max{0, [([SIGMA]E-[SIGMA]C) + [SIGMA](Es * Hs) + [SIGMA](Efx * Hfx)]},
Where:
Table 1 to Paragraph (b)(2)(ii)(A)-Standard Supervisory Market Price Volatility Haircuts 1
Residual maturity | Haircut (in percent) assigned based on: | Investment grade securitization exposures (in percent) | |||||
Sovereign issuers risk weight under § 1240.32 2 (in percent) | Non-sovereign issuers risk weight under § 1240.32 (in percent) | ||||||
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 | 4.0 | 4.0 |
Greater than 1 year and less than or equal to 5 years | 2.0 | 3.0 | 15.0 | 4.0 | 6.0 | 8.0 | 12.0 |
Greater than 5 years | 4.0 | 6.0 | 15.0 | 8.0 | 12.0 | 16.0 | 24.0 |
Main index equities (including convertible bonds) and gold | 15.0 | ||||||
Other publicly traded equities (including convertible bonds) | 25.0 | ||||||
Mutual funds | Highest haircut applicable to any security in which the fund can invest. | ||||||
Cash collateral held | Zero. | ||||||
Other exposure types | 25.0 |
1 The market price volatility haircuts in table 1 are based on a 10 business-day holding period.
2 Includes a foreign PSE that receives a zero percent risk weight.
Where:
Where:
12 C.F.R. §1240.39