CA-5.4.3D

Entire section

Link

Print

Location:

The general market risk capital charge is the aggregation of three charges: net position, vertical disallowances and horizontal disallowances (Table 3 below).

Table 3 General Risk Capital Charge Calculation

The sum of:
Net position	Net long weighted position	x100%
Vertical disallowances	Matched weighted positions (i.e. the smaller of the absolute value of the short and long positions with each time band) in all maturity bands	x 10%
Horizontal disallowances	Matched weighted positions within Zone 1	x 40%
	Matched weighted positions within Zone 2	x 30%
	Matched weighted positions within Zone 3	x 30%
	Matched weighted positions between Zones 1 & 2	x 40%
	Matched weighted positions between Zones 2 & 3	x 40%
	Matched weighted positions between Zones 1 & 3	x100%

January 2015