Step 2
PRU A4.6.41
The Authorised Person must aggregate across maturity buckets for each hedging set in accordance with the following formula:
PRU A4.6.42
The Authorised Person must then determine the hedging set level add-on in accordance with the following formula:
PRU A4.6.43
The Authorised Person must then aggregate the interest rate derivative add-on across hedging sets by simple summation, as follows:
