Prudential Regulation Authority Rulebook

1.

For the purposes of Article 278, institutions shall calculate the other risks category add-on for a given netting set as follows:

where:

AddOn^Other = the other risks category add-on;

j = 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

= 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:

where:

= the other risks category add-on for hedging set j;

ε_j = the hedging set supervisory factor coefficient of hedging set j determined in accordance with Article 280;

SF^Other= the supervisory factor for the other risk category with a value equal to 8%; and

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

where:

l = the index that denotes the risk position.