### 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:

AddOn^{IR} = the interest rate risk category add-on;

j = the index that denotes all the interest risk rate *hedging sets* established in accordance with point (a) of Article 277a(1) and with Article 277a(2) for the netting set; and

= the interest rate risk category add-on for *hedging set* j calculated in accordance with paragraph 2.

- 01/01/2022

2.

Institutions shall calculate the interest rate risk category add-on for *hedging set* j as follows:

where:

*ε*_{j} = the *hedging set* supervisory factor coefficient of *hedging set* j determined in accordance with the applicable value specified in Article 280;

SF^{IR} = the supervisory factor for the interest rate risk category with a value equal to 0.5%; and

EffNot^{IR} = the effective notional amount of *hedging set* j calculated in accordance with paragraph 3.

- 01/01/2022

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:

where:

= the effective notional amount of *hedging set* j; and

D_{j,k }= the effective notional amount of bucket k of *hedging set* j calculated as follows:

where:

l = the index that denotes the risk position.

- 01/01/2022