ANNEX IIITHE TREATMENT OF COUNTERPARTY CREDIT RISK OF DERIVATIVE INSTRUMENTS, REPURCHASE TRANSACTIONS, SECURITIES ORCOMMODITIES LENDING OR BORROWING TRANSACTIONS, LONG SETTLEMENT TRANSACTIONS AND MARGIN LENDING TRANSACTIONS
PART 5
Standardised Method
17.Underlying financial instruments other than debt instruments shall be assigned to the same respective hedging sets only if they are identical or similar instruments. In all other cases they shall be assigned to separate hedging sets. The similarity of instruments is established as follows:
for equities, similar instruments are those of the same issuer. An equity index is treated as a separate issuer;
for precious metals, similar instruments are those of the same metal. A precious metal index is treated as a separate precious metal;
for electric power, similar instruments are those delivery rights and obligations that refer to the same peak or off-peak load time interval within any 24-hour interval; and
for commodities, similar instruments are those of the same commodity. A commodity index is treated as a separate commodity.