Table to § 1.17(c)(5)(iii)(A)(1) -Market Risk Charges for Uncleared Credit Default Swaps
Length of time to maturity of CDS contract | Basis point spread (%) | |||||
100 or less | 101-300 | 301-400 | 401-500 | 501-699 | 700 or more | |
Less than 12 months | 0.67 | 1.33 | 3.33 | 5.00 | 6.67 | 10.00 |
12 months but less than 24 months | 1.00 | 2.33 | 5.00 | 6.67 | 8.33 | 11.67 |
24 months but less than 36 months | 1.33 | 3.33 | 6.67 | 8.33 | 10.00 | 13.33 |
36 months but less than 48 months | 2.00 | 4.00 | 8.33 | 10.00 | 11.67 | 15.00 |
48 months but less than 60 months | 2.67 | 4.67 | 10.00 | 11.67 | 13.33 | 16.67 |
60 months but less than 72 months | 3.67 | 5.67 | 11.67 | 13.33 | 15.00 | 18.33 |
72 months but less than 84 months | 4.67 | 6.67 | 13.33 | 15.00 | 16.67 | 20.00 |
84 months but less than 120 months | 5.67 | 10.00 | 15.00 | 16.67 | 18.33 | 26.67 |
120 months and longer | 6.67 | 13.33 | 16.67 | 18.33 | 20.00 | 33.33 |
Provided, That this paragraph (e) shall not preclude an applicant or registrant from making required tax payments or preclude the payment to partners of reasonable compensation. The Commission may, upon application of the applicant or registrant, grant relief from this paragraph (e) if the Commission deems it to be in the public interest or for the protection of nonproprietary accounts.
17 C.F.R. §1.17
For FEDERAL REGISTER citations affecting § 1.17, see the List of CFR Sections Affected, which appears in the Finding Aids section of the printed volume and at www.govinfo.gov.
Approved by the Office of Management and Budget under control number 3038-0024