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T A B L E 2-5
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Component 1. Net long or net short positions, total 2. Vertical offsetting: weighted closed position in each maturity band 3. Horizontal offsetting Closed position in Zone 1 Closed position in Zone 2 Closed position in Zone 3 Closed position from offsetting between adjacent zones Closed position from offsetting between nonadjacent zones 4. Add-on for option positions, if applicable (pursuant to Sections 5.3.1, 5.3.2b, 5.3.2c, and 5.3.3 of the amendment)
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40 30 30 40 100 100
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Using the maturity method, the capital requirements for interest-rate risk in a certain currency equal the sum of the components that require weighting, as listed in Table 2-5. Offsetting is to be applied only if positions with opposing polarities (minus and plus signs) can be offset against each other within a maturity band, within a zone, or between the zones.
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Duration Method
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Under the alternative duration method, banks with the necessary capability may, with the consent of their regulatory supervisors, use a more accurate method of measuring all of their general market risk by calculating the price sensitivity of each position separately. Banks that elect to do so must use the method on a continuous basis (unless a change in method is approved by the national authority), and they are subject to supervisory monitoring of the systems used. Institutions that possess the necessary organizational, personnel, and technical capacities may apply the duration method as an alternative to the maturity method. If they opt for the duration method, they may
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change back to the maturity method only in justified cases. The duration method is to be used, in principle, by all branches and for all products. As already mentioned, the price sensitivity of each financial instrument is computed separately under this method. It is also possible to split the financial instrument into its payment flows and to take account of the duration for each individual payment flow. The capital requirements for general market risk are computed in the following manner:
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Computation of price sensitivities. Price sensitivity is computed separately for each instrument or its payment flows; the different changes in yield dependent on duration, as listed in Table 2-6, are subject to a capital charge. The price sensitivity is calculated by multiplying the market value of the instrument or of its payment flows by its modified duration and the assumed change in yield. Entering price sensitivities into the time bands. The resulting sensitivities are entered into one of the ladders. There are 15 time bands, based on the duration of the instrument or its payment flows, as shown in Table 2-6.
T A B L E 2-6
Duration Method: Maturity Bands and Assumed Changes in Yield
Duration Zone 1 1 month 3 months 6 months 2 1.0 years 1.9 years 2.9 years 3 3.6 years 4.3 years 5.7 years 7.3 years 9.3 years 10.6 years 12 years 20 years Over Up to 1 month 3 months 6 months 12 months 1.9 months 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 Change in Yield 1.00% 1.00 1.00 1.00 0.90 0.80 0.75 0.75 0.70 0.65 0.60 0.60 0.60 0.60 0.60
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Vertical offsetting. The vertical offsetting within the individual time bands is to be effected in a manner analogous to that used under the maturity method, whereby the risk-weighted closed position for each maturity band is subject to a capital charge of 5 percent. Horizontal offsetting. The horizontal offsetting between the time bands is to be effected in a manner analogous to that used under the maturity method.
Under the duration method, the required equity for general market risk per currency is thus calculated from the sum of the net position, the various offsets, and, where applicable, an add-on for option positions. 2.7.2.6 Interest-Rate Derivatives The measurement system should include all interest-rate derivatives and off-balance-sheet instruments in the trading book that react to changes in interest rates, (e.g., forward rate agreements, other forward contracts, bond futures, interest-rate and cross-currency swaps, and forward foreign-exchange positions). Options can be treated in a variety of ways. A summary of the rules for dealing with interest rate derivatives is set out later under Treatment of Options (Section 2.7.6).
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