1.For the purposes of Article 278, institutions shall calculate the other risks category add-on for a given netting set as follows:
\mathrm{AddOn}^{\mathrm{Other}} = \sum_{\mathrm{j}} \mathrm{AddOn}_{\mathrm{j}}^{\mathrm{Other}}
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 |
\mathrm{AddOn}_j^{\mathrm{Other}} = 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:
\mathrm{AddOn}_{\mathrm{j}}^{\mathrm{Other}} = \mathrm{j} \cdot \mathrm{SF}^{\mathrm{Other}} \cdot |\mathrm{EffNot}_{\mathrm{j}}^{\mathrm{Other}}|
where:
\mathrm{AddOn}_j^{\mathrm{Other}} = 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 %; |
[IMAGE_1] = the effective notional amount of hedging set j calculated as follows: [IMAGE_2] where: l = the index that denotes the risk position. |