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 |