EBA · 2021_6214 Rejected question

Effective notional amount of bucket 3 in formula for interest rate risk category add-on

Regulation
Regulation (EU) No 575/2013 (CRR)
Article
280a, para. 3
Topic
Market risk
Submitted by
Credit institution
Submitted
2021-09-20
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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

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).
No answer published yet.

Original source: European Banking Authority, Q&A ID 2021_6214

This Q&A is published by European Banking Authority and is non-binding. It does not constitute legal advice. Updated weekly from official ESA sources.

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