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Supervisory Factors, Correlations, and Volatilities

C 52/2017 STA يسري تنفيذه من تاريخ 1/12/2022

60.Table 2 provides the values of Supervisory Factors, correlations, and supervisory option volatilities for use with each asset class and subclass.

61.For any basis transaction hedging set, the Supervisory Factor applicable to its relevant asset class or sub-class must be multiplied by 0.5.

62.For any volatility transaction hedging set, the Supervisory Factor applicable to its relevant asset class or sub-class must be multiplied by 5.0.

Table 2: Supervisory Factors, Correlations, and Volatilities

Asset ClassHedging SetsSubclassSupervisory FactorCorrelationSupervisory Option Volatility
Interest RateOne hedging set for each currency 0.50%N/A50%
Foreign ExchangeOne hedging set for each currency pair 4.00%N/A15%
Credit, Single NameOne hedging set for all credit derivativesAAA
AA
A
BBB
BB
B
CCC
0.38%
0.38%
0.42%
0.54%
1.06%
1.60%
6.00%
50%100%
Credit, IndexInvestment Grade
Speculative Grade
0.38%
1.06%
80%80%
Equity, Single NameOne hedging set for all equity derivativesSingle Name32.00%50%120%
Equity, IndexIndex20.00%80%75%
CommodityEnergyElectricity
Other Energy
40.00%
18.00%
18.00%
18.00%
18.00%
40%150%
70%
70%
70%
70%
MetalsMetals
AgricultureAgriculture
All otherAll other