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Article 495p - Transitional provisions on own funds requirements for residual risk add-on under the alternative standardised approach

Article 495p
Transitional provisions on own funds requirements for residual risk add-on under the alternative standardised approach

By way of derogation from Article 325u and until 31 December 2029, institutions shall apply a multiplier equal to 0 to the own funds requirements for residual risks calculated in accordance with that Article for the following instruments:

(a)

instruments that reference future realised volatility as an underlying and that would not attract a residual risk add-on for other reasons;

(b)

instruments that are options that can be exercised on a finite set of predetermined dates and that would not attract a residual risk add-on for other reasons;

(c)

instruments that are options on the difference between two constant maturity swap rates denominated in the same currency and that would not attract a residual risk add-on for other reasons.

Official text · consolidated version 01/01/2027 (not yet in force) Open full page ↗
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