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PIB A4.6.19

For OTC Derivative transactions other than Credit Derivatives, PFCE is calculated by multiplying the NP of the contract by the appropriate percentage from the table below.

Type of contract Residual maturity of contract
<1 Year 1–5 Years >5 Years
Single currency interest rate basis swaps 0.0% 0.0% 0.0%
Interest rate Single currency interest rate swaps other than basis swaps
Multiple currency basis swaps
Forward-rate agreements
Interest rate futures
Interest rate Options purchased
Derivatives referenced on an Investment Grade debt Item
Other contracts of a similar nature to those in this box.
0.0% 0.5% 1.5%
Foreign exchange (including gold) except as referred to in A4.6.20 Cross-currency interest-rate swaps.

Forward foreign exchange contracts.

Currency futures.

Currency Options purchased.

Other contracts of a similar nature to those in this box, including gold.
1.0% 5.0% 7.5%
Equities Cash settled forward contracts

Contracts of a nature similar to those in the interest rate and foreign exchange boxes.

Derivatives referenced on a bond which is not an Investment Grade debt Item.
6.0% 8.0% 10.0%
Precious metals (except gold) Contracts of a nature similar to those in the interest rate and foreign exchange boxes concerning precious metals, except gold. 7.0% 7.0% 8.0%
Commodities (except precious metals) and any other contracts Contracts of a nature similar to those in the interest rate or foreign exchange boxes concerning commodities other than precious metals. 10.0% 12.0% 15.0%
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]