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DescriptionSupervisory discount factor for hedge trade exposures
Reference[MAR50.23]
NotationDFiDF_i, DFhDF_h
FormulaDF=1−e−0.05⋅M0.05⋅MDF = \frac{1 - e^{-0.05 \cdot M}}{0.05 \cdot M}
We recommend displaying hierarchy [TradePosition].[Trades] to display discount factors applied to exposures at default.

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See also