in force 2021-06-28 INSERTED+1,082 −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 provision is newly inserted and sets out a method for institutions to calculate an add-on for the other risks category within a netting set, defined as the sum of add-ons for each other risk hedging set.
It further specifies how the add-on for a given hedging set j is calculated, using a supervisory factor of 8% for the other risk category, a hedging set supervisory factor coefficient, and an effective notional amount derived from summing risk positions within that hedging set.
Cited: Art. 280f, v2
text before / after
inserted text (02013R0575-20210629)
Article 280f Other risks category add-on 1. For the purposes of Article 278, institutions shall calculate the other risks category add-on for a given netting set as follows:AddOnOtherjAddOnOtherj where: AddOnOther the other risks category add-on; єj the index that denotes the other risk hedging sets established in accordance with point (f) of Article 277a(1) and Article 277a(2) for the netting set; and AddOnOtherj the other risks category add-on for hedging set j calculated in accordance with paragraph 2. 2. Institutions shall calculate the other risks category add-on for hedging set j as follows:AddOnOtherjєjSFOtherEffNotOtherj where: AddOnOtherj the other risks category add-on for hedging set j; єj the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280; and SFOther the supervisory factor for the other risk category with a value equal to 8 %; EffNotOtherj the effective notional amount of hedging set j calculated as follows:EffNotOtherjl ∈ Hedging set jRiskPositionl where: l the index that denotes the risk position.