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Article 280f - Other risks category add-on

Article 280f

Other risks category add-on

1.  

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

image

where:

AddOnOther

=

the other risks category add-on;

єj

=

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

image

=

the other risks category add-on for hedging set j calculated in accordance with paragraph 2.

2.  

Institutions shall calculate the other risks category add-on for hedging set j as follows:

image

where:

image

=

the other risks category add-on for hedging set j;

єj

=

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

SFOther

=

the supervisory factor for the other risk category with a value equal to 8 %;

image

=

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

image

where:

l

=

the index that denotes the risk position.

In force

Version from: 08/07/2022

Amendment History