1.For the purposes of Article 278, institutions shall calculate the foreign exchange risk category add-on for a given netting set as follows:
\mathrm{AddOn}^{\mathrm{FX}} = \sum_{\mathrm{j}} \mathrm{AddOn}_{\mathrm{j}}^{\mathrm{FX}}
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 |
\mathrm{AddOn}_{j}^{\mathrm{FX}} = 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:
\mathrm{AddOn}_j^{\mathrm{FX}} = \delta_j \cdot \mathrm{SF}^{\mathrm{FX}} \cdot |\mathrm{EffNot}_j^{\mathrm{FX}}|
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 %; |
\mathrm{EffNot}_j^{\mathrm{FX}} = the effective notional amount of hedging set j calculated as follows: |
\mathrm{EffNot}_{\mathrm{j}}^{\mathrm{FX}} = \sum_{\mathrm{l} \in \text{Hedging set } \mathrm{j}} \mathrm{RiskPosition}_{\mathrm{l}}
where:
l = the index that denotes the risk position. |