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Category Interest-rate instruments Qualified interest-rate instruments Other interest-rate instruments High-yield interest-rate instruments
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The government category includes all forms of G-10 paper, including bonds, Treasury bills, and other short-term instruments, but national authorities reserve the right to apply a specific risk weight to securities issued by certain foreign governments, especially securities denominated in a currency other than that of the issuing government. Qualified interest-rate instruments are those that meet one of the following criteria:
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Investment-grade rating or higher from at least two credit-rating agencies recognized by the local supervisory authority Investment-grade rating or higher from one credit-rating agency recognized by the local supervisory authority in the absence of a lower rating from a rating agency recognized by the local supervisory authority Unrated, but with a yield to maturity and remaining duration comparable with those of investment-grade-rated instruments of the same issuer and trading on a recognized exchange or a representative market
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Rating agencies deemed to be recognized by the local regulator would typically include those such as the following:
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Dominion Bond Rating Service (DBRS), Ltd., Toronto Fitch IBCA [International Bank Classification Agency], Duff & Phelps, London Mikuni & Company, Ltd., Tokyo Moody s Investors Service, Inc., New York Standard & Poor s (S&P) Ratings Services, New York Thomson Bank Watch (TBW), Inc., New York
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Accordingly, instruments with investment-grade ratings are longterm interest-rate instruments with a rating of BBB (DBRS, IBCA, Mikuni, S&P, and TBW) or Baa (Moody s) and higher, and short-term interest-rate
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instruments with a rating such as Prime-3 (Moody s), A-3 (S&P and IBCA), M-4 (Mikuni), R-2 high (DBRS), or TBW-3 (TBW) and higher. Each supervisory authority is responsible for monitoring the application of these qualifying criteria, particularly in relation to the last criterion, where the initial classification is essentially left to the reporting banks. The other category receives the same specific risk charge as a privatesector borrower under the credit risk requirements (i.e., 8 percent). However, because this may in certain cases considerably underestimate the specific risk for debt securities that have a high yield to redemption relative to government debt securities, each member country has the discretion to apply a specific risk charge higher than 8 percent to such securities and to disallow offsetting for the purposes of defining the extent of general market risk between such securities and any other debt securities. High-yield interest-rate instruments are those which meet one of the following criteria:
Rating such as CCC, Caa, or lower for long-term or an equivalent rating for short-term interest-rate instruments from a rating agency recognized by the local supervisory authority Unrated, but with a yield to maturity and remaining duration comparable to those with a rating such as CCC, Caa, or lower for long-term or an equivalent rating for short-term interest-rate instruments
This means that long-term interest-rate instruments with a rating such as CCC (DBRS, IBCA, Mikuni, S&P, and TBW), Caa (Moody s), or lower are deemed to be high-yield instruments. The high-yield rate is applicable to short-term interest-rate instruments if the rating is C (S&P), D (IBCA), M-D (Mikuni), R-3 (DBRS), TBW-4 (TBW), or lower. 2.7.2.5 General Market Risk The capital requirements for general market risk are designed to capture the risk of loss arising from changes in market interest rates. A choice between two principal methods of measuring the risk is permitted, a maturity method and a duration method. In each method, the capital charge is the sum of four components:
The net short or long position in the whole trading book A small proportion of the matched positions in each time band (the vertical disallowance) A larger proportion of the matched positions across different time bands (the horizontal disallowance) A net charge for positions in options, where appropriate
The capital requirements are computed for each currency separately by means of a maturity ladder. Currencies in which the institution has a
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