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Discount Factor EAD

Description	Supervisory discount factor for exposures at default
Reference	[MAR50.15]
Notation	$DF_c$
Formula	$DF=1 \text{ if EAD was computed under IMM else } DF = \dfrac{1-e^{-0.05\cdot M}}{0.05\cdot M}\\$

We recommend displaying hierarchy [TradePosition].[Netting Sets] to display discount factors applied to exposures at default.

See also