Version in force , Modified +8 −60§
Amended by Regulation (EU) 2021/424 32021R0424 on EUR-Lex (external, EUR-Lex)
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Explanation, written by a model and checked against the cited text
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 (external, EUR-Lex) · Art. 280a, 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 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.