Division 1 The notional amounts or underlying values, as applicable, of the |OTC derivative contracts in a netting set shall be multiplied by the percentages in the following Table 1:
United Kingdom
Table 1
| Category | Add-on factor |
|---|---|
| Credit: 0-2 year residual maturity | 2 % |
| Credit: 2-5 year residual maturity | 5 % |
| Credit: 5+ year residual maturity | 10 % |
| Commodity | 15 % |
| Equity | 15 % |
| Foreign exchange | 6 % |
| Interest rate and inflation: 0-2 year residual maturity | 1 % |
| Interest rate and inflation: 2-5 year residual maturity | 2 % |
| Interest rate and inflation: 5+ year residual maturity | 4 % |
| Other | 15 % |