 2 of this Article.
2. The exposure value of a netting set shall be calculated in accordance with the following requirements:
(a) institutions shall not apply the treatment referred to in Article 274(6);
(b) by way of derogation from Article 275(1), for netting sets that are not referred to in Article 275(2), institutions shall calculate the replacement cost in accordance with the following formula:
RC = max{CMV, 0}
where:
RC
the replacement cost; and
CMV
the current market value.
(c) by way of derogation from Article 275(2) of this Regulation, for netting sets of transactions: that are traded on a recognised exchange; that are centrally cleared by a central counterparty authorised in accordance with Article 14 of Regulation (EU) No 648/2012 or recognised in accordance with Article 25 of that Regulation; or for which collateral is exchanged bilaterally with the counterparty in accordance with Article 11 of Regulation (EU) No 648/2012, institutions shall calculate the replacement cost in accordance with the following formula:
RC = TH + MTA
where:
RC
the replacement cost;
TH
the margin threshold applicable to the netting set under the margin agreement below which the institution cannot call for collateral; and
MTA
the minimum transfer amount applicable to the netting set under the margin agreement;
(d) by way of derogation from Article 275(3), for multiple netting sets that are subject to a margin agreement, institutions shall calculate the replacement cost as the sum of the replacement cost of each individual netting set, calculated in accordance with paragraph 1 as if they were not margined;
(e) all hedging sets shall be established in accordance with Article 277a(1);
(f) institutions shall set to 1 the multiplier in the formula that is used to calculate the potential future exposure in Article 278(1), as follows:
PFEaAddOna
where:
PFE
the potential future exposure; and
AddOn(a)
the add-on for risk category a;
(g) by way of derogation from Article 279a(1), for all transactions, institutions shall calculate the supervisory delta as follows:
δ = + 1 where the transaction is a long position in the primary risk driver
– 1 where the transaction is a short position in the primary risk driver
where:
δ
the supervisory delta;
(h) the formula referred to in point (a) of Article 279b(1) that is used to compute the supervisory duration factor shall read as follows:
supervisory duration factor = E – S
where:
E
the period between the end date of a transaction and the reporting date; and
S
the period between the start date of a transaction and the reporting date;
(i) the maturity factor referred to in Article 279c(1) shall be calculated as follows:
(i) for transactions included in netting sets referred to in Article 275(1), MF = 1;
(ii) for transactions included in netting sets referred to in Article 275(2) and (3), MF = 0,42;
(j) the formula referred to in Article 280a(3) that is used to calculate the effective notional amount of hedging set j shall read as follows:
EffNotIRjDj,1Dj,2Dj,3
where:
EffNotIRj
the effective notional amount of hedging set j; and
Dj,k
the effective notional amount of bucket k of hedging set j;
(k) the formula referred to in Article 280c(3) that is used to calculate the credit risk category add-on for hedging set j shall read as follows:
AddOnCreditjkAddOnEntityk
where:
AddOnCreditj
the credit risk category add-on for hedging set j; and
AddOn(Entityk)
the add-on for the credit reference entity k;
(l) the formula referred to in Article 280d(3) that is used to calculate the equity risk category add-on for hedging set j shall read as follows:
AddOnEquityjkAddOnEntityk
where:
AddOnEquityj
the equity risk category add-on for hedging set j; and
AddOn(Entityk)
the add-on for the credit reference entity k;
(m) the formula referred to in Article 280e(4) that is used to calculate the commodity risk category add-on for hedging set j shall read as follows:
AddOnComjkAddOnTypejk
where:
AddOnComj
the commodity risk category add-on for hedging set j; and
AddOnTypejk
the add-on for the commodity reference type k.