Article 280a(3) of the CRR establishes the formula for effective notional amount of hedging set j for calculating the interest rate risk category add-on.
Shall the square value of the effective notional of bucket 3 be included in the formula?
In the Proposed amendment to Regulation (EU) No 575/2013 COM(2016) 850 final 2016/0360 (COD), the formula contained an additional factor i.e. the square value of the effective notional amount of bucket 3, which is missing in the final version. This factor is also included in the formula presented in the Basel III framework, CRE52 52.57(5).
This question has been rejected because the issue it deals with is already explained or addressed in point 15 of Article 280a(3) of Regulation (EU) No 575/2013 (CRR) (Corrigendum to Regulation (EU) 2019/876).
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