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)
Disclose name of institution / entity:
No
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).

Date of submission:
20/09/2021
Published as Rejected Q&A
22/02/2022
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
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