Table 1: Specific risk

Columns 1 & 2. Short and Long Positions

The sum of the market values of individual positions in each issuer category should be reported in columns 1 and 2 for short and long positions, respectively. In summing the market values within each category, if there is a matched position in the same security (i.e. both the issuer and issue are identical), the matching positions may be offset and omitted from the calculation of specific interest rate risk (refer to paragraphs 5, 27, 28 and 30 to 33 of Attachment B to APS 116).

Specific risk is to be assessed according to the classification of issuer of the security or underlying security in the case of derivative instruments. Issuers are classified into the categories of government, qualifying and other, as defined in paragraphs 6 to 10 of Attachment B to APS 116. Instruments with issuers in the government and qualifying categories should be further classified according to the residual term to final maturity of the security or underlying security.

Column 4. Specific risk-weight

The specific risk-weights applicable to each category are detailed in Table 1 of Attachment B to APS 116.

Column 5. Capital charge

Derived field calculated as column 3 Gross market value multiplied by column 4 Specific risk-weight.

2. Total capital charge

Derived field that sums up column 5 Capital charges for each risk category. This charge will also be captured under item 1.1.1 of the Market risk summary table.