Supervisory Factors, Correlations, and Volatilities
C 52/2017 STA Effective from 1/12/202260.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 Class | Hedging Sets | Subclass | Supervisory Factor | Correlation | Supervisory Option Volatility |
| Interest Rate | One hedging set for each currency | 0.50% | N/A | 50% | |
| Foreign Exchange | One hedging set for each currency pair | 4.00% | N/A | 15% | |
| Credit, Single Name | One hedging set for all credit derivatives | AAA AA A BBB BB B CCC | 0.38% 0.38% 0.42% 0.54% 1.06% 1.60% 6.00% | 50% | 100% |
| Credit, Index | Investment Grade Speculative Grade | 0.38% 1.06% | 80% | 80% | |
| Equity, Single Name | One hedging set for all equity derivatives | Single Name | 32.00% | 50% | 120% |
| Equity, Index | Index | 20.00% | 80% | 75% | |
| Commodity | Energy | Electricity Other Energy | 40.00% 18.00% 18.00% 18.00% 18.00% | 40% | 150% 70% 70% 70% 70% |
| Metals | Metals | ||||
| Agriculture | Agriculture | ||||
| All other | All other |