Version status: Inserted | Document consolidation status: Updated to reflect all known changes
Version date: 27 June 2019 - onwards
    Version 1 of 1    

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

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.