Where:
Where in paragraphs (c)(8)(i)(A) and (B) of this section:
Where:
Where:
Where:
Table 1 to Paragraph (c)(9)(iii)(B)(1)-Supervisory Delta Adjustment for Options Contracts
[LAMBDA] = max{-L + 0.1%, 0}; and
Where Margin Period of Risk (MPOR) refers to the period from the most recent exchange of collateral covering a netting set of derivative contracts with a defaulting counterparty until the derivative contracts are closed out and the resulting market risk is re-hedged.
Where M equals the greater of 10 business days and the remaining maturity of the contract, as measured in business days.
Replacement Cost = max {[SIGMA]NSmax { VNS; 0}- max { CMA; 0}; 0}
+ max {[SIGMA]NSmin { VNS; 0}- min { CMA; 0}; 0}
Where:
VNS is the sum of the fair values (after excluding any valuation adjustments) of the derivative contracts within the netting set NS; and
Table 2 to Paragraph (c)(11)(ii)(B)(2)-Supervisory Option Volatility, Supervisory Correlation Parameters, and Supervisory Factors for Derivative Contracts
Asset class | Category | Type | Supervisory option volatility (percent) | Supervisory correlation factor (percent) | Supervisory factor 1 (percent) |
Interest rate | N/A | N/A | 50 | N/A | 0.50 |
Exchange rate | N/A | N/A | 15 | N/A | 4.0 |
Credit, single name | Investment grade | N/A | 100 | 50 | 0.46 |
Speculative grade | N/A | 100 | 50 | 1.3 | |
Sub-speculative grade | N/A | 100 | 50 | 6.0 | |
Credit, index | Investment Grade | N/A | 80 | 80 | 0.38 |
Speculative Grade | N/A | 80 | 80 | 1.06 | |
Equity, single name | N/A | N/A | 120 | 50 | 32 |
Equity, index | N/A | N/A | 75 | 80 | 20 |
Commodity | Energy | Electricity | 150 | 40 | 40 |
Other | 70 | 40 | 18 | ||
Metals | N/A | 70 | 40 | 18 | |
Agricultural | N/A | 70 | 40 | 18 | |
Other | N/A | 70 | 40 | 18 |
1 The applicable supervisory factor for basis derivative contract hedging sets is equal to one-half of the supervisory factor provided in this table 2, and the applicable supervisory factor for volatility derivative contract hedging sets is equal to 5 times the supervisory factor provided in this table 2.
Where:
A = [SIGMA]i 0.75 * wi2 * (Mi * EADitotal - Mihedge * Bi)2
Table 3 to Paragraph (d)(5)(ii)-Assignment of Counterparty Weight
Internal PD (in percent) | Weight wi (in percent) |
0.00-0.07 | 0.70 |
>0.070-0.15 | 0.80 |
>0.15-0.40 | 1.00 |
>0.40-2.00 | 2.00 |
>2.00-6.00 | 3.00 |
>6.00 | 10.00 |
12 C.F.R. §1240.36