+Article 280e 4.

Article 280e 4.

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

image

where:

image

=

the commodity risk category add-on for hedging set j;

єj

=

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

ρCom

=

the correlation factor of the commodity risk category with a value equal to 40 %;

k

=

the index that denotes the commodity reference types of the netting set established in accordance with paragraph 2; and

image

=

the add-on for the commodity reference type k calculated in accordance with paragraph 5.

1. Overview

,
Summary Regulation

1.1 References

1.2 Identified Requirements

1.3 Related Standards

2. Identified Requirements

Requirements
Source Requirement

3. Related Standards

Standards
Source Requirement