A bank has the following transaction with an AA-rated corporation

(a) A two-year interest rate swap with a principal of $100 million that is worth $3 million

(b) A nine-month foreign exchange forward contract with a principal of $150 million that is worth -$5 million

(c) A long position in a six-month option on gold with a principal of $50 million that is worth $7 million

Add-on Factors (% of Principal) for Derivatives