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Capital Requirements Regulation (CRR)
Article 280a

Article 280a - Interest rate risk category add-on

Status
In force
Selected consolidated version from
30/09/2021
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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:

image

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

image

=

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:

image

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

image

=

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:

image

where:

image

=

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:

image

where:

l

=

the index that denotes the risk position.

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