CA-13.4.3

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Past version: Effective from 01 Apr 2011 to 31 Dec 2011
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The first dimension of the matrix involves a specified range of changes in the option's underlying rate or price. The CBB has set the range, for each risk category, as follows:

(a) Interest rate related instruments - The range for interest rates is consistent with the assumed changes in yield set out in section CA-9.5. Those banks applying the alternative method of grouping time-bands into sets, as explained in paragraph CA-13.4.2, should use, for each set of time-bands, the highest of the assumed changes in yield applicable to the individual time-bands in that group. If, for example, the time-bands 3 to 4 years, 4 to 5 years and 5 to 7 years are combined, the highest assumed change in yield of these three bands would be 0.75 which would be applicable to that set;

(b) For equity instruments, the range is ±8%;

(c) For foreign exchange and gold, the range is ±8%; and

(d) For commodities, the range is ±15%,

For all risk categories, at least seven observations (including the current observation) should be used to divide the range into equally spaced intervals.

Amended: April 2011
Apr 08