PRU A4.6.34

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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
Credit, index	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