+Article 280a 2.

Article 280a 2.

Institutions shall calculate the interest rate risk category add-on for hedging set j as follows:

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where:

єj

=

the hedging set supervisory factor coefficient of hedging set j determined in accordance with the applicable value specified in Article 280;

SFIR

=

the supervisory factor for the interest rate risk category with a value equal to 0,5 %; and

image

=

the effective notional amount of hedging set j calculated in accordance with paragraph 3.

1. Overview

,

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards