• Supervisory factors, correlation and supervisory option volatilities

    • PRU A4.6.34

      Supervisory factors are specific to each asset class. The Authorised Person must refer to the table below to determine the supervisory factor relevant to their determination of the add-on for their particular asset class in accordance with the asset-class-specific formulae set out in Rules A4.6.35 to A4.6.58.

      Asset Class Subclass Supervisory factor SF (%) Correlation ρ (%) Supervisory option volatility σ (%)
      Interest rate   0.50 n/a 50
      Foreign exchange   4.0 n/a 15
      Credit, single name (where CQG represents Credit Quality Grade) CQG 1 0.38 50 100
      CQG 2 0.42 50 100
      CQG 3 0.54 50 100
      CQG 4 1.06 50 100
      CQG 5 1.6 50 100
      CQG 6 6.0 50 100
      Credit, index Investment Grade 0.38 80 80
      Non-Investment Grade 1.06 80 80
      Equity, single name   32 50 120
      Equity, index   20 80 75
      Commodity Electricity 40 40 150
      Oil/Gas 18 40 70
      Metals 18 40 70
      Agricultural 18 40 70
      Other 18 40 70