PIB A5.2.16
In applying the simplified framework, an
(a) allocating the individual net positions to one of the time bands in the table below, as follows:
(i) fixed-rate instruments are allotted their time bands based upon the residual time to maturity; and
(ii) floating-rate instruments are allocated to time bands based upon the time remaining to the re-determination of the coupon;
(b) adding the market values of the individual net positions within each band irrespective of whether they are long or short positions to produce a gross position figure;
(c) multiplying the amount in (b) by the risk percentage for the relevant maturity band in the table below; and
(d) adding the calculations in (c) to arrive at the General Market Risk requirement.
|
|
Time band | Risk percentage | |
| Coupon of 3% or more | Coupon of less than 3% | ||
| A | 0≤1month | 0≤1month | 0.00% |
| > 1 ≤3months | > 1 ≤3months | 0.20% | |
| > 3 ≤6 months | > 3 ≤6 months | 0.40% | |
| > 6 ≤12 months | > 6≤12 months | 0.70% | |
| B | > 1 ≤2 years | > 1.0 ≤1.9 years | 1.25% |
| > 2 ≤3 years | > 1.9 ≤2.8 years | 1.75% | |
| > 3 ≤4 years | > 2.8 ≤3.6 years | 2.25% | |
| C | > 4 ≤5 years | > 3.6 ≤4.3 years | 2.75% |
| > 5 ≤7 years | > 4.3 ≤ 5.7 years | 3.25% | |
| > 7≤10 years | > 5.7 ≤ 7.3 years | 3.75% | |
| > 10 ≤15 years | > 7.3 ≤9.3 years | 4.50% | |
| > 15 ≤20 years | > 9.3 ≤ 10.6 years | 5.25% | |
| > 20 years | > 10.6 ≤12.0 years | 6.00% | |
| > 12.0 ≤20.0 years | 8.00% | ||
| > 20 years | 12.50% | ||
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]