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DescriptionThe part of capital requirements that recognizes eligible hedges
Reference[MAR50.21]
NotationKhedgedK_{hedged}
FormulaKhedged=(ρ⋅∑c(SCVAc−SNHc)−IH)2+(1−ρ2)⋅∑c(SCVAc−SNHc)2+∑cHMAcK_{hedged}= \sqrt{\left( \rho \cdot \sum_{c} (SCVA_c - SNH_c) - IH\right)^2 + (1-\rho^2)\cdot \sum_c (SCVA_c - SNH_c)^2 + \sum_c HMA_c}