Counterparty risk

Factor

1.

Transactions in unsettled securities and physical commodities (see definition of long and short position):

1.1

Cash held against documented transactions:

nil

50% of price difference

100% of price difference

1.2

Settlement on balance of transactions:

Through the central clearing house system, with approved guarantees:

full amount

100% of price difference

1.3

Free deliveries (see definition of stock position)

1.3.1

Free delivery amount in respect of:

amount due

full market value

Free delivery amount, multiplied by the following percentage:

1.3.2

Guaranteed transactions:

0 per cent (nil)

100% (full market value)

1.3.3

Other counterparties:

0 per cent (nil)

100% (full market value)

2.

Options purchased for counterparties:

difference between purchase price and market value of the option

100% of option premium

3.

Exchange-traded, margined transactions (including initial margin and variation margin):

nil

100% of shortfall

4.

Repurchase or resale agreements (including lending and borrowing, and sale of buy-back agreements):

market value less 105% of related funds or collateral

notional value less 110% of related funds or collateral

5.

Swaps, forward contracts, over-the-counter options, contracts for differences and off-exchange futures, excluding credit-derivative instruments (credit-equivalent amount)

5.1

Interest-rate swaps in a single currency:

mark-to-market value

mark-to-market value + 0,5% of notional value

5.2

Cross-currency swaps:

mark-to-market value + 1% of notional value

mark-to-market value + 5% of notional value

5.3

Forward rate agreements, over-the-counter futures, options, etc., based on interest rate:

mark-to-market value

mark-to-market value + 0,5% of notional value

5.4

Future rate agreements, over-the-counter futures, options, based on currency-exchange rates, commodity prices or equity prices:

nil

mark to market value + 1% of notional value

mark to market value + 5% of notional value

The counterparty-risk requirement shall be calculated as follows

0%

0%

10%

10%

20%

100%

6.

Credit-derivative instruments (credit-equivalent amount)

mark-to-market value + 6% of notional value

mark-to-market value + 8% of notional value

mark-to-market value + 6% of notional value

mark-to-market value + 8% of notional value

The counterparty-risk requirement shall be calculated as follows:

0%

0%

10%

10%

20%

100%

7.

Loans to counterparties:

100% of amount by which the loan is not property secured

8.

Subunderwriting agreements:

100% of amount due

9.

Other receivables and accrued income not covered elsewhere in this section

100% of amount due