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