Document ID: chunk:federal_register_of_legislation:F2023L01599:reg:6:p19
Version: federal_register_of_legislation:F2023L01599
Segment Type: reg
Provision Reference: reg 6 (pt 19/35)
Character Range: 75294–78124

underlying derivative contract.
Si      Start date                         The time interval between the calculation date (today) and the start date of the time period referenced by transaction i, measured in years. The time period referenced by transaction i is subject to a floor of 10 business days. If the start date has occurred (e.g. an ongoing interest rate swap), Si must be set to zero. If transaction i references the value of another interest rate or credit instrument (e.g. a swaption or bond option), the time period must be determined on the basis of the underlying instrument. This parameter, Si, applies only to interest rate and credit transactions.
Ei      End date                           The time interval between the calculation date (today) and the end date of the time period referenced by transaction i, measured in years. The time period referenced by transaction i is subject to a floor of 10 business days. If the start date has occurred (e.g. an ongoing interest rate swap), Si must be set to zero. If transaction i references the value of another interest rate or credit instrument (e.g. a swaption or bond option), the time period must be determined on the basis of the underlying instrument. This parameter, Ei, applies only to interest rate and credit transactions.

Add-on for interest rate derivative transactions
22.         For the interest rate asset class, within each hedging set (refer to paragraph 19 of this Attachment), transactions must be divided into three maturity categories based on the end date of the transaction: less than one year (k = 1), between one to five years (k = 2) and more than five years (k = 3).
23.         For the interest rate asset class, the add-on for each hedging set j, AddOnjIR, must be calculated as:
where:
SFIR = the supervisory factor for the interest rate asset class (refer to paragraph 49); and
EffectiveNotionaljIR = the hedging set level (j) effective notional amount defined in paragraph 24 of this Attachment.
24.         The effective notional amount for hedging set j, EffectiveNotionaljIR, is the aggregate effective notional amounts across the three maturity categories. An ADI must aggregate the three category-level (k) effective notional amounts using the following formula where partial offsetting is recognised:
Alternatively, an ADI may elect to not recognise any offsetting across maturity categories in which case the formula to be used is:

where Dj,kIR = the effective notional amount for category k, defined in paragraph 25 of this Attachment.
25.         The effective notional amount for category k, denoted by Dj,kIR, must be calculated as the sum of all individual transaction level (i) quantities, according to:
where:
I(j,k) = the set of all interest rate transactions belonging to maturity category k and hedging set j;