Article 339
Maturity-based calculation of general risk
1.
In order to calculate own funds requirements against general risk all positions shall be weighted according to maturity as explained in paragraph 2 in order to compute the amount of own funds required against them. This requirement shall be reduced when a weighted position is held alongside an opposite weighted position within the same maturity band. A reduction in the requirement shall also be made when the opposite weighted positions fall into different maturity bands, with the size of this reduction depending both on whether the two positions fall into the same zone, or not, and on the particular zones they fall into.
2.
The institution shall assign its net positions to the appropriate maturity bands in column 2 or 3, as appropriate, in Table 2 in paragraph 4. It shall do so on the basis of residual maturity in the case of fixed-rate instruments and on the basis of the period until the interest rate is next set in the case of instruments on which the interest rate is variable before final maturity. It shall also distinguish between debt instruments with a coupon of 3 % or more and those with a coupon of less than 3 % and thus allocate them to column 2 or column 3 in Table 2. It shall then multiply each of them by the weighing for the maturity band in question in column 4 in Table 2.
3.
The institution shall then work out the sum of the weighted long positions and the sum of the weighted short positions in each maturity band. The amount of the former which are matched by the latter in a given maturity band shall be the matched weighted position in that band, while the residual long or short position shall be the unmatched weighted position for the same band. The total of the matched weighted positions in all bands shall then be calculated.
4.
The institution shall compute the totals of the unmatched weighted long positions for the bands included in each of the zones in Table 2 in order to derive the unmatched weighted long position for each zone. Similarly, the sum of the unmatched weighted short positions for each band in a particular zone shall be summed to compute the unmatched weighted short position for that zone. That part of the unmatched weighted long position for a given zone that is matched by the unmatched weighted short position for the same zone shall be the matched weighted position for that zone. That part of the unmatched weighted long or unmatched weighted short position for a zone that cannot be thus matched shall be the unmatched weighted position for that zone.
Table 2
|
Zone |
Maturity band |
Weighting (in %) |
Assumed interest rate change (in %) |
|
|
Coupon of 3 % or more |
Coupon of less than 3 % |
|||
|
One |
0 ≤ 1 month |
0 ≤ 1 month |
0,00 |
— |
|
> 1 ≤ 3 months |
> 1 ≤ 3 months |
0,20 |
1,00 |
|
|
> 3 ≤ 6 months |
> 3 ≤ 6 months |
0,40 |
1,00 |
|
|
> 6 ≤ 12 months |
> 6 ≤ 12 months |
0,70 |
1,00 |
|
|
Two |
> 1 ≤ 2 years |
> 1,0 ≤ 1,9 years |
1,25 |
0,90 |
|
> 2 ≤ 3 years |
> 1,9 ≤ 2,8 years |
1,75 |
0,80 |
|
|
> 3 ≤ 4 years |
> 2,8 ≤ 3,6 years |
2,25 |
0,75 |
|
|
Three |
> 4 ≤ 5 years |
> 3,6 ≤ 4,3 years |
2,75 |
0,75 |
|
> 5 ≤ 7 years |
> 4,3 ≤ 5,7 years |
3,25 |
0,70 |
|
|
> 7 ≤ 10 years |
> 5,7 ≤ 7,3 years |
3,75 |
0,65 |
|
|
> 10 ≤ 15 years |
> 7,3 ≤ 9,3 years |
4,50 |
0,60 |
|
|
> 15 ≤ 20 years |
> 9,3 ≤ 10,6 years |
5,25 |
0,60 |
|
|
> 20 years |
> 10,6 ≤ 12,0 years |
6,00 |
0,60 |
|
|
|
> 12,0 ≤ 20,0 years |
8,00 |
0,60 |
|
|
|
> 20 years |
12,50 |
0,60 |
|
5.
The amount of the unmatched weighted long or short position in zone one which is matched by the unmatched weighted short or long position in zone two shall then be the matched weighted position between zones one and two. The same calculation shall then be undertaken with regard to that part of the unmatched weighted position in zone two which is left over and the unmatched weighted position in zone three in order to calculate the matched weighted position between zones two and three.
6.
The institution may reverse the order in paragraph 5 so as to calculate the matched weighted position between zones two and three before calculating that position between zones one and two.
7.
The remainder of the unmatched weighted position in zone one shall then be matched with what remains of that for zone three after the latter's matching with zone two in order to derive the matched weighted position between zones one and three.
8.
Residual positions, following the three separate matching calculations in paragraphs 5, 6 and 7 shall be summed.
9.
The institution's own funds requirement shall be calculated as the sum of:
(a)
10 % of the sum of the matched weighted positions in all maturity bands;
(b)
40 % of the matched weighted position in zone one;
(c)
30 % of the matched weighted position in zone two;
(d)
30 % of the matched weighted position in zone three;
(e)
40 % of the matched weighted position between zones one and two and between zones two and three;
(f)
150 % of the matched weighted position between zones one and three;
(g)
100 % of the residual unmatched weighted positions.