CRR Tool
Capital Requirements Regulation (CRR)
Article 280b

Article 280b - Foreign exchange risk category add-on

Status
In force
Selected consolidated version from
30/09/2021
Search all articles and keywords within this legal act

Article 280b

Foreign exchange risk category add-on

1.  

For the purposes of Article 278, institutions shall calculate the foreign exchange risk category add-on for a given netting set as follows:

image

where:

AddOnFX

=

the foreign exchange risk category add on;

j

=

the index that denotes the foreign exchange risk hedging sets established in accordance with point (b) of Article 277a(1) and with Article 277a(2) for the netting set; and

image

=

the foreign exchange risk category add-on for hedging set j calculated in accordance with paragraph 2.

2.  

Institutions shall calculate the foreign exchange risk category add-on for hedging set j as follows:

image

where:

єj

=

the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;

SFFX

=

the supervisory factor for the foreign exchange risk category with a value equal to 4 %;

image

=

the effective notional amount of hedging set j calculated as follows:

image

where:

l

=

the index that denotes the risk position.

Related documents