Document ID: chunk:federal_register_of_legislation:F2024L01519:body:0:p57
Version: federal_register_of_legislation:F2024L01519
Segment Type: other
Provision Reference: 
Character Range: 156148–157671

three bands would be 0.75.
    [42]  The convenience yield reflects the benefits from direct ownership of the physical commodity (e.g. the ability to profit from temporary market shortages), and is affected both by market conditions and by factors such as physical storage costs.
    [43]  An ADI may calculate the VaR estimate using a weighting scheme that is not fully consistent with the requirements of paragraph 30 as long as that method results in a capital charge at least as conservative as that calculated according to paragraph 30.
    [44]  An ADI need not capture default and migration risks for positions subject to the incremental risk capital charge. For equity positions, events that are reflected in large changes or jumps in prices must be captured, e.g. merger break-ups/takeovers. In particular, an ADI must consider issues related to survivorship bias.
    [45]  For establishing prudent valuation adjustments, refer to Attachment A to APS 111.
    [46]  For example, investment-grade European corporate exposures not part of a core CDS index.
    [47]  Refer to APS 112.
    [48]  The maturity of the swap itself may be different from that of the underlying exposure.
    [49]  Refer to Attachment J of APS 112 for the definition of this mismatch between the reference obligation and the underlying obligation.
    [50]  Refer to Attachment J of APS 112 for the definitions of currency mismatch and maturity mismatch. Currency mismatches are to feed into the normal reporting of foreign exchange risk.