CA-4.9.1
After calculating the
Summary of treatment of interest rate derivative
| Instrument | Specific risk charge* | General market risk charge |
| Exchange-traded futures | ||
| - Government** debt security | No | Yes, as two positions |
| - Corporate debt security | Yes | Yes, as two positions |
| - Index on interest rates (e.g. LIBOR) | No | Yes, as two positions |
| - Index on basket of debt securities | Yes | Yes, as two positions |
| OTC forwards | ||
| - Government** debt security | No | Yes, as two positions |
| - Corporate debt security | Yes | Yes, as two positions |
| - Index on interest rates | No | Yes, as two positions |
| FRAs | No | Yes, as two positions |
| Swaps | ||
| - Based on interbank rates | No | Yes, as two positions |
| - Based on Government** bond yields | No | Yes, as two positions |
| - Based on corporate bond yields | Yes | Yes, as two positions |
| Forward foreign exchange | No | Yes, as one position in each currency |
| Options | ||
| - Government** debt security | No | Either (a) or (b) as below (see Chapter CA-8 for a detailed description): |
|
• Corporate debt security
• Index on interest rates
• FRAs, swaps
|
Yes No No |
(a) Carve out together with the associated hedging positions, and use:
• simplified approach; or
• scenario analysis; or
• internal models (see Chapter CA-9).
(b) General market risk charge according to the delta-plus method (gamma and vega should receive separate capital charges).
|
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*This is the specific risk charge relating to the issuer of the instrument. Under the credit risk rules, there remains a separate capital charge for the counterparty risk. **As defined in Section CA-4.2. |
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October 07