Table 1: Specific risk

The sum of the market values of individual positions in each issuer category should be reported in the first and second column 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 paragraphs 5, 29, 30 and 32 to 35 of AGN 113.3.

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 7 to 10 of AGN 113.3. Instruments with issuers in the qualifying category should be further classified according to the residual term to final maturity of the security or underlying security.

The capital charge is calculated as the risk weight multiplied by the gross market value and is reported in the last column of Table 1. The total specific risk charge is also reported in item “A a)” in the Market Risk Summary Report.