Figure: 7 TAC §12.12(b)(1)(B)

Table 1--Conversion Factor Matrix for Calculating Potential Future Credit Exposure.1
Original
maturity2		 Interest
Rate		 Foreign
exchange rate
and gold		 Equity Other3
(includes
commodities 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

1 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.

2 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.

3 Transactions not explicitly covered by any other column in Table 1 are to be treated as "Other."