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