Version in force , Modified +101 −41§
Amended by Regulation (EU) 2021/424 32021R0424 on EUR-Lex (external, EUR-Lex)
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In point (a) of Article 279b(1)(1), the explicit supervisory duration factor formula line that appeared before the definitions of R, S and E has been removed, and a new defined term, OneBusinessYear, expressed as one year in business days using the relevant business day convention, has been added to the definitions following E.
Cited: Art. 279b, v1 (external, EUR-Lex) · Art. 279b, v2 (external, EUR-Lex)
v1 is the previous version, v2 this one.
Text from EUR-Lex, before and after
Previous version, in force 28 June 2021 02013R0575-20210629 → this version, in force 30 September 2021 02013R0575-20210930
Article 279b
Adjusted notional amount
1. Institutions shall calculate the adjusted notional amount as follows:
(a) for transactions mapped to the interest rate risk category or the credit risk category, institutions shall calculate the adjusted notional amount as the product of the notional amount of the derivative contract and the supervisory duration factor, which shall be calculated as follows:
supervisory duration factorexpRSexpRER
where:
R
the supervisory discount rate; R = 5 %;
S
the period between the start date of a transaction and the reporting date, which shall be expressed in years using the relevant business day convention; and
E
the period between the end date of a transaction and the reporting date, which shall be expressed in years using the relevant business day convention; and OneBusinessYear = one year expressed in business days using the relevant business day convention.
The start date of a transaction is the earliest date at which at least a contractual payment under the transaction, to or from the institution, is either fixed or exchanged, other than payments related to … 819 unchanged words … reporting currency at the prevailing spot exchange rate where the adjusted notional amount is calculated under this Article from a contractual notional amount or a market price of the number of units of the underlying instrument denominated in another currency.