PIN A4.6.4

The asset equivalent amount in respect of a derivative is calculated as the sum of the current mark-to-market exposure of the derivative (where this is positive) and the amount obtained by multiplying the notional principal amount of the derivative by the factors specified in the following table, according to the nature and residual maturity of the derivative.

Residual maturity A B C D E
(a) Less than 1 year NIL 1.0% 6.0% 7.0% 10.0%
(b) 1 year or more, but less than 5 years 0.5% 5.0% 8.0% 7.0% 12.0%
(c) 5 years or more 1.5% 7.0% 10.0% 8.0% 15.0%


A means interest rate contracts;

B means foreign exchange and gold contracts;

C means equity contracts;

D means precious metal contracts (other than gold); and

E means other contracts.