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E. Hedging Sets

C 52/2017 STA Effective from 1/4/2021

Question E1: Can different floating rates within the same base currency be included in single hedging set?
Yes, for interest rate derivatives, all rates within one base currency should be included in a single hedging set.

Question E2: Is it possible to determine a hedging set in the absence of a netting set?
Yes, without a netting set, the hedging set would consist of a single transaction, and the add-on would be simply the effective notional amount of that one transaction.