- 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