Texas Register, Volume 37, Number 35, Pages 6819-7008, August 31, 2012 Page: 6,948
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Figure: 7 TAC 12.12(b)( I)(B)
Table 1--Conversion Factor Matrix for Calculating Potential Future Credit Exposure.
Other'
Original Interest Foreign exchange (includes commodities
maturity2 Rate rate and gold Equity and precious metals
except gold)
1 year or less 0.015 0.015 0.20 0.06
Over 1 to 3 years 0.03 0.03 0.20 0.18
Over 3 to 5 years 0.06 0.06 0.20 0.30
Over 5 to 10 years 0.12 0.12 0.20 0.60
Over ten years 0.30 0.30 0.20 1.00
i For an OTC derivative contract with multiple exchanges of principal, the conversion factor is
multiplied by the number of remaining payments in the derivative contract.
Z For an OTC derivative contract that is structured such that on specified dates any outstanding
exposure is settled and the terms are reset so that the market value of the contract is zero, the
remaining maturity equals the time until the next reset date. For an interest rate derivative
contract with a remaining maturity of greater than one year that meets these criteria, the minimum
conversion factor is 0.005.
Transactions not explicitly covered by any other column in Table 1 are to be treated as "Other."
Figure: 7 TAC 12.12(b)(1)(C)
Table 2-Remaining Maturity Factor for Calculating Credit Exposure
Interest Rate Foreign exchange Equity Other3 (includes
rate and gold commodities and
precious metals
except gold)
Multiplicative 1.5% 1.5% 6.0% 6.0%
Factor
Transactions not explicitly covered by any other column in Table 2 are to be treated as "Other."37 TexReg 6948 August 31, 2012
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Texas. Secretary of State. Texas Register, Volume 37, Number 35, Pages 6819-7008, August 31, 2012, periodical, August 31, 2012; Austin, Texas. (https://texashistory.unt.edu/ark:/67531/metapth253227/m1/127/: accessed April 30, 2024), University of North Texas Libraries, The Portal to Texas History, https://texashistory.unt.edu; crediting UNT Libraries Government Documents Department.