Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
    Version 1 of 1    

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:

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:

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

EffNotjIR= the effective notional amount of hedging set j calculated in accordance with paragraph 3

3. For the purpose of calculating the effective notional am