+Article 280a 3.

Article 280a 3.

For the purpose of calculating the effective notional amount of hedging set j, institutions shall first map each transaction of the hedging set to the appropriate bucket in Table 2. They shall do so on the basis of the end date of each transaction as determined under point (a) of Article 279b(1):



Table 2

Bucket

End date

(in years)

1

> 0 and <= 1

2

> 1 and <= 5

3

> 5

Institutions shall then calculate the effective notional amount of hedging set j in accordance with the following formula:

where:

image

=

the effective notional amount of hedging set j; and

Dj,k

=

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

image

where:

l

=

the index that denotes the risk position.

1. Prezentare generală

,

1.1 Referințe

1.2 Cerințe identificate

1.3 Standarde asociate

2. Cerințe identificate

Cerințe

3. Standarde asociate

Standarde