EBU Single Rulebook Q&A 22 January 2015 2015_1748 Application of volatility haircuts adjusted under Article 285(3) (extended margin period of risk)

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European Union · · · 19-06-2015

Is the ‘use test’ set out in Article 225(3)(a)/(b) of the CRR intended to be sufficiently strong to invoke the use of haircuts adjusted under Art 285(3) in the non-model exposure calculation for a netting set containing a single SFT?

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