Prudential Regulation Authority Rulebook

For the purpose of calculating the add-on of a hedging set as referred to in Articles 280a to 280f, the hedging set supervisory factor coefficient ‘ε’ shall be the following:

ε = 1 for the hedging sets established in accordance with Article 277a(1)

5 for the hedging sets established in accordance with point (a) of Article 277a(2)

0.5 for the hedging sets established in accordance with point (b) of Article 277a(2)