CA-4.2.3
The specific risk capital requirement is determined by weighting the current market value of each individual net position, whether long or short, according to its allocation among the following five broad categories:
(a) Eligible central government debt instrument | 0.00% |
(b) Qualifying items with residual maturity up to 6 months | 0.25% |
(c) Qualifying items with residual maturity between 6 and 24 months | 1.00% |
(d) Qualifying items with residual maturity exceeding 24 months | 1.60% |
(e) Non-qualifying items | 8.00% |