Document ID: chunk:federal_register_of_legislation:F2023L01599:reg:6:p20
Version: federal_register_of_legislation:F2023L01599
Segment Type: reg
Provision Reference: reg 6 (pt 20/35)
Character Range: 77884–80685

for category k, denoted by Dj,kIR, must be calculated as the sum of all individual transaction level (i) quantities, according to:
where:
I(j,k) = the set of all interest rate transactions belonging to maturity category k and hedging set j;
ẟi = the supervisory delta adjustment for transaction i, calculated according to paragraphs 43 to 47 of this Attachment;
MFi = the maturity factor for transaction i, calculated according to paragraph 48 of this Attachment; and
diIR = the adjusted notional amount for transaction i, and must be calculated as:
where:
Ni = the notional amount of transaction i, converted to AUD, using the exchange rate on the calculation date. The parameter Ni is also subject to the requirements in paragraph 42 of this Attachment;
Si = the start date for transaction i; and
Ei = the end date for transaction i.

Add-on for foreign exchange derivative transactions
26.         For the foreign exchange asset class, hedging sets must be constructed according to paragraph 19 of this Attachment.
27.         The add-on for each hedging set j, AddOnjFX, must be calculated as:
where:
SFFX = the supervisory factor for the foreign exchange asset class (refer to paragraph 49 of this Attachment); and
EffectiveNotionaljFX = effective notional amount for hedging set j, calculated according to paragraph 28 of this Attachment.
28.         The effective notional amount for hedging set j, denoted by  EffectiveNotionaljFX, must be calculated as the sum of all individual transaction level (i) quantities, according to:
where:
I(j) = the set of all foreign exchange transactions belonging to hedging set j;
ẟi = the supervisory delta adjustment for transaction i, calculated according to paragraphs 43 to 47 of this Attachment;
MFi = the maturity factor for transaction i, calculated according to paragraph 48 of this Attachment; and
diFX = the adjusted notional amount for transaction i. It must be set as the notional of the foreign currency leg of transaction i, converted to AUD using the exchange rate on the calculation date. If both legs are denominated in currencies other than AUD, the notional amount of each leg must first be converted to AUD using the exchange rate on the calculation date and diFX must be set as the leg with the larger AUD value. The adjusted notional amount is also subject to the requirements in paragraph 42 of this Attachment.

Add-on for credit derivative transactions
29.         With the exception of separate hedging sets for basis and volatility transactions, a single core hedging set must be used for all credit derivative transactions. Within the core hedging set (refer to paragraph 19 of this Attachment), transactions must be further divided into different categories, with each category (k) containing all the transactions referencing the