Question ID
2021_6214
Legal act
Regulation (EU) No 575/2013 (CRR)
Topic
Market risk
Article
280a
Paragraph
3
COM Delegated or Implementing Acts/RTS/ITS/GLs/Recommendations
Not applicable
Article/Paragraph
280a(3)
Type of submitter
Credit institution
Subject matter
Effective notional amount of bucket 3 in formula for interest rate risk category add-on
Question

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?

 

Background on the question

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).

Submission date
Rejected publishing date
Rationale for rejection

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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Status
Rejected question