+Article 280b 2.

Article 280b 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 %;

the effective notional amount of hedging set j calculated as follows:

where:

the index that denotes the risk position.

1. Übersicht

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Anforderungen
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Standards
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