CA-9.1.4

Past version: Effective from 01 Apr 2008 to 31 Dec 2011
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The minimum capital requirement is expressed in terms of two separately calculated charges, one applying to the "specific risk" of each position, and the other to the interest rate risk in the portfolio, termed "general market risk". The aggregate capital requirement for interest rate risk is the sum of the general market interest rate risk capital requirements across currencies, and the specific risk capital requirements.

Apr 08