+Article 280b 1.

Article 280b 1.

For the purposes of Article 278, institutions shall calculate the foreign exchange risk category add-on for a given netting set as follows:

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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

image

=

the foreign exchange risk category add-on for hedging set j calculated in accordance with paragraph 2.

1. Overview

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1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements

3. Related Standards

Standards