1. For the purposes of Article 278, institutions shall calculate the interest rate risk category add-on for a given netting set as follows:
where:
AddOnIR = the interest rate risk category add-on;
j = the index that denotes all the interest rate risk hedging sets established in accordance with point (a) of Article 277a(1) and with Article 277a(2) for the netting set; and
AddOnIRj = the interest rate risk category add-on for hedging set j calculated in accordance with paragraph 2.
2. Institutions shall calculate the interest rate 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 the applicable value specified in Article 280;
SFIR = the supervisory factor for the interest rate risk category with a value equal to 0,5 %; and
EffNotjIR= the effective notional amount of hedging set j calculated in accordance with paragraph 3
3. For the purpose of calculating the effective notional am
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