## IBANK 6.6.8 Steps in Calculating General Risk Capital Charge

The steps to calculate the general risk capital charge are:

**Step 1**

Weight the positions in each time band by the risk factor corresponding to those positions in table 6.6.8A.

**Table 6.6.8A Time Bands and risk factors**

column 1
item |
column 2
time band |
column 3
risk factor % |
column 4
assumed changes in yield % |

1 | 1 month or less | 0.00 | 1.00 |

2 | more than 1 and up to 3 months | 0.20 | 1.00 |

3 | more than 3 and up to 6 months | 0.40 | 1.00 |

4 | more than 6 and up to 12 months | 0.70 | 1.00 |

5 | more than 1 and up to 2 years | 1.25 | 0.90 |

6 | more than 2 and up to 3 years | 1.75 | 0.80 |

7 | more than 3 and up to 4 years | 2.25 | 0.75 |

8 | more than 4 and up to 5 years | 2.75 | 0.75 |

9 | more than 5 and up to 7 years | 3.25 | 0.70 |

10 | more than 7 and up to 10 years | 3.75 | 0.65 |

11 | more than 10 and up to 15 years | 4.50 | 0.60 |

12 | more than 15 years and up to 20 years | 5.25 | 0.60 |

13 | more than 20 years | 6.00 | 0.60 |

**Step 2**

Offset the weighted long and short positions within each time band.

**Example**

If the sum of the weighted long positions in a time band is QR100 million and the sum of the weighted short positions in the band is QR90 million, you offset the positions to come up with a matched position of QR90 million and unmatched position of QR10 million.

**Step 3**

For each time band, apply a 10% capital charge (** vertical disallowance**) on the matched position calculated in step 2.

**Example**

Continuing on from the example in step 2, apply the 10% on the QR90 million matched position to come up with a QR9 million vertical disallowance for the time band.

**Step 4**

For the unmatched positions calculated in step 2, carry out 2 further rounds of offsetting using the zones (made up of time bands) in table 6.6.8B and apply the appropriate capital charge, as follows:

The absolute value of the net amount remaining is the ** net position**.

**Table 6.6.8B Zones for profit rate**

column 1
item |
column 2
one |
column 3
time bands |

1 | zone 1 |
0– 1 month 1– 3 months 3 – 6 months 6 – 12 months |

2 | zone 2 |
1– 2 years 2– 3 years 3– 4 years |

3 | zone 3 |
4– 5 years 5– 7 years 7 – 10 years 10 – 15 years 15 – 20 years more than 20 years |

**Step 5**

Calculate the horizontal allowance by adding the charges from paragraphs (a) and (b) of step 4.

**Step 6**

Calculate the ** general risk capital charge** as the sum of:

Derived from QFCRA RM/2015-2 (as from 1st January 2016). |