IBANK 6.6.3 Capital Charge — Profit Rate Risk

The capital charge for profit rate risk in the trading book consists of 2 separately calculated charges:

(a) a charge for the specific risk of holding a long or short position in an individual instrument; and
(b) a charge for the general risk of holding a long or short position in the market as a whole.

Note 1 The capital charge for general risk is for the risk of loss arising from changes in market profit rates.

Note 2 To determine the capital charge for Shari'a-compliant hedging instrument, see rule 6.6.12.
Derived from QFCRA RM/2015-2 (as from 1st January 2016).