International Finance and Accounting Handbook

8 • 20 MARKET RISK

Panel A: FI Holdings and Risk Charges
Specific Risk General Market Risk
(1) (2) (3) (4) (5) (6) (7)
Time Band Issuer Position ($) Weight (%) Charge Weight (%) Charge
0–1 month Treasury 5,000 0.00% 0.00 0.00% 0.00
1–3 months Treasury 5,000 0.00 0.00 0.20 10.00
3–6 months Qual Corp 4,000 0.25 10.00 0.40 16.00
6–12 months Qual Corp (7,500) 1.00 75.00 0.70 (52.50)
1–2 years Treasury (2,500) 0.00 0.00 1.25 (31.25)
2–3 years Treasury 2,500 0.00 0.00 1.75 43.75
3–4 years Treasury 2,500 0.00 0.00 2.25 56.25
3–4 years Qual Corp (2,000) 1.60 32.00 2.25 (45.00)
4–5 years Treasury 1,500 0.00 0.00 2.75 41.25
5–7 years Qual Corp (1,000) 1.60 16.00 3.25 (32.50)
7–10 years Treasury (1,500) 0.00 0.00 3.75 (56.25)
10–15 years Treasury (1,500) 0.00 0.00 4.50 (67.50)
10–15 years Non Qual 1,000 8.00 80.00 4.50 45.00
15–20 years Treasury 1,500 0.00 0.00 5.25 78.75

20 years Qual Corp 1,000 1.60 16.00 6.00 60.00
Specific risk 229.00
Residual general market risk 66.00

Panel B: Calculation of Capital Charge

(1) (2) (3) (4) (5) (6) (7)

Charge

1. Specific Risk 229.00


2. Vertical Offsets within Same Time Bands

Time Band Longs Shorts Residual* Offset Disallowance Charge

3–4 years 56.25 (45.00) 11.25 45.00 10.00% 4.50

10–15 years 45.00 (67.50) (22.50) 45.00 10.00 4.50

3. Horizontal Offsets within Same Time Zones
   Zone 1
   0–1 month 0.00
   1–3 months 10.00
   3–6 months 16.00
   6–12 months (52.50)
   Total zone 1 26.00 (52.50) (26.50) 26.00 40.00% 10.40
   Zone 2
   1–2 years (31.25)
   2–3 years 43.75
   3–4 years 11.25
   Total zone 2 55.00 (31.25) 23.75 31.25 30.00% 9.38
   Zone 3
   4–5 years 41.25
   5–7 years (31.50)
   7–10 years (56.25)
   10–15 years (22.50)
   15–20 years 78.75

   
   

   20 years 60.00
   Total zone 3 180.00 (111.25) 68.75 111.25 30.00% 33.38
   (continued)

   
   

   
   

Exhibit 8.8. BIS Market Risk Calculation (Debt Securities, Sample Market Risk Calcula-