{0, [(E-C) + (Esx Hs) + (Efxx Hfx)]}
Where:
E = for eligible margin loans and repo-style transactions and netting sets thereof, the value of the exposure (the sum of the current fair values of all instruments, gold, and cash the System institution has lent, sold subject to repurchase, or posted as collateral to the counterparty under the transaction (or netting set)); and
E = for collateralized derivative contracts and netting sets thereof, the exposure amount of the OTC derivative contract (or netting set) calculated under § 628.34(c) or (d) .
C = the value of the collateral (the sum of the current fair values of all instruments, gold and cash the System institution has borrowed, purchased subject to resale, or taken as collateral from the counterparty under the transaction (or netting set));
Es = the absolute value of the net position in a given instrument or in gold (where the net position in the instrument or gold equals the sum of the current fair values of the instrument or gold the System institution has lent, sold subject to repurchase, or posted as collateral to the counterparty minus the sum of the current fair values of that same instrument or gold the System institution has borrowed, purchased subject to resale, or taken as collateral from the counterparty);
Hs = the fair value price volatility haircut appropriate to the instrument or gold referenced in Es;
Efx = the absolute value of the net position of instruments and cash in a currency that is different from the settlement currency (where the net position in a given currency equals the sum of the current fair values of any instruments or cash in the currency the System institution has lent, sold subject to repurchase, or posted as collateral to the counterparty minus the sum of the current fair values of any instruments or cash in the currency the System institution has borrowed, purchased subject to resale, or taken as collateral from the counterparty); and
Hfx = the haircut appropriate to the mismatch between the currency referenced in Efx and the settlement currency.
Table 1 to § 628.37 -Standard Supervisory Market Price Volatility Haircut1
Residual maturity | Haircut (in percent) assigned based on | Investment grade securitization exposures (in percent) | |||||
Sovereign issuers risk weight under § 628.32 2 | Non-sovereign issuers risk weight under § 628.32 | ||||||
Zero | 20% or -50% | 100% | 20% | 50% | 100% | ||
Less than or equal to 1 year | 0.5 | 1.0 | 15.0 | 1.0 | 2.0 | 25.0 | 4.0% |
Great than 1 years and less than and equal to 5 years | 2.0 | 3.0 | 15.0 | 4.0 | 6.0 | 25.0 | 12.0% |
Greater than 5 years | 4.0 | 6.0 | 15.0 | 8.0 | 12.0 | 25.0 | 24.0% |
Main index equities (including convertible bonds) and gold | 15.0% | ||||||
Other publically traded equities (including convertible bonds) | 25.0% | ||||||
Mutual funds | Highest haircut applicable to any security in which the fund can invest | ||||||
Cash collateral | 0% |
1 The market price volatility haircut in Table 1 to § 628.37 are based on 10-day holding period.
2 Includes a foreign PSE that receives a 0-percent risk weight.
Where:
TM = a holding period of longer than 10 business days for eligible margin loans and derivative contracts or longer than 5 business days for repo-style transactions;
HS = the standard supervisory haircut; and
TS = 10 business days for eligible margin loans and derivative contracts or 5 business days for repo-style transactions.
12 C.F.R. §628.37