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CA-5.4.3

The general market risk must be provided on the residual term to maturity or to the next repricing date, using either a simplified form of the Maturity Method on the net positions in each time-band in accordance with the table below or the Duration Method shown in Paragraph CA-5.4.3A:

Residual term to maturity RW
1 month or less 0.00%
1–3 months 0.20%
3–6 months 0.40%
6–12 months 0.70%
1–2 years 1.25%
2–3 years 1.75%
3–4 years 2.25%
4–5 years 2.75%
5–7 years 3.25%
7–10 years 3.75%
10–15 years 4.50%
15–20 years 5.25%
>20 years 6.00%
January 2015