Financial Sector (Collection of Data) (reporting standard) determination No. 4 of 2006 - Reporting Standard ARS 113.0 - Market Risk
1. Standard method1. Standard method
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1. Standard method
Interest rate risk
All positions forming part of the trading book in debt or other interest rate-related securities, including interest rate derivatives, forward foreign exchange and quasi-debt securities that behave like debt (refer paragraph 3 of Guidance Note AGN 113.3 The Standard Method (AGN 113.3)), should be reported in Tables 1 and 2.
The total capital requirement for interest rate risk consists of charges for specific risk, general market risk, and interest rate-sensitive options risks.