• 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: