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DescriptionSupervisory discount factor for exposures at default
Reference[MAR50.15]
NotationDFcDF_c
FormulaDF=1 if EAD was computed under IMM else DF=1−e−0.05⋅M0.05⋅MDF = 1 \text{ if EAD was computed under IMM else } DF = \frac{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.

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See also