PINS A3.4.4 Asset equivalent value
(1) The asset equivalent value is the current mark-to-market exposure of the derivative (where positive) and a potential exposure add-on.
(2) The potential exposure add-on is determined by multiplying the notional principal amount of the derivative in accordance with the following table, according to the nature and residual maturity of the derivative.
|Residual maturity||Interest rate contracts||Foreign exchange & gold contracts||Equity contracts||Precious metal contracts (except gold)||Other contracts|
|Less than 1 year||Nil||1.0%||6.0%||7.0%||10.0%|
|1 year to less than 5 years||0.5%||5.0%||8.0%||7.0%||12.0%|
|5 years or more||1.5%||7.5%||10.0%||8.0%||15.0%|
|Amended by QFCRA RM/2015-3 (as from 1st January 2016).|