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PIB A5.2.16

In applying the simplified framework, an Authorised Firm must calculate its General Market Risk requirement for each currency by taking the following steps:

(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.
Zone 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]