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PIB A5.2.18

The General Market Risk requirement for each currency must be calculated as the sum of the following:

(a) 10% of the matched weighted positions in each maturity band;
(b) 40% of the matched weighted position in zone A;
(c) 30% of the matched weighted position in zones B and C;
(d) 40% of the matched weighted position between zones A and B, and between zones B and C;
(e) 100% of the matched weighted position between zones A and C; and
(f) 100% of the residual unmatched weighted positions.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]