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Recital 9

Recital 9

(9)In order to render the spot or forward interest rate and the strike of the option positive, the λ shift should be large enough to enable institutions to calculate the supervisory delta of a transaction in accordance with the formula laid down in Article 279a(1) of Regulation (EU) No 575/2013, but at the same time small enough not to introduce unnecessary bias in the outcome of the supervisory delta calculation.

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