• Add - On For Foreign Exchange Derivatives

    • A4.6.48 PRU A4.6.48

      The effective notional for foreign exchange derivatives is calculated in accordance with the following formula:

      where i ε HSj refers to trades of hedging set HSj

      • Guidance

        The effective notional for each currency pair, given by the above formula, is the sum of the trade-level adjusted notional amounts multiplied by the supervisory delta adjustments and the maturity factor.

    • PRU A4.6.49

      The Authorised Person must calculate the hedging set level add-on in accordance with the following formula:

    • PRU A4.6.50

      The Authorised Person must then aggregate the foreign exchange derivative addon across hedging sets by simple summation, as follows: