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:
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 |
|
|
= |
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:
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 %; |
|
|
= |
the effective notional amount of hedging set j calculated as follows: |
where:
|
l |
= |
the index that denotes the risk position. |