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).