Institutions shall calculate the add-on for the equity reference entity k as follows:
where:
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AddOn(Entityk)
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=
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the add-on for the equity reference entity k;
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|
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=
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the supervisory factor applicable to the equity reference entity k; where the equity reference entity k has been established in accordance with point (a) of paragraph 1,
; where the equity reference entity k has been established in accordance with point (b) of paragraph 1,
; and |
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=
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the effective notional amount of the equity reference entity k calculated as follows:
where:
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l
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=
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the index that denotes the risk position.
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