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PIB A5.2.18 Guidance

A worked example under the Maturity Method of the General Market Risk requirement calculation is as follows:

Zone Maturity Band Individual Net Positions Risk percentages Weighted Individual Net Positions By Maturity Band By Zone Between Zones
  Coupon ≥3% Coupon <3% Long Short   Long Short Matched Unmatched Matched Unmatched Matched Unmatched
A ≤ 1 month ≤ 1 month $100 -$50 0.00% $0.00 $0.00 $0.00 $0.00        
  1–3 months 1–3 months $200 -$100 0.20% $0.40 -$0.20 $0.20 $0.20 $0.00 $1.30    
  3–6 months 3–6 months $300 -$200 0.40% $1.20 -$0.80 $0.80 $0.40        
  6–12 months 6–12 months $400 -$300 0.70% $2.80 -$2.10 $2.10 $0.70        
                           
B 1–2 years 1–1.9 years $100 -$200 1.25% $1.25 -$2.50 $1.25 -$1.25     Zone 1&2  
  2–3 years 1.9–2.8 years $200 -$300 1.75% $3.50 -$5.25 $3.50 -$1.75 $0.00 -$5.25 $1.30  
  3–4 years 2.8–3.6 years $300 -$400 2.25% $6.75 -$9.00 $6.75 -$2.25       Zones 1&3
                          $0.00
C 4–5 years 3.6–4.3 years $100 -$100 2.75% $2.75 -$2.75 $2.75 $0.00     Zone 2&3  
  5–7 years 4.3–5.7 years $200 -$200 3.25% $6.50 -$6.50 $6.50 $0.00     $3.95  
  7–10 years 5.7–7.3 years $300 -$100 3.75% $11.25 -$3.75 $3.75 $7.50        
  10–15 years 7.3–9.3 years $100 -$200 4.50% $4.50 -$9.00 $4.50 -$4.50 $4.50 $8.25    
  15–20 years 9.3–10.6 years $200 -$100 5.25% $10.50 $5.25 $5.25 $5.25        
  > 20 years 10.6–12 years $300 -$300 6.00% $18.00 -$18.00 $18.00 $0.00        
    12–20 years     8.00%                
    > 20 years     12.50%                
                $55.35     $4.30    

Total General Market Risk requirement = 10% ($55.35) + 40% ($0.00) + 30% ($0.00 + $4.50) + 40% ($1.30 + $3.95) + 100% ($4.30) + 100% ($0.00) = $13.29

Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]