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:
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 |
|
|
= |
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:
where:
|
|
= |
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 %; |
|
|
= |
the effective notional amount of hedging set j calculated as follows:
where:
|
