Institutions shall calculate the commodity risk category add-on for hedging set j as follows:
where:
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=
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the commodity risk category add-on for hedging set j;
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єj
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=
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the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;
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ρCom
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=
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the correlation factor of the commodity risk category with a value equal to 40 %;
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k
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=
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the index that denotes the commodity reference types of the netting set established in accordance with paragraph 2; and
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=
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the add-on for the commodity reference type k calculated in accordance with paragraph 5.
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