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PIB A5.2.2

An Authorised Firm must calculate its Interest Rate Risk Capital Requirement as the sum of the two following separate charges:

(a) Specific Risk of each net position as calculated in accordance with PIB Rule A5.2.13; and
(b) General Market Risk calculated in accordance with PIB Rule A5.2.15.
Derived from RM111/2012 (Made 15th October 2012). [VER20/12-12]