CRR › Article 280b
Article 280b Foreign exchange risk category add-on
official text, verbatim
1
For the purposes of Article 278, institutions shall calculate the foreign exchange risk category add-on for a given netting set as follows:
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 |
 | = | the foreign exchange risk category add-on for hedging set j calculated in accordance with paragraph 2. |
2
Institutions shall calculate the foreign exchange risk category add-on for hedging set j as follows:
where:
| єj | = | the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280; |
| SFFX | = | the supervisory factor for the foreign exchange risk category with a value equal to 4 %; |
 | = | the effective notional amount of hedging set j calculated as follows: |
where:
| l | = | the index that denotes the risk position. |