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small activity volume may be regrouped into one maturity ladder. In this case, no net position value is determined, but an absolute position value (i.e., all net long and short positions of all currencies in one time band) is determined by adding all the net positions together, irrespective of whether they are long or short positions, and no further offsetting is permitted.
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Maturity Method
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When applying the maturity method, the equity requirements for general market risk are computed as follows:
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Slotting the positions valued at market into the maturity ladders. All long and short positions are entered into the corresponding time bands of the maturity ladder. Fixed-interest instruments are classified according to their remaining duration until final maturity, and floating-rate instruments according to the remaining term until the next repricing date. The boundaries of the maturity bands are defined differently for instruments whose coupons are equal to or greater than 3 percent and those whose coupons are less than 3 percent (see Table 2-4). The maturity bands are allocated to three different zones.
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T A B L E 2-4
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Coupon 3% Zone 1 1 month 3 months 6 months 2 1 year 2 years 3 years 3 4 years 5 years 7 years 10 years 15 years 20 years Over Up to 1 month 3 months 6 months 12 months 2 years 3 years 4 years 5 years 7 years 10 years 15 years 20 years 1 month 3 months 6 months 1.0 year 1.9 years 3.6 years 3.6 years 4.3 years 5.7 years 7.3 years 9.3 years 10.6 years 12 years 20 years Coupon < 3% Over Up to 1 month 3 months 6 months 12 months 1.9 years 2.8 years 3.6 years 4.3 years 5.7 years 7.3 years 9.3 years 10.6 years 12 years 20 years Risk Weighting 0.00% 0.20 0.40 0.70 1.25 1.75 2.25 2.75 3.25 3.75 4.50 5.25 6.00 8.00 12.50
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Weighting by maturity band. In order to take account of the price sensitivity in relation to interest-rate changes, the positions in the individual maturity bands are multiplied by the risk-weighting factors listed in Table 2-4. Vertical offsetting. The net position is determined for each maturity band from all weighted long and short positions. The risk-weighted net position is subject to a capital charge of 10 percent for each maturity band. This serves to account for the base and interest structure risk within each maturity band. Horizontal offsetting. To determine the total net interest positions, offsetting between opposed positions of differing maturities is possible, whereby the resulting closed net positions in turn receive a capital charge. This process is called horizontal offsetting. Horizontal offsetting takes place at two levels: within each of the three zones and between the zones. Horizontal offsetting within the zones. The risk-weighted open net positions of individual maturity bands are aggregated and offset against each other within their respective zones to obtain a net position for each zone. The closed positions arising from offsetting are subject to a capital charge. This charge amounts to 40 percent for Zone 1 and 30 percent each for Zones 2 and 3. Horizontal offsetting between various zones. Zone net positions of adjacent zones may be offset against each other, provided they bear opposing polarities (plus and minus signs). The resulting closed net positions are subject to a capital charge of 40 percent. An open position remaining after offsetting two adjacent zones remains in its respective zone and forms the basis for further offsetting, if applicable. Closed net positions arising from offsetting between nonadjacent zones (Zones 1 and 3), if applicable, are subject to a capital charge of 100 percent.
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The result of the preceding calculations is to produce two sets of weighted positions, the net long or short positions in each time band and the vertical disallowances, which have no sign. In addition, however, banks are allowed to conduct two rounds of horizontal offsetting, first between the net positions in each of three zones (0 to 1 year, 1 year to 4 years, and 4 years and over), and subsequently between the net positions in the three different zones. The offsetting is subject to a scale of disallowances expressed as a fraction of the matched positions, as set out in Table 2-5. The weighted long and short positions in each of the three zones may be offset, subject to the matched portion, attracting a disallowance factor that is part of the capital charge. The residual net position in each zone may be carried over and offset against opposite positions in other zones, subject to a second set of disallowance factors.
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