in force 2021-06-28 INSERTED+1,061 −0§
Amended by Regulation (EU) 2019/2033 32019R2033 · Regulation (EU) 2019/876 32019R0876 · Regulation (EU) 2021/558 32021R0558 · Regulation (EU) 2020/873 32020R0873
applies from: unknown (an inserted provision states its own application date only in prose)
Sources disagree — the text comparison found this change; the EU's own amendment metadata does not list it. Both are shown; neither is overruled.
This is a newly added provision that sets out how institutions calculate the foreign exchange risk category add-on for a netting set, expressed as the sum of add-ons across foreign exchange hedging sets.
It further specifies the calculation for each hedging set using a supervisory factor coefficient, a fixed supervisory factor of 4% for foreign exchange risk, and an effective notional amount derived by summing risk positions within that hedging set.
Cited: Art. 280b, v2
text before / after
inserted text (02013R0575-20210629)
Article 280b Foreign exchange risk category add-on 1. For the purposes of Article 278, institutions shall calculate the foreign exchange risk category add-on for a given netting set as follows:AddOnFXjAddOnFXj 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 AddOnFXj 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:AddOnFXjєjSFFXEffNotFXj 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 %; EffNotFXj the effective notional amount of hedging set j calculated as follows:EffNotFXjl ∈ Hedging set jRiskPositionl where: l the index that denotes the risk position.